-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, IF1cP9LsHn3ZV8kel/xpUxlRJanusRJFL8hRqnqLtNGQFNVcrXpJnha5nOq9KDuX mfrNjKdSlrgVwk6pPS1Ukw== 0001047469-05-002608.txt : 20050207 0001047469-05-002608.hdr.sgml : 20050207 20050207170250 ACCESSION NUMBER: 0001047469-05-002608 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20041130 FILED AS OF DATE: 20050207 DATE AS OF CHANGE: 20050207 EFFECTIVENESS DATE: 20050207 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DFA INVESTMENT TRUST CO CENTRAL INDEX KEY: 0000896162 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07436 FILM NUMBER: 05581193 BUSINESS ADDRESS: STREET 1: 1299 OCEAN AVE STREET 2: 11TH FLOOR CITY: SANTA MONICA STATE: CA ZIP: 90401 BUSINESS PHONE: 3103958005 N-CSR 1 a2150019zn-csr.txt N-CSR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-7436 ---------------------------------------------- THE DFA INVESTMENT TRUST COMPANY - -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Catherine L. Newell, Esquire, Vice President and Secretary The DFA Investment Trust Company, 1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 310-395-8005 Date of fiscal year end: November 30 Date of reporting period: November 30, 2004 ITEM 1. REPORTS TO STOCKHOLDERS. ================================================================================ THE DFA INVESTMENT TRUST COMPANY THE GLOBAL VALUE SERIES THE GLOBAL LARGE COMPANY SERIES THE GLOBAL SMALL COMPANY SERIES ANNUAL REPORT YEAR ENDED NOVEMBER 30, 2004 ================================================================================ THE DFA INVESTMENT TRUST COMPANY ANNUAL REPORT TABLE OF CONTENTS
PAGE ------ THE DFA INVESTMENT TRUST COMPANY Management's Discussion and Analysis 1 Disclosure of Fund Expenses 3 Schedules of Investments 4 The Global Value Series 4 The Global Large Company Series 4 The Global Small Company Series 4 Statements of Assets and Liabilities 5 Statements of Operations 6 Statements of Changes in Net Assets 7 Financial Highlights 8 Notes to Financial Statements 10 Report of Independent Registered Certified Public Accounting Firm 14 DFA INVESTMENT DIMENSIONS GROUP INC. -- LARGE CAP INTERNATIONAL PORTFOLIO Disclosure of Fund Expenses 15 Disclosure of Portfolio Holdings 16 Schedule of Investments 17 Statement of Assets and Liabilities 22 Statement of Operations 23 Statements of Changes in Net Assets 24 Financial Highlights 25 Notes to Financial Statements 26 Report of Independent Registered Certified Public Accounting Firm 31 THE DFA INVESTMENT TRUST COMPANY Disclosure of Fund Expenses 32 Disclosure of Portfolio Holdings 34 Schedules of Investments 37 The U.S. Large Company Series 37 The U.S. Large Cap Value Series 42 The U.S. Small Cap Series 45 The DFA International Value Series 72 The Japanese Small Company Series 78 The Pacific Rim Small Company Series 89 The United Kingdom Small Company Series 92 The Continental Small Company Series 98
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PAGE ------ Statements of Assets and Liabilities 103 Statements of Operations 104 Statements of Changes in Net Assets 106 Financial Highlights 108 Notes to Financial Statements 112 Report of Independent Registered Certified Public Accounting Firm 119 FUND MANAGEMENT 120 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 126
This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. ii MANAGEMENT'S DISCUSSION AND ANALYSIS GLOBAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004 Global equity markets generally had positive returns for the year under review. For the year ended November 30, 2004, total return for large cap U.S. stocks was 12.85% as measured by the S&P 500(R) Index. Expressed in local currencies, prices rose in all of the ten largest country constituents of the MSCI EAFE Index. Net returns were enhanced by appreciation of the euro, Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona relative to the U.S. dollar. The overall effect of currency exchange rate changes was a material improvement in returns for U.S. dollar-based investors: total return for the MSCI EAFE Index (net dividends) was 13.08% in local currency and 24.19% in U.S. dollars. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
LOCAL CURRENCY U.S. DOLLAR TEN LARGEST DEVELOPED MARKETS RETURN RETURN - ----------------------------- -------- ----------- United Kingdom (net dividends) 12.03% 24.51% Japan (net dividends) 10.69% 17.86% France 12.62% 24.86% Switzerland 5.03% 19.32% Germany 11.22% 23.29% Netherlands 6.65% 18.21% Australia 28.04% 37.29% Italy 17.28% 30.03% Spain 23.45% 36.88% Sweden 29.85% 45.79%
Gross returns unless otherwise noted. - ---------- Source: Morgan Stanley Capital International Mirroring the U.S. experience, large company growth stocks were the poorest-performing asset class in non-U.S. markets, while small company stocks had the best relative results. % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004 (U.S. DOLLARS) MSCI EAFE Small Cap Index (net dividends) 32.17% Citigroup Extended Market Index EPAC (int'l. small companies) 30.10% Russell 2000 Index 17.25% MSCI EAFE Value Index (net dividends) 29.32% MSCI EAFE Index (net dividends) 24.19% MSCI EAFE Growth Index (net dividends) 19.07% Russell 1000 Value Index 19.65% Russell 1000 Growth Index 5.83% S&P 500 Index 12.85%
GLOBAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW GLOBAL VALUE SERIES The Global Value Series seeks to capture the returns of global large company value stocks by purchasing shares of two Master Funds that invest in such stocks: U.S. Large Cap Value Series and DFA International Value Series. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to global large company value stocks, but does not attempt to track closely a specific equity index. The Master Funds held a combined total of 823 stocks in twenty-two developed country markets, as of 1 November 30, 2004, and were essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.10% of each Master Fund's assets. As a result of the Global Value Series' diversified investment approach, performance was principally determined by broad structural trends in global equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, value stocks outperformed growth stocks in both the U.S. and international markets. Total returns were 19.65% for the Russell 1000 Value Index, 5.83% for the Russell 1000 Growth Index, 29.32% for the MSCI EAFE Value Index (net dividends), and 19.07% for the MSCI EAFE Growth Index (net dividends). Total return for the Global Value Series this year was 26.81%. Relative to a strategy investing 50% in the Russell 1000 Value Index and 50% in the MSCI EAFE Value Index (net dividends), superior performace by the Series was primarily due to greater exposure to stocks with more pronounced value characteristics as measured by book-to-market ratio. Stocks with such characterisitcs outperformed other stocks in both the Russell 1000 Value Index and the MSCI EAFE Value Index (net dividends). GLOBAL LARGE COMPANY SERIES The Global Large Company Series seeks to capture the returns of global large company stocks by purchasing shares of the U.S. Large Company Series and the Large Cap International Portfolio. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to global large company stocks, but does not attempt to track closely a specific equity index. The U.S. Large Company Series and the Large Cap International Portfolio held a total of 1,913 stocks in twenty-two developed country markets as of November 30, 2004. The Series and the Portfolio were essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.90% of their respective assets. As a result of the Global Large Company Series' diversified investment approach, performance was determined principally by broad structural trends in global equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, international stocks generally underperformed U.S. stocks; total returns were 24.19% for the MSCI EAFE Index (net dividends) and 12.85% for the S&P 500(R) Index of U.S. stocks. Total return for the Global Large Company Series this year was 17.46%. Relative to a strategy investing 50% in the S&P 500(R) Index and 50% in the the MSCI EAFE Index (net dividends), underperformance of the Series was primarily due to differences in security weights between Series holdings and MSCI EAFE Index constituents. These differences were most noticeable among stocks with the most pronounced growth characteristics as measured by book-to-market ratio. To a lesser extent, underperformance was also attributable to differences in security weights between the Series and the MSCI EAFE Index (net dividends) in the communication, non-durables, and transportation sectors. GLOBAL SMALL COMPANY SERIES The Global Small Company Series seeks to capture the returns of global small company stocks by purchasing shares of five Master Funds that individually invest in small company stocks in the United States, the United Kingdom, Continental Europe, Japan and the Pacific Rim region, respectively. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Funds held a combined total of 7,338 stocks in twenty-three developed country markets, and were essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.20% of each Master Fund's assets. As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in global equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, small company stocks outperformed large company stocks in both the U.S. and international markets. Total returns were 17.25% for the Russell 2000 Index, 12.85% for the S&P 500 Index, 30.10% for the Citigroup EPAC Extended Market Index, and 29.55% for the MSCI EAFE Small Company Index. Total return for the Global Small Company Series this year was 24.50%. Relative to a strategy investing 50% in the Russell 2000 Index and 50% in the MSCI EAFE Small Company Index, superior performance by the Series was primarily due to greater exposure to international small company stocks with market capitalization in the $100 to $500 million range. Stocks with these size characteristics outperformed the MSCI EAFE Small Company Index, and the average weight allocated to this sector was 45% of the Portfolio compared to 14% for the Index. 2 DISCLOSURE OF FUND EXPENSES The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholders reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated and may be different from the expense ratio in the Financial Highlights which is for the year ended November 30, 2004. FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/04 11/30/04 RATIO PERIOD* ------------- ------------ ---------- ---------- GLOBAL VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,138.80 0.45% $ 2.41 Hypothetical 5% Return $ 1,000.00 $ 1,022.75 0.45% $ 2.28 GLOBAL LARGE COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,085.30 0.45% $ 2.35 Hypothetical 5% Return $ 1,000.00 $ 1,022.75 0.45% $ 2.28 GLOBAL SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,133.60 0.33% $ 1.76 Hypothetical 5% Return $ 1,000.00 $ 1,023.35 0.33% $ 1.67
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 3 THE DFA INVESTMENT TRUST COMPANY SCHEDULES OF INVESTMENTS NOVEMBER 30, 2004 THE GLOBAL VALUE SERIES
VALUE+ ------ Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (53.0%) (4,844,391 Shares, Cost $67,988,673) $ 89,863,453 Investment in The DFA International Value Series of The DFA Investment Trust Company (47.0%) (4,957,512 Shares, Cost $60,161,905) 79,518,487 -------------- Total Investments(100%) (Cost $128,150,578) $ 169,381,940 ==============
THE GLOBAL LARGE COMPANY SERIES
VALUE+ ------ Investment in The U.S. Large Company Series of DFA Investment Trust Company (49.9%) (Cost $35,083,353) $ 40,884,514 Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc. (50.1%) (2,369,704 Shares, Cost $33,268,123) 41,019,577 -------------- Total Investments(100%) (Cost $68,351,476) $ 81,904,091 ==============
THE GLOBAL SMALL COMPANY SERIES
VALUE+ ------ Investment in The U.S. Small Cap Series of The DFA Investment Trust Company (49.9%) (5,832,058 Shares, Cost $65,056,031) $ 93,837,819 Investment in The Japanese Small Company Series of The DFA Investment Trust Company (15.5%) (Cost $23,948,179) 29,121,328 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (7.4%) (Cost $11,010,398) 13,944,660 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (10.3%) (Cost $14,029,371) 19,511,756 Investment in The Continental Small Company Series of The DFA Investment Trust Company (16.9%) (Cost $16,911,172) 31,739,089 -------------- Total Investments(100%) (Cost $130,955,151) $ 188,154,652 ==============
- ---------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 4 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
THE GLOBAL THE GLOBAL THE GLOBAL LARGE SMALL VALUE COMPANY COMPANY SERIES SERIES SERIES ------------- ------------- ------------- ASSETS: Investments at Value $ 169,382 $ 81,904 $ 188,155 Cash -- -- 1 Receivables: From Advisor -- 8 -- Fund Shares Sold 353 224 178 ------------- ------------- ------------- Total Assets 169,735 82,136 188,334 ------------- ------------- ------------- LIABILITIES: Payables: Investment Securities Purchased 353 224 178 Due to Advisor 31 -- -- Accrued Expenses and Other Liabilities 16 6 17 ------------- ------------- ------------- Total Liabilities 400 230 195 ------------- ------------- ------------- NET ASSETS $ 169,335 $ 81,906 $ 188,139 ============= ============= ============= SHARES OUTSTANDING $.01 PAR VALUE (Unlimited Number of Shares Authorized) 13,305,350 9,600,070 12,922,998 ============= ============= ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 12.73 $ 8.53 $ 14.56 ============= ============= ============= Investments at Cost $ 128,151 $ 68,351 $ 130,955 ============= ============= ============= NET ASSETS CONSIST OF: Paid-in Capital $ 128,217 $ 70,294 $ 127,510 Accumulated Net Investment Income (Loss) (2) 279 288 Accumulated Net Realized Gain (Loss) (111) (2,220) 3,121 Accumulated Net Realized Foreign Exchange Gain (Loss) -- -- 6 Unrealized Appreciation (Depreciation) from Investment Securities, Foreign Currency and Futures 41,231 13,553 57,200 Unrealized Net Foreign Exchange Gain (Loss) -- -- 14 ------------- ------------- ------------- Total Net Assets $ 169,335 $ 81,906 $ 188,139 ============= ============= =============
See accompanying Notes to Financial Statements. 5 STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS)
THE GLOBAL THE GLOBAL THE GLOBAL LARGE SMALL VALUE COMPANY COMPANY SERIES SERIES SERIES ------------- ------------- ------------- INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 2,005 $ 925 $ 441 Dividends (Net of Foreign Taxes Withheld of $0, $0 and $172, respectively) -- 654 1,810 Interest -- 7 14 Income from Securities Lending -- 3 164 Expenses Allocated from Master Funds -- (16) (214) ------------- ------------- ------------- Total Investment Income 2,005 1,573 2,215 ------------- ------------- ------------- EXPENSES Accounting & Transfer Agent Fees 31 31 35 Legal Fees 10 2 10 Audit Fees 5 3 7 Shareholders' Reports 1 2 5 Trustees' Fees and Expenses -- 1 2 Other 1 1 -- ------------- ------------- ------------- Total Expenses 48 40 59 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) 28 (30) -- ------------- ------------- ------------- Net Expenses 76 10 59 ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS) 1,929 1,563 2,156 ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Capital Gain Distributions Received from The DFA Investment Trust Company -- -- 28 Net Realized Gain (Loss) on Investment Securities Sold (3) (43) 3,136 Net Realized Gain (Loss) on Futures -- 60 -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 6 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 28,743 8,516 29,778 Futures -- 11 -- Translation of Foreign Currency Denominated Amounts -- -- 4 ------------- ------------- ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 28,740 8,544 32,952 ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 30,669 $ 10,107 $ 35,108 ============= ============= =============
See accompanying Notes to Financial Statements. 6 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE GLOBAL THE GLOBAL LARGE THE GLOBAL SMALL VALUE SERIES COMPANY SERIES COMPANY SERIES -------------------- -------------------- -------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 2004 2003 --------- --------- --------- --------- --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 1,929 $ 1,243 $ 1,563 $ 450 $ 2,156 $ 1,230 Capital Gain Distributions Received from The DFA Investment Trust Company -- 26 -- -- 28 -- Net Realized Gain (Loss) on Investment Securities Sold (3) (40) (43) (597) 3,136 5,073 Net Realized Gain (Loss) on Futures -- -- 60 60 -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- 6 16 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 28,743 16,930 8,516 6,294 29,778 30,137 Futures -- -- 11 (8) -- -- Translation of Foreign Currency Denominated Amounts -- -- -- -- 4 10 --------- --------- --------- --------- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations 30,669 18,159 10,107 6,199 35,108 36,466 --------- --------- --------- --------- --------- --------- Distributions From: Net Investment Income (3,124) (609) (1,517) (327) (3,073) (465) Net Short-Term Gains -- -- -- -- (371) -- Net Long-Term Gains (23) (12) -- -- (4,547) -- --------- --------- --------- --------- --------- --------- Total Distributions (3,147) (621) (1,517) (327) (7,991) (465) --------- --------- --------- --------- --------- --------- Capital Share Transactions (1): Shares Issued 45,646 28,091 28,412 17,366 34,317 49,714 Shares Issued in Lieu of Cash Distributions 2,679 529 1,289 278 7,474 395 Shares Redeemed -- -- (845) (139) (8,641) (1,458) --------- --------- --------- --------- --------- --------- Net Increase (Decrease) from Capital Share Transactions 48,325 28,620 28,856 17,505 33,150 48,651 --------- --------- --------- --------- --------- --------- Total Increase (Decrease) 75,847 46,158 37,446 23,377 60,267 84,652 NET ASSETS Beginning of Period 93,488 47,330 44,460 21,083 127,872 43,220 --------- --------- --------- --------- --------- --------- End of Period $ 169,335 $ 93,488 $ 81,906 $ 44,460 $ 188,139 $ 127,872 ========= ========= ========= ========= ========= ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued 4,000 3,200 3,584 2,619 2,663 5,345 Shares Issued in Lieu of Cash Distributions 242 67 165 46 615 48 Shares Redeemed -- -- (106) (23) (653) (128) --------- --------- --------- --------- --------- --------- 4,242 3,267 3,643 2,642 2,625 5,265 ========= ========= ========= ========= ========= =========
See accompanying Notes to the Financial Statements. 7 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE GLOBAL VALUE SERIES ----------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.32 $ 8.17 $ 9.07 $ 9.52 $ 9.67 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.17 2.11 0.11 0.15 0.14 Net Loss on Securities (Realized and Unrealized) 2.54 0.14 (0.72) (0.18) (0.01) ---------- ---------- ---------- ---------- ---------- Total from Investrment Operations 2.71 2.25 (0.61) (0.03) 0.13 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.30) (0.10) (0.13) (0.04) (0.18) Net Realized Gains -- -- (0.16) (0.38) (0.10) ---------- ---------- ---------- ---------- ---------- Total Distributions (0.30) (0.10) (0.29) (0.42) (0.28) - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period $ 12.73 $ 10.32 $ 8.17 $ 9.07 $ 9.52 ================================================================================================================================= Total Return 26.81% 28.01% (6.84)% (0.49)% 1.39% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 169,335 $ 93,488 $ 44,330 $ 8,938 $ 2,638 Ratio of Expenses to Average Net Assets (1) 0.27% 0.368% 0.375% 0.375% 0.47% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) (1) 0.25% 0.298% 0.465% 0.805% 2.03% Ratio of Net Investment Income to Average Net Assets 1.52% 1.96% 2.17% 2.21% 2.18% Portfolio Turnover Rate N/A N/A N/A N/A N/A THE GLOBAL LARGE COMPANY SERIES ----------------------------------------------------------------- YEAR YEAR YEAR YEAR AUG. 21 ENDED ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 7.46 $ 6.36 $ 7.47 $ 8.91 $ 10.00 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.16 0.10 0.10 0.10 0.02 Net Loss on Securities (Realized and Unrealized) 1.12 1.09 (1.12) (1.46) (1.11) ---------- ---------- ---------- ---------- ---------- Total from Investrment Operations 1.28 1.19 (1.02) (1.36) (1.09) - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.21) (0.09) (0.09) (0.08) -- Net Realized Gains -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions (0.21) (0.09) (0.09) (0.08) -- - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period $ 8.53 $ 7.46 $ 6.36 $ 7.47 $ 8.91 ================================================================================================================================= Total Return 17.46% 19.07% (13.80)% (15.41)% (10.90)%# - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 81,906 $ 44,460 $ 21,083 $ 7,404 $ 190 Ratio of Expenses to Average Net Assets (1) 0.25% 0.25% 0.25% 0.25% 0.25%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) (1) 0.29% 0.37% 0.57% 0.88% 3.37%* Ratio of Net Investment Income to Average Net Assets 2.48% 1.29% 1.01% 0.44% 0.63%* Portfolio Turnover Rate N/A N/A N/A N/A N/A
* Annualized # Non-annualized (1) Represents the combined ratio for the Series and its respective pro-rata share of its Master Fund Series'. N/A Refer to the respective Master Fund Series. See accompanying Notes to Financial Statements. 8
THE GLOBAL SMALL COMPANY SERIES ----------------------------------------------------------------- YEAR YEAR YEAR YEAR AUG. 21 ENDED ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 12.42 $ 8.59 $ 9.08 $ 9.10 $ 10.00 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.18 0.13 0.10 0.10 0.04 Net Loss on Securities (Realized and Unrealized) 2.71 3.79 (0.47) 0.07 (0.92) ---------- ---------- ---------- ---------- ---------- Total from Investrment Operations 2.89 3.92 (0.37) 0.17 (0.88) - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.28) (0.09) (0.10) (0.05) (0.02) Net Realized Gains (0.47) -- (0.02) (0.14) -- ---------- ---------- ---------- ---------- ---------- Total Distributions (0.75) (0.09) (0.12) (0.19) (0.02) - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period $ 14.56 $ 12.42 $ 8.59 $ 9.08 $ 9.10 ================================================================================================================================= Total Return 24.50% 46.17% 4.20% 1.87% (8.80)%# - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 188,139 $ 127,872 $ 43,220 $ 6,795 $ 759 Ratio of Expenses to Average Net Assets (1) 0.21% 0.30% 0.375% 0.375% 0.375%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) (1) 0.21% 0.26% 0.455% 1.065% 2.55%* Ratio of Net Investment Income to Average Net Assets 1.40% 1.55% 1.81% 1.98% 2.62%* Portfolio Turnover Rate N/A N/A N/A N/A N/A
* Annualized # Non-annualized (1) Represents the combined ratio for the Series and its respective pro-rata share of its Master Fund Series'. N/A Refer to the respective Master Fund Series. See accompanying Notes to Financial Statements. 9 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust" or "ITC") is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of twenty-one investment portfolios, of which three (the "Global Funds" or "Feeder Funds") are presented in this section of the report and eight (the "Master Funds") are presented elsewhere in this report. The Global Funds achieve their investment objectives by investing in other series within the Trust or a portfolio of DFA Investment Dimensions Group Inc. ("IDG") (collectively, the "Master Funds"). GLOBAL FUND (FEEDER FUND) The Global Value Series The Global Large Company Series The Global Small Company Series MASTER FUNDS The U.S. Large Cap Value Series (ITC) The DFA International Value Series (ITC) The U.S. Large Company Series (ITC) Large Cap International Portfolio (IDG) The U.S. Small Cap Series (ITC) The Japanese Small Company Series (ITC) The United Kingdom Small Company Series (ITC) The Pacific Rim Small Company Series (ITC) The Continental Small Company Series (ITC) At November 30, 2004, no one Global Fund owned more than 5% of any one Master Fund's total net assets. The financial statements of the Master Funds are included in this report and should be read in conjunction with the financial statements of the Global Funds. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operation during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Master Funds held by the Global Funds are valued at their respective daily net asset values where the Master Funds are organized as regulated investment companies for federal income tax purposes. The U.S. Large Company Series, The Japanese Small Company Series, The United Kingdom Small Company Series, The Pacific Rim Small Company Series and The Continental Small Company Series are organized as partnerships (the "Partnerships"). The Global Funds reflect their proportionate interest in the net assets of those corresponding Master Funds. 2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA 10 International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Trustees' Fees and Expenses. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Expenses directly attributable to a Global Fund are directly charged. Common expenses of the Trust or Global Funds are allocated using methods approved by the Board of Trustees, generally based on average net assets. The Global Large Company Series and The Global Small Company Series each accrue their respective share of income and expenses daily on their investment in their corresponding Partnerships. All of the net investment income and realized and unrealized gains and losses from the security transactions and foreign currency of the Partnerships are allocated pro-rata among its investors at the time of such determination. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Master Funds. The Global Funds are not subject to a management fee. The Advisor has agreed to waive its fees and to assume each Global Fund's expenses (including the expenses the Global Funds bear as a shareholder of their Master Funds) to the extent necessary to limit the expenses of each Global Fund to the following rates as a percentage of average net assets on an annualized basis: 0.375% for The Global Value Series; 0.25% for The Global Large Company Series; and 0.375% for The Global Small Company Series. At any time that the annualized expenses of a Global Fund are less than the rate listed above for such Global Fund on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Global Funds' annualized expenses to exceed the applicable percentage of average net assets as listed above. The Global Funds are not obligated to reimburse the Advisor for fees waived or expenses assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. The expense waiver shall remain in effect for a period of one year from April 1, 2004 to April 1, 2005, and shall continue in effect from year to year thereafter unless terminated by the Trust to the Advisor. At November 30, 2004, The Global Large Company Series had approximately $110,000 of previously waived fees subject to future reimbursement to the Advisor over various periods not exceeding November 30, 2007. Certain officers of the Global Funds are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At November 30, 2004, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The Global Value Series $ 2,038 The Global Large Company Series 1,019 The Global Small Company Series 2,541
E. FEDERAL INCOME TAXES: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either 11 temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in-capital, accumulated net realized gain or accumulated net investment income, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of November 30, 2004, primarily attributable to realized net foreign currency gains/losses, net realized gains on the sale of securities deemed to be "passive foreign investment companies", a recharacterization of distributions and a return of capital which for tax purposes, are not available to offset future income, were reclassified to the following accounts (amounts in thousands):
INCREASE INCREASE INCREASE (DECREASE) UNDISTRIBUTED (DECREASE) ACCUMULATED NET INVESTMENT PAID-IN CAPITAL NET REALIZED GAINS INCOME --------------- ------------------ -------------- The Global Value Series $ (23) $ 2 $ 21 The Global Small Company Series -- (60) 60
These reclassifications had no effect on net assets or net asset value per share. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- --------- -------- The Global Value Series 2004 $ 3,103 $ 21 $ 23 $ 3,147 2003 609 12 -- 621 The Global Large Company Series 2004 1,517 -- -- 1,517 2003 327 -- -- 327 The Global Small Company Series 2004 3,444 4,547 -- 7,991 2003 465 -- -- 465
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. As of November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS ORDINARY LONG-TERM LOSS (ACCUMULATED INCOME CAPITAL GAINS CARRYFORWARD LOSSES) ------------- -------------- ------------ -------------- The Global Large Company Series $ 284 -- $ (1,617) $ (1,333) The Global Small Company Series 1,072 $ 2,864 -- 3,936
At November 30, 2004, The Global Value Series had no net distributable earnings. For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. At November 30, 2004, the following Portfolio had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ------------------------------------------- 2009 2010 2011 2012 TOTAL ------ ------ ------ ------ -------- The Global Large Company Series $ 508 $ 625 $ 484 -- $ 1,617
During the year ended November 30, 2004, The Global Large Company Series utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes of approximately $56,000. 12 Certain of the Master Fund's held by The Global Small Company Series investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. At November 30, 2004, the Global Small Company Series received unrealized appreciation/(depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $460,722 and $60,133, respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. At November 30, 2004, the total cost of securities and net realized gains or losses on securities sold for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ---------- ------------ ------------ -------------- The Global Value Series $ 128,265 $ 41,231 $ (114) $ 41,117 The Global Large Company Series 68,916 13,514 (526) 12,988 The Global Small Company Series 131,475 56,680 -- 56,680
F. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 28, 2005. For the year ended November 30, 2004, borrowings under the line were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- The Global Small Company Series 2.50% $ 1,200 1 -- $ 1,200
The Global Funds, together with other Dimensional-advised portfolios, have also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2005. There were no borrowings by the Global Funds under the line of credit with the international custodian bank during the year ended November 30, 2004. G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 13 REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE GLOBAL FUNDS, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The Global Value Series, The Global Large Company Series and The Global Small Company Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Global Funds") at November 30, 2004, and the results of each of their operations, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Global Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2004 by correspondence with the transfer agent of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 14, 2005 14 DISCLOSURE OF FUND EXPENSES The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholders reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated and may be different from the expense ratio in the Financial Highlights which is for the year ended November 30, 2004. FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING LARGE CAP INTERNATIONAL PORTFOLIO 6/1/04 11/30/04 RATIO PERIOD* - --------------------------------- ----------- ----------- ---------- --------- Actual Fund Return $ 1,000.00 $ 1,115.80 0.42% $ 2.22 Hypothetical 5% Return $ 1,000.00 $ 1,022.90 0.42% $ 2.12
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 15 DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete schedule of investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its first Form N-Q with the SEC on October 28, 2004. It is available upon request, without charge by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a schedule of investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. LARGE CAP INTERNATIONAL PORTFOLIO Financials 24.3% Consumer Discretionary 13.7 Telecommunication Service 10.7 Industrials 9.9 Consumer Staples 9.2 Health Care 7.9 Energy 7.6 Materials 6.2 Information Technology 5.8 Utilities 4.7 ----- 100.0% =====
16 LARGE CAP INTERNATIONAL PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ UNITED KINGDOM -- (25.0%) COMMON STOCKS -- (25.0%) 3I Group P.L.C. 46,952 $ 585,773 Aegis Group P.L.C. 93,242 182,719 Aggregate Industries P.L.C. 104,720 196,555 Aggreko P.L.C. 20,000 58,673 Alliance & Leicester P.L.C. 44,559 723,967 Alliance Unichem P.L.C. 43,529 597,341 Allied Domecq P.L.C. 99,591 982,477 Amec P.L.C. 25,720 145,549 Amvescap P.L.C. 76,167 466,752 Antofagasta P.L.C. 36,129 790,851 Arm Holdings P.L.C. 81,867 160,577 Arriva P.L.C. 14,532 136,103 Associated British Foods P.L.C. 146,022 2,086,545 Associated British Ports Holdings P.L.C. 25,743 231,285 Aviva P.L.C. 203,133 2,248,264 * AWG P.L.C. 11,429 164,322 BAA P.L.C. 96,397 1,072,142 BAE Systems P.L.C. 272,359 1,276,172 Balfour Beatty P.L.C. 37,925 218,392 * Banco Santander Central Hispano SA 123,926 1,476,973 Barclays P.L.C 578,648 5,973,195 Barratt Developments P.L.C. 21,581 212,006 BBA Group P.L.C. 37,724 208,672 Bellway P.L.C. 8,267 112,517 BG Group P.L.C. 314,523 2,182,913 BHP Billiton P.L.C. 219,665 2,568,553 BOC Group P.L.C. 37,915 678,021 Boots Group P.L.C. 66,631 803,308 Bovis Homes Group P.L.C. 9,923 95,634 BP Amoco P.L.C. 1,939,401 19,801,387 BPB P.L.C. 41,658 350,445 Bradford & Bingley P.L.C. 54,153 284,693 Brambles Industries P.L.C. 61,231 305,695 Britannic P.L.C. 16,713 132,632 * British Airways P.L.C. 172,376 727,955 British American Tobacco P.L.C. 255,395 4,271,985 British Land Co. P.L.C. 46,116 721,399 British Sky Broadcasting Group P.L.C. 262,879 2,797,272 Brixton P.L.C. 23,087 142,474 BT Group P.L.C. 769,136 2,851,302 * BTG P.L.C. 5,600 10,107 Bunzl P.L.C. 40,446 345,037 Cable and Wireless P.L.C. 214,979 465,650 Cadbury Schweppes P.L.C. 186,386 1,667,473
1 * Cairn Energy P.L.C. 13,970 400,420 Capita Group P.L.C. 56,097 382,506 Carnival P.L.C. 17,177 958,242 Carpetright P.L.C. 7,321 152,541 Carphone Warehouse Group P.L.C. 165,286 522,258 Cattles P.L.C. 24,078 170,796 Centrica P.L.C. 341,394 1,617,935 Close Brothers Group P.L.C. 12,926 176,271 Cobham P.L.C. 10,041 276,883 Collins Stewart Tullett P.L.C. 17,814 128,037 # * Colt Telecom Group P.L.C. 192,155 162,678 Compass Group P.L.C. 193,981 849,849 Computacenter P.L.C. 15,015 77,778 * Cookson Group P.L.C. 130,539 84,174 * Corus Group P.L.C. 416,523 437,442 Davis Service Group P.L.C. 15,000 113,027 De La Rue P.L.C. 12,250 78,779 Diageo P.L.C. 274,275 3,839,808 Dixons Group P.L.C. 163,689 455,391 * DX Services P.L.C. 7,451 43,013 * Easyjet P.L.C. 36,683 130,419 * Egg P.L.C. 85,213 151,434 Electrocomponents P.L.C. 39,172 219,538 Emap P.L.C. 21,906 334,421 EMI Group P.L.C. 66,242 306,101 Enterprise Inns P.L.C. 29,332 382,435 First Choice Holidays P.L.C. 47,135 124,248 Firstgroup P.L.C. 32,236 208,492 FKI P.L.C. 52,392 132,803 Friends Provident P.L.C. 174,880 511,884 Galen Holdings P.L.C. 19,774 322,169 Gallaher Group P.L.C. 58,907 817,044 General Electric Co. 22,898 812,884 GKN P.L.C. 59,254 255,179 Glaxosmithkline P.L.C. 529,804 11,187,938 Great Portland Estates P.L.C. 11,008 67,384 Great Universal Stores P.L.C. 90,428 1,510,004 Greene King P.L.C. 6,207 141,558 Group 4 Securicor P.L.C. 35,700 86,324 Hammerson P.L.C. 23,689 360,600 Hanson P.L.C. 65,755 526,641 Hays P.L.C. 149,028 344,694 HBOS P.L.C. 353,018 4,941,130 * HHG P.L.C. 284,569 263,690 Hilton Group P.L.C. 137,265 677,685 HMV Group P.L.C. 37,627 171,742 HSBC Holdings P.L.C. 1,004,745 17,100,587 ICAP P.L.C. 64,402 294,656 IMI P.L.C. 28,268 204,686 Imperial Chemical Industries P.L.C. 102,443 463,256 Imperial Tobacco Group P.L.C. 65,628 1,708,726 Inchcape P.L.C. 6,503 203,225 Intercontinental Hotels Group P.L.C. 62,907 800,104 * International Power P.L.C. 124,618 361,057
2 Intertek Group P.L.C. 12,740 171,655 * Invensys P.L.C. 477,720 159,418 ISIS Asset Management P.L.C. 13,005 59,032 Isoft Group P.L.C. 19,129 140,866 ITV P.L.C. 285,888 599,345 * ITV P.L.C. Convertible Shares 7,428 5,719 Jardine Lloyd Thompson Group P.L.C. 21,550 148,274 Johnson Matthey P.L.C. 18,527 358,590 Johnston Press P.L.C. 31,946 317,163 Kelda Group P.L.C. 31,723 326,878 Kesa Electricals P.L.C. 42,893 221,610 Kidde P.L.C. 70,354 203,953 Kingfisher P.L.C. 206,486 1,136,264 Land Securities Group P.L.C. 42,028 1,031,812 Legal and General Group P.L.C. 585,408 1,187,760 Liberty International P.L.C. 35,763 605,652 Lloyds TSB Group P.L.C. 503,639 4,052,436 Logicacmg P.L.C. 33,214 116,733 Lonmin P.L.C. 12,745 226,698 Man Group P.L.C. 30,486 868,673 Manchester United P.L.C. 24,899 131,113 * Marconi Corp. P.L.C. 15,946 173,958 Marks & Spencer Group P.L.C. 204,766 1,284,078 Matalan P.L.C. 45,690 188,110 Meggitt P.L.C. 38,514 188,079 MFI Furniture Group P.L.C. 52,153 115,547 Millennium and Copthorne Hotels P.L.C. 34,678 239,311 Misys P.L.C. 43,945 177,943 Mitchells & Butlers P.L.C. 47,001 271,761 * MM02 P.L.C. 613,859 1,341,919 Morrison (Wm.) Supermarkets P.L.C. 260,564 1,120,658 # * My Travel Group P.L.C. 22,000 2,179 National Express Group P.L.C. 11,282 162,562 National Grid Group P.L.C. 274,854 2,507,261 Next P.L.C. 23,652 724,776 Northern Foods P.L.C. 37,322 120,022 Northern Rock P.L.C. 37,910 525,216 Novar P.L.C. 31,464 97,616 Ocean Group P.L.C. 25,388 358,548 Pearson P.L.C. 70,072 820,943 Peninsular & Oriental Steam Navigation P.L.C. 61,993 356,817 Pennon Group P.L.C. 11,263 190,858 Persimmon P.L.C. 25,202 298,121 Pilkington P.L.C. 135,509 277,415 Premier Farnell P.L.C. 30,487 119,069 Provident Financial P.L.C. 17,113 200,851 Prudential Corp. P.L.C. 205,649 1,639,824 Punch Taverns, Ltd. 22,497 258,722 RAC P.L.C. 8,737 101,852 Rank Group P.L.C. 50,895 294,870 Reckitt Benckiser P.L.C. 76,646 2,260,446 Reed International P.L.C. 113,329 1,038,785 * Regus Group P.L.C. 81,196 135,303 Rentokill Initial P.L.C. 155,669 422,320
3 Reuters Holdings Group P.L.C. 129,002 944,752 Rexam P.L.C. 47,152 408,161 Rio Tinto P.L.C. 96,107 2,808,220 RMC Group P.L.C. 20,763 332,762 * Rolls Royce Group P.L.C. 168,596 847,458 Rolls Royce Group P.L.C. 5,115,570 10,394 Royal & Sun Alliance Insurance Group P.L.C. 247,136 348,127 Royal Bank of Scotland Group P.L.C. 298,894 9,185,180 Sabmiller P.L.C. 110,237 1,855,163 Sage Group P.L.C. 109,811 404,796 Sainsbury (J.) P.L.C. 184,397 919,498 Schroders P.L.C. 29,776 389,521 Scottish & Newcastle P.L.C. 86,628 709,872 Scottish Hydro-Electric P.L.C. 76,173 1,198,194 Scottish Power P.L.C. 167,716 1,239,234 Serco Group P.L.C. 32,875 140,220 Severn Trent P.L.C. 31,121 528,888 Shell Transport & Trading Co., P.L.C. 866,241 7,303,870 Shire Pharmaceuticals Group P.L.C. 43,525 436,266 Signet Group P.L.C. 147,808 295,836 Slough Estates P.L.C. 37,702 347,469 Smith & Nephew P.L.C. 84,200 858,158 Smith (WH) P.L.C. 13,348 76,058 Smiths Industries P.L.C. 48,645 711,667 Somerfield P.L.C. 37,078 108,189 * Spirent P.L.C. 72,279 98,447 SSL International P.L.C. 12,000 64,780 Stagecoach Group P.L.C. 108,619 198,613 Standard Chartered P.L.C. 116,062 2,220,679 T&F Informa Group P.L.C. 24,165 175,833 Tate & Lyle P.L.C. 49,954 469,338 Taylor Nelson AGB P.L.C. 36,013 158,258 Taylor Woodrow P.L.C. 50,079 222,231 Tesco P.L.C. 695,328 4,005,309 * The Berkeley Group Holdings P.L.C. 10,535 239,839 * TI Automotive P.L.C. Series A 18,000 0 Tomkins P.L.C. 65,951 311,535 Travis Perkins P.L.C. 9,938 266,893 Trinity Mirror P.L.C. 25,136 299,260 Tullow Oil P.L.C. 54,536 152,878 Unilever P.L.C. 275,469 2,526,698 United Business Media P.L.C. 28,216 259,298 United Utilities P.L.C. 69,034 741,630 Viridian Group P.L.C. 10,986 149,932 Vodafone Group P.L.C. 5,950,041 16,161,689 Whitbread P.L.C. 25,553 389,641 William Hill P.L.C. 33,441 332,575 Wilson Bowden P.L.C. 11,416 217,207 Wimpey (George) P.L.C. 35,083 239,175 Wolseley P.L.C. 52,657 905,048 WPP Group P.L.C. 111,318 1,225,698 Xstrata P.L.C. 90,088 1,600,289 Yell Group P.L.C. 59,917 495,429 Zeneca Group P.L.C. 149,327 5,859,854 ------------------ TOTAL COMMON STOCKS (Cost $182,697,365) 221,045,716 ------------------
4 INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 298,947 ------------------ (Cost $291,096) TOTAL -- UNITED KINGDOM (Cost $182,988,461) 221,344,663 ------------------ JAPAN -- (21.5%) COMMON STOCKS -- (21.5%) Acom Co., Ltd. 7,500 562,687 Aderans Co., Ltd. 1,900 41,831 Advantest Corp. 6,970 516,912 AEON Co., Ltd. 46,800 788,032 Aeon Credit Service, Ltd. 2,700 193,470 Aiful Corp. 6,600 746,473 AIOI Insurance Co., Ltd. 54,000 238,331 Air Water, Inc. 5,000 34,157 Aisin Seiki Co., Ltd. 25,600 550,173 Ajinomoto Co., Inc. 36,000 407,327 Alfresa Holdings Corp. 1,800 62,002 # All Nippon Airways Co., Ltd. 173,000 601,096 # Alps Electric Co., Ltd. 9,000 130,977 Amada Co., Ltd. 22,000 110,745 Amano Corp. 3,000 27,318 Anritsu Corp. 6,000 43,838 Aoyama Trading Co., Ltd. 3,400 83,908 Ariake Japan Co., Ltd. 1,210 29,267 Arisawa Manufacturing Co., Ltd. 1,400 58,397 Asahi Breweries, Ltd. 33,200 392,032 Asahi Denka Kogyo KK 2,000 19,278 Asahi Glass Co., Ltd. 91,000 995,636 Asahi Kasei Corp. 83,000 408,507 Asatsu-Dk, Inc. 2,600 75,854 * Ashikaga Financial Group, Inc. 41,000 399 Autobacs Seven Co., Ltd. 1,800 52,537 Avex, Inc. 1,000 10,504 Awa Bank, Ltd. 10,000 60,859 Bandai Co., Ltd. 5,000 101,828 Bank of Ikeda, Ltd. 600 30,872 Bank of Iwate, Ltd. 600 27,802 Bank of Kyoto, Ltd. 20,000 167,276 Bank of Nagoya, Ltd. 6,000 30,959 Bank of Yokohama, Ltd. 84,000 529,470 Benesse Corp. 7,700 246,066 Bosch Automotive Systems Corp. 25,000 117,601 Bridgestone Corp. 59,000 1,066,852 Brother Industries, Ltd. 13,000 104,028 Calsonic Corp. 11,000 75,484 Canon, Inc. 50,000 2,499,484
5 Capcom Co., Ltd. 2,000 18,982 Casio Computer Co., Ltd. 18,000 246,546 Central Glass Co., Ltd. 10,000 68,201 Central Japan Railway Co. 246 2,009,321 Chiba Bank, Ltd. 49,000 311,008 * Chiyoda Corp. 8,000 56,280 Chubu Electric Power Co., Ltd. 42,900 1,000,800 Chudenko Corp. 1,300 18,810 Chugai Pharmaceutical Co., Ltd. 52,600 825,318 Chugoku Bank, Ltd. 13,000 141,899 Chugoku Electric Power Co., Ltd. 24,100 440,432 * Circle K Sunkus Co., Ltd. 5,100 116,591 Citizen Watch Co., Ltd. 18,000 162,919 Coca-Cola West Japan Co., Ltd. 4,600 114,503 Comsys Holdings Corp. 5,000 42,957 Cosmo Oil Co., Ltd. 37,000 107,400 * Cosmo Securities Co., Ltd. 13,000 23,530 Credit Saison Co., Ltd. 10,600 355,961 CSK Corp. 4,200 175,076 Dai Nippon Ink & Chemicals, Inc. 37,000 83,615 Dai Nippon Pharmaceutical Co., Ltd. 7,000 67,321 Dai Nippon Printing Co., Ltd. 46,000 686,403 # Dai Nippon Screen Mfg. Co., Ltd. 11,000 59,974 Daicel Chemical Industries, Ltd. 19,000 105,143 Daido Steel Co., Ltd. 20,000 54,720 * Daiei OMC, Inc. 6,000 69,979 # * Daiei, Inc. 20,000 39,743 Daifuku Co., Ltd. 3,000 17,740 Daihatsu Motor Co., Ltd. 28,000 215,131 Dai-Ichi Pharmaceutical Co., Ltd. 16,400 325,944 Daikin Industries, Ltd. 17,000 448,601 Daimaru, Inc. 16,000 133,972 Daio Paper Corp. 5,000 45,167 Daishi Bank, Ltd. 16,000 61,062 Daito Trust Construction Co., Ltd. 9,800 442,737 Daiwa House Industry Co., Ltd. 30,000 321,951 Daiwa Securities Co., Ltd. 74,000 503,512 Denki Kagaku Kogyo KK 22,000 71,179 Denso Corp. 76,400 1,826,391 Dentsu, Inc. 242 661,871 * Diamond City Co., Ltd. 300 7,765 Disco Corp. 1,100 44,655 Don Quijote Co., Ltd. 900 56,372 Dowa Mining Co., Ltd. 16,000 103,997 East Japan Railway Co. 247 1,356,397 Ebara Corp. 13,000 57,839 Edion Corp. 2,300 20,577 Elsai Co., Ltd. 18,600 553,771 Eneserve Corp. 700 26,063 Exedy Corp. 1,700 29,824 Ezaki Glico Co., Ltd. 6,000 42,224 Familymart Co., Ltd. 6,000 167,384 Fanuc, Ltd. 20,200 1,257,558 Fast Retailing Co., Ltd. 9,800 736,459
6 Fuji Electric Co., Ltd. 40,000 103,254 Fuji Heavy Industries 50,000 230,935 Fuji Oil Co., Ltd. 3,900 45,854 Fuji Photo Film Co., Ltd. 30,000 1,053,515 Fuji Soft ABC, Inc. 1,800 56,424 Fuji Television Network, Inc. 252 532,869 Fujikura, Ltd. 17,000 76,211 Fujisawa Pharmaceutical Co., Ltd. 20,500 529,391 Fujitsu, Ltd. 127,440 798,387 Fukui Bank, Ltd. 7,000 28,428 Fukuoka Bank, Ltd. 35,000 221,708 Fukuyama Transporting Co., Ltd. 11,000 43,458 Funai Electric Co., Ltd. 2,500 311,137 * Furukawa Electric Co., Ltd. 30,000 148,123 Futaba Industrial Co., Ltd. 2,900 47,037 Glory, Ltd. 3,200 50,043 Goldcrest Co., Ltd. 300 20,411 Gunma Bank, Ltd. 31,000 162,134 Gunze, Ltd. 8,000 34,873 Hachijuni Bank, Ltd. 30,000 197,892 Hamamatsu Photonics K.K. 2,900 55,536 * Hankyu Corp. 52,000 200,870 Hankyu Department Stores, Inc. 10,000 76,361 Hanshin Electric Railway Co., Ltd. 14,000 46,089 Heiwa Corp. 5,200 77,809 Higo Bank, Ltd. 14,000 88,256 Hikari Tsushin, Inc. 3,800 323,065 # Hino Motors, Ltd. 53,000 351,034 Hirose Electric Co., Ltd. 2,400 253,270 Hiroshima Bank, Ltd. 34,000 167,125 * Hisamitsu Pharmaceutical Co., Inc. 4,000 72,874 Hitachi Cable, Ltd. 18,000 75,955 Hitachi Chemical Co., Ltd. 16,200 279,275 # Hitachi Construction Machinery Co., Ltd. 10,000 123,688 Hitachi High-Technologies Corp. 8,300 115,071 Hitachi Information Systems, Ltd. 1,800 48,121 Hitachi Maxell, Ltd. 3,700 50,229 Hitachi Metals, Ltd. 21,000 119,090 Hitachi Software Engineering Co., Ltd. 3,000 61,693 Hitachi Transport System, Ltd. 1,000 8,407 * Hitachi Zosen Corp. 20,000 29,495 Hitachi, Ltd. 198,000 1,271,915 Hokkaido Electric Power Co., Inc. 13,700 260,562 Hokkoku Bank, Ltd. 16,000 71,001 Hokuetsu Paper Mills, Ltd. 4,000 21,650 Hokugin Financial Group, Inc. 74,000 190,217 Hokuriku Electric Power Co., Inc. 14,100 252,158 Honda Motor Co., Ltd. 62,300 2,980,713 Hosiden Corp. 1,900 19,593 House Foods Corp. 5,600 79,708 Hoya Corp. 6,500 675,548 Hyakugo Bank, Ltd. 11,000 62,899 Hyakujishi Bank, Ltd. 19,000 111,618 # Ibiden Co., Ltd. 6,200 105,677
7 Isetan Co., Ltd. 12,300 143,045 Ishihara Sangyo Kaisha, Ltd. 12,000 26,881 * Ishikawajima-Harima Heavy Industries Co., Ltd. 58,000 78,915 # * Isuzu Motors, Ltd. 58,000 172,330 ITO EN, Ltd. 2,800 138,396 * Itochu Corp. 96,000 434,542 Itochu Techno-Science Corp. 4,200 169,981 Itoham Foods, Inc. 6,000 29,024 Ito-Yokado Co., Ltd. 27,000 1,066,481 Iyo Bank, Ltd. 18,000 131,344 Izumi Co., Ltd. 2,500 53,296 # * Japan Airlines System Corp. 242,000 686,043 Japan Airport Terminal Co., Ltd. 3,000 28,172 Japan Aviation Electronics Industry, Ltd. 4,000 36,737 JFE Holdings, Inc. 35,200 1,010,055 * JFE Shoji Holdings, Inc. 9,000 49,292 JGC Corp. 15,000 128,546 Joyo Bank, Ltd. 50,000 233,936 Jsr Corp., Tokyo 17,100 353,831 Juroku Bank, Ltd. 18,000 77,394 Kadokawa Holdings, Inc. 800 30,559 Kagoshima Bank, Ltd. 9,000 54,232 Kajima Corp. 59,000 255,007 # Kaken Pharmaceutical Co., Ltd. 3,000 18,857 Kamigumi Co., Ltd. 14,000 108,505 Kandenko Co., Ltd. 4,000 21,188 * Kanebo, Ltd. 1,900 22,605 Kaneka Corp. 21,000 230,135 # * Kankaku Securities Co., Ltd. 86,000 163,832 Kansai Electric Power Co., Inc. 66,700 1,295,111 Kansai Paint Co., Ltd., Osaka 16,000 96,491 Kao Corp. 33,000 793,724 Katokichi Co., Ltd. 2,000 37,690 Kawasaki Heavy Industries, Ltd. 67,000 100,861 Kawasaki Kisen Kaisha, Ltd. 35,000 233,855 KDDI Corp. 334 1,644,823 Keihin Corp. 2,600 36,331 # Keihin Electric Express Railway Co., Ltd. 29,000 171,251 Keio Electric Railway Co., Ltd. 34,000 190,778 Keisei Electric Railway Co., Ltd. 14,000 54,819 Keiyo Bank, Ltd. 2,000 7,105 Keyence Corp. 3,200 721,838 Kikkoman Corp. 9,000 82,042 Kinden Corp. 14,000 103,101 Kinki Nippon Railway Co., Ltd. 95,280 315,446 * Kirin Beverage Corp. 900 20,753 Kirin Brewery Co., Ltd. 70,000 670,302 Kissei Pharmaceutical Co., Ltd. 2,000 41,897 * Kobayashi Pharmaceutical Co., Ltd. 1,800 47,565 Kobe Steel, Ltd. 185,000 281,524 Koei Co., Ltd. 2,800 69,109 Koito Manufacturing Co., Ltd. 7,000 57,728 Kokuyo Co., Ltd. 6,000 68,848 Komatsu, Ltd. 55,000 373,371
8 Komeri Co., Ltd. 2,300 59,132 Komori Corp. 4,000 55,196 Konami Co., Ltd. 8,600 186,988 Konica Corp. 34,000 435,449 Kose Corp. 2,450 96,181 # Koyo Seiko Co. 13,000 164,775 Kubota Corp. 88,000 434,559 Kuraray Co., Ltd. 20,000 164,591 # Kuraya Sanseido, Inc. 11,300 104,884 Kurita Water Industries, Ltd. 7,000 97,115 Kyocera Corp. 11,500 806,354 KYORIN Pharmaceutical Co., Ltd. 4,000 57,104 Kyowa Exeo Corp. 5,000 44,031 Kyowa Hakko Kogyo Co., Ltd. 24,000 171,288 Kyushu Electric Power Co., Inc. 28,300 560,949 Lawson Inc. 8,100 291,510 # Lion Corp. 14,000 77,736 # Lopro Corp. 2,100 15,487 Mabuchi Motor Co., Ltd. 3,400 233,461 Makita Corp. 8,000 123,568 Marubeni Corp. 83,000 234,902 Marui Co., Ltd. 21,500 284,075 Maruichi Steel Tube, Ltd. 4,000 70,144 Matsumotokiyoshi Co., Ltd. 2,400 66,578 Matsushita Electric Industrial Co., Ltd. 145,188 2,155,397 Matsushita Electric Works, Ltd. 72,000 616,191 # Mazda Motor Corp. 89,000 273,017 Meiji Dairies Corp. 16,000 89,834 Meiji Seika Kaisha, Ltd. Tokyo 17,000 74,752 Meitec Corp. 1,800 63,268 Millea Holdings, Inc. 117 1,647,452 Minebea Co., Ltd. 18,000 72,238 Misumi Corp. 1,900 54,707 Mitsubishi Chemical Corp. 142,000 422,477 Mitsubishi Corp. 114,500 1,446,586 Mitsubishi Electric Corp. 136,000 665,279 Mitsubishi Estate Co., Ltd. 88,000 991,545 Mitsubishi Gas Chemical Co., Inc. 27,000 127,696 Mitsubishi Heavy Industries, Ltd. 201,000 575,209 Mitsubishi Logistics Corp. 7,000 65,040 Mitsubishi Materials Corp. 60,000 124,367 # * Mitsubishi Motors Corp. 168,000 180,831 # Mitsubishi Paper Mills, Ltd. 13,000 20,052 Mitsubishi Pharma Corp. 43,000 396,364 Mitsubishi Rayon Co., Ltd. 30,000 101,693 # Mitsubishi Securities Co., Ltd. 48,000 513,121 Mitsubishi Tokyo Financial Group, Inc. 491 4,643,233 Mitsui & Co., Ltd. 103,000 890,741 Mitsui Chemicals, Inc. 50,000 261,649 Mitsui Engineering and Shipbuilding Co., Ltd. 36,000 60,018 Mitsui Fudosan Co., Ltd. 41,000 477,474 Mitsui Marine & Fire Insurance Co., Ltd. 90,790 797,991 Mitsui Mining and Smelting Co., Ltd. 26,000 108,253 Mitsui O.S.K. Lines, Ltd. 79,000 489,076
9 Mitsui Trust Holdings 59,000 448,456 Mitsukoshi, Ltd. 23,000 110,067 Mitsumi Electric Co., Ltd. 3,700 40,854 Mizuho Holdings, Inc. 964 4,184,053 Mori Seiki Co., Ltd. 4,000 34,848 Morinaga Milk Industry Co., Ltd. 8,000 32,229 Murata Manufacturing Co., Ltd. 12,700 665,278 Musashino Bank, Ltd. 1,300 52,004 Nagase & Co., Ltd. 4,000 31,613 # Nagoya Railroad Co., Ltd. 40,000 138,724 Namco, Ltd. 4,400 54,011 Nanto Bank, Ltd. 15,000 72,509 NEC Corp. 116,000 638,833 NEC Fielding, Ltd. 2,700 51,482 NEC Soft, Ltd. 1,300 33,096 Net One Systems Co., Ltd. 26 105,973 NGK Insulators, Ltd. 22,000 182,513 NGK Spark Plug Co., Ltd. 14,000 136,256 NHK Spring Co., Ltd. 14,000 92,358 Nichicon Corp. 3,700 45,788 Nichii Gakkan Co. 1,760 59,941 Nichirei Corp. 13,000 48,448 Nidec Corp. 5,200 605,914 Nifco, Inc. 2,000 30,685 Nikko Cordial Corp. 130,000 646,268 Nikon Corp. 22,000 242,810 Nintendo Co., Ltd., Kyoto 10,400 1,255,949 Nippon Electric Glass Co., Ltd. 10,000 259,307 Nippon Express Co., Ltd. 70,000 329,336 Nippon Kayaku Co., Ltd. 9,000 49,174 Nippon Light Metal Co., Ltd. 24,000 62,546 Nippon Meat Packers, Inc., Osaka 14,000 180,909 Nippon Mining Holdings, Inc. 56,000 279,373 Nippon Mitsubishi Oil Corp. 90,000 590,662 Nippon Paint Co., Ltd. 8,000 32,130 Nippon Sanso Corp. 22,000 122,151 Nippon Sheet Glass Co., Ltd. 20,000 76,886 * Nippon Shinpan Co., Ltd. 13,000 45,973 Nippon Shokubai Co., Ltd. 9,000 73,880 Nippon Steel Corp. 414,000 1,018,376 Nippon Suisan Kaisha, Ltd. 13,000 42,393 Nippon System Development Co., Ltd. 900 16,181 Nippon Telegraph & Telephone Corp. 2,009 9,001,153 Nippon Television Network Corp. 2,070 299,228 Nippon Unipac Holding, Tokyo 68 306,740 Nippon Yusen KK 82,000 436,170 Nipponkoa Insurance Co., Ltd. 47,000 283,383 Nishimatsu Construction Co., Ltd. 10,000 31,361 Nishimatsuya Chain Co., Ltd. 800 29,367 Nishi-Nippon Bank, Ltd. 39,000 168,203 Nishi-Nippon Railroad Co., Ltd. 17,000 52,989 Nissan Chemical Industries, Ltd. 10,000 78,033 Nissan Motor Co., Ltd. 427,500 4,489,876 Nissan Shatai Co., Ltd. 3,000 23,487
10 Nissay Dowa General Insurance Co., Ltd. 25,000 116,599 Nisshin Seifun Group, Inc. 12,000 131,526 Nisshin Steel Co., Ltd. 52,000 123,920 Nisshinbo Industries, Inc. 9,000 61,514 * Nissho Iwai-Nichmen Holdings Corp. 10,000 42,018 Nissin Food Products Co., Ltd. 8,400 209,046 Nitto Denko Corp. 9,400 487,689 NOK Corp. 14,000 404,948 Nomura Research Institute, Ltd. 3,600 318,736 Nomura Securities Co., Ltd. 110,000 1,532,266 Noritake Co., Ltd. 4,000 16,382 NSK, Ltd. 28,000 130,019 NTN Corp. 22,000 121,892 NTT Data Corp. 293 867,745 NTT Docomo, Inc. 5,561 9,647,784 Obayashi Corp. 43,000 266,762 Obic Co., Ltd. 500 99,839 Odakyu Electric Railway Co., Ltd. 41,000 229,222 Ogaki Kyoritsu Bank, Ltd. 13,000 69,043 Oji Paper Co., Ltd. 69,000 392,622 Okamura Corp. 1,000 8,331 * Okasan Securities Co., Ltd. 8,000 42,558 * Oki Electric Industry Co., Ltd. 30,000 118,102 Okumura Corp. 11,000 60,598 Olympus Optical Co., Ltd. 15,000 288,771 Omron Corp. 14,600 333,021 Ono Pharmaceutical Co., Ltd. 7,800 412,609 Onward Kashiyama Co., Ltd. 10,000 135,784 Oracle Corp. Japan 16,200 808,569 * Orient Corp. 31,000 80,997 Oriental Land Co., Ltd. 9,400 606,853 Orix Corp. 4,260 541,418 Osaka Gas Co., Ltd. 143,000 436,380 OSG Corp. 4,000 46,239 * Otsuka Corp. 1,600 85,601 Paris Miki, Inc. 1,900 40,927 Park24 Co., Ltd. 1,500 28,068 * Park24 Co., Ltd. 1,500 27,112 Pioneer Electronic Corp. 10,100 188,836 Promise Co., Ltd. 6,500 453,464 Q.P. Corp. 6,000 52,584 Rengo Co., Ltd. 12,000 54,997 * Resona Holdings, Inc. 1,333,000 2,354,192 Ricoh Co., Ltd., Tokyo 43,000 759,915 Rinnai Corp. 3,000 75,606 Rohm Co., Ltd. 6,900 652,479 Round One Corp. 25 55,237 Ryoshoku, Ltd. 1,700 53,391 Sagami Railway Co., Ltd. 19,000 62,157 Saizeriya Co., Ltd. 1,300 22,534 San In Godo Bank, Ltd. 8,000 64,159 Sanden Corp. 7,000 41,371 Sanken Electric Co., Ltd. 6,000 75,647 Sankyo Co, Ltd. 8,100 364,462
11 Sankyo Co., Ltd. 26,300 514,345 * Sankyo Seiki Manufacturing Co., Ltd. 5,000 43,958 # Sanrio Co., Ltd. 3,000 27,079 Santen Pharmaceutical Co., Ltd. 4,100 79,827 Sanwa Shutter Corp. 10,000 55,804 Sanyo Electric Co., Ltd. 114,000 374,380 # Sapporo Breweries, Ltd. 19,000 82,043 Sapporo Hokuyo Holdings, Inc. 17 118,844 Secom Co., Ltd. 13,000 512,280 * Sega Sammy Holdings, Inc. 3,024 160,327 Seibu Railway Co., Ltd. 38,000 125,349 # Seiko Corp. 3,000 15,522 Seino Transportation Co., Ltd. 10,000 90,773 * Seiyu, Ltd. 28,000 66,647 Sekisui Chemical Co., Ltd. 35,000 229,164 Sekisui House, Ltd. 50,000 550,862 Seven-Eleven Japan Co., Ltd. 89,200 2,713,857 Seventy-seven (77) Bank, Ltd. 20,000 130,120 SFCG Co., Ltd. 870 214,135 Sharp Corp. Osaka 68,000 1,088,794 Shiga Bank, Ltd. 11,000 60,039 Shikoku Bank, Ltd. 9,000 51,607 Shikoku Electric Power Co., Inc. 16,200 307,208 Shima Seiki Manufacturing Co., Ltd. 1,500 49,365 Shimachu Co., Ltd. 2,200 52,194 Shimadzu Corp. 12,000 67,254 Shimamura Co., Ltd. 2,400 178,675 Shimano, Inc. 7,700 204,413 Shimizu Corp. 52,000 266,130 Shin-Etsu Chemical Co., Ltd. 26,200 1,012,355 Shinko Electric Industries Co., Ltd. 1,600 42,985 Shinko Securities Co., Ltd. 47,000 141,817 Shionogi & Co., Ltd. 21,000 282,357 Shiseido Co., Ltd. 27,000 371,811 Shizuoka Bank, Ltd. 45,000 395,292 Showa Corp. 2,300 26,877 Showa Denko KK 59,000 143,547 Showa Shell Sekiyu KK 35,100 315,579 Skylark Co., Ltd. 6,500 110,057 SMBC Friend Securities Co., Ltd. 16,500 114,249 SMC Corp. 4,700 516,437 * Snow Brand Milk Products Co., Ltd. 12,000 36,847 # Softbank Corp. 27,900 1,368,580 * Sohgo Security Services Co.,Ltd. 4,400 62,595 Sony Corp. 51,800 1,881,415 Square Enix Co., Ltd. 9,500 276,277 Stanley Electric Co., Ltd. 10,300 166,164 Sumisho Computer Systems Corp. 1,600 33,610 Sumitomo Bakelite Co., Ltd. 12,000 69,722 Sumitomo Chemical Co., Ltd. 106,000 527,156 Sumitomo Corp. 80,000 673,327 Sumitomo Corporation's Leasing, Ltd. 2,000 77,088 Sumitomo Electric Industries, Ltd. 44,000 460,008 Sumitomo Forestry Co., Ltd. 8,000 70,065
12 * Sumitomo Heavy Industries, Ltd. 31,000 101,181 Sumitomo Metal Industries, Ltd. Osaka 314,000 417,442 Sumitomo Metal Mining Co., Ltd. 30,000 224,287 # Sumitomo Mitsui Financial Group, Inc. 250 1,736,739 Sumitomo Osaka Cement Co., Ltd. 14,000 30,791 Sumitomo Real Estate Sales Co., Ltd. 1,200 52,792 Sumitomo Realty & Development Co., Ltd. 29,000 355,600 Sumitomo Rubber 16,000 134,637 Sumitomo Special Metals Co., Ltd. 3,000 51,030 Sumitomo Trust & Banking Co., Ltd. 113,000 752,809 Sundrug Co., Ltd. 200 6,226 Suruga Bank, Ltd. 12,000 92,681 Suzuken Co., Ltd. 6,980 164,067 Suzuki Motor Corp. 44,800 807,806 Sysmex Corp. 800 31,862 * T&D Holdings, Inc. 5,900 275,500 Taiheiyo Cement Corp. 45,000 112,452 Taisei Corp. 59,000 232,607 Taisho Pharmaceutical Co., Ltd. 30,000 576,708 Taiyo Yuden Co., Ltd. 5,000 50,828 Takara Shuzo Co., Ltd. 10,000 67,285 Takara Standard Co., Ltd. 5,000 29,512 Takashimaya Co., Ltd. 16,000 151,280 Takeda Chemical Industries, Ltd. 49,000 2,405,611 Takefuji Corp. 10,350 674,376 Takuma Co., Ltd. 2,000 14,512 # * TC Properties Co., Ltd. 61,900 165,064 TDK Corp. 7,500 535,713 Teijin, Ltd. 50,000 214,428 Teikoku Oil Co., Ltd. 16,000 86,847 Terumo Corp. 13,000 332,791 THK Co., Ltd. 5,800 105,635 TIS, Inc. 2,000 84,512 Tobu Railway Co., Ltd. 43,000 159,720 Toda Corp. 14,000 62,497 Toho Co., Ltd. 11,200 179,495 Toho Gas Co., Ltd. 29,000 93,558 Tohuku Electric Power Co., Inc. 30,600 543,206 Tokai Rika Co., Ltd. 4,000 62,655 Tokai Rubber Industries, Ltd. 4,000 52,054 Tokuyama Corp. 11,000 62,868 Tokyo Broadcasting System, Inc. 11,200 177,289 Tokyo Electric Power Co., Ltd 83,900 2,005,500 Tokyo Electron, Ltd. 10,100 552,672 Tokyo Gas Co., Ltd. 159,000 637,906 Tokyo Seimitsu Co., Ltd. 1,600 48,966 Tokyo Steel Manufacturing Co., Ltd. 10,100 164,687 Tokyo Style Co., Ltd. 4,000 44,712 Tokyo Tatemono Co., Ltd. 12,000 77,284 Tokyo Tomin Bank, Ltd. 1,300 27,175 # Tokyu Corp. 66,000 335,375 * Tokyu Land Corp. 20,000 70,580 * Tomen Corp. 35,000 49,853 TonenGeneral Sekiyu KK 24,000 222,738
13 Toppan Forms Co., Ltd. 3,500 41,754 Toppan Printing Co., Ltd. 43,000 446,257 Toray Industries, Inc. 85,000 373,404 Toshiba Corp. 187,000 792,413 Toshiba TEC Corp. 11,000 48,907 Tosoh Corp. 37,000 161,932 Tostem Inax Holding Corp. 20,740 365,944 Toto, Ltd. 22,000 196,114 Toyo Ink Manufacturing Co., Ltd. 7,000 24,752 Toyo Seikan Kaisha, Ltd. 13,300 216,780 Toyo Suisan Kaisha, Ltd. 5,000 64,509 Toyobo Co., Ltd. 37,000 83,336 Toyoda Gosei Co., Ltd. 10,100 189,925 Toyota Auto Body Co., Ltd. 3,700 60,839 Toyota Industries Corp. 15,300 351,715 Toyota Motor Credit Corp. 240,500 8,969,225 Toyota Tsusho Corp. 18,000 270,823 Trans Cosmos, Inc. 1,000 34,192 Trend Micro Inc. 9,500 495,626 Tsumura & Co. 2,000 30,486 * Ube Industries, Ltd. 37,000 60,279 UFJ Holdings, Inc. 356 1,879,090 UFJ Tsubasa Securities Co. Ltd. 36,000 153,023 Uni-Charm Corp. 4,600 212,914 Uniden Corp. 3,000 62,805 Union Tool Co. 800 26,845 UNY Co., Ltd. 9,000 97,235 Ushio Inc. 7,000 128,035 USS Co., Ltd. 1,720 153,326 Victor Co. of Japan, Ltd. 16,000 110,089 Vodafone Holdings KK 94 259,216 Wacoal Corp. 7,000 78,608 World Co., Ltd. 2,000 68,976 Xebio Co., Ltd. 800 24,247 # * Yahoo Japan Corp. 535 2,456,711 Yakult Honsha Co., Ltd. 10,000 171,013 Yamada Denki Co., Ltd. 5,300 227,098 Yamaguchi Bank, Ltd. 10,000 101,468 Yamaha Corp. 12,700 178,689 Yamaha Motor Co., Ltd. 21,000 307,571 Yamanashi Chuo Bank, Ltd. 6,000 35,333 Yamanouchi Pharmaceutical Co., Ltd. 22,200 808,699 Yamato Transport Co., Ltd. 28,000 398,634 Yamazaki Baking Co., Ltd. 12,000 108,592 Yaskawa Electric Corp. 8,000 39,714 Yasuda Fire & Marine Insurance Co., Ltd. 66,000 631,052 Yasuda Trust & Banking Co., Ltd. 537,000 951,270 Yokogawa Electric Corp. 14,000 194,013 Yokohama Rubber Co., Ltd. 14,000 48,984 York-Benimaru Co., Ltd. 1,800 49,655 Zeon Corp. 11,000 88,269 ------------------ TOTAL COMMON STOCKS (Cost $192,887,012) 190,076,399 ------------------
14 INVESTMENT IN CURRENCY -- (0.0%) * Japanese Yen 199,927 ------------------ (Cost $199,536) TOTAL -- JAPAN (Cost $193,086,548) 190,276,326 ------------------ FRANCE -- (8.7%) COMMON STOCKS -- (8.7%) Accor SA 10,940 466,156 AGF (Assurances Generales de France SA) 13,925 957,165 Air France 22,821 432,120 Air Liquide SA 6,105 1,056,072 Air Liquide SA 11,393 1,939,666 * Alcatel SA 71,900 1,118,493 * Alstom SA 281,136 213,160 Arcelor SA 29,800 656,589 * Atos Origin 4,218 279,835 AXA 115,395 2,702,655 BNP Paribas SA 50,518 3,512,574 Bollore Technologies SA 203 83,479 # Bouygues 24,950 1,073,481 * Business Objects SA 5,500 128,402 * Cap Gemini SA 7,550 243,677 Carrefour 41,362 1,964,957 Casino Guichard Perrachon 9,368 720,456 Cie Generale D'Optique Essilor Intenational SA 5,570 380,889 Clarins SA 872 48,315 Compagnie de Saint-Gobain 19,436 1,105,765 Compagnie Francaise d'Etudes et de Construction Technip SA 1,790 299,780 Dassault Systemes SA 9,108 471,763 Dior (Christian) SA 15,908 1,000,977 Eiffage SA 1,860 185,575 Euler-Hermes SA 2,605 170,654 Faurecia SA 941 70,378 Fimalac SA 560 25,382 France Telecom SA 231,887 7,272,608 Gecina SA 4,698 443,851 Generale des Establissements Michelin SA Series B 8,009 462,976 Groupe Danone 15,284 1,363,887 Havas SA 17,517 96,799 Hermes International SA 3,784 695,523 Imerys SA 5,009 382,887 * JC Decaux SA 16,613 441,515 Klepierre SA 1,862 159,498 LaFarge SA 10,032 942,360 LaFarge SA Prime Fidelity 8,912 837,995 Lagardere S.C.A. SA 7,700 550,216 L'Oreal 61,197 4,426,234 # LVMH (Louis Vuitton Moet Hennessy) 42,323 3,010,993 Metropole Television SA 8,968 232,603 Neopost SA 1,118 80,550
15 NRJ Group 972 21,136 Pernod-Ricard SA 4,212 629,755 Peugeot SA 15,625 954,764 Pinault Printemps Redoute SA 9,480 985,080 Publicis Groupe 14,334 473,012 Remy Cointreau SA 1,518 56,188 Renault SA 19,269 1,577,550 Rexel SA 4,797 242,838 SA Des Galeries Lafayette 847 190,554 # Sagem SA 2,355 216,883 Sanofi Synthelabo 98,257 7,397,727 Schneider SA 12,889 896,130 * Scor SA 28,551 53,069 SEB SA Prime Fidelite 2002 953 96,356 SEB SA Prime Fidelity 990 100,655 Societe BIC SA 3,600 175,020 Societe des Ciments de Francais 737 64,710 Societe Generale d'Enterprise SA 4,640 575,035 Societe Generale Paris 27,434 2,649,448 Societe Television Francaise 1 16,369 521,540 Sodexho Alliance SA 10,509 319,761 Somfy Interational SA 134 28,293 Ste des Autoroutes du Sud de la France 24,266 1,194,017 Stmicroelectronics NV 53,696 1,076,875 Suez (ex Suez Lyonnaise des Eaux) 58,019 1,364,101 Thales SA 15,382 658,888 Thomson Multimedia 15,000 360,286 # Total SA 35,906 7,860,972 Unibail SA 2,500 355,705 Valeo SA 5,000 197,968 Veolia Environnement SA 27,698 872,989 * Vivendi Universal SA 59,936 1,766,224 Wendel Investissement 3,661 234,693 Zodiac SA 4,460 183,972 ------------------ TOTAL COMMON STOCKS (Cost $65,281,183) 77,061,104 ------------------ RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 2,377 2,654 * Havas SA Rights 10/06/04 3 1 ------------------ TOTAL RIGHTS/WARRANTS (Cost $4,469) 2,655 ------------------ TOTAL -- FRANCE (Cost $65,285,652) 77,063,759 ------------------ GERMANY -- (6.5%) COMMON STOCKS -- (6.5%) Aachener und Muenchener Beteiligungs AG 4,481 338,637 Adidas-Salomon AG 2,400 376,376 # * Aixtron AG 2,400 10,739
16 Allianz AG 24,396 3,049,948 Altana AG 12,941 706,887 BASF AG 31,350 2,116,598 Bayer AG 41,798 1,326,335 Bayerische Motorenwerke AG 55,474 2,351,213 * Bayerische Vereinsbank AG 46,769 1,042,687 # Beiersdorf AG 11,217 1,211,198 * Commerzbank AG 38,604 771,714 Continental AG 7,400 451,691 * D. Logistics AG 1,200 2,156 DaimlerChrysler AG 60,804 2,721,154 Deutsche Bank AG 33,308 2,821,021 Deutsche Boerse AG 5,900 349,419 * Deutsche Lufthansa AG 40,705 577,101 Deutsche Post AG 125,745 2,657,116 * Deutsche Telekom AG 345,063 7,314,158 Douglas Holding AG 1,500 49,631 E.ON AG 39,605 3,335,162 * Epcos AG 2,800 44,462 Fraport AG 7,360 286,738 * Freenet.De AG 2,562 55,350 Fresenius Medical Care AG 6,183 483,956 Gehe AG 8,880 680,189 Hannover Rueckversicherungs AG 11,051 399,244 * Heidelberger Druckmaschinen AG 5,055 172,796 Heidelberger Zement AG 7,569 429,523 Hochtief AG 3,334 99,017 * Hypo Real Estate Holding AG 6,387 247,354 * Infineon Technologies AG 43,704 482,220 K & S Aktiengesellschaft AG 1,904 96,985 # Karstadt Quelle AG 7,555 77,608 Linde AG 9,032 554,943 MAN AG 9,287 352,782 Medion AG 2,850 57,797 Merck KGAA 2,700 155,468 Metro AG 34,133 1,721,613 * MG Technologies AG 11,945 141,075 Munchener Rueckversicherungs-Gesellschaft AG 15,448 1,753,465 Oldenburgische Landesbank AG 969 83,710 Preussag AG 11,487 256,051 Puma AG 800 221,410 Rwe AG (Neu) 800 36,333 Rwe AG (NEU) Series A 34,998 1,860,654 SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 24,232 4,318,997 Schering AG 11,250 800,567 Schwarz Pharma AG 793 32,910 * SGL Carbon AG 1,750 23,004 Siemens AG 49,807 3,982,772 Stada Arzneimittel AG 2,242 59,057 Suedzucker AG 14,706 297,085 ThyssenKrupp AG 40,548 881,054 # * T-Online International AG 143,382 1,787,714 United Internet AG 1,321 34,588
17 Volkswagen AG 22,746 1,023,261 * WCM Beteiligungs AG 11,608 20,215 ------------------ TOTAL COMMON STOCKS (Cost $55,106,838) 57,592,908 ------------------ RIGHTS/WARRANTS -- (0.0%) * D. Logistics AG Rights 12/06/04 1,200 0 * Karstadt Quelle AG Rights 12/09/04 7,555 17,973 ------------------ TOTAL RIGHTS/WARRANTS (Cost $45,433) 17,973 ------------------ TOTAL -- GERMANY (Cost $55,152,271) 57,610,881 ------------------ SWITZERLAND -- (6.4%) COMMON STOCKS -- (6.4%) * ABB, Ltd. 157,197 971,992 * Actelion, Ltd. 1,600 147,516 Adecco SA 17,501 872,001 Baloise-Holding 3,300 138,723 BKW FMB Energie AG 366 221,983 * Ciba Spezialitaetenchemie Holding AG 4,921 356,150 Cie Financiere Richemont AG Series A 46,023 1,400,674 Clariant AG 15,571 242,380 * Credit Swisse Group 85,965 3,356,007 * Fischer (Georg) AG, Schaffhausen 145 37,434 * Forbo Holding AG, Eglisau 102 28,506 Geberit AG 314 221,563 # Givaudan SA 573 378,739 Holcim, Ltd. 19,499 1,116,719 Julius Baer Holding AG 610 180,171 * Kudelski SA 3,084 115,812 Kuehne & Nagel International AG 2,432 502,031 Kuoni Reisen Holding AG 180 76,391 * Lindt & Spruengli AG 10 138,681 * Logitech International SA 3,319 195,481 Lonza Group AG 2,970 160,546 Nestle SA, Cham und Vevey 27,965 7,172,044 Nobel Biocare Holding AG 1,832 329,027 Novartis AG 224,186 10,739,760 Phonak Holding AG 4,487 141,590 Publicitas Holding SA, Lausanne 104 30,346 Roche Holding AG Bearer 22,718 2,731,796 Roche Holding AG Genusschein 48,507 5,099,484 Schindler Holding AG 210 74,488 Schindler Holding AG 1,545 573,409 Serono SA 1,342 862,666 Societe Generale de Surveillance Holding SA 853 569,579 Straumann Holding AG 1,706 371,643 Sulzer AG, Winterthur 165 62,676 Swatch Group AG 2,692 370,743
18 * Swiss Life AG 2,440 320,491 Swiss Reinsurance Co., Zurich 22,251 1,486,284 Swisscom AG 9,343 3,665,909 * Syngenta AG 8,013 848,999 # Synthes, Inc. 10,130 1,096,571 Tecan Group AG 627 17,101 The Swatch Group AG 18,164 511,285 UBS AG 82,427 6,671,650 Unaxis Holding AG 912 96,360 Valora Holding AG 209 50,654 * Zurich Financial SVCS AG 9,902 1,523,599 ------------------ TOTAL COMMON STOCKS (Cost $43,337,301) 56,277,654 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs 5,297 ------------------ (Cost $4,989) TOTAL -- SWITZERLAND (Cost $43,342,290) 56,282,951 ------------------ AUSTRALIA -- (4.9%) COMMON STOCKS -- (4.9%) Amcor, Ltd. 62,654 359,118 AMP, Ltd. 133,761 710,464 Ansell, Ltd. 12,403 87,916 APN News & Media, Ltd. 41,988 161,982 Aristocrat Leisure, Ltd. 46,013 313,576 # Australand Property Group 52,535 73,923 Australia & New Zealand Banking Group, Ltd. 129,724 2,015,012 Australian Gas Light Co. 31,475 315,349 Australian Stock Exchange, Ltd. 5,600 81,069 AWB, Ltd. 24,478 89,984 AXA Asia Pacific Holdings, Ltd. 209,778 648,845 Bendigo Bank, Ltd. 9,782 74,530 BHP Billiton, Ltd. 270,644 3,220,842 Billabong International, Ltd. 17,806 156,788 Bluescope Steel, Ltd. 51,941 337,441 Boral, Ltd. 37,282 198,459 # Brambles Industries, Ltd. 66,718 362,947 Brickworks, Ltd. 9,442 83,880 * Burns, Philp & Co., Ltd. 147,539 101,408 Caltex Australia, Ltd. 26,353 186,803 Coca-Cola Amatil, Ltd. 36,194 208,355 Cochlear, Ltd. 3,100 56,436 Coles Myer, Ltd. 97,052 751,829 Commonwealth Bank of Australia 91,033 2,211,119 Computershare, Ltd. 43,658 180,523 CSL, Ltd. 14,077 289,251 CSR, Ltd. 55,115 109,577 Davids Limited 40,676 95,044 * DB RREEF Trust 41,649 42,333
19 DCA Group, Ltd. 31,921 82,888 Flight Centre, Ltd. 6,023 88,254 Foodland Associates, Ltd. 8,315 123,624 Foster's Group, Ltd. 154,407 644,649 Futuris Corp., Ltd. 43,199 70,492 General Property Trust 75,385 212,503 Gunns, Ltd. 19,636 63,791 * Hardman Resources NL 33,188 46,001 Harvey Norman Holdings, Ltd. 117,677 291,746 Iluka Resources, Ltd. 15,365 69,447 Insurance Australiz Group, Ltd. 122,975 554,475 James Hardies Industries NL 30,184 135,464 John Fairfax Holdings, Ltd. 66,952 220,276 Leighton Holdings, Ltd. 27,547 233,226 Lend Lease Corp., Ltd. 31,264 293,926 Lion Nathan, Ltd. 59,221 363,929 Macquarie Bank, Ltd. 14,837 503,780 Macquarie Infrastructure Group 70,403 215,469 Mayne Group, Ltd. 50,338 165,803 Mirvac, Ltd. 48,721 178,017 National Australia Bank, Ltd. 111,633 2,427,068 National Foods, Ltd. 17,881 79,073 Newcrest Mining, Ltd. 21,650 290,343 # * News Corp., Ltd. Series A Non-Voting 166,691 2,929,441 # * News Corp., Ltd. Series B Non-Voting 94,644 1,705,873 Onesteel, Ltd. 37,637 71,782 Orica, Ltd. 17,929 271,126 Origin Energy, Ltd. 46,773 254,342 * Oxiana, Ltd. 52,556 42,322 Paperlinx, Ltd. 29,331 105,400 Patrick Corp., Ltd. 43,910 212,941 Perpetual Trustees Australia, Ltd. 2,758 118,269 Publishing and Broadcasting, Ltd. 102,917 1,242,657 QBE Insurance Group, Ltd. 51,938 559,533 Quantas Airways, Ltd. 300,059 829,343 Rinker Group, Ltd. 67,094 497,752 Rio Tinto, Ltd. 35,766 1,085,002 Rural Press, Ltd. 5,203 40,488 Santos, Ltd. 38,543 264,022 * Scigen 11,443 530 Sigma Co., Ltd. 7,216 52,017 Sims Group, Ltd. 4,645 64,077 Sonic Healthcare, Ltd. 20,706 179,131 * Sons of Gwalia, Ltd. 7,201 7,263 * Southcorp, Ltd. 49,137 138,537 St. George Bank, Ltd. 36,194 676,745 Stockland Trust Group 32,130 146,057 * Stockland Trust Group 1,139 5,161 Suncorp-Metway, Ltd. 37,690 502,373 Tab Queensland, Ltd. 8,003 69,627 Tabcorp Holdings, Ltd. 35,912 468,796 Telstra Corp., Ltd. 938,916 3,582,619 Ten Network Holdings, Ltd. 28,370 93,273 Toll Holdings, Ltd. 27,580 256,429
20 Transurban Group 33,115 164,335 Washington H. Soul Pattinson & Co., Ltd. 15,297 119,395 Wesfarmers, Ltd. 26,721 787,987 West Australian Newspapers Holdings, Ltd. 10,881 71,473 * Westfield Group Stapled 37,972 464,033 Westpac Banking Corp. 129,564 1,855,796 WMC Resources, Ltd. 77,964 432,230 WMC, Ltd. 83,592 375,193 Woodside Petroleum, Ltd. 66,316 1,067,904 Woolworths, Ltd. 72,922 845,423 ------------------ TOTAL COMMON STOCKS (Cost $28,774,410) 43,535,744 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar 7,111 ------------------ (Cost $7,110) TOTAL -- AUSTRALIA (Cost $28,781,520) 43,542,855 ------------------ NETHERLANDS -- (4.5%) COMMON STOCKS -- (4.5%) ABN AMRO Holding NV 141,230 3,467,723 Aegon NV 135,467 1,674,909 AKZO Nobel NV 23,694 979,752 Buhrmann NV 6,020 53,780 DSM NV 9,841 592,748 Elsevier NV 61,185 819,835 * Getronics NV 27,590 58,276 * Hagemeyer NV 21,897 44,556 Heineken Holding NV Series A 38,238 1,098,557 Heineken NV 73,316 2,319,932 Hunter Douglas NV 4,740 238,937 IHC Caland NV 2,636 161,209 ING Groep NV 200,241 5,496,054 * Koninklijke Ahold NV 145,070 1,066,003 Koninklijke KPN NV 236,971 2,055,891 Koninklijke Nedlloyd NV 3,487 176,939 Koninklijke Philips Electronics NV 103,969 2,679,376 * Norit NV 36,752 561,845 * Nutricia (Verenigde Bedrijven) NV 13,862 493,704 Oce NV 4,991 74,612 Randstad Holdings NV 18,661 717,312 Royal Dutch Petroleum Co., Den Haag 164,596 9,420,112 TNT Post Groep NV 55,843 1,464,227 Unilever NV 45,154 2,840,075 Vedior NV 15,338 257,545 VNU NV 20,878 629,916 Wolters Kluwer NV 24,566 471,201 ------------------ TOTAL -- NETHERLANDS (Cost $38,150,496) 39,915,026 ------------------
21
SHARES VALUE+ ------------ ------------------ ITALY -- (3.7%) COMMON STOCKS -- (3.7%) Acea SpA 4,000 40,850 AEM SpA 80,507 176,067 * Alitalia Linee Aeree Italiane SpA Series A 50,000 17,156 Alleanza Assicurazioni SpA 43,804 540,175 Assicurazioni Generali SpA, Trieste 58,514 1,803,191 * Autogrill SpA, Novara 11,752 183,476 * Autostade SpA 34,491 840,703 * Banca Antoniana Popolare Veneta SpA 10,835 259,153 Banca Fideuram SpA 55,773 275,113 Banca Monte Dei Paschi di Siena SpA 144,464 472,212 * Banca Nazionale del Lavoro SpA 137,108 335,442 Banca Popolare di Lodi Scarl 9,804 109,448 Banca Popolare di Milano 14,520 118,145 * Banco Popolare Bergamo SpA 10,779 212,361 Banco Popolare di Verona e Novara SpA 16,000 305,979 Benetton Group SpA 6,950 83,563 Bulgari SpA 13,000 148,680 Buzzi Unicem SpA 1,230 17,243 Capitalia SpA 100,360 393,726 Cassa di Risparmio di Firenze SpA 21,455 46,631 CIR SpA (Cie Industriale Riunite), Torino 11,019 27,634 Compagnia Assicuratrice Unipol SpA 19,148 84,745 Credito Emiliano SpA 8,048 71,155 Credito Italiano 327,819 1,808,423 Davide Campari - Milano SpA 450 27,261 # * E.Biscom SpA 1,997 120,309 # * Edison SpA 314,055 645,002 Eni SpA 198,578 4,884,948 # Ente Nazionale per L'Energia Elettrica SpA 452,621 4,039,039 # * Fiat SpA 39,286 290,987 * Finecogroup SpA 14,490 107,805 Finmeccanica SpA 385,000 329,489 # Gruppo Editoriale L'espresso SpA 16,000 88,835 * Hera SpA 22,062 60,711 Intesabci SpA 336,230 1,487,705 Italcementi SpA 6,680 101,025 * Lottomatica SpA 825 25,887 Luxottica Group SpA 35,496 691,482 Mediaset SpA 69,650 842,876 # Mediobanca SpA 34,000 492,230 Mediolanum SpA 37,338 258,985 Mondadori (Arnoldo) Editore SpA 10,500 112,684 Pirelli & Co. SpA 93,332 118,766 RAS SpA (Riunione Adriatica di Sicurta) 43,666 945,925 SAI SpA (Sta Assicuratrice Industriale), Torino 3,906 95,013 Saipem SpA 19,566 232,039 San Paolo-IMI SpA 73,708 1,011,720 Seat Pagine Gialle SpA 317,888 128,768 * Seat Pagine Gialle SpA, Torino 3,591 1,369
22 SNAM Rete Gas SpA 118,692 636,254 * SNIA SpA 9,248 3,128 Societe Cattolica di Assicurazoni Scarl SpA 1,523 67,055 * Sorin SpA 13,872 41,583 Telecom Italia Mobile SpA 571,039 3,787,601 Telecom Italia SpA 701,433 2,689,836 # * Tiscali SpA 13,000 52,659 ------------------ TOTAL COMMON STOCKS (Cost $26,329,229) 32,790,247 ------------------ PREFERRED STOCKS -- (0.0%) * Fiat SpA 3,000 14,931 ------------------ (Cost $43,047) RIGHTS/WARRANTS -- (0.0%) * Banca Nazionale del Lavoro SpA Rights 12/13/04 2 0 * Fiat SpA Warrants 01/31/07 1,677 267 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 267 ------------------ TOTAL -- ITALY (Cost $26,372,276) 32,805,445 ------------------ SPAIN -- (3.1%) COMMON STOCKS -- (3.1%) Acciona SA 4,613 361,956 Acerinox SA 14,000 205,479 Actividades de Construccion y Servicios SA 22,866 480,705 * Antena 3 Television 1,604 105,552 Autopistas Concesionaria Espanola SA 39,788 826,064 Banco Bilbao Vizcaya SA 182,100 2,989,787 Banco de Andalucia 655 61,439 Banco de Sabadell SA 13,811 310,080 Banco de Valencia SA 4,264 114,190 # Banco Pastor SA 1,281 41,817 Banco Popular Espanol SA, Madrid 14,722 929,280 # Banco Santander Central Hispanoamerica SA 271,784 3,260,357 # Bankinter SA 3,867 195,423 Cementos Portland SA 1,338 74,838 Cia Espanola de Petroleous SA 11,771 474,305 Compania de Distribucion Integral Logista SA 1,457 67,637 Coporacion Financiera Reunida SA 6,070 75,959 # Corporacion Mapfre Compania Internacional de Reaseguros SA 12,760 179,136 Ebro Puleva SA 5,728 73,749 Enagas SA 11,325 155,417 Endesa SA, Madrid 60,300 1,299,077 Fomento de Construcciones y Contratas SA 10,323 422,844 Gamesa Corporacion Tecnologica SA 9,072 119,773 Gas Natural SA, Buenos Aires 38,147 1,091,979 Grupo Ferrovial SA 10,223 493,626 Iberdrola SA 51,300 1,207,943
23 Iberia Lineas Aereas de Espana SA 57,296 186,824 Indra Sistemas SA 7,600 119,400 Industria de Diseno Textil SA 54,030 1,581,089 Metrovacesa SA 3,794 180,734 Promotora de Informaciones SA 15,383 316,607 Red Electrica de Espana SA 6,151 119,190 Repsol SA 75,700 1,844,536 Sociedad General de Aguas de Barcelona SA 6,253 117,046 # * Sogecable SA 6,528 277,344 Sol Melia SA 8,400 78,787 Tabacalera SA 15,900 649,349 Tele Pizza SA 7,000 13,786 Telefonica de Espana SA 282,457 4,958,032 Telefonica Publicidad e Informacion SA 23,179 189,323 Union Fenosa SA 19,200 494,672 Vallehermoso SA 18,082 276,754 # Zardoya Otis SA 12,720 319,969 Zeltia SA 10,500 76,809 ------------------ TOTAL COMMON STOCKS (Cost $18,449,606) 27,418,663 ------------------ RIGHTS/WARRANTS -- (0.0%) * Sociedad General de Aguas de Barcelona SA Rights 12/15/04 6,253 1,163 ------------------ (Cost $0) TOTAL -- SPAIN (Cost $18,449,606) 27,419,826 ------------------ SWEDEN -- (2.3%) COMMON STOCKS -- (2.3%) # * Ainax AB 1,922 76,260 Alfa Laval AB 7,600 119,338 Assa Abloy AB Series B 22,300 346,414 Atlas Copco AB Series A 9,300 409,381 Atlas Copco AB Series B 3,600 146,167 Axfood AB 3,550 112,988 Billerud AB 3,200 53,583 Castellum AB 2,200 76,424 Electrolux AB Series B 18,500 407,070 Eniro AB 8,200 80,418 Gambro AB Series A 17,800 230,682 Gambro AB Series B 5,200 65,278 Getinge AB 11,600 144,037 Hennes & Mauritz AB Series B 63,450 2,034,350 Hoganas AB Series B 1,300 33,660 Holmen AB Series B 5,100 178,120 * Lundin Petroleum AB 14,500 98,246 * Modern Times Group AB Series B 1,800 45,741 # Netcom AB Series B 9,250 363,510 Nordic Baltic Holdings AB 223,048 2,189,496 * OMHEX AB 6,500 82,107 Sandvik AB 17,400 703,858
24 # Scania AB 4,000 157,970 Scania AB Series B 5,400 212,960 Securitas AB Series B 22,300 353,317 Skandia Insurance AB 63,500 263,176 Skandinaviska Enskilda Banken Series A 56,300 1,071,570 Skanska AB Series B 22,500 264,525 SSAB Swedish Steel Series A 3,500 84,430 SSAB Swedish Steel Series B 1,400 33,167 Svenska Cellulosa AB Series B 13,300 554,257 Svenska Handelsbanken Series A 47,200 1,151,992 Svenska Kullagerfabriken AB Series A 2,300 98,006 Svenska Kullagerfabriken AB Series B 5,200 221,005 Swedish Match AB (Frueher Svenska Taendsticks AB) 20,400 230,753 Tele2 AB Series A 800 31,269 * Telefon AB L.M. Ericsson Series B 993,800 3,305,547 Telia AB 485,400 2,957,711 Tietoenator Corp. AB 3,400 104,752 Trelleborg AB Series B 4,200 69,538 Volvo AB Series A 10,100 397,646 Volvo AB Series B 22,800 929,285 Whilborg Fastigheter AB Class B 4,935 98,065 WM-Data AB Series B 8,500 19,347 ------------------ TOTAL -- SWEDEN (Cost $15,116,606) 20,607,416 ------------------ HONG KONG -- (1.7%) COMMON STOCKS -- (1.7%) ASM Pacific Technology, Ltd. 12,000 42,788 Bank of East Asia, Ltd. 65,749 206,373 Cathay Pacific Airways, Ltd. 207,000 366,121 Cheung Kong Holdings, Ltd. 110,600 1,063,470 Cheung Kong Infrastructure Holdings, Ltd. 109,000 312,758 China Merchants Holdings (International) Co., Ltd. 74,000 117,609 China Unicom, Ltd. 508,000 391,052 CLP Holdings, Ltd. 110,400 634,041 CNOOC, Ltd. 1,693,500 961,481 Dah Sing Banking Group, Ltd. 720 1,500 Dah Sing Financial Holdings, Ltd. 3,659 28,596 Esprit Holdings, Ltd. 54,541 299,505 Giordano International, Ltd. 40,000 25,155 Hang Lung Development Co., Ltd. 42,000 78,748 Hang Lung Properties, Ltd. 113,500 177,013 Hang Seng Bank, Ltd. 121,100 1,679,731 Henderson Investment, Ltd. 119,000 176,978 Henderson Land Development Co., Ltd. 105,000 545,157 Hong Kong and China Gas Co., Ltd. 230,000 473,342 Hong Kong Electric Holdings, Ltd. 99,707 446,753 Hong Kong Exchanges & Clearing, Ltd. 48,000 120,736 Hopewell Holdings, Ltd. 38,000 98,507 Hutchison Whampoa, Ltd. 241,500 2,151,542 Hysan Development Co., Ltd. 42,462 86,174
25 I-Cable Communications, Ltd. 9,854 3,893 Johnson Electric Holdings, Ltd. 168,000 162,844 Kerry Properties, Ltd. 18,255 39,093 Kingboard Chemical Holdings, Ltd. 12,000 26,118 Kowloon Motor Bus Holdings, Ltd. 7,200 35,349 Legend Group, Ltd. 248,000 85,795 Li & Fung, Ltd. 126,000 210,564 MTR Corp., Ltd. 154,985 246,735 New World Development Co., Ltd. 128,860 144,586 NWS Holdings Ltd. 27,000 39,503 PCCW, Ltd. 235,265 145,066 SCMP Group, Ltd. 39,198 16,348 # Shangri-La Asia, Ltd. 100,913 129,065 Sino Land Co., Ltd. 180,644 172,745 Smartone Telecommunications Holdings, Ltd. 23,000 23,927 Sung Hungkai Properties, Ltd. 129,706 1,284,068 Swire Pacific, Ltd. Series A 42,500 340,679 Techtronic Industries Co., Ltd. 56,000 112,029 Television Broadcasts, Ltd. 20,000 94,080 Texwinca Holdings, Ltd. 60,000 55,843 Wharf Holdings, Ltd. 128,542 457,140 Wheelock and Co., Ltd. 70,000 115,625 Wing Hang Bank, Ltd. 8,500 60,325 # Yue Yuen Industrial (Holdings), Ltd. 69,000 178,799 ------------------ TOTAL COMMON STOCKS (Cost $13,216,529) 14,665,349 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 9,402 ------------------ (Cost $9,405) TOTAL -- HONG KONG (Cost $13,225,934) 14,674,751 ------------------ FINLAND -- (1.4%) COMMON STOCKS -- (1.4%) Amer-Yhtymae Oyj Series A 1,500 79,568 * Elisa Communications Corp. 10,063 167,104 Fortum Oyj 98,888 1,713,455 KCI Konecranes International Oyj 700 32,423 * Kemira GrowHow Oyj 1,275 9,320 Kemira Oyj 6,000 83,048 Kesko Oyj 6,400 148,839 Kone Corp. 5,140 379,204 Metso Oyj 10,444 167,236 M-real Oyj Series B 9,000 58,663 Nokia Oyj 342,121 5,537,787 Nokian Renkaat Oyj 500 71,882 Orion-Yhtyma Oyj Series A 2,600 41,096 Orion-Yhtyma Oyj Series B 4,000 63,512 Outokumpu Oyj Series A 15,900 295,708 # Pohjola Group P.L.C. Series D 9,600 106,669
26 Rautaruukki Oyj Series K 8,700 104,976 Sampo Insurance Co., Ltd. 58,700 757,640 Sanoma-Wsoy Oyj Series A 1,391 31,137 Sanoma-Wsoy Oyj Series B 13,063 292,947 Stora Enso Oyj Series R 67,900 1,082,619 Tietoenator Corp. 4,300 132,928 Upm-Kymmene Oyj 45,800 1,033,004 Uponor Oyj Series A 4,600 84,169 Wartsila Corp. Oyj Series B 2,900 100,662 ------------------ TOTAL -- FINLAND (Cost $10,180,827) 12,575,596 ------------------ BELGIUM -- (1.1%) COMMON STOCKS -- (1.1%) AGFA-Gevaert NV, Mortsel 7,300 233,592 Algemene Mij Voor Nijverheidskredit Almanij 9,452 848,176 Barco (New) NV 400 36,858 Bekaert SA 700 54,764 Cie Martime Belge SA 300 86,933 Cofinimmo SA 200 32,026 Colruyt SA Halle 1,700 270,391 Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 3,600 278,565 Dexia SA 55,596 1,186,154 D'Ieteren SA 290 54,885 Electrabel SA 2,998 1,210,508 Exmar NV 300 17,436 Fortis AG 53,679 1,420,566 Groupe Bruxelles Lambert 2,500 195,343 Interbrew SA 29,842 1,097,263 KBC Bancassurance Holding SA 15,700 1,169,749 * Mobistar SA 2,500 209,595 Omega Pharma SA 500 25,594 Solvay SA 4,400 486,423 UCB SA 7,600 392,945 Union Miniere SA 1,155 104,582 ------------------ TOTAL COMMON STOCKS (Cost $6,793,631) 9,412,348 ------------------ RIGHTS/WARRANTS -- (0.0%) * Colruyt SA Halle Rights 03/31/05 1,700 2,756 * Umicore-Strip VVPR Rights 55 7 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 2,763 ------------------ TOTAL -- BELGIUM (Cost $6,793,631) 9,415,111 ------------------
27 IRELAND -- (0.8%) COMMON STOCKS -- (0.8%) Allied Irish Banks P.L.C. 73,614 1,428,849 Anglo Irish Bank Corp. P.L.C. 28,419 643,932 Bank of Ireland P.L.C. 80,793 1,231,705 CRH P.L.C. 44,403 1,119,829 DCC P.L.C. 6,914 144,866 * Elan Corp. P.L.C. 32,549 848,003 Fyffes P.L.C. 17,987 49,739 Grafton Group P.L.C. 15,596 158,153 Greencore Group P.L.C. 13,520 52,109 IAWS Group P.L.C. 11,551 169,598 Independent News & Media P.L.C. 77,963 231,128 Irish Permanent P.L.C. 21,828 377,413 Kerry Group P.L.C. 20,355 467,741 * Ryanair Holdings P.L.C. 32,702 221,206 * Waterford Wedgwood P.L.C. 57,541 6,045 ------------------ TOTAL -- IRELAND (Cost $5,210,713) 7,150,316 ------------------ DENMARK -- (0.8%) COMMON STOCKS -- (0.8%) Bang & Olufsen Holding A.S. Series B 290 18,381 Carlsberg A.S. Series B 3,475 162,142 Codan A.S. 500 25,611 Coloplast A.S. Series B 970 104,784 Dampskibsselskabet Svendborg A.S. 308 2,521,873 Danisco A.S. 2,450 149,440 Danske Bank A.S. 39,356 1,176,676 DSV, De Sammensluttede Vognmaend A.S. 880 57,083 East Asiatic Co., Ltd. 900 45,945 * Falck A.S. 3,480 37,197 * FLS Industries 890 14,321 GN Great Nordic A.S. 9,620 99,419 * Group 4 Securicor A.S. 28,536 68,916 H. Lundbeck A.S. 16,602 312,334 ISS A.S. 1,763 97,944 * Jyske Bank A.S. 2,660 95,545 Koebenhavns Lufthavne 280 51,391 NKT Holding A.S. 1,100 28,777 Novo-Nordisk A.S. Series B 14,150 750,214 Novozymes A.S. Series B 2,830 133,888 Sydbank A.S. 240 45,569 Tele Danmark A.S. 12,110 496,480 * TK Development 614 1,597 * Topdanmark A.S. 1,300 98,178 * Vestas Wind Systems A.S. 5,866 67,970 * William Demant Holding 3,260 144,879 ------------------ TOTAL COMMON STOCKS (Cost $4,921,288) 6,806,554 ------------------
28 INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 1,502 ------------------ (Cost $1,501) TOTAL -- DENMARK (Cost $4,922,789) 6,808,056 ------------------ SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) Allgreen Properties, Ltd. 41,000 26,021 * Capitacommercial Trust 23,100 17,501 Capitaland, Ltd. 115,500 145,774 * Chartered Semiconductor Manufacturing, Ltd. 112,000 69,662 City Developments, Ltd. 32,000 136,253 Comfortdelgro Corp., Ltd. 81,000 70,685 Creative Technology Co., Ltd. 3,000 37,488 Cycle & Carriage, Ltd. 6,097 36,801 DBS Group Holdings, Ltd. 78,000 751,827 Fraser & Neave, Ltd. 11,100 98,820 Great Eastern Holdings, Ltd. 21,000 153,989 Haw Par Brothers International, Ltd. 2,248 6,722 Keppel Corp., Ltd. 37,000 181,565 Keppel Land, Ltd. 22,000 27,786 MobileOne, Ltd. 23,000 25,265 Neptune Orient Lines, Ltd. 47,000 84,538 Overseas Chinese Banking Corp., Ltd. 63,300 517,645 Overseas Union Enterprise, Ltd. 6,000 27,294 Parkway Holdings, Ltd. 20,000 17,093 Sembcorp Industries, Ltd. 78,000 69,055 Sembcorp Logistics, Ltd. 39,000 53,331 Sembcorp Marine, Ltd. 55,000 38,190 Singapore Airlines, Ltd. 85,000 564,950 Singapore Land, Ltd. 11,000 30,064 Singapore Press Holdings, Ltd. 68,000 195,860 Singapore Technologies Engineering, Ltd. 174,000 225,078 Singapore Telecommunications, Ltd. 1,367,000 1,977,235 Smrt Corporation, Ltd. 59,000 29,910 * St Assembly test Services, Ltd. 38,000 21,434 United Overseas Bank, Ltd. 81,000 672,400 United Overseas Land, Ltd. 22,000 31,194 Venture Manufacturing (Singapore), Ltd. 10,000 96,220 Wing Tai Holdings, Ltd. 22,166 13,518 ------------------ TOTAL COMMON STOCKS (Cost $6,748,222) 6,451,168 ------------------ RIGHTS/WARRANTS -- (0.0%) * City Developments, Ltd. Warrants 05/10/06 3,200 8,798 ------------------ (Cost $0) INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 5,261 ------------------ (Cost $5,211)
29 TOTAL -- SINGAPORE (Cost $6,753,433) 6,465,227 ------------------ NORWAY -- (0.6%) COMMON STOCKS -- (0.6%) * Aker Kvaerner OGEP ASA 467 11,941 * Aker Yards AS 288 5,929 Den Norske Bank ASA Series A 51,800 488,868 * Merkantildata ASA 6,800 2,773 Nera ASA 6,300 16,793 Norsk Hydro ASA 16,900 1,384,945 Norske Skogindustrier ASA Series A 5,000 106,373 * Opticom ASA 600 5,068 Orkla ASA Series A 11,471 353,481 Schibsted ASA 2,700 75,071 Smedvig ASA Series A 3,800 57,275 Statoil Den Norske Stats Oljeselskap ASA 81,601 1,288,663 Storebrand ASA 14,500 129,114 Tandberg ASA Series A 5,600 63,497 Telenor ASA 76,741 677,950 Tomra Systems ASA 9,200 49,516 * Yara International ASA 16,900 217,437 ------------------ TOTAL COMMON STOCKS (Cost $3,091,562) 4,934,694 ------------------ RIGHTS/WARRANTS -- (0.0%) * Ementor ASA Rights 12/01/04 6,800 700 ------------------ (Cost $14,311) TOTAL -- NORWAY (Cost $3,105,873) 4,935,394 ------------------ GREECE -- (0.4%) COMMON STOCKS -- (0.4%) Alpha Credit Bank 10,164 319,325 Athens Water Supply & Sewage Co. S.A. 4,100 28,271 Attica Enterprises S.A. Holdings 3,130 12,149 Bank of Piraeus S.A. 6,510 102,281 Commercial Bank of Greece 3,700 112,817 Cosmote Mobile Telecommunications S.A. 19,300 349,419 EFG Eurobank Ergasias S.A. 17,470 509,086 Hellenic Bottling Co. S.A. 15,530 382,972 Hellenic Duty Free Shops S.A. 2,000 35,152 Hellenic Petroleum S.A. 13,100 137,198 Hellenic Technodomiki S.A. 4,680 20,785 Hellenic Tellecommunication Organization Co. S.A. 32,460 533,649 Intracom S.A. 3,310 17,411 * Mailis (M.J.) S.A. 2,800 12,970 National Bank of Greece 17,270 533,124 Public Power Corp. of Greece 14,860 404,839
30 Titan Cement Co. 2,280 63,304 Viohalco S.A. 2,800 24,425 ------------------ TOTAL -- GREECE (Cost $2,550,657) 3,599,177 ------------------ PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 181,382 453,634 Banco Espirito Santo e Comercial de Lisboa 19,360 342,562 BPI SGPS SA 44,098 179,557 # Brisa Auto Estradas de Portugal SA 27,775 243,944 Cimpor Cimentos de Portugal SA 34,848 193,350 # Electricidade de Portugal SA 153,781 455,852 * Energias de Portugal SA 33,825 100,249 * Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) 7,355 93,575 Portugal Telecom SA 62,730 742,544 PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 6,410 152,569 Sonae SGPS SA 108,923 143,334 ------------------ TOTAL COMMON STOCKS (Cost $2,838,442) 3,101,170 ------------------ RIGHTS/WARRANTS -- (0.0%) * Energias de Portugal SA Rights 11/25/04 31 4 ------------------ (Cost $0) TOTAL -- PORTUGAL (Cost $2,838,442) 3,101,174 ------------------ AUSTRIA -- (0.3%) COMMON STOCKS -- (0.3%) * Bank Austria Creditanstalt AG 1,216 103,539 Bohler Uddeholm AG 480 56,891 BWT AG 880 30,473 Erste Bank der Oesterreichischen Sparkassen AG 10,924 556,036 EVN AG 674 39,064 Flughafen Wien AG 579 41,581 * Immofinanz Immobilien Anlagen AG 8,273 76,215 Mayr-Melnhof Karton AG 472 75,500 Oesterreichische Elektrizitaetswirtschafts AG 810 164,463 OMV AG 1,728 456,458 * RHI AG, Wien 778 20,896 Telekom Austria AG 20,547 350,265 * VA Technologie AG 805 62,764 Voestalpine AG 1,479 105,798 Wienerberger AG 4,007 178,254 ------------------ TOTAL -- AUSTRIA (Cost $1,249,277) 2,318,197 ------------------
31 NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 18,875 105,006 Carter Holt Harvey, Ltd. 124,305 197,579 Contact Energy, Ltd. 47,343 213,742 Fisher & Paykel Apppliances Holdings, Ltd. 14,080 43,141 Fisher & Paykel Healthcare Corp. 31,395 64,899 Fletcher Building, Ltd. 28,975 127,851 Independent Newspapers, Ltd. (Auckland) 21,417 82,088 Sky City Entertainment Group, Ltd. 28,614 101,690 * Sky Network Television, Ltd. 17,139 71,192 Telecom Corporation of New Zealand, Ltd. 138,616 600,851 * Tower, Ltd. 25,408 38,898 Warehouse Group, Ltd. 14,200 37,117 ------------------ TOTAL COMMON STOCKS (Cost $968,862) 1,684,054 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 6,410 ------------------ (Cost $6,119) TOTAL -- NEW ZEALAND (Cost $974,981) 1,690,464 ------------------
VALUE+ ------------------ EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency 426,220 ------------------ (Cost $415,564) FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (5.0%) Repurchase Agreement, Deutsche Bank Securitites 1.95%, 12/01/04 (Collateralized by $41,528,148 U.S. Treasury Note 1.625%, 03/31/05, valued at $40,741,605) to be repurchased at $40,743,811 (Cost $40,741,604) ^ 40,742 40,741,604 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $3,451,000 FNMA Notes 2.95%, 11/14/07, valued at $3,455,842) to be repurchased at $3,408,178 (Cost 3,408,000) 3,408 3,408,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $44,149,604) 44,149,604 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $769,097,451) $ 884,178,435 ------------------
32 ---------- + Securities have been fair valued. See Note B to Financial Statements. # Total or Partial Securities on Loan. * Non-Income Producing Securities. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 33 DFA INVESTMENT DIMENSIONS GROUP INC. LARGE CAP INTERNATIONAL PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investments at Value (including $38,078 of securities on loan) $ 884,178 Cash 15 Receivables: Dividends and Interest 1,499 Fund Shares Sold 592 Securities Lending 42 Prepaid Expenses and Other Assets 11 ------------- Total Assets 886,337 ------------- LIABILITIES: Payables: Upon Return of Securities Loaned 40,742 Investment Securities Purchased 154 Fund Shares Redeemed 247 Due to Advisor 170 Accrued Expenses and Other Liabilities 141 ------------- Total Liabilities 41,454 ------------- NET ASSETS $ 844,883 ============= SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 150,000,000) 48,801,237 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 17.31 ============= Investments at Cost $ 769,097 ============= NET ASSETS CONSIST OF: Paid-in Capital $ 748,224 Accumulated Net Investment Income (Loss) 1,463 Accumulated Net Realized Gain (Loss) (19,937) Accumulated Net Realized Foreign Exchange Gain (Loss) (15) Unrealized Appreciation (Depreciation) of Investment Securities 115,081 Unrealized Net Foreign Exchange Gain (Loss) 67 ------------- Total Net Assets $ 844,883 =============
See accompanying Notes to Financial Statements. 22 STATEMENT OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $1,440) $ 16,236 Interest 108 Income from Securities Lending 539 ------------ Total Investment Income 16,883 ------------ EXPENSES Investment Advisory Services 1,698 Accounting & Transfer Agent Fees 626 Custodian Fees 287 Legal Fees 16 Audit Fees 35 Filing Fees 65 Shareholders' Reports 35 Directors' Fees and Expenses 6 Other 31 ------------ Total Expenses 2,799 ------------ NET INVESTMENT INCOME (LOSS) 14,084 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 2,103 Net Realized Gain (Loss) on Foreign Currency Transactions (15) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 119,249 Translation of Foreign Currency Denominated Amounts 32 ------------ NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 121,369 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 135,453 ============
See accompanying Notes to Financial Statements. 23 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2004 2003 ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 14,084 $ 8,058 Net Realized Gain (Loss) on Investment Securities Sold 2,103 -- Net Realized Gain (Loss) on Foreign Currency Transactions (15) 99 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 119,249 81,602 Translation of Foreign Currency Denominated Amounts 32 21 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 135,453 89,780 ------------ ------------ Distributions From: Net Investment Income (20,560) (5,772) ------------ ------------ Total Distributions (20,560) (5,772) ------------ ------------ Capital Share Transactions (1): Shares Issued 291,666 179,697 Shares Issued in Lieu of Cash Distributions 19,638 5,551 Shares Redeemed (85,437) (102,500) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 225,867 82,748 ------------ ------------ Total Increase (Decrease) 340,760 166,756 NET ASSETS Beginning of Period 504,123 337,367 ------------ ------------ End of Period $ 844,883 $ 504,123 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 18,507 14,472 Shares Issued in Lieu of Cash Distributions 1,271 483 Shares Redeemed (5,382) (8,433) ------------ ------------ 14,396 6,522 ============ ============
See accompanying Notes to the Financial Statements. 24 DFA INVESTMENT DIMENSIONS GROUP INC. LARGE CAP INTERNATIONAL PORTFOLIO FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 ------------ ------------ ------------ ------------ ------------ Net Asset Value, Beginning of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.31 0.25 0.22 0.25 0.23 Net Gains (Losses) on Securities (Realized and Unrealized) 2.86 2.51 (1.79) (3.38) (1.96) ------------ ------------ ------------ ------------ ------------ Total from Investment Operations 3.17 2.76 (1.57) (3.13) (1.73) ------------ ------------ ------------ ------------ ------------ LESS DISTRIBUTIONS Net Investment Income (0.51) (0.21) (0.23) (0.22) (0.21) Net Realized Gains -- -- -- (0.05) (0.17) ------------ ------------ ------------ ------------ ------------ Total Distributions (0.51) (0.21) (0.23) (0.27) (0.38) ------------ ------------ ------------ ------------ ------------ Net Asset Value, End of Period $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30 ============ ============ ============ ============ ============ Total Return 22.09% 23.32% (11.50)% (18.42)% (9.19)% Net Assets, End of Period (thousands) $ 844,883 $ 504,123 $ 337,367 $ 344,871 $ 358,638 Ratio of Expenses to Average Net Assets 0.41% 0.43% 0.44% 0.45% 0.47% Ratio of Net Investment Income to Average Net Assets 2.07% 2.10% 1.74% 1.65% 1.21% Portfolio Turnover Rate 1% 1% 9% 4% 1%
See accompanying Notes to Financial Statements 25 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS 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. The Fund consists of thirty-six portfolios, of which the Large Cap International Portfolio (the "Portfolio") is presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operation during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Portfolio 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 quoted bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Directors. The Portfolio will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset value of the Portfolio is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Portfolio prices its shares at the close of the NYSE, the Portfolio will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the Portfolio's foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors of the Portfolio has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Portfolio utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of the Portfolio. When the Portfolio uses fair value pricing, the values assigned to the Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. 2. FOREIGN CURRENCY: Securities and other assets and liabilities of the Portfolio whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. 26 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 Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At November 30, 2004, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $11,121. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. The Portfolio may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolio accrues such taxes when the related income or capital gains are known. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Portfolio. The Advisor provides administrative services including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. For the year ended November 30, 2004, the Portfolio's advisory fees were accrued daily and paid monthly to the Advisor at an effective annual rate of 0.25 of 1%. Certain officers of the Fund are also officers, directors and shareholders of the Advisor. D. PURCHASES AND SALES OF SECURITIES: For the year ended November 30, 2004, the Portfolio made the following purchases and sales of investment securities other than U.S. Government Securities and short-term securities (amounts in thousands): Purchases $ 232,942 Sales 6,805
27 E. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in-capital, accumulated net realized gain or accumulated net investment income, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of November 30, 2004, primarily attributable to realized net foreign currency gains/losses which for tax purposes, are not available to offset future income, were reclassified to the following accounts (amounts in thousands):
INCREASE INCREASE INCREASE (DECREASE) UNDISTRIBUTED (DECREASE) ACCUMULATED NET INVESTMENT PAID-IN CAPITAL NET REALIZED GAINS INCOME --------------- ------------------ --------------- -- $ (66) $ 66
These reclassifications had no effect on net assets or net asset value per share. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL --------------- ------------- ------------- 2004 $ 20,560 -- $ 20,560 2003 5,772 -- 5,772
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. As of November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS NET INVESTMENT LONG-TERM LOSS (ACCUMULATED INCOME CAPITAL GAINS CARRYFORWARD LOSSES) ------------- ------------- ------------ ------------- $ 6,784 -- $ (19,070) $ 12,286
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. As of November 30, 2004, the Portfolio had a capital loss carryforward for federal income tax purposes in the amount of approximately $19,070,000 of which $357,000, $18,180,000 and $533,000 expire on November 30, 2009, 2010 and 2011, respectively. During the year ended November 30, 2004, the Portfolio utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes in the approximate amount of $2,073,000. Certain of the Portfolio's investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. The Portfolio had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $5,327,264 and $81,703, respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. 28 At November 30, 2004, the total cost of securities and net realized gains or losses on securities sold for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Portfolio, at November 30, 2004 were as follows (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ---------- ------------ ------------- -------------- $ 775,250 $ 170,244 $ (61,315) $ 108,929
F. FINANCIAL INSTRUMENTS: In accordance with the Portfolio's investment objectives and policies, the Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. REPURCHASE AGREEMENTS: The Portfolio may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty 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 with the Portfolio's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. The open repurchase agreement was entered into on November 30, 2004. 2. 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 Portfolio may be inhibited. G. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. There were no borrowings under the discretionary line of credit by the Portfolio during the year ended November 30, 2004. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2005. There were no borrowings by the Portfolio during the year ended November 30, 2004. 29 H. SECURITIES LENDING: As of November 30, 2004, some of the Fund's portfolios had securities on loan to broker/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are 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, PNCBank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. The cash collateral received by the Portfolio from securities on loan is invested along with cash collateral from the other portfolios in repurchase agreements collateralized by U.S. government securities. These investments are accounted for separately for each Portfolio. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. I. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 30 REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF LARGE CAP INTERNATIONAL PORTFOLIO AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC. In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Large Cap International Portfolio (one of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolio") at November 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 14, 2005 31 DISCLOSURE OF FUND EXPENSES The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholders reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated and may be different from the expense ratio in the Financial Highlights which is for the year ended November 30, 2004. FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/04 11/30/04 RATIO PERIOD* ------------ ------------ ------------ ------------ THE U.S. LARGE COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,056.20 0.05% $ 0.26 Hypothetical 5% Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25 THE U.S. LARGE CAP VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,108.10 0.14% $ 0.74 Hypothetical 5% Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71 THE U.S. SMALL CAP SERIES Actual Fund Return $ 1,000.00 $ 1,112.30 0.25% $ 1.32 Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
32
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/04 11/30/04 RATIO PERIOD* ------------ ------------ ------------ ------------ THE DFA INTERNATIONAL VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,169.50 0.28% $ 1.52 Hypothetical 5% Return $ 1,000.00 $ 1,023.60 0.28% $ 1.42 THE JAPANESE SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,071.10 0.26% $ 1.35 Hypothetical 5% Return $ 1,000.00 $ 1,023.70 0.26% $ 1.32 THE PACIFIC RIM SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,248.80 0.30% $ 1.69 Hypothetical 5% Return $ 1,000.00 $ 1,023.50 0.30% $ 1.52 THE UNITED KINGDOM SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,134.30 0.26% $ 1.39 Hypothetical 5% Return $ 1,000.00 $ 1,023.70 0.26% $ 1.32 THE CONTINENTAL SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,212.30 0.25% $ 1.38 Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
* Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 33 DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete schedule of investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its first Form N-Q with the SEC on October 27, 2004. It is available upon request, without charge, by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a schedule of investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. THE U.S. LARGE COMPANY SERIES Financials 20.0% Information Technology 16.3 Health Care 12.4 Industrials 11.9 Consumer Discretionary 11.4 Consumer Staples 10.5 Energy 7.5 Telecommunication Services 3.3 Materials 3.2 Utilities 3.0 REITS 0.5 -------- 100.0% ========
THE U.S. LARGE CAP VALUE SERIES Consumer Discretionary 30.2% Financials 25.4 Industrials 9.4 Energy 8.3 Materials 6.8 Information Technology 5.8 Health Care 5.2 Consumer Staples 4.8 Telecommunication Services 3.6 Utilities 0.5 -------- 100.0% ========
34 THE U.S. SMALL CAP SERIES Information Technology 20.7% Consumer Discretionary 16.5 Industrials 15.6 Health Care 14.8 Financials 13.1 Materials 6.3 Energy 5.8 Consumer Staples 3.4 Utilities 2.6 Telecommunication Services 1.0 Other 0.2 -------- 100.0% ========
THE DFA INTERNATIONAL VALUE SERIES Financials 36.5% Consumer Discretionary 17.0 Materials 13.7 Industrials 12.2 Telecommunication Service 5.6 Consumer Staples 4.5 Utilities 3.5 Energy 3.3 Health Care 2.0 Information Technology 1.7 -------- 100.0% ========
THE JAPANESE SMALL COMPANY SERIES Industrials 27.9% Consumer Discretionary 22.2 Information Technology 11.5 Materials 11.4 Financials 10.7 Consumer Staples 10.6 Health Care 3.7 Energy 1.3 Utilities 0.7 -------- 100.0% ========
THE PACIFIC RIM SMALL COMPANY SERIES Industrials 20.8% Consumer Discretionary 20.6 Financials 15.2 Materials 14.6 Information Technology 8.8 Health Care 7.4 Consumer Staples 5.5 Energy 3.7 Utilities 2.0 Telecommunication Service 1.4 -------- 100.0% ========
35 THE UNITED KINGDOM SMALL COMPANY SERIES Industrials 29.1% Consumer Discretionary 25.1 Financials 14.1 Information Technology 10.5 Consumer Staples 6.9 Energy 4.1 Materials 4.1 Health Care 3.8 Telecommunication Service 1.2 Utilities 1.0 -------- 100.0% ========
THE CONTINENTAL SMALL COMPANY SERIES Industrials 24.9% Consumer Discretionary 18.1 Financials 18.0 Materials 10.0 Information Technology 8.8 Consumer Staples 7.3 Health Care 6.1 Energy 3.3 Utilities 2.7 Telecommunication Service 0.8 -------- 100.0% ========
36 THE U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------------ ------------------ COMMON STOCKS -- (88.1%) 3M Co. 244,500 $ 19,459,755 Abbott Laboratories 487,600 20,459,696 Ace, Ltd. 88,700 3,585,254 * ADC Telecommunications, Inc. 252,600 593,610 # Adobe Systems, Inc. 74,900 4,535,944 * Advanced Micro Devices, Inc. 110,900 2,359,952 * AES Corp. 201,900 2,471,256 Aetna, Inc. 48,000 5,688,480 * Affiliated Computer Services, Inc. Class A 40,000 2,367,200 AFLAC, Inc. 158,400 5,959,008 * Agilent Technologies, Inc. 151,700 3,472,413 Air Products & Chemicals, Inc. 71,000 4,064,750 Alberto-Culver Co. Class B 28,300 1,310,290 # Albertson's, Inc. 114,900 2,906,970 # Alcoa, Inc. 271,700 9,232,366 * Allegheny Energy, Inc. 42,800 819,192 Allegheny Technologies, Inc. 29,800 655,600 Allergan, Inc. 41,100 3,020,850 *# Allied Waste Industries, Inc. 99,400 903,546 Allstate Corp. 216,400 10,928,200 Alltel Corp. 96,300 5,459,247 * Altera Corp. 116,100 2,633,148 # Altria Group, Inc. 640,800 36,839,592 AMBAC Financial Group, Inc. 33,900 2,757,087 Amerada Hess Corp. 28,500 2,532,225 # Ameren Corp. 60,700 2,939,094 American Electric Power Co., Inc. 123,600 4,223,412 American Express Co. 396,000 22,061,160 American International Group, Inc. 813,800 51,554,230 American Power Conversion Corp. 62,600 1,323,364 * American Standard Companies, Inc. 66,800 2,601,192 # AmerisourceBergen Corp. 35,100 2,068,794 *# Amgen, Inc. 395,400 23,739,816 AmSouth Bancorporation 110,500 2,865,265 Anadarko Petroleum Corp. 78,200 5,442,720 # Analog Devices, Inc. 118,200 4,367,490 * Andrew Corp. 50,200 712,840 Anheuser-Busch Companies, Inc. 250,200 12,532,518 *# Anthem, Inc. 43,600 4,417,988 # AON Corp. 98,600 2,082,432 Apache Corp. 101,800 5,503,308 # Apartment Investment & Management Co. Class A 29,600 1,076,552 *# Apollo Group, Inc. Class A 60,200 4,797,940 * Apple Computer, Inc. 121,200 8,126,460 Applera Corp. - Applied Biosystems Group 63,000 1,291,500 * Applied Materials, Inc. 530,400 8,825,856 * Applied Micro Circuits Corp. 97,800 359,904 Archer-Daniels-Midland Co. 203,300 4,309,960 Ashland, Inc. 22,200 1,313,130 # AT&T Corp. 248,200 4,542,060 Autodesk, Inc. 35,500 2,322,055 Automatic Data Processing, Inc. 182,500 8,309,225 * AutoNation, Inc. 83,300 1,542,716 *# Autozone, Inc. 26,000 2,225,600 *# Avaya, Inc. 141,400 $ 2,321,788 Avery Dennison Corp. 34,500 2,023,770 # Avon Products, Inc. 147,700 5,544,658 # Baker Hughes, Inc. 104,200 4,619,186 Ball Corp. 35,100 1,570,023 Bank of America Corp. 1,270,500 58,786,035 Bank of New York Co., Inc. 243,000 7,997,130 # Bard (C.R.), Inc. 32,700 1,959,057 # Bausch & Lomb, Inc. 16,600 977,408 Baxter International, Inc. 192,000 6,076,800 BB&T Corp. 173,200 7,352,340 Bear Stearns Companies, Inc. 32,200 3,142,076 Becton Dickinson & Co. 78,300 4,289,274 *# Bed Bath and Beyond, Inc. 93,900 3,749,239 BellSouth Corp. 571,800 15,335,676 Bemis Co., Inc. 33,400 929,856 Best Buy Co., Inc. 101,500 5,722,570 *# Big Lots, Inc. 36,000 417,600 * Biogen Idec, Inc. 105,700 6,202,476 # Biomet, Inc. 79,300 3,796,091 # BJ Services, Co. 50,400 2,553,768 Black & Decker Corp. 25,000 2,102,250 * BMC Software, Inc. 69,700 1,295,026 Boeing Co. 262,200 14,046,054 *# Boston Scientific Corp. 263,000 9,155,030 Bristol-Myers Squibb Co. 607,600 14,278,600 *# Broadcom Corp. 100,600 3,271,512 Brown-Forman Corp. Class B 37,900 1,819,958 Brunswick Corp. 29,900 1,459,718 Burlington Northern Santa Fe Corp. 116,300 5,238,152 # Burlington Resources, Inc. 123,300 5,722,353 *# Calpine Corp. 166,300 645,244 Campbell Soup Co. 128,200 3,657,546 Capital One Financial Corp. 75,400 5,924,932 Cardinal Health, Inc. 134,400 7,026,432 * Caremark Rx, Inc. 145,500 5,203,080 Carnival Corp. 197,700 10,480,077 # Caterpillar, Inc. 107,000 9,795,850 Cendant Corp. 329,700 7,474,299 CenterPoint Energy, Inc. 96,100 1,072,476 # Centex Corp. 38,600 2,025,342 CenturyTel, Inc. 42,200 1,389,224 ChevronTexaco Corp. 665,300 36,325,380 * Chiron Corp. 58,600 1,908,602 Chubb Corp. 59,700 4,549,737 * CIENA Corp. 177,800 453,390 CIGNA Corp. 43,000 3,010,860 Cincinnati Financial Corp. 52,600 2,356,480 Cinergy Corp. 56,400 2,334,396 Cintas Corp. 53,500 2,392,520 Circuit City Stores, Inc. 62,100 968,139 * Cisco Sytems, Inc. 2,111,900 39,513,649 CIT Group, Inc. 65,800 2,812,950 Citigroup, Inc. 1,618,000 72,405,500 # Citizens Communications Co. 103,600 1,481,480 * Citrix Systems, Inc. 52,800 1,246,608 Clear Channel Communications, Inc. 184,300 6,207,224 Clorox Co. 66,500 3,665,480
37
SHARES VALUE+ ------------------ ------------------ * CMS Energy Corp. 59,300 $ 604,860 * Coach, Inc. 58,800 2,930,592 Coca-Cola Co. 757,800 29,789,118 Coca-Cola Enterprises, Inc. 146,500 3,047,200 Colgate-Palmolive Co. 165,900 7,629,741 * Comcast Corp. Class A 698,000 20,967,920 Comerica, Inc. 53,500 3,290,250 # Computer Associates International, Inc. 182,800 5,580,884 *# Computer Sciences Corp. 58,900 3,186,490 * Compuware Corp. 120,600 695,862 * Comverse Technology, Inc. 61,100 1,299,597 ConAgra, Inc. 165,000 4,463,250 ConocoPhillips 215,100 19,571,949 Consolidated Edison, Inc. 75,400 3,306,290 Constellation Energy Group 54,800 2,394,760 * Convergys Corp. 44,500 661,715 Cooper Industries, Ltd. 29,600 1,962,776 # Cooper Tire & Rubber Co. 23,400 477,828 Coors (Adolph) Co. Class B 11,700 876,330 * Corning, Inc. 435,300 5,476,074 Costco Wholesale Corp. 144,000 6,998,400 Countrywide Financial Corp. 175,900 5,841,639 Crane Co. 18,400 556,784 CSX Corp. 67,100 2,558,523 Cummins, Inc. 13,800 1,098,756 CVS Corp. 124,700 5,657,639 Dana Corp. 46,600 761,910 Danaher Corp. 96,300 5,477,544 Darden Restaurants, Inc. 49,300 1,343,918 Deere & Co. 77,500 5,559,075 *# Dell, Inc. 779,800 31,597,496 # Delphi Corp. 175,300 1,577,700 *# Delta Air Lines, Inc. 39,200 273,224 Deluxe Corp. 15,600 616,824 Devon Energy Corp. 151,000 6,254,420 Dillards, Inc. Class A 26,100 657,198 # Disney (Walt) Co. 641,700 17,248,896 Dollar General Corp. 102,600 2,026,350 Dominion Resources, Inc. 103,100 6,749,957 Donnelley (R.R.) & Sons Co. 68,400 2,373,480 Dover Corp. 63,500 2,568,575 # Dow Chemical Co. 293,400 14,807,898 Dow Jones & Co., Inc. 25,600 1,094,400 DTE Energy Co. 54,300 2,382,684 # Duke Energy Corp. 292,900 7,404,512 # DuPont (E.I.) de Nemours & Co., Inc. 311,700 14,126,244 *# Dynegy, Inc. 118,500 669,525 * E*TRADE Financial Corp. 116,600 1,616,076 # Eastman Chemical Co. 24,300 1,321,434 Eastman Kodak Co. 89,500 2,927,545 Eaton Corp. 47,300 3,188,020 *# eBay, Inc. 206,500 23,220,925 Ecolab, Inc. 80,400 2,812,392 # Edison International 101,800 3,247,420 # El Paso Corp. 200,200 2,090,088 *# Electronic Arts, Inc. 94,800 4,635,720 Electronic Data Systems Corp. 160,000 3,592,000 * EMC Corp. 751,100 10,079,762 Emerson Electric Co. 131,200 8,766,784 Engelhard Corp. 38,800 1,159,732 Entergy Corp. 70,900 $ 4,595,738 # EOG Resources, Inc. 36,800 2,762,576 # Equifax, Inc. 42,500 1,173,850 Equity Office Properties Trust 125,800 3,453,210 Equity Residential 87,700 2,956,367 Exelon Corp. 206,200 8,600,602 *# Express Scripts, Inc. 24,200 1,741,432 Exxon Mobil Corp. 2,031,900 104,134,875 Family Dollar Stores, Inc. 52,600 1,541,180 Federal Home Loan Mortgage Corporation 214,600 14,648,596 Federal National Mortgage Association 302,300 20,768,010 Federated Department Stores, Inc. 56,200 3,079,760 Federated Investors, Inc. 33,900 997,338 FedEx Corp. 93,800 8,913,814 Fifth Third Bancorp 178,000 8,964,080 First Data Corp. 267,800 11,003,902 First Horizon National Corp. 38,600 1,686,820 FirstEnergy Corp. 103,000 4,349,690 * Fiserv, Inc. 61,000 2,349,110 * Fisher Scientific International, Inc. 35,900 2,029,786 Fluor Corp. 26,100 1,354,590 # Ford Motor Co. 571,500 8,103,870 * Forest Laboratories, Inc. 115,700 4,508,829 Fortune Brands, Inc. 45,000 3,531,600 # FPL Group, Inc. 57,900 4,072,107 Franklin Resources, Inc. 77,900 5,112,577 Freeport-McMoRan Copper & Gold, Inc. Class B 55,300 2,163,889 Gannett Co., Inc. 83,100 6,854,919 Gap, Inc. 282,300 6,168,255 * Gateway, Inc. 116,400 792,684 General Dynamics Corp. 62,400 6,761,664 General Electric Co. 3,297,700 116,606,672 General Mills, Inc. 118,700 5,399,663 # General Motors Corp. 176,400 6,807,276 # Genuine Parts Co. 54,700 2,374,527 *# Genzyme Corp. 71,200 3,987,912 Georgia-Pacific Corp. 80,600 2,950,766 * Gilead Sciences, Inc. 134,500 4,634,870 Gillette Co. 312,900 13,608,021 # Golden West Financial Corp. 47,700 5,687,748 Goodrich (B.F.) Co. 37,100 1,177,925 *# Goodyear Tire & Rubber Co. 54,800 691,576 Grainger (W.W.), Inc. 28,400 1,756,824 # Great Lakes Chemical Corp. 15,900 465,870 Guidant Corp. 98,300 6,372,789 H&R Block, Inc. 51,500 2,456,550 Halliburton Co. 137,900 5,702,165 Harley-Davidson, Inc. 92,200 5,331,004 # Harrahs Entertainment, Inc. 35,000 2,149,000 Hartford Financial Services Group, Inc. 91,600 5,862,400 Hasbro, Inc. 55,200 1,050,456 HCA, Inc. 150,800 5,944,536 Health Management Associates, Inc. 76,000 1,678,840 Heinz (H.J.) Co. 109,100 4,054,156 *# Hercules, Inc. 34,900 520,010 # Hershey Foods Corp. 76,900 3,983,420 Hewlett-Packard Co. 943,200 18,864,000
38
SHARES VALUE+ ------------------ ------------------ Hilton Hotels Corp. 120,200 $ 2,483,332 Home Depot, Inc. 685,700 28,627,975 Honeywell International, Inc. 268,500 9,486,105 * Hospira, Inc. 48,700 1,569,601 * Humana, Inc. 49,800 1,236,036 # Huntington Bancshares, Inc. 71,700 1,739,442 Illinois Tool Works, Inc. 94,400 8,895,312 IMS Health, Inc. 73,000 1,647,610 Ingersoll-Rand Co., Ltd. Class A 54,100 4,026,122 # Intel Corp. 2,003,600 44,780,460 International Business Machines Corp. 523,200 49,306,368 International Flavors & Fragrances, Inc. 29,400 1,190,700 International Game Technology 107,600 3,803,660 International Paper Co. 151,900 6,306,888 *# Interpublic Group of Companies, Inc. 131,800 1,635,638 * Intuit, Inc. 59,800 2,502,032 ITT Industries, Inc. 28,800 2,451,456 * Jabil Circuit, Inc. 62,800 1,573,768 Janus Capital Group, Inc. 74,800 1,237,940 * JDS Uniphase Corp. 449,800 1,425,866 Jefferson-Pilot Corp. 42,600 2,095,494 Johnson & Johnson 927,000 55,916,640 Johnson Controls, Inc. 59,400 3,647,160 Jones Apparel Group, Inc. 39,000 1,385,670 JPMorgan Chase & Co. 1,112,500 41,885,625 # KB Home 14,500 1,274,405 Kellogg Co. 129,100 5,641,670 # Kerr-McGee Corp. 47,200 2,937,256 # KeyCorp 127,100 4,231,159 KeySpan Corp. 50,000 1,976,000 Kimberly-Clark Corp. 154,500 9,827,745 # Kinder Morgan, Inc. 38,600 2,674,980 *# King Pharmaceuticals, Inc. 75,400 938,730 *# KLA-Tencor Corp. 61,300 2,762,178 Knight-Ridder, Inc. 24,200 1,647,778 * Kohl's Corp. 106,700 4,925,272 * Laboratory Corp. of America Holdings 43,600 2,090,620 Leggett & Platt, Inc. 59,900 1,788,015 Lehman Brothers Holdings, Inc. 84,700 7,096,166 *# Lexmark International, Inc. 40,500 3,438,450 Lilly (Eli) & Co. 353,100 18,830,823 # Limited Brands, Inc. 147,600 3,607,344 Lincoln National Corp. 55,000 2,531,100 Linear Technology Corp. 96,000 3,663,360 Liz Claiborne, Inc. 33,600 1,379,952 # Lockheed Martin Corp. 139,000 8,456,760 Loews Corp. 57,900 4,047,789 Louisiana-Pacific Corp. 34,100 834,427 Lowe's Companies, Inc. 243,500 13,472,855 * LSI Logic Corp. 120,200 635,858 *# Lucent Technologies, Inc. 1,346,000 5,289,780 M&T Bank Corp. 36,600 3,858,006 Manor Care, Inc. 27,300 940,485 Marathon Oil Corp. 108,100 4,263,464 Marriott International, Inc. Class A 71,500 4,064,775 Marsh & McLennan Companies, Inc. 162,600 4,648,734 Marshall & Ilsley Corp. 69,600 2,901,624 # Masco Corp. 135,300 4,772,031 # Mattel, Inc. 129,300 $ 2,450,235 # Maxim Integrated Products, Inc. 101,400 4,153,344 # May Department Stores Co. 91,000 2,558,920 # Maytag Corp. 24,700 496,470 MBIA, Inc. 44,700 2,680,212 MBNA Corp. 399,100 10,600,096 McCormick & Co., Inc. 42,800 1,560,060 McDonald's Corp. 392,400 12,062,376 McGraw-Hill Companies, Inc. 59,300 5,202,389 McKesson Corp. 91,700 2,709,735 MeadWestavco Corp. 63,000 2,119,950 * Medco Health Solutions, Inc. 85,000 3,206,200 * Medimmune, Inc. 77,800 2,069,480 Medtronic, Inc. 377,700 18,148,485 Mellon Financial Corp. 132,400 3,868,728 Merck & Co., Inc. 693,000 19,417,860 * Mercury Interactive Corp. 29,100 1,327,251 Meredith Corp. 15,700 827,704 Merrill Lynch & Co., Inc. 293,400 16,345,314 MetLife, Inc. 234,300 9,137,700 MGIC Investment Corp. 30,800 2,094,400 *# Micron Technology, Inc. 191,000 2,116,280 Microsoft Corp. 3,395,900 91,044,079 * Millipore Corp. 15,500 755,160 Molex, Inc. 59,200 1,632,144 Monsanto Co. 83,400 3,838,068 * Monster Worldwide, Inc. 37,000 1,043,030 Moody's Corp. 46,200 3,730,650 Morgan Stanley 343,100 17,412,325 Motorola, Inc. 737,900 14,211,954 # Mylan Laboratories, Inc. 83,900 1,523,624 * Nabors Industries, Ltd. 46,500 2,418,000 National City Corp. 207,000 7,675,560 * National Semiconductor Corp. 111,800 1,728,428 * Navistar International Corp. 21,800 897,070 * NCR Corp. 29,400 1,756,062 * Network Appliance, Inc. 111,700 3,368,872 Newell Rubbermaid, Inc. 85,900 1,982,572 Newmont Mining Corp. 138,500 6,557,975 * Nextel Communications, Inc. 347,800 9,898,388 # Nicor, Inc. 13,800 509,220 NIKE, Inc. Class B 82,300 6,967,518 NiSource, Inc. 82,300 1,793,317 * Noble Corp. 41,800 2,025,210 Nordstrom, Inc. 43,900 1,920,625 Norfolk Southern Corp. 123,000 4,222,590 North Fork Bancorporation, Inc. 145,950 4,203,360 Northern Trust Corp. 68,700 3,231,648 Northrop Grumman Corp. 112,000 6,308,960 *# Novell, Inc. 120,800 736,880 * Novellus Systems, Inc. 44,600 1,201,524 # Nucor Corp. 49,600 2,623,840 * Nvidia Corp. 52,000 994,760 Occidental Petroleum Corp. 122,300 7,363,683 * Office Depot, Inc. 97,800 1,603,920 OfficeMax, Inc. 27,500 832,425 Omnicom Group, Inc. 58,500 4,738,500 * Oracle Corp. 1,615,000 20,445,900 # Paccar, Inc. 54,200 4,233,020 * Pactiv Corp. 46,900 1,165,465 Pall Corp. 39,100 1,059,219
39
SHARES VALUE+ ------------------ ------------------ * Parametric Technology Corp. 84,100 $ 491,985 Parker Hannifin Corp. 37,300 2,790,040 Paychex, Inc. 118,100 3,916,196 Penney (J.C.) Co., Inc. 90,000 3,474,000 Peoples Energy Corp. 11,800 526,516 *# Peoplesoft, Inc. 114,600 2,705,706 Pepsi Bottling Group, Inc. 79,400 2,224,788 PepsiCo, Inc. 529,100 26,407,381 PerkinElmer, Inc. 40,000 853,200 Pfizer, Inc. 2,358,400 65,492,768 * PG&E Corp. 125,200 4,164,152 # Phelps Dodge Corp. 29,400 2,855,622 # Pinnacle West Capital Corp. 28,500 1,259,700 Pitney Bowes, Inc. 72,200 3,160,194 Plum Creek Timber Co., Inc. 57,300 2,120,100 * PMC-Sierra, Inc. 55,300 610,512 PNC Financial Services Group 88,200 4,798,080 * Power-One, Inc. 26,200 240,778 PPG Industries, Inc. 53,600 3,616,392 PPL Corp. 59,000 3,065,050 Praxair, Inc. 101,500 4,557,350 Principal Financial Group, Inc. 97,900 3,688,872 Procter & Gamble Co. 794,000 42,463,120 Progress Energy, Inc. 77,100 3,385,461 Progressive Corp. 62,500 5,686,875 ProLogis 56,800 2,285,064 * Providian Financial Corp. 91,400 1,466,970 Prudential Financial, Inc. 162,100 7,934,795 # Public Service Enterprise Group, Inc. 74,100 3,259,659 # Pulte Homes, Inc. 39,600 2,188,296 * QLogic Corp. 28,800 990,432 Qualcomm, Inc. 508,400 21,159,608 # Quest Diagnostics, Inc. 31,800 2,981,250 * Qwest Communications International, Inc. 566,900 2,267,600 RadioShack Corp. 49,900 1,575,343 Raytheon Co. 140,900 5,683,906 # Reebok International, Ltd. 18,500 719,280 Regions Financial Corp. 144,300 5,049,057 # Reynolds American, Inc. 46,200 3,494,106 Robert Half International, Inc. 53,800 1,454,214 # Rockwell Automation, Inc. 57,600 2,724,480 Rockwell Collins, Inc. 55,300 2,204,258 Rohm & Haas Co. 70,100 3,090,709 * Rowan Companies, Inc. 33,400 865,060 # Ryder System, Inc. 20,100 1,078,164 Sabre Holdings Corp. 42,900 990,132 # Safeco Corp. 39,400 1,909,718 * Safeway, Inc. 139,600 2,691,488 * Sanmina-SCI Corp. 162,800 1,437,524 Sara Lee Corp. 247,800 5,818,344 SBC Communications, Inc. 1,035,000 26,050,950 Schering-Plough Corp. 459,900 8,209,215 Schlumberger, Ltd. 184,400 12,102,172 Schwab (Charles) Corp. 426,800 4,600,904 # Scientific-Atlanta, Inc. 47,800 1,415,836 * Sealed Air Corp. 26,200 1,346,942 # Sears, Roebuck & Co. 66,200 3,444,386 Sempra Energy 72,400 2,677,352 Sherwin-Williams Co. 44,500 1,984,700 * Siebel Systems, Inc. 157,900 1,591,632 Sigma-Aldrich Corp. 21,600 $ 1,290,168 Simon Property Group, Inc. 69,000 4,283,520 SLM Corp. 136,200 6,969,354 Snap-On, Inc. 18,100 572,141 * Solectron Corp. 300,400 1,877,500 Southern Co. 230,600 7,561,374 Southwest Airlines Co. 246,800 3,882,164 Sovereign Bancorp, Inc. 107,200 2,342,320 Sprint Corp. 453,700 10,348,897 *# St. Jude Medical, Inc. 110,600 4,218,284 # Staples, Inc. 155,400 4,958,814 * Starbucks Corp. 124,100 6,981,866 Starwood Hotels & Resorts Worldwide, Inc. 65,000 3,398,850 State Street Corp. 105,000 4,678,800 Stryker Corp. 125,300 5,511,947 *# Sun Microsystems, Inc. 1,038,900 5,765,895 * Sungard Data Systems, Inc. 90,100 2,388,551 # Sunoco, Inc. 23,500 1,940,160 # SunTrust Banks, Inc. 111,800 7,971,340 Supervalu, Inc. 42,500 1,342,575 * Symantec Corp. 98,400 6,278,904 Symbol Technologies, Inc. 74,800 1,133,968 Synovus Financial Corp. 96,600 2,608,200 # Sysco Corp. 199,700 6,939,575 T. Rowe Price Group, Inc. 39,700 2,348,652 # Target Corp. 282,100 14,449,162 # TECO Energy, Inc. 62,100 929,016 Tektronix, Inc. 28,700 900,319 * Tellabs, Inc. 130,000 1,111,500 Temple-Inland, Inc. 17,400 1,036,866 * Tenet Healthcare Corp. 145,600 1,579,760 * Teradyne, Inc. 60,600 1,033,836 # Texas Instruments, Inc. 540,700 13,074,126 Textron, Inc. 43,300 3,144,446 The Goldman Sachs Group, Inc. 151,800 15,902,568 *# The Kroger Co. 230,800 3,734,344 The New York Times Co. Class A 45,900 1,881,900 The St. Paul Travelers Companies, Inc. 208,900 7,620,672 # The Stanley Works 25,600 1,197,056 # The TJX Companies, Inc. 152,700 3,594,558 * Thermo Electron Corp. 51,000 1,542,750 # Tiffany & Co. 45,600 1,395,360 * Time Warner, Inc. 1,428,100 25,291,651 Torchmark Corp. 34,300 1,883,413 *# Toys R Us, Inc. 66,800 1,291,912 * Transocean, Inc. 100,200 4,035,054 Tribune Co. 99,400 4,310,978 TXU Corp. 92,700 5,823,414 Tyco International, Ltd. 627,400 21,312,778 U.S. Bancorp 587,000 17,392,810 Union Pacific Corp. 81,000 5,138,640 * Unisys Corp. 104,600 1,201,854 United Parcel Service, Inc. 351,200 29,553,480 United States Steel Corp. 35,400 1,853,544 United Technologies Corp. 159,800 15,593,284 UnitedHealth Group, Inc. 207,600 17,199,660 * Univision Communications, Inc. Class A 100,700 3,031,070 Unocal Corp. 82,700 3,807,508
40
SHARES VALUE+ ------------------ ------------------ UnumProvident Corp. 92,600 $ 1,441,782 UST, Inc. 51,600 2,271,948 Valero Energy Corp. 79,800 3,733,842 * VERITAS Software Corp. 135,200 2,960,880 Verizon Communications, Inc. 864,700 35,651,581 VF Corp. 34,400 1,857,256 # Viacom, Inc. Class B 541,900 18,803,930 Visteon Corp. 40,500 342,630 Vulcan Materials Co. 31,900 1,654,015 Wachovia Corp. 501,560 25,955,730 # Walgreen Co. 320,000 12,217,600 Wal-Mart Stores, Inc. 1,325,100 68,984,706 Washington Mutual, Inc. 272,500 11,093,475 # Waste Management, Inc. 181,100 5,398,591 *# Waters Corp. 36,900 1,721,754 *# Watson Pharmaceuticals, Inc. 34,200 993,510 * Wellpoint Health Networks, Inc. 49,100 6,142,410 # Wells Fargo & Co. 527,400 32,577,498 Wendy's International, Inc. 35,500 1,266,285 Weyerhaeuser Co. 74,800 4,936,800 Whirlpool Corp. 20,700 1,336,185 Williams Companies, Inc. 173,500 2,892,245 # Winn-Dixie Stores, Inc. 44,400 177,600 # Worthington Industries, Inc. 27,300 587,223 Wrigley (Wm.) Jr. Co. 70,200 4,829,760 Wyeth 416,600 16,609,842 # Xcel Energy, Inc. 124,900 2,255,694 *# Xerox Corp. 262,100 4,015,372 Xilinx, Inc. 108,400 3,384,248 # XL Capital, Ltd. 43,200 3,255,552 *# Yahoo!, Inc. 425,000 15,988,500 Yum! Brands, Inc. 90,800 4,122,320 * Zimmer Holdings, Inc. 76,500 6,242,400 Zions Bancorporation 28,000 1,862,000 ------------------ TOTAL COMMON STOCKS (Cost $2,594,671,624) 3,405,448,115 ------------------ FACE AMOUNT VALUE+ ------------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (11.9%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $389,672,000 U.S. Treasury Bills, maturities ranging from 12/02/04 to 05/26/05, valued at $388,193,618) to be repurchased at $380,599,191 (Cost $380,578,682) @ $ 380,579 $ 380,578,682 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $77,939,000 FHLMC Notes 4.20%, 10/20/09, valued at $78,273,358) to be repurchased at $77,463,045 (Cost $77,459,000) 77,459 77,459,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $458,037,682) 458,037,682 ------------------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,052,709,306) $ 3,863,485,797 ==================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. @ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 41 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------------ ------------------ COMMON STOCKS -- (88.7%) * 3Com Corp. 1,041,900 $ 4,626,036 # A.G. Edwards, Inc. 199,100 7,784,810 * Advanced Micro Devices, Inc. 504,800 10,742,144 Aetna, Inc. 539,626 63,951,077 * AGCO Corp. 225,100 4,904,929 * Agere Systems, Inc. Class A 8,652 11,853 * Agere Systems, Inc. Class B 212,364 288,815 # Albertson's, Inc. 538,100 13,613,930 * Allegheny Corp. 17,934 5,067,610 Alliant Energy Corp. 212,900 5,807,912 *# Allied Waste Industries, Inc. 809,800 7,361,082 * Allmerica Financial Corp. 129,700 4,221,735 Allstate Corp. 1,791,600 90,475,800 AMBAC Financial Group, Inc. 23,200 1,886,856 Amerada Hess Corp. 249,532 22,170,918 American Financial Group, Inc. 177,400 5,584,552 # American Greetings Corp. Class A 177,600 4,727,712 American National Insurance Co. 57,800 5,875,370 *# American Tower Corp. 336,000 6,091,680 * AmeriCredit Corp. 395,300 8,277,582 # AmerisourceBergen Corp. 308,900 18,206,566 Anadarko Petroleum Corp. 677,078 47,124,629 * Andrew Corp. 414,900 5,891,580 Apache Corp. 129,990 7,027,259 * Applied Micro Circuits Corp. 213,200 784,576 Archer-Daniels-Midland Co. 2,475,260 52,475,512 * Arrow Electronics, Inc. 308,200 7,560,146 Ashland, Inc. 297,600 17,603,040 # Astoria Financial Corp. 40,500 1,680,750 AT&T Corp. 2,176,380 39,827,754 * AutoNation, Inc. 2,057,600 38,106,752 * Avnet, Inc. 322,600 5,935,840 AVX Corp. 183,300 2,307,747 Bank of Hawaii Corp. 327,500 15,900,125 * Barnes & Noble, Inc. 22,200 601,176 # Bausch & Lomb, Inc. 5,800 341,504 Bear Stearns Companies, Inc. 373,770 36,472,477 Belo Corp. Class A 324,200 8,176,324 *# Big Lots, Inc. 253,500 2,940,600 # Blockbuster, Inc. Class A 83,900 711,472 # Borders Group, Inc. 34,000 774,520 BorgWarner, Inc. 201,600 10,092,096 # Bowater, Inc. 168,400 6,821,884 Burlington Northern Santa Fe Corp. 1,283,000 57,786,320 * Caesars Entertainment, Inc. 845,900 15,902,920 * Cavco Industries, Inc. 11,450 461,435 Cendant Corp. 311,800 7,068,506 * CheckFree Corp. 56,200 2,082,210 Chubb Corp. 428,000 32,617,880 * CIENA Corp. 164,600 419,730 Cincinnati Financial Corp. 579,159 25,946,323 Circuit City Stores, Inc. 531,900 8,292,321 Clear Channel Communications, Inc. 1,630,866 54,927,567 *# CNA Financial Corp. 677,200 17,681,692 Coca-Cola Enterprises, Inc. 1,785,400 37,136,320 * Comcast Corp. Class A 2,806,066 84,294,223 * Comcast Corp. Special Class A Non-Voting 927,100 $ 27,488,515 Commerce Group, Inc. 93,100 5,529,209 Commercial Federal Corp. 98,900 2,880,957 * Compuware Corp. 956,430 5,518,601 * Comverse Technology, Inc. 111,500 2,371,605 ConocoPhillips 220,400 20,054,196 Corn Products International, Inc. 93,200 5,071,944 * Corning, Inc. 998,300 12,558,614 Countrywide Financial Corp. 1,639,998 54,464,334 * COX Communications, Inc. 1,521,400 52,746,938 *# Crown Castle International Corp. 468,900 7,915,032 CSX Corp. 577,800 22,031,514 Cummins, Inc. 33,200 2,643,384 Curtiss-Wright Corp. Class B 27,130 1,582,222 Dana Corp. 510,700 8,349,945 *# Delta Air Lines, Inc. 402,500 2,805,425 # Diamond Offshore Drilling, Inc. 313,641 11,748,992 Dillards, Inc. Class A 247,800 6,239,604 # Disney (Walt) Co. 906,600 24,369,408 # Eastman Chemical Co. 108,200 5,883,916 Electronic Data Systems Corp. 1,070,800 24,039,460 Federated Department Stores, Inc. 618,200 33,877,360 First American Corp. 257,900 8,497,805 First Citizens BancShares, Inc. 10,300 1,401,470 Florida East Coast Industries, Inc. 68,139 2,906,128 Foot Locker, Inc. 175,000 4,546,500 # Ford Motor Co. 4,711,800 66,813,324 * Fox Entertainment Group, Inc. Class A 21,900 643,860 * GameStop Corp. Class B 9,432 200,147 # General Motors Corp. 1,524,800 58,842,032 Georgia-Pacific Corp. 684,200 25,048,562 *# Goodyear Tire & Rubber Co. 203,900 2,573,218 Hartford Financial Services Group, Inc. 793,800 50,803,200 # Hearst-Argyle Television, Inc. 238,600 6,132,020 Helmerich & Payne, Inc. 146,800 4,790,084 Hewlett-Packard Co. 1,407,700 28,154,000 Hibernia Corp. 274,500 7,938,540 Hollinger International, Inc. Class A 257,600 4,824,848 Horton (D.R.), Inc. 818,872 28,832,483 * Human Genome Sciences, Inc. 23,900 262,900 * Humana, Inc. 618,900 15,361,098 *# IAC/InterActiveCorp 1,773,700 43,792,653 IKON Office Solutions, Inc. 329,600 3,717,888 Independence Community Bank Corp. 100,300 4,260,744 * Ingram Micro, Inc. 386,900 7,443,956 * Instinet Group, Inc. 15,200 91,048 International Paper Co. 1,215,775 50,478,978 Intersil Corp. 407,000 6,552,700 * Invitrogen Corp. 124,900 7,556,450 Janus Capital Group, Inc. 587,900 9,729,745 * JDS Uniphase Corp. 1,095,700 3,473,369 JPMorgan Chase & Co. 2,244,400 84,501,660 # Kerr-McGee Corp. 431,426 26,847,640
42
SHARES VALUE+ ------------------ ------------------ # KeyCorp 941,600 $ 31,345,864 # Kraft Foods, Inc. 312,800 10,697,760 * LaBranche & Co., Inc. 19,700 157,797 LaFarge North America, Inc. 257,500 12,913,625 * Laidlaw International, Inc. 17,400 328,860 Lear Corp. 160,900 9,332,200 Lehman Brothers Holdings, Inc. 227,800 19,085,084 *# Level 3 Communications, Inc. 195,500 674,475 * Liberty Media Corp. Class A 7,339,100 75,812,903 * Liberty Media International, Inc. Class A 313,805 13,512,443 Lincoln National Corp. 468,500 21,560,370 Loews Corp. 636,800 44,518,688 # Louisiana-Pacific Corp. 295,100 7,221,097 * LSI Logic Corp. 1,056,200 5,587,298 Lubrizol Corp. 182,000 6,288,100 *# Lucent Technologies, Inc. 1,193,800 4,691,634 # Lyondell Chemical Co. 447,200 12,548,432 Marathon Oil Corp. 961,450 37,919,588 # May Department Stores Co. 446,600 12,558,392 MBIA, Inc. 398,050 23,867,078 McKesson Corp. 653,300 19,305,015 MeadWestavco Corp. 758,431 25,521,203 * Medco Health Solutions, Inc. 690,100 26,030,572 MetLife, Inc. 2,041,200 79,606,800 * Metro-Goldwyn-Mayer, Inc. 288,500 3,415,840 MGIC Investment Corp. 116,900 7,949,200 *# MGM MIRAGE 390,100 22,742,830 *# Micron Technology, Inc. 1,663,300 18,429,364 *# Millennium Pharmaceuticals, Inc. 545,800 6,887,996 Nationwide Financial Services, Inc. 145,900 5,482,922 # New York Community Bancorp Inc. 63,200 1,250,096 Norfolk Southern Corp. 1,537,600 52,785,808 Northrop Grumman Corp. 1,018,042 57,346,306 # Nucor Corp. 30,000 1,587,000 Occidental Petroleum Corp. 650,800 39,184,668 # Odyssey Re Holdings Corp. 50,500 1,219,575 OfficeMax, Inc. 213,400 6,459,618 Old Republic International Corp. 501,412 12,530,286 Overseas Shipholding Group, Inc. 86,500 5,682,185 * Owens-Illinois, Inc. 314,400 6,577,248 *# PacifiCare Health Systems, Inc. 243,400 11,780,560 Peabody Energy Corp. 54,600 4,531,800 Penney (J.C.) Co., Inc. 1,120,000 43,232,000 PepsiAmericas, Inc. 192,000 4,053,120 # Phelps Dodge Corp. 287,085 27,884,566 PMI Group, Inc. 246,300 10,142,634 Pogo Producing Co. 159,700 8,064,850 * Pride International, Inc. 366,700 7,172,652 Principal Financial Group, Inc. 846,200 31,884,816 Protective Life Corp. 177,500 7,428,375 *# Providian Financial Corp. 483,100 7,753,755 Prudential Financial, Inc. 496,300 24,293,885 # Pulte Homes, Inc. 248,400 13,726,584 Questar Corp. 251,000 12,753,310 * Qwest Communications International, Inc. 2,000,600 8,002,400 Radian Group, Inc. 245,200 12,566,500 * Radio One, Inc. 55,000 763,400 Raytheon Co. 1,311,300 52,897,842 # Reinsurance Group of America, Inc. 149,600 6,944,432 # Reynolds American, Inc. 251,326 $ 19,007,785 * Rite Aid Corp. 969,800 3,559,166 # Ryder System, Inc. 275,400 14,772,456 Safeco Corp. 486,400 23,575,808 Saks, Inc. 743,200 10,337,912 * Sanmina-SCI Corp. 1,410,100 12,451,183 SBC Communications, Inc. 430,200 10,828,134 # Sears, Roebuck & Co. 552,600 28,751,778 * Service Corp. International 311,600 2,199,896 * Smithfield Foods, Inc. 157,600 4,578,280 * Smurfit-Stone Container Corp. 669,626 12,026,483 * Solectron Corp. 1,155,300 7,220,625 Sovereign Bancorp, Inc. 781,020 17,065,287 Sprint Corp. 2,161,500 49,303,815 StanCorp Financial Group, Inc. 54,200 4,284,510 Starwood Hotels & Resorts Worldwide, Inc. 573,500 29,988,315 Steelcase, Inc. Class A 49,000 651,700 * Sun Microsystems, Inc. 2,143,700 11,897,535 # Sunoco, Inc. 298,800 24,668,928 Supervalu, Inc. 565,200 17,854,668 * Tech Data Corp. 169,000 7,670,910 Telephone & Data Systems, Inc. 152,000 11,780,000 * Tellabs, Inc. 1,124,800 9,617,040 Temple-Inland, Inc. 131,300 7,824,167 * Tenet Healthcare Corp. 1,285,500 13,947,675 Textron, Inc. 123,000 8,932,260 * The DIRECTV Group, Inc. 481,937 7,706,173 The St. Paul Travelers Companies, Inc. 1,418,426 51,744,180 * Thomas & Betts Corp. 46,900 1,483,916 # Tidewater, Inc. 147,000 4,987,710 * Time Warner, Inc. 8,350,880 147,894,085 Torchmark Corp. 127,200 6,984,552 *# Toys R Us, Inc. 819,300 15,845,262 Transatlantic Holdings, Inc. 9,400 548,396 * Triad Hospitals, Inc. 197,000 7,227,930 Tribune Co. 656,900 28,489,753 Tyson Foods, Inc. Class A 912,556 14,956,793 Union Pacific Corp. 824,200 52,287,248 UnionBanCal Corp. 86,600 5,354,478 * Unisys Corp. 113,200 1,300,668 * United States Cellular Corp. 131,000 5,796,750 # Unitrin, Inc. 223,800 10,661,832 UnumProvident Corp. 913,089 14,216,796 Valero Energy Corp. 686,800 32,135,372 Valhi, Inc. 158,500 2,458,335 *# VeriSign, Inc. 166,300 5,471,270 # Viacom, Inc. Class B 4,105,100 142,446,970 *# Vishay Intertechnology, Inc. 401,316 5,863,227 * Vitesse Semiconductor, Inc. 2,800 9,128 *# Watson Pharmaceuticals, Inc. 289,900 8,421,595 * WebMD Corp. 25,800 187,050 Weis Markets, Inc. 20,800 798,720 Wesco Financial Corp. 13,540 5,216,285 # Weyerhaeuser Co. 665,400 43,916,400 # Worthington Industries, Inc. 133,200 2,865,132 *# Xerox Corp. 75,000 1,149,000 ------------------ TOTAL COMMON STOCKS (Cost $3,052,795,344) 3,892,359,427 ------------------
43
FACE AMOUNT VALUE+ ------------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (11.3%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $462,830,000 U.S. Treasury Note 4.75%, 05/15/14, valued at $478,981,949) to be repurchased at $469,615,320 (Cost $469,590,014) @ $ 469,590 $ 469,590,014 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $24,286,000 FHLMC Notes 4.20%, 10/20/09, valued at $24,390,187) to be repurchased at $24,137,260 (Cost $24,136,000) 24,136 24,136,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $493,726,014) 493,726,014 ------------------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,546,521,358) $ 4,386,085,441 ==================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. @ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 44 THE U.S. SMALL CAP SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------------ ------------------ COMMON STOCKS -- (91.8%) * 1-800 CONTACTS, Inc. 30,578 $ 626,543 * 1-800-FLOWERS.COM, Inc. 67,023 556,291 1st Independence Financial Group, Inc. 1,100 20,735 1st Source Corp. 44,731 1,174,189 # 21st Century Holding Co. 1,650 21,631 21st Century Insurance Group 184,700 2,397,406 * 24/7 Real Media, Inc. 3,180 12,020 * 3-D Systems Corp. 24,600 396,306 * 4Kids Entertainment, Inc. 31,200 637,416 *# 8X8, Inc. 19,200 70,848 *# 99 Cents Only Stores 159,900 2,385,708 * @Road, Inc. 125,400 756,162 * A. B. Watley Group, Inc. 9,400 2,256 * A.C. Moore Arts & Crafts, Inc. 44,800 1,289,792 * A.D.A.M., Inc. 700 2,590 *# aaiPharma, Inc. 47,250 146,002 * Aames Investment Corp. 33 360 * AAON, Inc. 13,100 208,290 * AAR Corp. 74,183 1,014,082 Aaron Rents, Inc. 40,100 972,826 Aaron Rents, Inc. Class A 8,550 187,672 * Abaxis, Inc. 18,300 229,482 ABC Bancorp 8,310 172,017 * Abgenix, Inc. 204,317 2,073,818 * Abiomed, Inc. 50,270 763,099 * Able Laboratories, Inc. 39,700 863,475 * Ablest, Inc. 2,100 15,582 ABM Industries, Inc. 111,600 2,449,620 Abrams Industries, Inc. 200 780 * ABX Air, Inc. 66,600 523,476 * Acacia Research-Acacia Technologies 20,960 95,368 * Acacia Research-CombiMatrix 18,034 60,594 * Accelrys, Inc. 56,300 352,438 *# Access Pharmaceuticals, Inc. 35,600 124,600 * Acclaim Entertainment, Inc. 12,500 121 * Accredited Home Lenders Holding Co. 27,382 1,176,057 * Accredo Health, Inc. 108,400 2,934,388 * ACE Cash Express, Inc. 30,342 809,373 * ACE*COMM Corp. 7,500 16,500 Aceto Corp. 36,950 628,150 * Aclara BioSciences, Inc. 60,271 251,933 * Acme Communications, Inc. 36,700 215,796 Acme United Corp. 3,400 41,310 * ACT Manufacturing, Inc. 800 4 * ACT Teleconferencing, Inc. 27,900 31,527 * Actel Corp. 58,135 997,597 Action Performance Companies, Inc. 42,200 455,338 * ActivCard Corp. 92,943 739,826 * Active Power, Inc. 96,856 440,695 * Actuant Corp. 54,680 2,571,054 * Actuate Corp. 141,900 336,303 Acuity Brands, Inc. 27,700 815,211 Adams Resources & Energy, Inc. 4,200 74,550 * Adaptec, Inc. 239,400 1,867,320 * ADDvantage Technologies Group, Inc. 4,200 22,050 * ADE Corp. 13,300 245,518 * Adept Technology, Inc. 7,000 $ 11,550 * Administaff, Inc. 59,900 892,510 * Adolor Corp. 89,400 1,236,402 * Advanced Digital Information Corp. 146,200 1,342,116 * Advanced Energy Industries, Inc. 75,200 642,960 * Advanced Magnetics, Inc. 12,300 172,815 Advanced Marketing Services, Inc. 42,250 454,187 *# Advanced Medical Optics, Inc. 77,000 3,201,660 * Advanced Neuromodulation Systems, Inc. 46,398 1,674,968 * Advanced Nutraceuticals, Inc. 700 2,450 *# Advanced Photonix, Inc. 9,000 14,940 * Advanced Power Technology, Inc. 22,995 172,692 Advanta Corp. Class A 22,117 494,978 Advanta Corp. Class B Non-Voting 42,042 1,003,963 * Advent Software, Inc. 76,385 1,528,464 Advo, Inc. 70,250 2,466,477 * Aehr Test Systems 7,100 15,478 * AEP Industries, Inc. 13,000 142,220 * AeroCentury Corp. 300 825 * Aeroflex, Inc. 171,250 2,097,812 * Aeropostale, Inc. 100,850 2,874,225 * Aerosonic Corp. 3,900 22,893 * Aether Systems, Inc. 97,242 361,740 * Aetrium, Inc. 9,300 33,480 *# AFC Enterprises, Inc. 39,800 958,384 * Affiliated Managers Group, Inc. 55,050 3,489,069 * Aftermarket Technology Corp. 45,950 800,449 * Agile Software Corp. 120,771 1,009,646 *# Agility Capital, Inc. 5,900 38 Agilysys, Inc. 74,088 1,224,675 * Air Methods Corp. 23,570 171,354 * AirGate PCS, Inc. 5,100 165,597 * AirNet Systems, Inc. 22,200 73,260 * Airspan Networks, Inc. 83,300 457,317 * Airtran Holdings, Inc. 196,800 2,326,176 * AK Steel Holding Corp. 250,200 3,230,082 *# Akamai Technologies, Inc. 82,588 1,069,515 *# Akorn, Inc. 19,500 81,120 *# Aksys, Ltd. 67,191 444,133 Alabama National Bancorporation 38,689 2,446,305 Alamo Group, Inc. 12,500 261,250 * Alaska Air Group, Inc. 68,000 2,123,640 * Alaska Communications Systems Group, Inc. 22,200 190,698 Albany International Corp. Class A 68,872 2,303,768 * Albany Molecular Research, Inc. 71,360 764,979 Albemarle Corp. 78,881 3,142,619 * Alderwoods Group, Inc. 6,000 63,480 Aldila, Inc. 4,633 60,275 Alexander & Baldwin, Inc. 72,795 3,079,956 * Alexion Pharmaceuticals, Inc. 63,500 1,313,180 Alfa Corp. 184,078 2,788,782 * Alico, Inc. 7,000 390,320 * Align Technology, Inc. 135,310 1,430,227 * Alkermes, Inc. 206,211 2,843,650 * All American Semiconductor, Inc. 4,000 24,400 Allegheny Technologies, Inc. 130,813 2,877,886
45
SHARES VALUE+ ------------------ ------------------ Allen Organ Co. Class B 800 $ 52,308 ALLETE, Inc. 68,000 2,475,200 * Alliance Gaming Corp. 117,360 1,418,882 * Alliance Imaging, Inc. 111,000 1,043,400 * Alliance Semiconductor Corp. 79,000 276,500 * Allied Defense Group, Inc. 12,400 253,952 * Allied Healthcare International, Inc. 36,000 193,680 * Allied Healthcare Products, Inc. 6,700 41,473 * Allied Holdings, Inc. 8,300 21,289 * Allied Motion Technologies, Inc. 2,900 19,868 * Allmerica Financial Corp. 27,600 898,380 * Allos Therapeutics, Inc. 61,410 128,961 * Allou HealthCare, Inc. Class A 100 0 * Alloy, Inc. 71,200 320,400 * Allscripts Healthcare Solutions, Inc. 91,149 897,818 * Almost Family, Inc. 1,600 19,680 * Alpha Technologies Group, Inc. 7,100 7,100 Alpharma, Inc. Class A 93,400 1,551,374 Alpine Group, Inc. 13,500 29,025 * Alteon, Inc. 61,700 51,211 * Altiris, Inc. 61,300 1,716,400 Ambassadors Group, Inc. 9,800 340,844 Ambassadors International, Inc. 9,800 134,652 * AMC Entertainment, Inc. 64,200 1,240,986 * Amcast Industrial Corp. 8,500 4,675 AMCOL International Corp. 67,500 1,363,500 Amcore Financial, Inc. 57,060 1,856,162 * Amedisys, Inc. 33,393 1,099,298 * AMEN Properties, Inc. 1,975 7,702 * Amerco, Inc. 13,900 571,985 * America Services Group, Inc. 24,758 620,188 *# America West Holdings Corp. Class B 80,800 469,448 * American Banknote Corp. 88 12 * American Biltrite, Inc. 3,400 40,460 *# American Business Financial Services, Inc. 5,074 17,658 * American Claims Evaluation, Inc. 1,000 2,430 * American Dental Partners, Inc. 10,500 192,255 American Ecology Corp. 14,350 173,348 American Greetings Corp. Class A 83,900 2,233,418 *# American Healthways, Inc. 75,600 2,521,260 * American Independence Corp. 8,400 124,152 # American Italian Pasta Co. 40,100 772,326 * American Locker Group, Inc. 300 3,855 * American Medical Security Group, Inc. 27,400 885,842 * American Medical Systems Holdings, Inc. 77,433 2,954,843 American Pacific Corp. 7,100 59,285 * American Physicians Capital, Inc. 19,400 646,214 American Physicians Services Group, Inc. 100 1,015 * American Retirement Corp. 56,600 449,970 * American Science & Engineering, Inc. 17,200 635,712 American Shared Hospital Services 5,100 26,877 American Software, Inc. Class A 46,205 274,920 American States Water Co. 38,350 997,483 * American Superconductor Corp. 63,799 883,361 * American Technical Ceramics Corp. 8,000 80,080 # American Vanguard Corp. 621 23,753 * American West Bancorporation 3,552 74,592 American Woodmark Corp. 37,876 1,523,751 Americana Bancorp 2,712 $ 42,443 * America's Car-Mart, Inc. 18,000 660,600 *# AMERIGROUP Corp. 49,500 3,415,500 * AmeriServe Financial, Inc. 29,200 151,840 Ameristar Casinos, Inc. 62,362 2,510,070 Ameron International Corp. 18,600 706,428 AmerUs Group Co. 46,844 2,040,993 * Amistar Corp. 1,600 5,440 * Amkor Technology, Inc. 151,073 830,901 * AML Communications, Inc. 7,800 7,098 * AMN Healthcare Services, Inc. 65,100 1,041,600 Ampco-Pittsburgh Corp. 9,600 129,312 * Ampex Corp. Class A 5,925 67,545 *# AMR Corp. 82,700 746,781 Amrep Corp. 6,500 115,635 * Amsurg Corp. 69,833 1,795,419 * Amtech Systems, Inc. 1,900 8,075 * AMX Corp. 11,000 194,150 *# Anadigics, Inc. 69,900 235,563 * Analex Corp. 29,000 117,450 Analogic Corp. 29,400 1,332,408 * Analysts International Corp. 52,200 174,870 *# Analytical Surveys, Inc. 730 1,905 * Anaren, Inc. 44,500 597,813 Anchor Bancorp Wisconsin, Inc. 53,040 1,549,298 Andersons, Inc. 8,200 187,616 * Andrx Group 2,600 46,280 * Angeion Corp. 215 555 Angelica Corp. 16,100 408,135 * Angelo & Maxie's, Inc. 2,016 1,502 * AngioDynamics, Inc. 7,332 117,312 * Anika Therapeutics, Inc. 9,900 93,555 # Anixter International, Inc. 81,400 3,071,222 * Ansoft Corp. 29,635 534,023 * AnswerThink, Inc. 100,625 453,819 * Ansys, Inc. 71,200 2,185,128 * Anteon International Corp. 82,400 3,050,448 * Anthony & Sylvan Pools Corp. 3,768 20,159 *# Antigenics, Inc. 104,613 985,454 * AP Pharma, Inc. 45,823 56,821 * APA Enterprises, Inc. 11,800 25,488 * APAC Customer Services, Inc. 106,450 180,965 * Aphton Corp. 86,739 286,239 Apogee Enterprises, Inc. 62,815 915,843 *# Apogee Technology, Inc. 5,400 20,628 * Applera Corp. - Celera Genomics Group 2,900 40,832 * Applica, Inc. 55,400 279,770 * Applied Extrusion Technologies, Inc. 21,500 3,655 * Applied Films Corp. 33,261 737,064 * Applied Imaging Corp. 15,100 6,946 Applied Industrial Technologies, Inc. 43,100 1,795,115 * Applied Innovation, Inc. 15,100 54,058 * Applied Micro Circuits Corp. 133,400 490,912 Applied Signal Technologies, Inc. 25,700 975,572 * Applix, Inc. 26,500 117,395 * Apria Healthcare Group, Inc. 55,300 1,696,051 * Apropos Technology, Inc. 36,800 110,032 Aptargroup, Inc. 38,500 2,023,175 * aQuantive, Inc. 141,025 1,225,507 * Aquila, Inc. 533,900 1,868,650
46
SHARES VALUE+ ------------------ ------------------ * Aradigm Corp. 82,790 $ 125,841 * Arch Capital Group, Ltd. 5,900 229,805 Arch Chemicals, Inc. 53,822 1,571,602 Arctic Cat, Inc. 32,230 860,863 *# Ardent Communications, Inc. 12,900 19 * Arena Pharmaceuticals, Inc. 56,778 317,962 * ARGON ST, Inc. 14,214 367,574 * Argonaut Group, Inc. 61,101 1,214,688 * Argonaut Technologies, Inc. 11,600 10,788 * Argosy Gaming Corp. 64,800 3,017,088 * Ariad Pharmaceuticals, Inc. 120,706 696,474 * Ariba, Inc. 145,121 2,394,496 Ark Restaurants Corp. 2,700 81,135 Arkansas Best Corp. 57,300 2,470,776 * Arlington Hospitality, Inc. 4,900 14,210 * Armor Holdings, Inc. 72,100 3,112,557 *# Armstrong Holdings, Inc. 4,400 11,440 *# Arotech Corp. 90,691 159,616 * Arqule, Inc. 64,374 356,632 * Array BioPharma, Inc. 66,103 552,621 # Arrhythmia Research Technology, Inc. 5,800 146,740 * Arris Group, Inc. 200,000 1,138,000 Arrow Financial Corp. 10,239 328,774 Arrow International, Inc. 100,700 3,045,168 * Art Technology Group, Inc. 121,085 134,404 Artesian Resources Corp. Class A 1,815 52,726 * Artesyn Technologies, Inc. 82,300 783,496 * Arthrocare Corp. 49,692 1,504,177 * Artisan Components, Inc. 43,700 1,507,650 *# Artisoft, Inc 2,400 5,760 * Art's-Way Manufacturing Co., Inc. 200 1,220 * ASA International. Ltd. 640 2,931 ASB Financial Corp. 1,000 22,250 * Asbury Automotive Group, Inc. 143,200 1,987,616 * Ascential Software Corp. 66,079 903,300 * Ashworth, Inc. 30,071 272,143 * Ask Jeeves, Inc. 83,900 2,167,976 * Aspect Communications Corp. 136,183 1,477,586 * Aspect Medical Systems, Inc. 47,000 1,146,800 * Aspen Technology, Inc. 92,664 534,671 Associated Banc-Corp 12,348 410,324 * Astea International, Inc. 2,900 20,793 * Astec Industries, Inc. 44,700 743,808 Astro-Med, Inc. 9,830 88,775 * Astronics Corp. 5,500 27,225 * Astronics Corp. Class B 2,225 11,069 *# AstroPower, Inc. 6,550 62 * ASV, Inc. 29,016 1,216,641 * Asyst Technologies, Inc. 104,400 434,304 *# ATA Holdings Corp. 24,879 27,367 * Atari, Inc. 218,209 495,334 *# AtheroGenics, Inc. 85,200 2,020,092 * Atlantic American Corp. 21,100 63,300 * Atlantic Premium Brands, Ltd. 2,000 2,400 * Atlantis Plastics, Inc. 4,400 72,820 * ATMI, Inc. 72,133 1,660,502 Atmos Energy Corp. 73,600 1,986,464 * ATP Oil & Gas Corp. 56,500 805,125 Atrion Corp. 1,700 76,874 * ATS Medical, Inc. 8,200 32,554 * Atwood Oceanics, Inc. 34,600 1,814,078 * Audiovox Corp. Class A 44,900 $ 671,255 * August Technology Corp. 40,900 345,605 * Ault, Inc. 4,500 14,220 * Aura Systems, Inc. 5,295 201 *# Authentidate Holding Corp. 75,700 525,358 * autobytel.com, Inc. 91,700 667,576 * Avalon Holding Corp. Class A 1,550 4,805 * Avanex Corp. 320,595 993,844 * AVANIR Pharmaceuticals Class A 216,500 738,265 * Avant Immunotherapeutics, Inc. 141,134 261,098 * Avatar Holdings, Inc. 8,700 411,249 Avatech Solutions, Inc 1,851 648 *# AVI BioPharma, Inc. 75,600 164,808 * Aviall, Inc. 74,500 1,694,130 * Avici Systems, Inc. 27,943 199,792 * Avid Technology, Inc. 45,100 2,573,857 * Avigen, Inc. 46,864 161,681 Avista Corp. 111,400 1,982,920 * Avocent Corp. 52,600 1,995,118 * AVTEAM, Inc. Class A 200 0 * Aware, Inc. 49,159 241,371 * Axcelis Technologies, Inc. 219,900 1,605,270 * Axesstel, Inc. 6,200 23,560 * AXM Pharma, Inc. 2,300 5,290 * Axonyx, Inc. 1,300 9,568 * AXS-One, Inc. 64,600 183,464 * Axsys Technologies, Inc. 7,050 127,464 * AXT, Inc. 38,700 65,790 * Aztar Corp. 79,600 2,692,072 * AZZ, Inc. 8,200 125,050 Badger Meter, Inc. 3,200 182,912 * Badger Paper Mills, Inc. 1,000 4,240 Bairnco Corp. 7,300 85,410 * Baker (Michael) Corp. 7,600 142,880 Balchem Corp. 4,700 144,807 Baldor Electric Co. 75,733 2,088,716 Baldwin & Lyons, Inc. Class B 12,625 328,250 * Baldwin Technology Co., Inc. Class A 13,300 40,964 * Ballantyne of Omaha, Inc. 11,900 51,051 *# Bally Total Fitness Holding Corp. 78,200 260,406 * Bancinsurance Corp. 5,700 42,294 Bandag, Inc. 20,100 1,002,387 Bandag, Inc. Class A 9,600 437,568 Bank of Granite Corp. 16,400 355,880 Bank of The Ozarks, Inc. 15,200 541,880 BankAtlantic Bancorp, Inc. Class A 11,285 214,415 * Bankrate, Inc. 7,000 111,720 * BankUnited Financial Corp. Class A 69,175 2,126,439 Banner Corp. 25,751 850,298 Banta Corp. 57,300 2,549,850 Barnes Group, Inc. 53,200 1,392,776 Barnwell Industries, Inc. 400 21,180 * Barrett Business Services, Inc. 5,800 87,058 * Barry (R.G.) Corp. 9,500 33,250 Bassett Furniture Industries, Inc. 26,099 514,411 Bay View Capital Corp. 14,455 248,626 * BayCorp Holdings, Ltd. 484 6,123 * BE Aerospace, Inc. 103,510 1,096,895 * Beasley Broadcast Group, Inc. 16,698 293,050 # Beazer Homes USA, Inc. 12,553 1,556,572 Bebe Stores, Inc. 85,400 3,098,312
47
SHARES VALUE+ ------------------ ------------------ BEI Technologies, Inc. 34,000 $ 997,900 Bel Fuse, Inc. Class A 2,600 76,180 Bel Fuse, Inc. Class B 5,250 179,707 Belden CDT, Inc. 83,439 1,934,950 * Bell Industries, Inc. 8,900 25,899 * Bell Microproducts, Inc. 63,600 543,780 * Benchmark Electronics, Inc. 89,000 3,119,450 * Benihana, Inc. 1,000 14,250 * Benihana, Inc. Class A 150 2,115 * Bentley Pharmaceuticals, Inc. 47,860 422,125 Berry Petroleum Corp. Class A 48,400 2,240,920 * Beverly Enterprises, Inc. 248,700 2,156,229 Beverly Hills Bancorp, Inc. 437 4,331 * BFC Financial Corp. 1,300 14,664 * Big 4 Ranch, Inc. 3,200 0 * Big City Radio, Inc. 3,400 399 * Big Dog Holdings, Inc. 1,500 9,420 *# Big Lots, Inc. 16,400 190,240 * BindView Development Corp. 107,800 382,690 * Bioanalytical Systems, Inc. 4,600 24,150 * BioCryst Pharmaceuticals, Inc. 49,900 329,340 * Bioenvision, Inc. 64,800 667,440 * Bio-Imaging Technologies, Inc. 24,300 105,705 # BioLase Technology, Inc. 55,808 504,504 * Bio-Logic Systems Corp. 4,200 34,272 * BioMarin Pharmaceutical, Inc. 148,085 789,293 * Bio-Rad Laboratories, Inc. Class A 20,000 1,134,000 * Bio-Reference Laboratories, Inc. 28,746 472,009 * BioSante Pharmaceuticals, Inc. 41,400 416,898 *# Biosite, Inc. 36,545 2,035,191 * Biosource International, Inc. 9,600 63,168 * Biospecifics Technologies Corp. 4,500 7,425 * BioSphere Medical, Inc. 32,800 101,680 * BioTime, Inc. 11,000 14,520 * Bioveris Corp. 30,900 190,962 * Bitstream, Inc. 8,400 24,360 BIW, Ltd. 800 15,720 * BJ's Restaurants, Inc. 45,344 678,346 Black Box Corp. 39,400 1,681,592 Black Hills Corp. 74,659 2,292,778 Blair Corp. 18,000 630,000 # Blockbuster, Inc. Class A 119,800 1,015,904 * Blonder Tongue Laboratories, Inc. 9,800 46,550 * Blount International, Inc. 89,200 1,554,756 * Blue Coat Systems, Inc. 25,886 432,037 * Blue Martini Software, Inc. 26,600 73,921 * Bluegreen Corp. 59,865 951,853 Blyth, Inc. 94,100 2,758,071 * BNS Co. Class A 4,120 27,398 Bob Evans Farms, Inc. 79,438 2,005,809 * Boca Resorts, Inc. 84,545 2,024,007 * Bogen Communications International, Inc. 12,500 61,562 * Bolt Technology Corp. 5,400 28,296 * Bombay Co., Inc. 82,400 570,208 * Bone Care International, Inc. 44,709 1,042,614 * Bontex, Inc. 200 52 Bon-Ton Stores, Inc. 29,617 414,638 *# Bookham, Inc. 12,447 66,716 Books-A-Million, Inc. 18,300 168,726 * Borland Software Corp. 185,000 2,162,650 Boston Acoustics, Inc. 4,600 $ 63,250 * Boston Beer Co., Inc. Class A 22,100 481,338 * Boston Communications Group, Inc. 39,700 353,330 Boston Private Financial Holdings, Inc. 62,900 1,703,961 BostonFed Bancorp, Inc. 4,300 188,727 * Bottomline Technologies, Inc. 40,306 471,580 Bowne & Co., Inc. 81,100 1,248,940 * Boyds Collection, Ltd. 123,017 431,790 * Bradley Pharmaceuticals, Inc. 37,051 655,803 Brady Co. Class A 49,200 3,006,120 * Breed Technologies, Inc. 36,800 515 Bridgford Foods Corp. 10,400 88,036 * Brigham Exploration Co. 96,446 901,770 * Bright Horizons Family Solutions, Inc. 6,600 414,150 * Brightpoint, Inc. 41,400 791,154 * BrightStar Information Technology Group, Inc. 10,700 214 * Brillian Corp. 7,049 21,711 * Brilliant Digital Entertainment, Inc. 5,400 324 *# BriteSmile, Inc. 785 5,440 * Broadview Media, Inc. 200 1,280 *# BroadVision, Inc. 71,877 165,317 *# Broadwing Corp. 2,700 17,928 *# Brocade Communications Systems, Inc. 99,500 689,535 # Brookline Bancorp, Inc. 136,055 2,204,091 * Brooks Automation, Inc. 102,439 1,572,439 * Brookstone, Inc. 46,792 856,294 * Brooktrout, Inc. 29,907 366,660 Brown Shoe Company, Inc. 41,800 1,192,136 * Bruker BioSciences Corp. 194,472 896,516 * Brush Engineered Materials, Inc. 43,600 850,200 Bryn Mawr Bank Corp. 1,600 31,872 * BSQUARE Corp. 500 570 * BTU International, Inc. 12,900 38,442 * Buca, Inc. 44,571 267,426 * Buckeye Technologies, Inc. 85,883 1,064,090 Buckle, Inc. 30,000 924,000 Building Materials Holding Corp. 31,198 1,137,167 * Bull Run Corp. 3,700 1,369 Burlington Coat Factory Warehouse Corp. 101,949 2,376,431 * Bush Industries, Inc. Class A 700 59 * Butler International, Inc. 8,400 38,472 C&D Technologies, Inc. 58,300 1,010,339 C&F Financial Corp. 300 11,871 * C-COR, Inc. 99,000 886,050 *# C-Phone Corp. 8,900 116 * Cabot Microelectronics Corp. 57,000 2,106,150 Cabot Oil & Gas Corp. 65,800 3,183,404 * Cache, Inc. 35,950 593,534 * CACI International, Inc. Class A 5,700 354,141 Cadmus Communications Corp. 8,900 123,541 * Cagle's, Inc. Class A 2,000 22,020 * Cal Dive International, Inc. 80,000 3,444,800 * CalAmp Corp. 50,728 485,467 Calavo Growers, Inc. 26,043 304,964 Calgon Carbon Corp. 89,800 839,630 * California Coastal Communities, Inc. 10,000 222,900 California First National Bancorp 10,400 137,790 * California Micro Devices Corp. 49,400 429,780
48
SHARES VALUE+ ------------------ ------------------ * California Pizza Kitchen, Inc. 44,100 $ 1,104,705 California Water Service Group 42,200 1,475,734 * Caliper Life Sciences, Inc. 67,924 474,789 Callaway Golf Co. 173,000 2,034,480 * Callidus Software 32,000 145,280 * Callon Petroleum Co. 39,762 557,066 * Calloway's Nursery, Inc. 1,200 420 # Cal-Maine Foods, Inc. 49,100 649,495 *# Calpine Corp. 17,500 67,900 * Calton, Inc. 4,480 1,613 * CAM Commerce Solutions, Inc. 3,000 48,357 Cambrex Corp. 60,000 1,488,000 Camco Financial Corp. 7,516 114,469 * CancerVax Corp. 64,300 608,921 * Candela Corp. 51,710 505,724 * Candie's, Inc. 62,574 291,595 * Candlewood Hotel Co., Inc. 1,500 86 * Cannon Express, Inc. 200 0 * Cannondale Corp. 300 19 * Cantel Medical Corp. 22,440 672,302 * Canterbury Consulting Group, Inc. 1,571 677 * Canyon Resources Corp. 63,900 77,319 Capital Corp. of the West 5,046 259,819 * Capital Crossing Bank 11,800 315,178 * Capital Pacific Holdings, Inc. 14,500 57,637 * Capital Senior Living Corp. 58,900 305,691 Capital Southwest Corp. 300 23,640 Capitol Bancorp, Ltd. 8,564 297,171 * Caprius, Inc. 548 82 * Capstone Turbine Corp. 78,300 146,421 * Captaris, Inc. 69,100 339,281 * Captiva Software Corp. 4,400 43,032 * Caraco Pharmaceutical Laboratories, Ltd. 56,350 411,355 * Caraustar Industries, Inc. 64,684 1,040,766 CARBO Ceramics, Inc. 36,700 2,851,590 * Cardiac Sciences, Inc. 144,900 307,188 * Cardima, Inc. 1,300 481 * Cardinal Financial Corp. 12,705 127,304 * CardioDynamics International Corp. 112,034 511,995 * CardioGenesis Corp. 1,800 738 *# Cardiotech International, Inc. 40,663 114,263 * Career Blazers, Inc. Trust Units 800 0 Carmike Cinemas, Inc. 27,828 1,041,880 Carpenter Technology Corp. 54,700 3,197,215 * Carreker Corp. 21,871 184,591 * Carriage Services, Inc. 38,900 195,667 * Carrier Access Corp. 77,789 702,435 * Carrington Laboratories, Inc. 9,800 45,178 * Carrizo Oil & Gas, Inc. 14,100 136,347 Cascade Corp. 28,000 898,520 Cascade Natural Gas Corp. 25,900 553,742 * Casella Waste Systems, Inc. Class A 53,549 809,125 Casey's General Stores, Inc. 115,110 2,229,681 Cash America International, Inc. 65,100 1,669,815 * Castle (A.M.) & Co. 15,437 196,359 Castle Energy Corp. 11,700 147,420 * Casual Male Retail Group, Inc. 78,700 339,984 * Catalina Lighting, Inc. 1,760 15,840 Catalina Marketing Corp. 111,300 3,127,530 * Catalyst Semiconductor, Inc. 41,940 249,962 * Catalytica Energy Systems, Inc. 19,891 $ 41,771 * Catapult Communications Corp. 33,091 898,090 Cato Corp. Class A 46,600 1,243,288 * Cavalier Homes, Inc. 39,360 217,661 # Cavalry Bancorp, Inc. 500 10,644 * Cavco Industries, Inc. 3,852 155,236 CCA Industries, Inc. 15,166 166,826 * CCC Information Services Group, Inc. 56,648 1,183,943 * CD Warehouse, Inc. 3,300 6 * CD&L, Inc. 2,600 4,368 CDI Corp. 43,600 842,352 * CEC Entertainment Inc. 76,950 3,131,095 * Celadon Group, Inc. 21,500 460,100 * Celebrity, Inc. Escrow Shares 1,300 0 Celeritek, Inc. 29,000 104,690 * Cell Genesys, Inc. 94,552 694,012 *# Cell Therapeutics, Inc. 116,400 870,672 * Cellegy Pharmaceuticals, Inc. 53,521 264,929 * CellStar Corp. 43,048 157,125 * Centene Corp. 47,200 2,525,200 * Centennial Communications Corp. 49,800 329,178 Center Bancorp, Inc. 1,890 24,343 Center Financial Corp. 12,960 266,846 * Centillium Communications, Inc. 83,989 211,652 * Centra Software, Inc. 45,500 98,726 Central Bancorp, Inc. 1,600 49,560 * Central European Distribution Corp. 37,627 989,214 * Central Garden & Pet Co. 42,600 1,648,620 Central Pacific Financial Corp. 64,500 2,156,235 Central Parking Corp. 80,537 1,222,552 Central Vermont Public Service Corp. 27,900 629,982 * Century Aluminum Co. 73,590 1,885,376 Century Bancorp, Inc. Class A 1,000 31,060 * Century Business Services, Inc. 165,357 711,035 *# Cenuco, Inc. 27,800 202,384 * Cenveo, Inc. 108,100 344,839 * Cepheid, Inc. 96,406 887,899 * Ceradyne, Inc. 37,150 1,835,210 CERBCO, Inc. Class A 200 1,908 * Ceres Group, Inc. 73,995 369,975 *# Cerner Corp. 25,573 1,348,209 * Cerus Corp. 50,900 132,849 * CEVA, Inc. 13,363 107,171 CFS Bancorp, Inc. 23,720 326,862 CH Energy Group, Inc. 36,300 1,686,861 * Chad Therapeutics, Inc. 10,000 45,300 *# Champion Enterprises, Inc. 164,700 1,890,756 Champion Industries, Inc. 9,674 36,277 * Championship Auto Racing Teams, Inc. 8,900 1,255 * Champps Entertainment, Inc. 28,340 225,020 * Channell Commercial Corp. 6,600 49,500 * Charles and Colvard, Ltd. 30,500 290,939 * Charles River Associates, Inc. 9,000 388,260 * Charles River Laboratories International, Inc. 22,342 1,044,488 * Charlotte Russe Holding, Inc. 49,700 579,005 * Charming Shoppes, Inc. 264,873 2,476,563 *# Chart Industries, Inc. 23 1,081 *# Charter Communications, Inc. 477,985 1,032,448 Charter Financial Corp. 22,811 933,198
49
SHARES VALUE+ ------------------ ------------------ Chase Corp. 4,000 $ 62,600 * Chattem, Inc. 45,500 1,648,010 * Chaus (Bernard), Inc. 1,300 1,170 * Checkers Drive-In Restaurants, Inc. 25,907 320,729 * Checkpoint Systems, Inc. 86,400 1,594,944 Chemed Corp. 28,600 1,774,344 Chemical Financial Corp. 55,099 2,308,648 *# Cheniere Energy, Inc. 43,900 2,496,154 Cherokee, Inc. 8,100 238,140 Chesapeake Corp. 44,102 1,190,313 Chesapeake Utilities Corp. 12,600 326,340 Chester Valley Bancorp, Inc. 603 12,892 Chicago Rivet & Machine Co. 200 5,384 * chinadotcom Corp. Class A 4,282 18,884 * Chiquita Brands International, Inc. 93,896 1,857,263 Chittenden Corp. 106,153 3,129,390 * Cholestech Corp. 32,700 261,600 * Chordiant Software, Inc. 162,100 332,305 Christopher & Banks Corp. 82,213 1,622,062 *# ChromaVision Medical Systems, Inc. 20,200 34,340 * Chromcraft Revington, Inc. 6,000 75,060 * Chronimed, Inc. 24,201 159,485 Churchill Downs, Inc. 14,400 668,880 *# Chyron Corp. 33,400 18,370 * Ciber, Inc. 138,612 1,293,250 * CIENA Corp. 66,100 168,555 * Cimarex Energy Co. 14,004 562,681 * Cincinnati Bell, Inc. 564,100 2,030,760 * Ciphergen Biosystems, Inc. 67,103 216,072 * Ciprico, Inc. 4,900 20,335 CIRCOR International, Inc. 34,990 729,541 * Cirrus Logic, Inc. 194,018 1,150,527 Citizens Banking Corp. 78,033 2,738,958 Citizens South Banking Corp. 17,229 225,700 *# Citizens, Inc. 85,085 548,804 City Holding Co. 38,184 1,409,753 * CKE Restaurants, Inc. 132,700 1,660,077 Clarcor, Inc. 58,800 3,088,176 * Clark, Inc. 42,824 713,020 * Clarus Corp. 33,800 293,215 * Clayton Williams Energy, Inc. 9,200 210,588 * Clean Harbors, Inc. 32,400 405,972 * ClearOne Communications, Inc. 11,000 46,475 Cleco Corp. 108,300 2,144,340 # Cleveland-Cliffs, Inc. 23,500 2,277,150 Clinical Data, Inc. 1,787 22,749 * Closure Medical Corp. 33,027 587,550 * CMGI, Inc. 66,700 102,051 * CMS Energy Corp. 273,775 2,792,505 * CNA Surety Corp. 74,718 975,817 * CNE Group, Inc. 2,000 800 *# CNET Networks, Inc. 330,100 3,076,532 CNS, Inc. 31,520 380,446 Coachmen Industries, Inc. 36,100 580,127 * Coast Dental Services, Inc. 2,066 7,231 Coast Distribution System 5,600 38,080 * Coastcast Corp. 7,600 17,404 CoBiz, Inc. 12,825 282,150 * Cobra Electronics Corp. 6,100 49,410 Coca-Cola Bottling Co. Consolidated 6,000 314,520 * Coeur d'Alene Mines Corp. 490,500 2,251,395 * Cogent Communications Group, Inc. 6,713 $ 5,303 Cognex Corp. 105,800 2,729,640 * Cognitronics Corp. 4,250 13,515 * Coherent, Inc. 69,078 1,995,663 Cohu, Inc. 49,013 821,458 * Coinstar, Inc. 49,300 1,282,786 * Coldwater Creek, Inc. 35,775 937,305 * Collagenex Pharmaceuticals, Inc. 33,000 188,100 * Collins & Aikman Corp. 186,360 661,578 Collins Industries, Inc. 7,000 41,160 Columbia Banking System, Inc. 32,787 832,462 * Columbia Laboratories, Inc. 91,900 178,286 * Columbus McKinnon Corp. 34,300 271,313 * Comarco, Inc. 10,200 82,620 * Comdial Corp. 600 690 * Comforce Corp. 13,277 30,803 * Comfort Systems USA, Inc. 89,100 641,520 Commerce Group, Inc. 26,100 1,550,079 *# Commerce One, Inc. 51,000 8,287 Commercial Bancshares, Inc. 5,665 213,854 Commercial Capital Bancorp, Inc. 34,625 826,152 Commercial Federal Corp. 89,900 2,618,787 Commercial Metals Co. 67,200 3,046,848 Commercial National Financial Corp. 3,200 75,200 * Commonwealth Industries, Inc. 28,815 377,188 * Commonwealth Telephone Enterprises, Inc. 48,400 2,355,144 * CommScope, Inc. 124,400 2,403,408 Communications Systems, Inc. 8,200 95,776 Community Bank System, Inc. 70,300 1,947,310 Community Bankshares, Inc. 210 3,828 Community Trust Bancorp, Inc. 15,103 505,648 Community West Bancshares 5,500 58,025 * Competitive Technologies, Inc. 6,100 42,395 * Compex Technologies, Inc. 27,454 134,525 * CompuCredit Corp. 105,656 2,532,574 *# Compudyne Corp. 17,704 125,716 * Computer Horizons Corp. 37,400 142,120 * Computer Network Technology Corp. 59,600 339,720 Computer Programs & Systems, Inc. 24,100 520,560 * Computer Task Group, Inc. 37,600 136,864 * CompX International, Inc. 5,100 81,855 * Comstock Resources, Inc. 79,900 1,734,629 * Comtech Telecommunications Corp. 32,700 1,029,396 # Concepts Direct, Inc. 700 392 * Conceptus, Inc. 58,836 525,405 * Concord Camera Corp. 52,056 137,428 * Concord Communications, Inc. 42,100 391,109 * Concur Technologies, Inc. 75,632 710,941 * Concurrent Computer Corp. 106,000 201,400 * Conexant Systems, Inc. 226,933 451,597 * Congoleum Corp. Class A 3,600 20,448 * Conmed Corp. 68,654 1,988,906 Connecticut Water Services, Inc. 7,600 211,508 * Connetics Corp. 81,700 1,708,347 * Conrad Industries, Inc. 7,200 13,320 * Consolidated Freightways Corp. 550 1 * Consolidated Graphics, Inc. 31,382 1,484,369 Consolidated-Tokoma Land Co. 6,100 244,732 * Constar International, Inc. 20,900 125,400 * Consumer Portfolio Services, Inc. 3,300 14,322
50
SHARES VALUE+ ------------------ ------------------ *# Continental Airlines, Inc. 152,900 $ 1,703,306 * Continental Materials Corp. 200 5,320 * Convera Corp. 78,426 365,465 * Convergence Systems, Inc. 1 45 *# Cooker Restaurant Corp. 6,500 23 Cooper Tire & Rubber Co. 83,900 1,713,238 Cooperative Bankshares, Inc. 1,400 38,640 * Copart, Inc. 74,032 1,599,091 *# Copper Mountain Networks, Inc. 15,010 47,116 * Corautus Genetics, Inc. 1,542 8,404 * Core Molding Technologies, Inc. 7,700 20,559 * Corillian Corp. 87,677 509,403 * Corinthian Colleges, Inc. 137,000 2,387,225 * Corio, Inc. 108,600 180,276 *# Corixa Corp. 128,288 481,080 Corn Products International, Inc. 47,600 2,590,392 * Cornell Companies, Inc. 30,300 443,895 * Correctional Services Corp. 20,512 57,023 * Corrections Corporation of America 80,900 3,195,550 * Corrpro Companies, Inc. 7,275 8,366 Corus Bankshares, Inc. 64,044 3,117,021 * Corvel Corp. 10,900 345,748 * Cosine Communications, Inc. 22,621 69,446 * Cost Plus, Inc. 50,275 1,597,739 * CoStar Group, Inc. 41,911 1,835,702 * Cost-U-Less, Inc. 3,000 17,730 Cotton States Life Insurance Co. 6,330 127,233 Courier Corp. 4,275 216,229 * Covansys Corp. 48,200 648,772 * Covenant Transport, Inc. Class A 28,030 538,737 * Covista Communications, Inc. 3,000 5,940 CPAC, Inc. 5,120 26,470 * CPI Aerostructures, Inc. 11,866 122,220 CPI Corp. 11,200 158,480 Craftmade International, Inc. 11,300 200,010 Crawford & Co. Class A 27,300 204,750 Crawford & Co. Class B 25,300 198,605 * Cray, Inc. 189,048 663,558 * Credence Systems Corp. 202,147 1,544,403 * Credit Acceptance Corp. 90,319 2,235,395 * Critical Path, Inc. 33,200 36,520 * Criticare Systems, Inc. 25,400 67,564 Crompton Corp. 263,600 2,954,956 * Cross (A.T.) Co. Class A 14,700 69,972 * Cross Country Healthcare, Inc. 71,557 1,270,137 * Crossroads Systems, Inc. 42,500 57,375 * Crown Andersen, Inc. 1,000 1,400 * Crown Financial Group, Inc. 4,200 1,386 * Crown Holdings, Inc. 14,400 184,320 * Crown Media Holdings, Inc. 168,253 1,490,722 *# CryoLife, Inc. 53,600 381,632 * CSG Systems International, Inc. 117,432 2,133,739 * CSK Auto Corp. 104,100 1,596,894 * CSP, Inc. 3,500 30,800 CSS Industries, Inc. 12,900 414,477 CT Communications, Inc. 41,560 549,839 * CTI Molecular Imaging, Inc. 23,500 314,430 CTS Corp. 82,659 1,104,324 Cubic Corp. 61,500 1,568,250 * Cubist Pharmaceuticals, Inc. 92,725 1,112,700 * Culp, Inc. 25,400 152,908 * Cumulus Media, Inc. Class A 131,893 $ 2,015,325 * CUNO, Inc. 39,008 2,556,194 * CuraGen Corp. 115,160 694,415 * Curative Health Services, Inc. 27,900 159,309 * Curis, Inc. 107,349 434,763 Curtiss-Wright Corp. 11,600 691,360 Cutter & Buck, Inc. 25,124 373,845 * CV Therapeutics, Inc. 72,605 1,574,076 CVB Financial Corp. 111,315 3,025,542 * Cyberguard Corp. 65,822 406,122 *# Cyberonics, Inc. 54,800 1,017,636 * Cyberoptics Corp. 19,400 272,764 * Cybersource Corp. 78,100 551,386 * Cybex International, Inc. 8,700 37,845 * Cycle Country Accessories Corp. 11,300 55,031 *# Cygnus, Inc. 100 10 * Cymer, Inc. 84,586 2,573,106 * Cypress Bioscience, Inc. 66,060 769,599 * Cypress Semiconductor Corp. 288,800 2,844,680 * Cytogen Corp. 35,670 351,349 *# CytRx Corp. 1,700 2,057 D&E Communications, Inc. 34,574 452,919 D&K Healthcare Resources, Inc. 31,930 231,812 * Daily Journal Corp. 200 7,158 * Daktronics, Inc. 43,479 1,126,976 *# Dan River, Inc. Class A 22,900 1,008 * Danielson Holding Corp. 107,650 879,500 * Darling International, Inc. 147,000 605,640 * Data I/O Corp. 7,600 25,308 * Data Systems & Software, Inc. 7,300 8,030 * Datalink Corp. 13,300 25,257 * Dataram Corp. 19,800 118,206 Datascope Corp. 34,034 1,364,423 * Datastream Systems, Inc. 20,100 118,590 *# Datatec Systems, Inc. 7,000 38 *# DataTRAK International, Inc. 5,200 59,280 * Datawatch Corp. 4,132 15,908 * Dave & Busters, Inc. 13,200 246,840 * Dawson Geophysical Co. 5,400 126,090 * Daxor Corp. 4,600 97,060 Deb Shops, Inc. 19,299 475,720 *# Deckers Outdoor Corp. 9,200 400,384 Decorator Industries, Inc. 2,762 21,765 * Del Global Technologies Corp. 10,927 27,973 * Del Laboratories, Inc. 9,506 325,580 * Delphax Technologies, Inc. 6,100 24,943 Delphi Financial Group, Inc. Class A 60,250 2,799,215 Delta & Pine Land Co. 88,500 2,362,950 *# Delta Air Lines, Inc. 288,900 2,013,633 Delta Apparel, Inc. 5,240 119,734 Delta Financial Corp. 46,500 469,650 Delta Natural Gas Co., Inc. 6,200 159,650 * Delta Petroleum Corp. 38,460 604,976 * Delta Woodside Industries, Inc. 5,850 3,861 Deltic Timber Corp. 27,971 1,264,289 * Denali, Inc. 4,300 430 * Denbury Resources, Inc. 115,600 3,346,620 * Dendreon Corp. 134,381 1,318,278 * Dendrite International, Inc. 95,774 1,634,862 * Department 56, Inc. 30,900 523,137 *# DepoMed, Inc. 79,700 371,402
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SHARES VALUE+ ------------------ ------------------ * Detrex Corp. 500 $ 925 * Devcon International Corp. 3,600 55,800 * DeVry, Inc. 4,100 69,126 * DHB Industries, Inc. 93,900 1,746,540 Diagnostic Products Corp. 64,000 3,097,600 * DiamondCluster International, Inc. 78,484 959,859 * Diedrich Coffee, Inc. 4,025 17,992 * Digene Corp. 45,800 1,107,581 * Digi International, Inc. 49,792 766,299 * Digimarc Corp. 43,365 399,392 * Digital Angel Corp. 73,800 471,582 * Digital Generation Systems, Inc. 114,900 155,115 * Digital Impact, Inc. 56,900 66,573 * Digital Insight Corp. 81,500 1,330,487 * Digital Lightwave, Inc. 49,700 68,089 * Digital River, Inc. 74,600 3,127,232 * Digitas, Inc. 195,977 1,608,971 Dime Community Bancshares 84,900 1,557,915 DIMON, Inc. 103,829 675,927 * Diodes, Inc. 12,150 302,170 * Dionex Corp. 47,515 2,726,886 * Discovery Laboratories, Inc. 5,700 39,786 * Discovery Partners International, Inc. 59,253 272,564 * Display Technologies, Inc. 11,330 17 * Distributed Energy Systems Corp. 70,550 189,074 * Ditech Communications Corp. 78,155 1,231,723 * Diversa Corp. 99,878 845,967 * Diversified Corporate Resources, Inc. 800 691 * Dixie Group, Inc. 25,400 407,162 * Dixon Ticonderoga Co. 1,900 11,609 * DJ Orthopedics, Inc. 50,800 1,024,636 * DLB Oil & Gas, Inc. 1,300 0 * DocuCorp International, Inc. 24,653 220,151 * Document Sciences Corp. 14,200 75,544 * Dollar Thrifty Automotive Group, Inc. 57,200 1,538,108 * Dominion Homes, Inc. 5,800 119,828 Donegal Group, Inc. Class A 6,066 130,419 Donegal Group, Inc. Class B 2,933 57,927 * Dot Hill Systems Corp. 100,260 661,716 * DoubleClick, Inc. 288,282 2,162,115 * DOV Pharmaceutical, Inc. 48,928 905,657 Dover Downs Gaming & Entertainment, Inc. 9,910 111,884 Dover Motorsports, Inc. 37,100 180,306 Downey Financial Corp. 36,476 2,106,124 * DPAC Technologies Corp. 20,300 10,556 * Drew Industries, Inc. 23,600 786,116 * Dril-Quip, Inc. 38,900 928,543 * DRS Technologies, Inc. 48,500 2,071,920 * drugstore.com, Inc. 183,900 597,675 * DSP Group, Inc. 65,500 1,452,790 * DT Industries, Inc. 10,300 26 * Duckwall-ALCO Stores, Inc. 4,100 68,675 * Ducommun, Inc. 22,900 580,515 * DuPont Photomasks, Inc. 40,255 1,061,927 Duquesne Light Holdings, Inc. 104,700 1,846,908 * Dura Automotive Systems, Inc. 41,300 375,830 * DuraSwitch Industries, Inc. 10,500 22,575 * Duratek, Inc. 13,500 310,635 * Durect Corp. 103,160 231,078 * DUSA Pharmaceuticals, Inc. 38,800 514,876 * Dyax Corp. 72,100 $ 571,753 * Dycom Industries, Inc. 97,066 2,828,503 *# Dynacq Healthcare, Inc. 22,200 119,880 * Dynamex, Inc. 26,300 529,156 *# Dynamic Materials Corp. 2,000 30,600 * Dynamics Research Corp. 16,098 268,998 *# Dynegy, Inc. 63,200 357,080 * E Com Ventures, Inc. 2,175 25,861 * E-Loan, Inc. 140,700 379,890 E-Z-EM, Inc. 8,562 124,577 * E.piphany, Inc. 160,211 724,154 # Eagle Materials, Inc. 22,200 1,739,814 Eagle Materials, Inc. Class B 20,500 1,549,800 *# EarthLink, Inc. 169,975 1,842,529 Eastern Co. 4,950 93,753 * EasyLink Services Corp. 7,969 11,236 * Echelon Corp. 88,406 668,349 * Eclipsys Corp. 17,600 342,320 * eCollege.com 46,875 550,781 Ecology & Environment, Inc. Class A 2,000 17,600 * Edelbrock Corp. 5,470 90,802 * Eden Bioscience Corp. 9,900 7,029 *# EDGAR Online, Inc. 14,700 18,522 * Edge Petroleum Corp. 29,900 457,470 * Edgewater Technology, Inc. 11,569 48,358 EDO Corp. 46,000 1,401,620 * Education Lending Group, Inc. 1,000 14,060 Educational Development Corp. 1,800 18,396 EFC Bancorp, Inc. 4,600 117,990 * EFJ, Inc. 7,800 63,024 * eFunds Corp. 110,806 2,639,399 * EGL, Inc. 95,396 3,218,661 * El Paso Electric Co. 108,600 1,949,370 Electro Rent Corp. 55,779 790,946 * Electro Scientific Industries, Inc. 35,500 689,410 * Electroglas, Inc. 49,100 160,066 * Electronics Boutique Holdings Corp. 54,830 2,135,628 * Electronics for Imaging, Inc. 120,200 2,010,946 * Elizabeth Arden, Inc. 62,000 1,413,600 ElkCorp 45,600 1,349,760 * eLoyalty Corp. 6,700 33,701 * ELXSI Corp. 1,800 5,850 * EMAK Worldwide, Inc. 5,700 56,208 * Embarcadero Technologies, Inc. 63,250 559,130 * Embrex, Inc. 16,700 221,275 EMC Insurance Group, Inc. 11,300 245,323 * EMCOR Group, Inc. 34,000 1,571,480 * EMCORE Corp. 78,911 209,903 * Emerging Vision, Inc. 25,700 4,883 * Emeritus Corp. 14,100 133,950 * Emerson Radio Corp. 59,722 185,138 * Emisphere Technologies, Inc. 41,656 127,759 * Emmis Communications Corp. Class A 118,100 2,183,669 Empire District Electric Co. 58,700 1,333,077 * EMS Technologies, Inc. 24,974 391,842 * Emulex Corp. 190,300 2,690,842 * En Pointe Technologies, Inc. 6,500 18,525 * Encore Acquisition Co. 74,900 2,637,229 * Encore Capital Grooup, Inc. 48,500 1,216,380 * Encore Medical Corp. 98,500 620,057
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SHARES VALUE+ ------------------ ------------------ * Encore Wire Corp. 48,497 $ 653,497 * Encysive Pharmaceuticals, Inc. 131,198 1,423,498 * Endeavour International Corp. 98,000 420,420 * Endocardial Solutions, Inc. 46,500 528,705 *# Endocare, Inc. 25,800 62,049 * Endologix, Inc. 73,000 471,580 * Energy Conversion Devices, Inc. 56,439 1,256,332 * Energy Partners, Ltd. 75,400 1,460,498 * Energy West, Inc. 3,900 23,166 EnergySouth, Inc. 16,178 465,765 * Enesco Group, Inc. 32,700 241,326 Engineered Support Systems, Inc. 58,609 3,223,495 * ENGlobal Corp. 1,700 2,516 *# Enlighten Software Solutions, Inc. 1,600 2 Ennis, Inc. 37,800 750,330 * Enpath Medical, Inc. 11,600 110,896 * EnPro Industries, Inc. 46,600 1,339,284 * Entegris, Inc. 168,438 1,647,324 * Enterrasys Networks, Inc. 378,100 661,675 * Entravision Communications Corp. 136,817 1,121,899 *# Entremed, Inc. 69,800 166,822 * Entrust, Inc. 144,200 537,866 * Environmental Elements Corp. 1,000 100 * Environmental Technologies Corp. 3,700 15 * Environmental Tectonics Corp. 7,100 46,150 * Enzo Biochem, Inc. 74,504 1,434,202 * Enzon Pharmaceuticals, Inc. 51,600 698,664 *# EP Medsystems, Inc. 14,900 51,107 * EpicEdge, Inc. 13,100 39 * Epicor Software Corp. 116,287 1,833,846 *# Epimmune, Inc. 22,900 30,915 * EPIQ Systems, Inc. 41,050 615,339 * EPIX Pharmaceuticals, Inc. 52,928 931,533 * ePlus, Inc. 18,890 238,581 * ePresence, Inc. Escrow Shares 25,100 3,263 *# Equimed Inc. Nevis 2,250 0 * Equinix, Inc. 42,000 1,632,960 *# eResearch Technology, Inc. 119,810 1,765,999 * Ergo Science Corp. 7,150 16,087 ESB Financial Corp. 11,762 165,962 * Escalon Medical Corp. 3,200 27,520 * ESCO Technologies, Inc. 29,800 2,181,360 * eSpeed, Inc. 68,800 769,872 Espey Manufacturing & Electronics Corp. 400 10,420 * ESS Technology, Inc. 87,100 614,055 * Esterline Technologies Corp. 48,500 1,726,600 Ethan Allen Interiors, Inc. 78,300 3,088,935 * Euronet Worldwide, Inc. 72,727 1,789,084 * European Micro Holdings, Inc. 4,600 138 * Evans & Sutherland Computer Corp. 10,400 68,744 * Evans Systems, Inc. 2,500 106 * Evercel, Inc. 766 709 *# Evergreen Solar, Inc. 109,300 370,418 * Everlast Worldwide, Inc. 1,500 5,370 * Evolving Systems, Inc. 12,600 44,981 * Exabyte Corp. 700 217 * Exact Sciences Corp. 59,605 206,233 * Exactech, Inc. 10,800 203,472 * Exar Corp. 93,208 1,303,048 * Excel Technology, Inc. 26,472 688,272 * Exelixis, Inc. 165,918 $ 1,488,284 * Exponent, Inc. 6,700 186,193 * ExpressJet Holdings, Inc. 119,600 1,394,536 * Extended Systems, Inc. 11,100 28,305 * Extreme Networks, Inc. 277,921 1,898,200 * EZCORP, Inc. Class A Non-Voting 10,800 115,452 * Ezenia! Inc. 200 204 * F5 Networks, Inc. 76,000 3,271,800 * Fab Industries, Inc. 5,200 20,696 Factset Research Systems, Inc. 57,000 2,944,050 * Fairchild Corp. Class A 48,352 145,056 * Falcon Products, Inc. 11,500 10,034 *# FalconStor Software, Inc. 108,105 846,462 * Famous Dave's of America, Inc. 26,825 298,294 * Fargo Electronics 28,800 426,816 Farmer Brothers Co. 19,000 504,640 * Faro Technologies, Inc. 31,660 861,152 FBL Financial Group, Inc. Class A 61,600 1,750,672 * Featherlite, Inc. 6,500 26,065 Fedders Corp. 61,510 184,530 * Federal Agriculture Mortgage Corporation 500 11,330 Federal Screw Works 1,562 53,748 # Federal Signal Corp. 110,700 1,904,040 *# Federal-Mogul Corp. 57,900 21,423 * FEI Co. 76,558 1,637,576 * Female Health Co. 9,300 17,205 # Ferro Corp. 96,400 2,205,632 FFLC Bancorp, Inc. 5,400 176,202 * Fibermark, Inc. 100 2 * Fiberstars, Inc. 15,500 139,500 Fidelity Bankshares, Inc. 34,832 1,429,157 * Fidelity Federal Bancorp 2,500 4,400 Fidelity Southern Corp. 8,800 159,544 * Filenet Corp. 90,680 2,431,131 * Financial Federal Corp. 39,800 1,530,708 * Financial Industries Corp. 12,482 99,232 * FindWhat.com 69,300 1,336,104 * Finisar Corp. 333,296 609,932 Finish Line, Inc. Class A 97,834 1,800,146 * Finishmaster, Inc. 800 10,352 * Finlay Enterprises, Inc. 19,000 368,980 * Firebrand Financial Group, Inc. 9,100 364 * First Acceptance Corp. 1,500 13,050 First Albany Companies, Inc. 9,098 83,611 * First Aviation Services, Inc. 6,200 24,862 First Bancorp 9,315 263,801 * First Cash Financial Services, Inc. 35,681 929,133 First Charter Corp. 68,508 1,876,434 First Citizens BancShares, Inc. 1,300 176,884 First Commonwealth Financial Corp. 159,751 2,452,178 First Community Bancorp 35,700 1,500,114 First Community Bancshares, Inc. 24,561 874,863 * First Consulting Group, Inc. 55,703 304,695 First Defiance Financial Corp. 6,859 187,662 First Federal Bancshares of Arkansas, Inc. 5,800 126,266 First Financial Bancorp 100,457 1,715,806 First Financial Bankshares, Inc. 15,395 669,682 First Financial Corp. 2,550 92,616 First Financial Holdings, Inc. 28,464 931,911
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SHARES VALUE+ ------------------ ------------------ First Franklin Corp. 300 $ 6,075 * First Health Group Corp. 17,731 315,966 * First Horizon Pharmaceutical Corp. 82,864 1,620,820 First Indiana Corp. 35,881 831,363 * First Investors Financial Services Group, Inc. 5,400 24,192 First Keystone Financial, Inc. 2,000 45,300 First M&F Corp. 2,100 71,400 * First Mariner Bancorp 4,900 84,231 First Merchants Corp. 41,108 1,107,861 First Midwest Bancorp, Inc. 7,375 276,857 First Midwest Financial, Inc. 2,400 60,264 First Mutual Bancshares, Inc. 5,013 124,548 First National Bankshares of Florida 29,169 749,352 First Niagara Financial Group, Inc. 187,028 2,700,684 First Oak Brook Bancshares, Inc. 3,150 103,320 First PacTrust Bancorp, Inc. 8,200 214,020 First Place Financial Corp. 30,746 691,785 First Republic Bank 36,750 1,888,582 First State Bancorporation 16,776 630,274 First United Corp. 3,500 71,225 * First Virtual Communications, Inc. 1,650 272 Firstbank Corp. 2,835 83,488 FirstBank NW Corp. 2,928 84,839 * FirstCity Financial Corp. 25,500 228,225 * FirstFed Financial Corp. 37,700 1,983,774 *# Firstwave Technologies, Inc. 2,600 5,304 * Fischer Imaging Corp. 9,100 33,215 * Five Star Quality Care, Inc. 18,800 127,464 Flag Financial Corp. 6,500 92,625 Flagstar Bancorp, Inc. 141,100 3,074,569 Flamemaster Corp. 27 972 * Flanders Corp. 60,260 601,395 * Fleetwood Enterprises, Inc. 127,400 1,726,270 Flexsteel Industries, Inc. 6,100 106,811 Florida East Coast Industries, Inc. 64,400 2,746,660 Florida Public Utilities Co. 3,866 71,289 * Flow International Corp. 33,300 92,241 Flowers Foods, Inc. 100,825 3,078,187 * Flowserve Corp. 123,000 3,102,060 Flushing Financial Corp. 44,114 937,422 *# FLYi, Inc. 68,000 127,840 * FMC Corp. 58,800 2,913,540 FMS Financial Corp. 3,300 59,218 FNB Corp. 2,700 52,785 # FNB Corp. 106,420 2,259,297 FNB Financial Services Corp. 2,625 55,125 * Foamex International, Inc. 56,123 228,421 * FOCUS Enhancements, Inc. 3,132 3,570 * Foodarama Supermarkets, Inc. 1,100 44,550 Foothill Independent Bancorp 6,555 151,224 * Footstar, Inc. 27,600 104,880 * Forest Oil Corp. 70,670 2,404,900 * Forgent Networks, Inc. 39,400 66,980 * Forrester Research, Inc. 50,917 830,965 * Forward Air Corp. 49,550 2,296,642 * Foster (L.B.) Co. Class A 10,000 88,000 * Foster Wheeler, Ltd. 2,030 28,887 * Foundry Networks, Inc. 39,500 527,325 * Fountain Powerboat Industries, Inc. 4,700 24,675 *# FPIC Insurance Group, Inc. 22,946 757,906 Frankfort First Bancorp, Inc. 850 $ 20,714 * Frankfort Tower Industries, Inc. 13,100 18 * Franklin Covey Co. 19,300 38,407 Franklin Electric Co., Inc. 21,600 878,256 * Franklin Electronic Publishers, Inc. 7,900 34,760 # Fred's, Inc. 90,350 1,565,765 # Fremont General Corp. 13,200 314,160 Frequency Electronics, Inc. 8,300 124,085 * Fresh Brands, Inc. 5,100 38,760 * Fresh Choice, Inc. 5,900 2,537 Friedman Industries, Inc. 6,158 50,372 * Friedmans, Inc. Class A 35,240 59,379 * Friendly Ice Cream Corp. 7,300 65,335 Frisch's Restaurants, Inc. 4,900 116,718 * Frontier Airlines, Inc. 81,761 959,057 Frontier Oil Corp. 61,900 1,649,635 * Frozen Food Express Industries, Inc. 39,207 462,643 * FSI International, Inc. 63,100 283,950 * FTI Consulting, Inc. 98,025 1,977,164 *# FuelCell Energy, Inc. 105,854 1,063,833 Fuller (H.B.) Co. 65,809 1,883,454 Furniture Brands International, Inc. 125,900 3,058,111 *# FX Energy, Inc. 19,400 194,776 G & K Services, Inc. Class A 44,790 1,839,973 * G-III Apparel Group, Ltd. 6,700 41,205 Gabelli Asset Management, Inc. 13,700 663,080 *# Gadzooks, Inc. 13,600 22,032 * Gaiam, Inc. 5,500 28,875 * Galaxy Nutritional Foods, Inc. 11,500 20,470 * GameStop Corp. 46,700 984,903 GameTech International, Inc. 11,100 42,524 * Gaming Partners International Corp. 4,100 94,095 * Gardenburger, Inc. 4,000 400 * Gardner Denver Machinery, Inc. 45,688 1,571,667 * Gartner Group, Inc. 190,100 2,262,190 * Gartner, Inc. 1,200 14,064 * Gateway Financial Holdings, Inc. 2,200 34,320 * Gateway, Inc. 136,400 928,884 GATX Corp. 108,500 3,194,240 * Gaylord Entertainment Co. 87,363 3,078,672 GB & T Bancshares, Inc. 875 22,199 * Gehl Co. 11,800 259,482 * Genaera Corp. 23,000 83,030 *# Genaissance Pharmaceuticals, Inc. 64,350 99,099 Gencorp, Inc. 99,711 1,676,142 * Gene Logic, Inc. 70,572 237,828 * Genecor International, Inc. 135,869 2,201,078 * Genelabs Technologies, Inc. 107,510 76,332 * General Binding Corp. 13,300 177,289 * General Cable Corp. 90,300 1,228,080 * General Communications, Inc. Class A 122,881 1,258,301 * General DataComm Industries, Inc. 1,010 601 * General Employment Enterprises, Inc. 3,100 8,711 * Genesco, Inc. 50,700 1,499,706 * Genesee & Wyoming, Inc. 55,750 1,537,027 * Genesee Corp. Class B 200 420 * Genesis HealthCare Corp. 44,650 1,439,962 * Genesis Microchip, Inc. 37,462 611,005 * Geneva Financial Corp. 2,600 2,080 * Genlyte Group, Inc. 31,500 2,525,355 * Genta, Inc. 174,220 226,486
54
SHARES VALUE+ ------------------ ------------------ * Gentiva Health Services, Inc. 13,950 $ 232,267 * Genus, Inc. 71,321 124,099 * GenVec, Inc. 116,369 225,756 Georgia Gulf Corp. 69,500 4,001,810 * Gerber Scientific, Inc. 49,500 388,575 *# Geron Corp. 104,909 729,118 Gevity HR, Inc. 61,910 1,096,426 * Giant Group, Ltd. 2,200 3,410 * Giant Industries, Inc. 27,600 772,800 Gibraltar Industries, Inc. 27,900 672,111 * Giga-Tronics, Inc. 4,600 10,580 Glacier Bancorp, Inc. 56,317 1,949,131 * Glacier Water Services, Inc. 3,600 94,680 Glatfelter (P.H.) Co. 100,900 1,445,897 * Glenayre Technologies, Inc. 119,827 219,283 * Global e-Point, Inc. 3,008 9,174 * Global Imaging Systems, Inc. 53,071 1,985,917 * Global Payment Technologies, Inc. 5,500 27,995 *# Global Power Equipment Group, Inc. 106,500 925,485 * Globecomm Systems, Inc. 16,500 103,620 * Glowpoint, Inc. 49,850 60,318 *# GoAmerica, Inc. 56 685 Gold Banc Corp. 63,565 950,932 Golden Enterprises, Inc. 11,800 33,040 * Goodrich Petroleum Corp. 46,900 757,435 *# Goodyear Tire & Rubber Co. 113,200 1,428,584 Goody's Family Clothing, Inc. 43,942 427,995 * GoRemote Internet Communications, Inc. 64,900 116,820 Gorman-Rupp Co. 9,968 228,267 * Gottschalks, Inc. 12,700 114,300 * GP Strategies Corp. 14,560 103,376 * Graftech International, Ltd. 224,000 2,136,960 Graham Corp. 1,000 13,150 Granite Construction, Inc. 95,700 2,539,878 * Graphic Packaging Corp. 195,000 1,591,200 Gray Television, Inc. 100,860 1,512,900 Gray Television, Inc. Class A 6,800 94,316 Great American Financial Resources, Inc. 18,300 319,518 * Great Atlantic & Pacific Tea Co., Inc. 88,700 670,572 # Great Lakes Chemical Corp. 111,700 3,272,810 Great Southern Bancorp, Inc. 13,600 557,600 # Greater Bay Bancorp 92,446 2,685,556 Greater Communications Bancorp 3,690 54,612 * Green Mountain Coffee, Inc. 15,630 374,807 Green Mountain Power Corp. 10,900 295,935 * Greenbriar Corp. 674 2,255 Greenbrier Companies, Inc. 14,100 419,334 Greene County Bancshares, Inc. 1,900 48,773 * Greens Worldwide, Inc. 2,502 45 Grey Global Group, Inc. 200 219,404 *# Grey Wolf, Inc. 432,400 2,378,200 * Griffin Land & Nurseries, Inc. Class A 2,200 58,080 * Griffon Corp. 67,480 1,692,398 * Group 1 Automotive, Inc. 52,600 1,552,226 * Grubb & Ellis Co. 14,900 67,050 * GSI Commerce, Inc. 93,902 1,420,737 * GSV, Inc. 1,800 450 * GTC Biotherapeutics, Inc. 59,964 91,745 * GTSI Corp. 19,220 194,891 Guaranty Bancshares, Inc. 3,000 $ 65,100 Guaranty Federal Bancshares, Inc. 3,000 71,370 * Guess, Inc. 101,380 1,470,010 * Guilford Pharmaceuticals, Inc. 100,814 568,591 * Guitar Center, Inc. 58,200 2,815,716 Gulf Island Fabrication, Inc. 27,931 594,092 * Gulfmark Offshore, Inc. 43,800 911,478 * Gymboree Corp. 70,700 833,553 * Ha-Lo Industries, Inc. 64,900 45 * Haemonetics Corp. 58,000 2,024,200 Haggar Corp. 6,300 139,230 * Hain Celestial Group, Inc. 81,688 1,587,198 * Halifax Corp. 1,000 5,620 * Hammons (John Q.) Hotels, Inc. Class A 5,200 74,880 * Hampshire Group, Ltd. 4,000 124,700 Hancock Fabrics, Inc. 43,100 429,276 Hancock Holding Co. 74,792 2,542,928 Handleman Co. 53,023 1,124,088 * Hanger Orthopedic Group, Inc. 49,552 386,506 Hanmi Financial Corp. 5,500 204,490 * Hanover Compressor Co. 197,300 2,880,580 Harbor Florida Bancshares, Inc. 54,691 1,919,654 Hardinge, Inc. 8,800 98,560 Harland (John H.) Co. 63,000 2,224,530 Harleysville Group, Inc. 65,543 1,575,654 Harleysville National Corp. 60,344 1,699,287 * Harmonic, Inc. 166,146 1,290,954 * Harolds Stores, Inc. 2,308 3,023 * Harris Interactive, Inc. 139,300 924,952 * Hartmarx Corp. 33,600 271,152 * Harvard Bioscience, Inc. 64,100 254,477 * Harvest Natural Resources, Inc. 82,900 1,512,925 * Hastings Entertainment, Inc. 22,800 186,276 * Hastings Manufacturing Co. 700 1,197 * Hauppauge Digital, Inc. 8,800 48,303 Haverty Furniture Co., Inc. 15,700 316,355 Haverty Furniture Co., Inc. Class A 400 7,920 * Hawaiian Holdings, Inc. 29,875 187,017 * Hawk Corp. 8,500 71,825 Hawkins, Inc. 10,200 121,380 * Headwaters, Inc. 77,300 2,475,919 *# HealthAxis, Inc. 750 2,161 Healthcare Services Group, Inc. 16,650 345,321 * HealthExtras, Inc. 74,876 1,195,770 * HealthTronics Surgical Services, Inc. 47,439 354,369 Heartland Express, Inc. 143,904 3,160,132 Heartland Financial USA, Inc. 5,779 127,543 * Hecla Mining Co. 272,000 1,846,880 Hector Communications Corp. 3,500 74,200 * HEI, Inc. 6,000 14,640 Heico Corp. 22,700 485,780 Heico Corp. Class A 8,065 132,347 * Heidrick & Struggles International, Inc. 42,600 1,465,440 Helix Technology Corp. 60,053 904,999 Helmerich & Payne, Inc. 97,600 3,184,688 *# Hemispherx Biopharma, Inc. 95,100 149,307 Henry Jack & Associates, Inc. 6,942 133,842 *# Hercules, Inc. 208,900 3,112,610 * Heritage Commerce Corp. 2,800 54,768 Heritage Financial Corp. 7,500 162,825
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SHARES VALUE+ ------------------ ------------------ * Herley Industries, Inc. 31,000 $ 638,290 * Hexcel Corp. 89,300 1,361,825 HF Financial Corp. 3,630 67,246 * Hi-Shear Technology Corp. 8,600 47,386 * Hi-Tech Pharmacal, Inc. 17,650 288,577 * HI/FN, Inc. 10,400 83,200 * Hibbett Sporting Goods, Inc. 53,870 1,334,360 Hickory Tech Corp. 13,900 147,757 Hilb Rogal Hamilton Co. 81,700 2,834,173 * Hines Horticulture, Inc. 22,000 84,700 Hirsch International Corp. Class A 3,300 3,795 HMN Financial, Inc. 4,400 140,624 * HMS Holdings Corp. 44,088 309,498 * Hoenig Group Escrow Shares 7,900 1,817 Hollinger International, Inc. Class A 100,900 1,889,857 * Hollis-Eden Pharmaceuticals, Inc. 44,353 449,739 Holly Corp. 37,200 1,047,924 * Hollywood Entertainment Corp. 130,573 1,656,971 * Hollywood Media Corp. 64,546 289,812 * Hologic, Inc. 47,200 1,179,528 Home Federal Bancorp 4,300 104,705 Home Loan Financial Corp. 1,700 35,283 * Home Products International, Inc. 7,800 17,394 * HomeStore, Inc. 158,935 413,231 Hooper Holmes, Inc. 145,400 763,350 HopFed Bancorp, Inc. 2,100 35,994 Horace Mann Educators Corp. 98,138 1,864,622 Horizon Financial Corp. 22,649 464,531 * Horizon Health Corp. 9,900 237,501 *# Horizon Offshore, Inc. 48,983 17,144 * Hot Topic, Inc. 106,900 1,749,953 * Houston Exploration Co. 49,997 2,994,820 * Hub Group, Inc. Class A 7,000 304,500 * Hudson Highland Group, Inc. 2,130 58,170 Hudson River Bancorp, Inc. 51,564 1,044,171 * Hudson Technologies, Inc. 5,100 4,080 * Huffy Corp. 27,005 5,469 Hughes Supply, Inc. 34,438 1,132,321 * Human Genome Sciences, Inc. 44,310 487,410 * Hurco Companies, Inc. 5,600 89,656 *# Hutchinson Technology, Inc. 60,000 1,966,200 * Huttig Building Products, Inc. 5,300 45,739 * Hydril Co. 37,900 1,777,889 * Hypercom Corp. 119,200 724,736 * HyperFeed Technologies, Inc. 1,450 3,987 * Hyperion Solutions Corp. 66,313 2,971,486 * I-Flow Corp. 46,800 960,804 * I-many, Inc. 47,700 64,395 * I-Sector Corp. 10,400 75,920 *# I-Trax, Inc. 58,600 77,352 *# I.C. Isaacs & Co., Inc. 7,200 27,000 IBERIABANK Corp. 18,953 1,224,364 * Ibis Technology Corp. 22,500 57,150 *# iCAD, Inc. 3,600 17,280 * ICO, Inc. 14,320 43,390 * ICT Group, Inc. 19,274 164,793 *# ICU Medical, Inc. 31,250 779,687 IDACORP, Inc. 87,800 2,828,916 * Identix, Inc. 201,112 1,594,818 * IDT Corp. 45,278 664,228 * IDT Corp. Class B 40,900 628,633 * IDX Systems Corp. 69,851 $ 2,453,167 * iGATE Capital Corp. 118,527 474,108 * IGI, Inc. 2,100 2,436 * Igo Escrow Share 4,100 0 IHOP Corp. 46,500 1,970,205 * II-VI, Inc. 33,370 1,439,915 IKON Office Solutions, Inc. 136,960 1,544,909 * ILEX Oncology, Inc. 62,400 1,551,264 * Illumina, Inc. 86,842 659,999 # ILX Resorts, Inc. 2,900 33,698 * Image Entertainment, Inc. 42,000 254,940 *# ImageWare Systems, Inc. 5,500 16,060 Imation Corp. 80,600 2,596,126 * IMCO Recycling, Inc. 30,900 499,344 *# Immersion Corp. 53,700 287,832 *# Immtech International, Inc. 25,000 350,250 * Immucor, Inc. 68,812 2,212,306 * ImmunoGen, Inc. 91,853 718,290 * Immunomedics, Inc. 124,400 349,564 * IMPAC Medical Systems, Inc. 10,400 174,200 * Impath, Inc. 21,600 97,200 * Impax Laboratoroes, Inc. 128,644 1,610,623 * IMPCO Technologies, Inc. 42,920 284,989 *# Imperial Sugar Co. 14,551 0 * Imperial Sugar Co. 22,020 431,372 * Implant Sciences Corp. 16,600 179,114 * Impreso, Inc. 5,300 13,563 * Incyte Corp. 166,230 1,707,182 Independence Holding Co. 4,950 89,545 Independent Bank Corp. MA 35,203 1,216,616 Independent Bank Corp. MI 47,745 1,437,124 * Indevus Pharmaceuticals, Inc. 105,694 730,346 * Index Development Partners, Inc. 4,600 3,358 * Indus International, Inc. 34,900 66,310 * Industrial Distribution Group, Inc. 20,600 169,559 * INEI Corp. 100 53 Infinity Property & Casualty Corp. 45,546 1,685,202 *# Infinity, Inc. 20,698 131,619 *# Infocrossing, Inc. 41,991 705,449 * InFocus Corp. 87,989 589,526 * Infonet Services Corp. 133,400 265,466 * Informatica Corp. 198,300 1,546,740 *# Information Architects Corp. 1,080 130 * Inforte Corp. 24,600 166,296 * Infosonics Corp. 2,400 8,016 * InfoSpace, Inc. 64,046 2,837,238 * infoUSA, Inc. 122,875 1,352,854 Ingles Market, Inc. Class A 25,480 325,889 * InKine Pharmaceutical Co., Inc. 21,400 112,029 * Innodata Isogen, Inc. 51,300 357,561 * Innotrac Corp. 11,600 98,020 * Innovative Clinical Solutions, Ltd. 968 5 * Innovative Solutions & Support, Inc. 12,700 388,747 * Innovex, Inc. 41,600 207,584 * Input/Output, Inc. 175,100 1,535,627 * Insight Communications Co., Inc. 109,775 929,794 * Insight Enterprises, Inc. 108,179 2,188,461 * Insightful Corp. 6,300 17,262 * Insignia Systems, Inc. 19,250 23,677 *# Insite Vision, Inc. 18,000 11,880 * Insituform Technologies, Inc. Class A 61,519 1,435,853
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SHARES VALUE+ ------------------ ------------------ *# Insmed, Inc. 69,118 $ 108,515 * Inspire Pharmaceuticals, Inc. 86,569 1,550,451 * Instinet Group, Inc. 36,500 218,635 * Insurance Auto Auctions, Inc. 26,561 589,389 * InsWeb Corp. 1,633 4,034 Integra Bank Corp. 39,881 912,477 *# Integra LifeSciences Holdings 66,200 2,250,138 Integral Systems, Inc. 9,200 183,908 * Integral Vision, Inc. 2,200 3,190 * IntegraMed America, Inc. 3,100 21,731 *# Integrated Biopharma, Inc. 27,200 193,392 * Integrated Device Technology, Inc. 230,013 2,610,648 * Integrated Electrical Services, Inc. 76,000 229,520 * Integrated Information Systems, Inc. 820 107 * Integrated Silicon Solution, Inc. 79,894 611,988 *# Intelli-Check, Inc. 22,600 91,530 * Intellidata Technologies Corp. 46,978 18,321 * Intelligent Systems Corp. 4,500 10,350 * Intelligroup, Inc. 31,400 42,704 *# Intellisync Corp. 122,786 221,015 Inter Parfums, Inc. 18,550 310,341 * Interactive Intelligence, Inc. 34,900 151,815 Interchange Financial Services Corp. 12,600 336,420 * Interdigital Communications Corp. 126,900 2,582,415 * Interep National Radio Sales, Inc. 700 560 * Interface, Inc. Class A 100,306 993,029 * Interferon Scientific, Inc. 2,435 79 * Intergraph Corp. 84,200 2,206,040 * Interland, Inc. 36,110 113,385 * Interlink Electronics, Inc. 9,700 87,009 * Intermagnetics General Corp. 64,342 1,896,159 Intermet Corp. 47,300 6,149 * InterMune, Inc. 74,700 927,027 International Aluminum Corp. 2,100 69,090 * International Microcomputer Software, Inc. 5,100 5,253 * International Shipholding Corp. 6,100 91,439 *# Internet Commerce Corp. 4,000 5,400 * Internet Security Systems, Inc. 108,600 2,629,206 *# Interpharm Holdings, Inc. 53,300 162,565 * Interphase Corp. 5,400 37,800 Interpool, Inc. 38,000 811,300 # Interstate Bakeries Corp. 81,300 469,507 * Interstate Hotels & Resorts, Inc. 53,840 255,740 Inter-Tel, Inc. 59,300 1,679,376 * Intervoice, Inc. 82,818 1,076,634 * Interwoven, Inc. 89,707 870,158 * Intest Corp. 8,600 41,710 * Intevac, Inc. 12,000 84,600 * IntraBiotics Pharmaceuticals, Inc. 19,300 70,831 * Intrado, Inc. 37,300 504,296 * Intraware, Inc. 14,200 16,472 *# Introgen Therapeutics, Inc. 61,186 427,078 * Intrusion, Inc. 4,050 5,836 * Intuitive Surgical, Inc. 77,423 2,781,808 Invacare Corp. 54,300 2,742,693 * Inverness Medical Innovations, Inc. 7,461 181,302 * Investment Technology Group, Inc. 102,900 1,724,604 * INVESTools, Inc. 8,483 24,516 Investors Title Co. 1,400 49,077 *# Invision Technologies, Inc. 27,200 1,318,656 * Iomed, Inc. 15,100 $ 36,240 * Iomega Corp. 117,495 534,602 * Ion Networks, Inc. 100 26 *# Ionatron, Inc. 17,500 168,000 *# Ionics, Inc. 52,000 2,246,920 * iPass, Inc. 41,500 269,335 *# IPIX Corp. 4,350 28,275 * Iridex Corp. 6,800 27,676 * IRIS International, Inc. 36,024 296,874 Irwin Financial Corp. 65,200 1,734,972 * Isis Pharmaceuticals, Inc. 126,800 598,496 *# Island Pacific, Inc. 73,700 29,480 * Isle of Capri Casinos, Inc. 66,464 1,630,362 *# Isolagen, Inc. 78,000 592,020 * Ista Pharmaceuticals, Inc. 35,300 353,353 * Iteris, Inc. 520 1,825 * ITLA Capital Corp. 5,800 316,854 * Itron, Inc. 48,200 1,043,530 * iVillage, Inc. 155,622 738,426 * Ixia 133,647 1,884,423 * IXYS Corp. 72,524 673,748 * J & J Snack Foods Corp. 20,689 971,142 * J Net Enterprises, Inc. 8,400 22,260 * J. Alexander's Corp. 9,200 64,860 * J. Jill Group, Inc. 46,255 798,824 * j2 Global Communication, Inc. 53,432 1,862,105 * Jack in the Box, Inc. 81,000 3,060,180 * Jaclyn, Inc. 1,300 8,645 * Jaco Electronics, Inc. 5,659 24,506 * Jacuzzi Brands, Inc. 173,578 1,621,219 * Jakks Pacific, Inc. 57,326 1,067,410 * Jarden Corp. 63,150 2,423,065 * JDA Software Group, Inc. 63,412 831,965 * Jennifer Convertibles, Inc. 1,300 4,030 JLG Industries, Inc. 101,200 1,760,880 * JMAR Industries, Inc. 23,700 34,839 * Jo-Ann Stores, Inc. 48,975 1,347,792 * Johnson Outdoors, Inc. 6,700 135,541 * Jones Lang LaSalle, Inc. 74,900 2,688,910 *# Jos. A. Bank Clothiers, Inc. 30,800 810,040 * Journal Register Co. 95,800 1,811,578 * JPS Industries, Inc. 9,200 34,454 Juno Lighting, Inc. 980 39,298 * Jupitermedia Corp. 71,669 1,201,889 K-Swiss, Inc. Class A 59,200 1,603,846 * K-Tron International, Inc. 2,400 60,240 * K-V Pharmaceutical Co. Class A 76,050 1,429,740 * K-V Pharmaceutical Co. Class B 20,975 415,305 * K2, Inc. 107,263 1,810,599 * Kadant, Inc. 30,320 613,980 Kaman Corp. Class A 49,600 595,200 * Kansas City Southern 144,200 2,452,842 * Katy Industries, Inc. 8,300 44,820 Kaydon Corp. 61,700 2,004,016 * KBK Capital Corp. 2,000 1,500 * KCS Energy, Inc. 112,200 1,607,826 * Keane, Inc. 142,064 2,201,992 * Keith Companies, Inc. 11,400 194,370 Keithley Instruments, Inc. 32,300 611,116 Kellwood Co. 62,676 2,181,752 Kelly Services, Inc. Class A 70,048 2,129,459
57
SHARES VALUE+ ------------------ ------------------ * Kemet Corp. 198,923 $ 1,762,458 * Kendle International, Inc. 29,103 241,264 Kennametal, Inc. 31,100 1,595,430 * Kennedy-Wilson, Inc. 8,800 63,140 Kenneth Cole Productions, Inc. Class A 27,250 804,420 *# Kensey Nash Corp. 26,454 826,952 * Kera Vision, Inc. 4,300 9 Kewaunee Scientific Corp. 2,000 18,180 * Key Energy Group, Inc. 248,100 3,106,212 * Key Technology, Inc. 4,700 44,791 * Key Tronic Corp. 8,600 27,262 * Keynote Systems, Inc. 18,600 236,778 * Keystone Automotive Industries, Inc. 34,474 807,726 * Keystone Consolidated Industries, Inc. 2,100 126 * Kforce, Inc. 83,910 1,005,242 *# KFX, Inc. 133,800 2,015,028 Kimball International, Inc. Class B 53,700 800,130 * Kindred Healthcare, Inc. 82,978 2,265,299 * Kirby Corp. 56,500 2,571,880 * Kirkland's, Inc. 17,200 165,120 Knape & Vogt Manufacturing Co. 2,290 28,442 * Knight Trading Group, Inc. 184,336 2,103,274 * Knight Transportation, Inc. 129,653 3,124,637 * Koala Corp. 6,500 617 * Komag, Inc. 62,409 1,045,351 * Kopin Corp. 159,791 648,751 * Korn/Ferry International 88,900 1,656,207 *# Kos Pharmaceuticals, Inc. 81,100 3,452,427 * Kosan Biosciences, Inc. 66,524 428,415 Koss Corp. 3,600 72,000 *# Krispy Kreme Doughnuts, Inc. 140,800 1,417,856 Kronos Worldwide, Inc. 9,860 452,574 * Kronos, Inc. 59,000 2,981,860 * Kulicke & Soffa Industries, Inc. 117,834 881,398 * KVH Industries, Inc. 33,228 335,603 * Kyphon, Inc. 90,100 2,167,806 * La Jolla Pharmceutical Co. 132,600 186,966 La-Z-Boy, Inc. 116,000 1,780,600 * LaBarge, Inc. 34,600 415,200 * LabOne, Inc. 39,284 1,184,413 * Labor Ready, Inc. 95,400 1,514,952 * LaBranche & Co., Inc. 106,600 853,866 Laclede Group, Inc. 47,800 1,539,160 * LaCrosse Footwear, Inc. 5,800 57,130 * Ladish Co., Inc. 19,500 215,085 Lakeland Bancorp, Inc. 13,119 238,110 * Lakeland Industries, Inc. 2,420 47,553 * Lakes Entertainment, Inc. 37,650 525,217 Lance, Inc. 68,100 1,269,384 * Lancer Corp. 9,325 109,942 LandAmerica Financial Group, Inc. 41,800 2,232,120 Landauer, Inc. 20,500 950,790 * Landec Corp. 53,190 334,033 Landry's Restaurants, Inc. 63,500 1,876,425 * Lannet Co., Inc. 53,030 492,118 * Lantronix, Inc. 15,000 14,700 *# Large Scale Biology Corp. 42,800 46,224 *# LaserCard Corp. 26,290 261,323 * Laserscope 47,450 1,543,074 * Lattice Semiconductor Corp. 233,351 $ 1,245,628 * Laureate Education, Inc. 51,951 2,046,350 Lawson Products, Inc. 9,600 468,960 * Lawson Software, Inc. 218,408 1,349,761 * Layne Christensen Co. 11,600 225,040 * Lazare Kaplan International, Inc. 8,700 86,130 LCA-Vision, Inc. 30,950 1,015,160 * LCC International, Inc. Class A 45,100 229,559 * Learning Care Group, Inc. 5,200 15,860 * Learning Tree International, Inc. 38,381 503,943 * LeCroy Corp. 10,100 216,241 * Lectec Corp. 3,900 3,997 Leesport Financial Corp. 525 11,980 Lennox International, Inc. 138,405 2,489,906 * Lesco, Inc. 18,300 219,600 *# Level 8 Systems, Inc. 3,729 268 Levitt Corp. Class A 42,421 1,090,644 *# Lexar Media, Inc. 175,097 1,381,515 * Lexicon Genetics, Inc. 145,818 1,025,101 Libbey, Inc. 31,600 662,652 * Liberate Technologies, Inc. 106,300 239,706 Liberty Corp. 43,200 1,883,520 Liberty Homes, Inc. Class A 200 1,005 * Lifecell Corp. 64,900 671,066 * Lifecore Biomedical, Inc. 29,730 303,543 * Lifeline Systems, Inc. 8,200 221,810 Lifetime Hoan Corp. 24,349 330,903 *# Ligand Pharmaceuticals, Inc. Class B 170,000 1,904,000 * Lightbridge, Inc. 56,621 265,552 * Lightning Rod Software, Inc. 580 783 * LightPath Technologies, Inc. 1,850 7,677 * Lin TV Corp. 59,000 1,063,180 Lincoln Electric Holdings, Inc. 89,362 3,207,202 Lindsay Manufacturer Co. 27,100 762,594 * Linens 'n Things, Inc. 102,500 2,546,100 * Lionbridge Technologies, Inc. 66,322 365,434 *# Lipid Sciences, Inc. 56,608 261,529 *# Liquidmetal Technologies, Inc. 68,495 146,922 Lithia Motors, Inc. Class A 34,610 878,402 * Littlefuse, Inc. 51,200 1,997,824 * LMI Aerospace, Inc. 7,900 58,381 LNB Bancorp, Inc. 1,200 24,036 LNR Property Corp. 38,000 2,376,900 * Lodgenet Entertainment Corp. 40,501 624,525 * Lodgian, Inc. 51 541 * Logic Devices, Inc. 6,700 8,978 * LogicVision, Inc. 28,200 58,374 * Logility, Inc. 13,200 54,516 * LoJack Corp. 35,600 374,512 Lone Star Steakhouse & Saloon, Inc. 45,746 1,234,685 * Lone Star Technologies, Inc. 66,800 2,097,520 Longs Drug Stores Corp. 86,100 2,298,870 Longview Fibre Co. 114,100 1,983,058 * LookSmart, Ltd. 191,367 380,629 * LOUD Technologies, Inc. 12,400 24,180 Louisiana-Pacific Corp. 20,700 506,529 Lowrance Electronics, Inc. 6,692 204,842 LSB Bancshares, Inc. 5,156 86,879 LSB Corp. 4,300 79,378 LSI Industries, Inc. 45,527 452,538 * LTX Corp. 133,900 956,046
58
SHARES VALUE+ ------------------ ------------------ * Luby's, Inc. 49,900 $ 356,286 Lufkin Industries, Inc. 6,400 257,664 * Luminex Corp. 71,552 644,684 * Lydall, Inc. 35,600 398,008 * Lynch Corp. 1,500 21,000 * Lynch Interactive Corp. 2,800 85,260 * M&F Worldwide Corp. 41,600 542,880 * M-Wave, Inc. 2,900 4,118 M/I Homes, Inc. 31,300 1,415,073 MacDermid, Inc. 68,800 2,533,216 *# Mace Security International, Inc. 11,200 63,280 * Mac-Gray Corp. 12,600 96,390 * Macromedia, Inc. 68,567 1,956,217 * Macrovision Corp. 113,693 3,018,549 * Madden (Steven), Ltd. 28,000 528,080 MAF Bancorp, Inc. 50,527 2,319,189 * Magic Lantern Group, Inc. 1,700 697 * Magma Design Automation, Inc. 80,483 1,091,349 * Magna Entertainment Corp. 21,200 127,200 * Magnetek, Inc. 63,800 421,718 * Magnum Hunter Resources, Inc. 199,602 2,674,667 * MAI Systems Corp. 500 80 Main Street Banks, Inc. 43,014 1,362,684 * Main Street Restaurant Group, Inc. 25,200 36,540 Maine & Maritimes Corp. 1,600 40,800 * MAIR Holdings, Inc. 44,116 405,867 * Major Automotive Companies, Inc. 3,280 2,624 * Management Network Group, Inc. 52,100 103,158 * Manatron, Inc. 1,102 8,817 * Manchester Technologies, Inc. 8,000 39,200 * Manhattan Associates, Inc. 67,694 1,644,964 # Mannatech, Inc. 13,500 310,500 *# Manning (Greg) Auctions, Inc. 9,200 105,524 * Manugistic Group, Inc. 163,000 448,250 * MAPICS, Inc. 58,456 568,192 * Mapinfo Corp. 44,823 535,635 Marine Products Corp. 25,530 668,886 * MarineMax, Inc. 36,075 1,060,605 * Marisa Christina, Inc. 6,700 8,308 Maritrans, Inc. 7,800 140,790 * MarketWatch, Inc. 55,490 1,006,589 MarkWest Hydrocarbon, Inc. 10,285 180,605 * Marlton Technologies, Inc. 7,800 5,460 Marsh Supermarkets, Inc. Class A 1,600 19,024 Marsh Supermarkets, Inc. Class B 4,500 57,555 * Martek Biosciences Corp. 17,003 660,907 * Marten Transport, Ltd. 9,450 207,427 *# Martha Stewart Living Omnimedia, Inc. 45,800 1,081,796 MASSBANK Corp. 4,700 174,370 # Massey Energy Co. 42,400 1,489,088 * Mastec, Inc. 109,250 916,607 * Material Sciences Corp. 32,900 550,088 * Matria Healthcare, Inc. 23,769 831,915 * Matritech, Inc. 30,500 30,500 * Matrix Bancorp, Inc. 6,500 78,000 * Matrix Service Co. 37,400 278,630 * MatrixOne, Inc. 116,844 772,339 * Matrixx Initiatives, Inc. 20,800 284,752 Matthews International Corp. Class A 74,200 2,735,754 * Mattson Technology, Inc. 114,345 1,069,126 * Maui Land & Pineapple Co., Inc. 10,200 $ 332,520 * Maverick Tube Corp. 97,800 3,100,260 * Max & Erma's Restaurants, Inc. 2,300 30,647 * Maxco, Inc. 3,100 10,819 Maxcor Financial Group, Inc. 14,572 132,605 *# Maxim Pharmaceuticals, Inc. 60,133 174,987 * Maximus, Inc. 49,900 1,563,367 * Maxtor Corp. 163,300 623,806 * Maxwell Technologies, Inc. 33,260 357,212 * Maxxam, Inc. 8,900 266,911 * Maxygen, Inc. 78,852 795,617 * Mayor's Jewelers, Inc. 20,300 12,789 * Mays (J.W.), Inc. 200 2,855 MB Financial, Inc. 65,964 2,783,681 MBT Financial Corp. 38,461 917,295 * McDATA Corp. 178,101 1,006,271 MCG Capital Corp. 99,434 1,690,378 McGrath Rentcorp 27,307 1,153,994 * McMoran Exploration Co. 53,764 843,557 McRae Industries, Inc. Class A 2,600 36,400 * MDI, Inc. 14,000 12,320 * Meade Instruments Corp. 43,632 138,313 * Meadow Valley Corp. 2,400 6,396 * Meadowbrook Insurance Group, Inc. 61,300 310,791 * Measurement Specialties, Inc. 12,900 329,079 *# Mechanical Technology, Inc. 4,700 25,944 * Medallion Finanacial Corp. 3,943 37,025 *# Medarex, Inc. 182,170 1,985,653 * MedCath Corp. 39,049 848,144 *# Med-Design Corp. 28,300 34,243 Media General, Inc. Class A 6,100 379,420 * Media Services Group, Inc. 471 6,788 * MediaBay, Inc. 7,050 7,825 * Mediacom Communications Corp. 197,918 1,033,132 *# Medialink Worldwide, Inc. 5,900 18,402 * Medical Action Industries, Inc. 23,600 466,808 * Medical Staffing Network Holdings, Inc. 69,500 598,395 * Medicore, Inc. 3,800 25,498 *# Medifast, Inc. 25,000 86,000 * MedQuist, Inc. 64,700 784,487 * MEDTOX Scientific, Inc. 7,545 58,474 * Memry Corp. 9,800 27,440 # Mentor Corp. 97,400 3,005,764 * Mentor Graphics Corp. 164,927 2,069,834 Mercantile Bank Corp. 1,260 51,408 Merchants Bancshares, Inc. 6,150 182,655 Merchants Group, Inc. 1,300 31,525 Mercury Air Group, Inc. 4,950 19,552 * Mercury Computer Systems, Inc. 47,800 1,505,700 *# Merge Technologies, Inc. 29,894 576,057 Meridian Bioscience, Inc. 32,812 543,039 * Meridian Resource Corp. 174,200 1,189,786 * Merit Medical Systems, Inc. 60,576 688,143 * Meritage Homes Corp. 28,500 2,667,600 * Merix Corp. 42,313 460,365 * Merrimac Industries, Inc. 2,860 26,312 * Mesa Air Group, Inc. 72,635 509,898 Mesa Laboratories, Inc. 3,300 38,775 * Mestek, Inc. 5,400 97,848 * Meta Group, Inc. 12,700 67,564
59
SHARES VALUE+ ------------------ ------------------ * Metal Management, Inc. 51,500 $ 1,353,420 * Metals USA, Inc. 44,580 835,875 * MetaSolv, Inc. 88,200 215,208 Methode Electronics, Inc. 34,100 450,120 Met-Pro Corp. 8,100 106,920 * Metris Companies, Inc. 133,500 1,545,930 * Metro One Telecommunications, Inc. 39,650 66,612 MetroCorp. Bancshares, Inc. 7,000 151,550 * Metrologic Instruments, Inc. 49,600 1,013,328 MFB Corp. 1,300 36,790 * MFRI, Inc. 4,900 34,300 MGE Energy, Inc. 45,527 1,568,860 MGP Ingredients, Inc. 29,455 275,110 * Michael Anthony Jewelers, Inc. 7,400 15,207 * Micrel, Inc. 210,473 2,247,852 * Micro Component Technology, Inc. 10,752 6,989 * Micro Linear Corp. 16,000 73,760 * Micro Therapeutics, Inc. 91,922 365,850 * MicroFinancial, Inc. 15,200 59,432 * Micromuse, Inc. 117,493 617,778 * Micros Systems, Inc. 42,452 3,114,703 * Microsemi Corp. 137,100 2,440,380 * MicroStrategy, Inc. 27,800 1,794,490 * Microtek Medical Holdings, Inc. 99,116 404,393 * Microtune, Inc. 103,247 617,417 *# Microvision, Inc. 49,423 376,109 * Midas, Inc. 36,100 697,091 Middleby Corp. 21,087 1,210,816 Middlesex Water Co. 8,400 167,160 Midland Co. 6,600 209,880 Mid-State Bancshares 52,303 1,560,722 *# Midway Games, Inc. 193,600 2,098,624 * Midwest Air Group, Inc. 40,100 120,300 Midwest Banc Holdings, Inc. 39,765 917,776 * Mikohn Gaming Corp. 50,575 412,186 * Milacron, Inc. 162,405 485,591 * Milestone Scientific, Inc. 16,300 27,710 *# Millennium Cell, Inc. 58,900 53,599 * Millennium Chemicals, Inc. 101,800 2,705,844 * Miller Industries, Inc. 9,280 102,173 * MIM Corp. 49,200 318,324 * Mindspeed Technologies, Inc. 177,775 444,437 Mine Safety Appliances Co. 66,700 3,161,580 Minerals Technologies, Inc. 46,100 3,058,735 * MIPS Technologies, Inc. 94,700 828,625 * Miravant Medical Technologies 1,800 1,800 * Misonix, Inc. 14,600 92,126 * Mission Resources Corp. 93,700 581,877 * Mitcham Industries, Inc. 19,500 146,250 * Mitek Systems, Inc. 11,100 5,328 * Mity Enterprises, Inc. 5,000 74,750 * MKS Instruments, Inc. 114,307 1,942,076 * Mobile Mini, Inc. 33,515 1,015,169 * Mobility Electronics, Inc. 64,640 627,654 * Mobius Management Systems, Inc. 17,100 136,800 Mocon, Inc. 5,500 50,820 Modine Manufacturing Co. 79,595 2,558,979 * Mod-Pac Corp. 2,750 33,275 * Mod-Pac Corp. Class B 1,112 13,455 * Modtech Holdings, Inc. 29,763 242,866 * Moldflow Corp. 24,456 342,384 * Molecular Devices Corp. 34,540 $ 726,376 Monaco Coach Corp. 66,850 1,330,315 * Monarch Casino & Resort, Inc. 8,000 279,360 * Mondavi (Robert) Corp. Class A 22,500 1,266,750 * Monolithic System Technology, Inc. 49,133 229,451 * Monro Muffler Brake, Inc. 12,300 301,965 * Monterey Pasta Co. 32,100 102,720 * Moog, Inc. Class A 19,200 806,784 * Moog, Inc. Class B 3,300 140,580 * Morgan Group Holding Co. 200 17 * Morgan's Foods, Inc. 900 720 * Mossimo, Inc. 16,600 59,926 * Mothers Work, Inc. 10,754 138,619 * Motorcar Parts of America, Inc. 2,500 18,337 Movado Group, Inc. 41,200 758,080 Movie Gallery, Inc. 70,399 1,227,055 * MPS Group, Inc. 242,100 2,726,046 * MPW Industrial Services Group, Inc. 5,000 12,250 * MRO Software, Inc. 56,835 730,330 * MRV Communications, Inc. 238,481 920,298 * MSC.Software Corp. 63,900 607,689 * MTC Technologies, Inc. 14,800 454,952 *# MTI Technology Corp. 1,300 2,522 * MTM Technologies, Inc. 4,900 20,580 * MTR Gaming Group, Inc. 62,478 628,529 MTS Systems Corp. 46,987 1,426,055 Mueller Industries, Inc. 83,545 2,567,338 * Multi-Color Corp. 2,250 36,675 *# Multimedia Games, Inc. 69,235 905,594 MutualFirst Financial, Inc. 2,000 47,100 Myers Industries, Inc. 73,319 830,704 * Mykrolis Corp. 95,900 1,175,734 * Myriad Genetics, Inc. 67,457 1,297,873 Mystic Financial, Inc. 1,575 64,575 * Nabi Biopharmaceuticals 133,750 1,926,000 NACCO Industries, Inc. Class A 6,500 711,685 *# Nanogen, Inc. 76,740 344,563 * Nanometrics, Inc. 28,294 460,343 *# Nanophase Technologies Corp. 40,098 247,405 *# Napco Security Systems, Inc. 5,160 51,084 Nara Bancorp, Inc. 53,611 1,112,964 Nash Finch Co. 26,640 988,610 * Nashua Corp. 5,800 60,900 * Nassda Corp. 56,005 239,701 *# Nastech Pharmaceutical Co., Inc. 31,000 470,580 * NATCO Group, Inc. Class A 16,800 142,464 * Nathan's Famous, Inc. 7,000 58,450 National Beverage Corp. 36,200 340,642 * National Dentex Corp. 3,500 91,385 National Home Health Care Corp. 5,465 62,793 * National Medical Health Card Systems, Inc. 12,600 269,514 * National Patent Development Corp. 14,560 25,043 National Penn Bancshares, Inc. 76,610 2,206,368 National Presto Industries, Inc. 6,800 308,312 * National Research Corp. 7,000 112,000 * National RV Holdings, Inc. 21,800 212,114 * National Technical Systems, Inc. 8,600 45,666 * National Western Life Insurance Co. Class A 1,000 162,190 * Natrol, Inc. 10,000 33,800
60
SHARES VALUE+ ------------------ ------------------ * Natural Alternatives International, Inc. 5,400 $ 50,760 * Nature Vision, Inc. 500 3,245 Nature's Sunshine Products, Inc. 34,704 580,945 * Natus Medical, Inc. 39,200 282,240 Nautilus Group, Inc. 75,300 1,640,787 * Navarre Corp. 61,460 1,046,664 * Navidec, Inc. 544 2,339 * Navigant Consulting, Inc. 108,100 2,524,135 * Navigant International, Inc. 33,014 362,494 * Navigators Group, Inc. 26,984 762,298 NBT Bancorp, Inc. 73,455 1,865,022 * NCI Building Systems, Inc. 46,700 1,732,570 * NCO Group, Inc. 73,284 1,840,174 NDCHealth Corp. 82,800 1,563,264 * NeighborCare, Inc. 73,800 2,073,042 * Nektar Therapeutics 189,283 3,536,753 Nelson (Thomas), Inc. 30,100 743,470 * Neoforma, Inc. 43,914 326,281 * Neogen Corp. 7,625 165,005 * NeoMagic Corp. 55,978 47,581 * NEON Systems, Inc. 8,600 31,648 * Neopharm, Inc. 53,617 624,638 * Neose Technologies, Inc. 55,701 389,350 * Neoware Systems, Inc. 34,400 301,344 * NES Rentals Holdings, Inc. 36 398 * Net Perceptions, Inc. 22,600 20,566 * Net2Phone, Inc. 101,300 347,459 NetBank, Inc. 57,533 590,864 *# Netflix, Inc. 114,882 1,307,357 * Netguru, Inc. 17,200 20,812 * NetIQ Corp. 126,387 1,550,768 * NetManage, Inc. 10,442 59,519 * Netopia, Inc. 43,200 131,760 * NetRatings, Inc. 76,531 1,530,620 * Netscout System, Inc. 66,250 501,513 * Network Engines, Inc. 66,100 154,013 * Network Equipment Technologies, Inc. 55,900 531,609 *# Network Plus Corp. 14,500 12 *# Neurobiological Technologies, Inc. 2,700 11,580 * Neurogen Corp. 75,807 663,311 Nevada Chemicals, Inc. 2,500 17,575 * Nevada Gold & Casinos, Inc. 28,050 307,989 * New Brunswick Scientific Co., Inc. 7,660 41,364 * New Century Equity Holdings Corp. 100 33 New Hampshire Thrift Bancshares, Inc. 200 5,826 * New Horizons Worldwide, Inc. 12,400 43,152 New Jersey Resources Corp. 63,600 2,766,600 * NewMarket Corp. 37,900 727,301 NewMil Bancorp, Inc. 4,400 132,484 * Newpark Resources, Inc. 193,000 1,103,960 * Newport Corp. 90,418 1,115,758 * Newtek Business Services, Inc. 73,088 300,026 Niagara Corp. 8,200 65,190 * NIC, Inc. 136,278 626,197 * Nitches, Inc. 864 5,676 NL Industries, Inc. 109,476 2,473,063 * NMS Communications Corp. 107,400 686,071 * NMT Medical, Inc. 11,500 48,760 NN, Inc. 20,217 257,565 * Nobel Learning Communities, Inc. 6,500 47,125 Nobility Homes, Inc. 4,100 $ 88,560 Noble International, Ltd. 21,160 417,085 * Noel Group, Inc. 8,000 52 # Noland Co. 200 8,636 Nordson Corp. 79,799 3,037,150 * Norstan, Inc. 29,700 113,751 * North America Galvanizing & Coatings, Inc. 6,700 12,998 * North American Scientific, Inc. 36,050 162,225 North Central Bancshares, Inc. 1,700 66,003 North Pittsburgh Systems, Inc. 33,006 828,121 Northeast Bancorp 900 20,430 Northeast Pennsylvania Financial Corp. 4,400 74,756 Northern Technologies International Corp. 3,000 21,900 *# Northfield Laboratories, Inc. 49,185 919,760 * Northland Cranberries, Inc. 100 81 Northrim BanCorp, Inc. 6,068 138,360 *# Northwest Airlines Corp. 194,645 1,993,165 Northwest Bancorp, Inc. 108,276 2,801,100 Northwest Natural Gas Co. 62,900 2,129,794 * Northwest Pipe Co. 6,300 120,330 * NovaMed, Inc. 48,500 230,375 * Novatel Wireless, Inc. 61,102 1,286,808 * Novavax, Inc. 87,000 297,540 * Noven Pharmaceuticals, Inc. 53,808 983,610 * Novoste Corp. 29,400 39,690 * NPS Pharmaceuticals, Inc. 88,900 1,592,199 * NS Group, Inc. 48,300 1,070,328 * NTN Communications, Inc. 117,993 325,661 * Nu Horizons Electronics Corp. 37,100 307,967 Nu Skin Enterprises, Inc. Class A 125,000 2,810,000 *# Nucentrix Broadband Networks, Inc. Escrow Shares 10,400 0 * NuCo2, Inc. 16,000 396,800 NUI Corp. 31,692 434,180 * NumereX Corp. Class A 10,800 51,624 * Nutraceutical International Corp. 26,864 430,630 * Nutri/System, Inc. 15,300 38,097 * Nutrition 21, Inc. 3,500 3,500 * Nuvelo, Inc. 70,322 685,640 NWH, Inc. 4,200 62,790 * NYFIX, Inc. 62,314 398,186 NYMAGIC, Inc. 8,700 213,411 * O'Charleys, Inc. 47,362 899,878 * O.I. Corp. 2,700 29,103 Oak Hill Financial, Inc. 3,000 114,270 Oakley, Inc. 157,200 1,909,980 * Obie Media Corp. 5,900 40,415 *# OCA, Inc. 112,051 640,932 * Oceaneering International, Inc. 57,900 2,223,360 OceanFirst Financial Corp. 29,080 737,469 * Ocular Sciences, Inc. 44,300 2,140,310 * Ocwen Financial Corp. 144,234 1,345,703 * Odd Job Stores, Inc. 12,700 28,575 * Odyssey Healthcare, Inc. 80,600 1,076,010 * Odyssey Marine Exploration, Inc. 42,600 115,020 * Offshore Logistics, Inc. 52,600 1,993,540 * Oglebay Norton Co. 900 261 * Ohio Casualty Corp. 135,349 2,907,297
61
SHARES VALUE+ ------------------ ------------------ * Oil States International, Inc. 113,631 $ 2,314,663 Oil-Dri Corp. of America 4,200 67,200 * Old Dominion Freight Line, Inc. 56,148 1,760,240 Olin Corp. 153,652 3,486,364 * Olympic Steel, Inc. 21,000 567,000 * OM Group, Inc. 63,700 1,958,138 Omega Financial Corp. 8,200 289,542 * Omega Protein Corp. 52,600 442,366 * OMNI Energy Services Corp. 25,300 74,129 * Omnicell, Inc. 57,252 615,459 *# OmniVision Technologies, Inc. 125,600 2,240,704 * Omnova Solutions, Inc. 13,900 79,369 * Omtool, Ltd. 3,570 29,488 * On Assignment, Inc. 53,900 281,358 * ON Semiconductor Corp. 571,551 2,086,161 * On2 Technologies, Inc. 53,300 28,249 * One Price Clothing Stores, Inc. 2,957 9 *# Oneida, Ltd. 28,700 72,611 * Online Resources Corp. 41,700 293,985 Onyx Acceptance Corp. 5,100 142,137 * Onyx Pharmacueticals, Inc. 78,300 2,449,224 * ONYX Software Corp. 31,950 105,116 * Opent Technologies, Inc. 45,100 389,664 * OpenTV Corp. 39,946 160,583 * Openwave Systems, Inc. 147,399 1,942,719 * Opinion Research Corp. 6,700 42,311 * Oplink Communications, Inc. 53,100 108,855 *# Opsware, Inc. 185,792 1,272,675 * OPTi, Inc. 11,600 16,704 * Optical Cable Corp. 11,500 62,330 * Optical Communication Products, Inc. 74,850 163,173 * Optical Sensors, Inc. 1,633 5,307 Option Care, Inc. 46,700 804,174 * OraSure Technologies, Inc. 102,450 733,542 * Orbit International Corp. 1,582 13,099 * Orbital Sciences Corp. 113,452 1,474,876 * Orchid Biosciences, Inc. 50,638 542,333 * Oregon Steel Mills, Inc. 78,700 1,415,026 * Orleans Homebuilders, Inc. 40,100 738,241 * Orphan Medical, Inc. 10,300 104,854 * Orthologic Corp. 77,505 444,104 * Oscient Pharmaceutical Corp. 156,600 510,516 OshKosh B'Gosh, Inc. Class A 21,100 432,550 * OSI Systems, Inc. 35,700 775,404 * Osteotech, Inc. 37,700 205,088 Otter Tail Corp. 58,560 1,577,021 Outlook Group Corp. 2,400 17,112 * Overland Storage, Inc. 30,275 449,584 Overseas Shipholding Group, Inc. 47,025 3,089,072 *# Overstock.com, Inc. 39,400 2,807,644 Owens & Minor, Inc. 90,500 2,511,375 # Oxford Industries, Inc. 38,500 1,570,800 * Oxigene, Inc. 12,600 70,195 * Oxis International, Inc. 7,900 4,503 * OYO Geospace Corp. 10,600 167,904 * P & F Industries, Inc. Class A 1,300 19,175 * P.A.M. Transportation Services, Inc. 20,550 417,165 *# P.F. Chang's China Bistro, Inc. 56,300 3,166,312 Pacific Capital Bancorp 88,500 2,921,385 * Pacific Mercantile Bancorp 5,900 83,662 * Pacific Premier Bancorp, Inc. 3,900 55,575 Packaging Dynamics Corp. 4,120 $ 58,957 * Packeteer, Inc. 74,100 963,300 * Pac-West Telecomm, Inc. 23,100 28,413 * Pain Therapeutics, Inc. 93,301 702,557 * PainCare Holdings, Inc. 87,900 254,910 * Palatin Technologies, Inc. 62 167 * Paligent, Inc. 347 69 * Palm Harbor Homes, Inc. 49,111 766,623 *# PalmOne, Inc. 39,630 1,388,635 * PalmSource, Inc. 32,881 520,835 * Palomar Medical Technologies, Inc. 34,879 785,824 Pamrapo Bancorp, Inc. 5,100 122,400 * Panavision, Inc. 3,600 22,500 *# Panera Bread Co. 62,925 2,513,225 * Pantry, Inc. 44,400 1,221,888 *# Papa John's International, Inc. 37,000 1,316,090 * Par Pharmaceutical Companies, Inc. 74,700 2,947,662 * PAR Technology Corp. 7,800 92,196 * Paradyne Networks Corp. 105,455 409,165 * Paragon Technologies, Inc. 4,200 40,194 * Parallel Petroleum Corp. 55,900 311,363 * Parametric Technology Corp. 515,069 3,013,154 * Parexel International Corp. 56,782 1,171,413 Park Bancorp, Inc. 1,200 38,100 Park Electrochemical Corp. 45,750 964,868 * Parker Drilling Co. 217,200 949,164 *# Parkervision, Inc. 24,821 184,916 * Park-Ohio Holdings Corp. 10,400 233,792 Parkvale Financial Corp. 5,700 177,897 * Parlex Corp. 13,800 84,180 * Parlux Fragrances, Inc. 9,900 177,507 Partners Trust Financial Group, Inc. 12,189 136,395 * Party City Corp. 38,691 494,858 * Path 1 Network Technologies, Inc. 14,600 50,516 * Pathmark Stores, Inc. 63,179 348,116 *# Patient Infosystems, Inc. 733 2,272 * Patrick Industries, Inc. 4,500 49,680 * Patriot Transportation Holding, Inc. 2,500 104,150 PAULA Financial 6,100 12,200 * Paxar Corp. 87,200 2,018,680 * Paxson Communications Corp. 118,700 137,692 * Payless Cashways, Inc. 160 0 * Payless ShoeSource, Inc. 149,800 1,749,664 * PC Connection, Inc. 50,350 353,961 * PC Mall, Inc. 25,664 623,635 * PC-Tel, Inc. 46,100 372,027 * PDF Solutions, Inc. 58,424 751,917 * PDI, Inc. 31,798 739,939 * PEC Solutions, Inc. 60,517 858,736 * Pediatric Services of America, Inc. 14,700 151,557 * Pediatrix Medical Group, Inc. 51,600 3,214,680 * Peerless Manufacturing Co. 3,000 44,850 * Peerless Systems Corp. 24,300 34,749 * Peet's Coffee & Tea, Inc. 30,739 777,082 *# Pegasus Communications Corp. 17,540 133,304 * Pegasus Solutions, Inc. 48,157 562,955 * Pegasystems, Inc. 77,938 565,830 * Pemco Aviation Group, Inc. 950 25,231 * Pemstar, Inc. 73,200 112,069 Penford Corp. 7,300 122,640
62
SHARES VALUE+ ------------------ ------------------ Penn Engineering & Manufacturing Corp. Class A 1,200 $ 19,356 Penn Engineering & Manufacturing Corp. Non-Voting 15,000 287,250 * Penn National Gaming, Inc. 72,100 3,804,717 * Penn Treaty American Corp. 24,800 44,640 Penn Virginia Corp. 40,400 1,755,784 Penn-America Group, Inc. 31,000 459,110 Pennfed Financial Services, Inc. 14,800 254,264 Penns Woods Bancorp, Inc. 770 38,431 * Penwest Pharmaceuticals Co. 40,800 507,960 Peoples Bancorp, Inc. 300 6,510 Pep Boys - Manny, Moe & Jack 133,400 2,101,050 * Perceptron, Inc. 18,418 126,532 * Performance Food Group Co. 101,587 2,665,643 * Performance Technologies, Inc. 28,100 200,353 * Pericom Semiconductor Corp. 57,400 503,972 * Perini Corp. 55,100 823,745 Perrigo Co. 156,647 2,825,912 * Perry Ellis International, Inc. 20,500 391,345 * Per-Se Technologies, Inc. 66,100 911,519 * Pervasive Software, Inc. 55,039 219,606 * PetMed Express, Inc. 49,165 319,573 * Petrocorp, Inc. Escrow Shares 6,900 414 * Petroleum Development Corp. 35,833 1,473,453 PFF Bancorp, Inc. 38,400 1,735,680 * Pfsweb, Inc. 9 26 * Pharmacopia Drug Discovery, Inc. 26,450 152,881 * Pharmacyclics, Inc. 42,501 442,860 *# Pharmanetics, Inc. 7,200 7,272 * PharmChem, Inc. 5,000 98 *# Pharmos Corp. 6,200 24,800 * Philadelphia Consolidated Holding Corp. 48,900 3,337,425 Phillips-Van Heusen Corp. 68,200 1,861,860 * Phoenix Gold International, Inc. 600 546 * Phoenix Technologies, Ltd. 53,036 430,122 * PhotoMedex, Inc. 49,800 112,050 * Photon Dynamics, Inc. 37,000 815,850 * Photronics, Inc. 74,900 1,411,116 * Physiometrix, Inc. 7,400 6,956 * Pico Holdings, Inc. 12,300 253,503 # Piedmont Natural Gas Co. 65,000 1,528,150 * Pinnacle Entertainment, Inc. 63,600 1,156,248 * Pinnacle Financial Partners, Inc. 8,390 204,129 * Pinnacle Systems, Inc. 152,500 796,050 * Pioneer Drilling Co. 1,500 14,475 * Piper Jaffray Companies, Inc. 44,000 2,024,440 * Pixelworks, Inc. 51,000 573,750 * Pizza Inn, Inc. 10,000 29,000 * Planar Systems, Inc. 32,300 344,318 * PLATO Learning, Inc. 49,466 345,767 * Play By Play Toys and Novelties, Inc. 100 0 * Playboy Enterprises, Inc. Class A 4,700 53,110 * Playboy Enterprises, Inc. Class B 65,600 793,760 * Playtex Products, Inc. 134,700 1,010,250 * Plexus Corp. 95,900 1,318,625 * Plug Power, Inc. 160,943 951,173 * PLX Technology, Inc. 57,038 513,912 * PMA Capital Corp. Class A 66,500 661,675 PNM Resources, Inc. 116,000 2,951,040 Pocahontas Bancorp, Inc. 4,400 $ 68,860 * Point Therapeutics, Inc. 660 3,227 * Point.360 9,000 22,140 PolyMedica Corp. 62,749 2,230,727 * PolyOne Corp. 94,200 869,466 * Pomeroy IT Solutions, Inc. 26,937 367,959 Pope & Talbot, Inc. 34,800 584,640 * Porta Systems Corp. 300 51 * Portal Software, Inc. 93,020 320,919 * Portfolio Recovery Associates, Inc. 33,905 1,271,438 * Possis Medical, Inc. 39,800 459,292 Potlatch Corp. 59,600 3,022,912 * Powell Industries, Inc. 19,159 309,801 * Power Intergrations, Inc. 68,000 1,341,640 PowerCerv Corp. 1,755 527 * Power-One, Inc. 183,961 1,690,602 * Powerwave Technologies, Inc. 228,645 1,849,281 * Pozen, Inc. 63,367 439,767 * PPT Vision, Inc. 6,800 5,984 * PRAECIS Pharmaceuticals, Inc. 100,404 211,852 Preformed Line Products Co. 1,200 33,900 * Premier Financial Bancorp 5,200 57,460 *# Premier Laser Systems, Inc. Class A 3,400 2 *# Pre-Paid Legal Services, Inc. 35,350 1,210,738 Presidential Life Corp. 64,892 1,084,345 * Presstek, Inc. 75,598 807,387 * Pressure BioSciences, Inc. 6,700 20,435 * PRG-Schultz International, Inc. 136,100 734,940 * Price Communications Corp. 124,070 2,246,908 *# Priceline.com, Inc. 89,216 2,129,586 *# Pricesmart, Inc. 15,300 121,635 * PRIMEDIA, Inc. 573,038 1,833,722 * Primus Telecommunications Group, Inc. 144,612 438,174 * Princeton Review, Inc. 14,600 86,724 * Printronix, Inc. 5,800 97,672 * Priority Healthcare Corp. 85,139 1,779,405 * Private Business, Inc. 945 2,022 * ProAssurance Corp. 64,150 2,505,058 * Procom Technology, Inc. 5,400 7,128 * ProcureNet, Inc. 19,700 20 * Progenics Pharmaceuticals, Inc. 39,000 583,050 Programmers Paradise, Inc. 5,200 59,020 * Progress Software Corp. 79,800 1,811,460 * ProQuest Co. 62,700 1,696,035 Prosperity Bancshares, Inc. 48,041 1,362,443 * Protection One, Inc. 41,500 10,790 Providence & Worcester Railroad Co. 3,000 36,900 Provident Bancorp, Inc. 36,935 489,758 Provident Bankshares Corp. 72,693 2,670,741 Provident Financial Holdings, Inc. 8,325 243,090 Provident Financial Services, Inc. 16,553 321,625 * Province Healthcare Co. 88,825 1,993,233 * Proxim Corp. 6,726 27,644 * ProxyMed, Inc. 10,679 74,753 * PSS World Medical, Inc. 140,800 1,761,971 Psychemedics Corp. 5,225 66,619 * Psychiatric Solutions, Inc. 32,233 1,049,184 * PTEK Holdings, Inc. 156,737 1,650,441 Pulaski Financial Corp. 5,400 106,650 Pulitzer, Inc. 20,900 1,329,449
63
SHARES VALUE+ ------------------ ------------------ * Pure World, Inc. 7,600 $ 12,920 * PW Eagle, Inc. 7,000 27,643 Pyramid Breweries, Inc. 5,700 12,255 QAD, Inc. 74,359 612,718 * QEP Co., Inc. 2,125 33,490 * QLT, Inc. 38,900 624,345 * QuadraMed Corp. 27,006 48,611 Quaker Chemical Corp. 20,320 491,744 Quaker Fabric Corp. 37,050 213,038 * Quality Dining, Inc. 11,400 35,796 * Quality Systems, Inc. 14,000 859,740 * Qualstar Corp. 5,500 25,080 Quanex Corp. 38,100 2,247,900 * Quanta Services, Inc. 255,600 1,970,676 * Quantum Corp. 91,700 262,262 * Quantum Fuel Systems Technologies Worldwide, Inc. 67,520 419,299 * Quest Software, Inc. 201,277 3,115,768 * Questcor Pharmaceuticals, Inc. 26,800 14,740 * QuickLogic Corp. 54,600 133,224 * Quidel Corp. 69,535 448,501 * Quigley Corp. 24,006 193,968 * Quiksilver, Inc. 110,900 3,288,185 * Quinton Cardiology Systems, Inc. 29,800 305,450 * Quipp, Inc. 1,400 18,816 Quixote Corp. 19,291 404,339 *# Quokka Sports, Inc. 1,128 9 * Quovadx, Inc. 62,047 118,510 * R&B, Inc. 8,400 210,000 * R.H. Donnelley Corp. 56,100 3,068,670 * Radiant Systems, Inc. 64,344 401,507 * Radiologix, Inc. 46,500 174,375 * RadiSys Corp. 41,662 587,018 * Radyne ComStream, Inc. 9,500 69,170 * RailAmerica, Inc. 80,900 1,035,520 * Raindance Communictions, Inc. 74,896 173,010 Ralcorp Holdings, Inc. 64,200 2,645,040 * Ramtron International Corp. 49,000 180,320 Range Resources Corp. 152,500 3,162,850 * Rare Hospitality International, Inc. 74,550 2,233,518 Raven Industries, Inc. 39,810 854,721 * Rayovac Corp. 76,100 2,258,648 Raytech Corp. 16,400 30,340 * RC2 Corp. 44,191 1,382,736 * RCM Technologies, Inc. 10,500 53,550 *# RCN Corp. 82,600 6,112 * Reading International, Inc. Class A 18,149 152,633 * Reading International, Inc. Class B 1,060 8,745 * RealNetworks, Inc. 372,900 2,349,270 * Redback Networks, Inc. 56,711 272,213 * Redhook Ale Brewery, Inc. 9,300 32,550 Redwood Empire Bancorp 5,250 150,098 Regal-Beloit Corp. 53,804 1,517,811 * Regeneration Technologies, Inc. 58,540 544,422 * Regeneron Pharmaceuticals, Inc. 116,437 1,073,549 * Regent Communications, Inc. 98,413 561,938 * Register.com, Inc. 44,100 256,662 * RehabCare Group, Inc. 35,800 942,256 * Reliability, Inc. 6,300 4,977 Reliance Steel & Aluminum Co. 71,557 2,855,840 # Reliv International, Inc. 34,532 282,126 *# Relm Wireless Corp. 7,600 $ 15,580 * Remec, Inc. 135,250 815,558 * RemedyTemp, Inc. 15,100 166,402 * Remington Oil & Gas Corp. 60,600 1,754,370 * Remote Dynamics, Inc. 276 235 Renaissance Learning, Inc. 68,415 1,317,673 * Rentrak Corp. 21,600 211,680 * Rent-Way, Inc. 57,700 489,296 * Repligen Corp. 66,100 159,962 * Reptron Electronics, Inc. 343 2,521 Republic Bancorp, Inc. 154,971 2,408,254 Republic Bancorp, Inc. Class A 15,225 422,494 * Republic First Bancorp, Inc. 6,967 106,595 * Res-Care, Inc. 37,785 566,775 * ResMed, Inc. 41,300 2,067,478 Resource America, Inc. 38,451 1,131,613 * Resources Connection, Inc. 51,368 2,330,052 * Restoration Hardware, Inc. 72,300 368,007 * Retail Ventures, Inc. 74,500 546,085 * Retek, Inc. 122,429 746,817 * Revlon, Inc. 745,500 1,573,005 * Rewards Network, Inc. 55,800 351,540 * Rex Stores Corp. 22,700 399,520 * Rexhall Industries, Inc. 3,542 1,523 * RF Micro Devices, Inc. 258,727 1,800,740 * RF Monolithics, Inc. 17,000 160,140 RGC Resources, Inc. 3,564 86,249 * Rhythms NetConnections, Inc. 3,800 0 Richardson Electronics, Ltd. 31,125 347,044 * Rigel Pharmaceuticals, Inc. 2,222 55,594 Riggs National Corp. 51,399 1,034,148 * Rimage Corp. 8,600 130,806 *# Rita Medical Systems, Inc. 79,321 243,515 * Riverside Group, Inc. 700 6 Riverview Bancorp, Inc. 4,500 96,935 * Riviera Holdings Corp. 3,600 97,200 RLI Corp. 55,600 2,315,740 * Roadhouse Grill, Inc. 8,540 1,281 Roanoke Electric Steel Corp. 9,900 178,101 Robbins & Myers, Inc. 31,600 762,824 *# Robotic Vision Systems, Inc. 3,480 1,601 * Rochester Medical Corp. 5,300 47,700 Rock of Ages Corp. 4,400 32,608 * Rockford Corp. 14,600 31,974 Rock-Tenn Co. Class A 78,400 1,265,376 # Rocky Mountain Chocolate Factory, Inc. 4,015 57,736 * Rocky Shoes & Boots, Inc. 4,500 93,600 * Rofin-Sinar Technologies, Inc. 32,800 1,279,200 * Rogers Corp. 36,800 1,746,160 Rollins, Inc. 100,500 2,467,275 * Roxio, Inc. 1,629 15,247 Royal Bancshares of Pennsylvania, Inc. Class A 4,430 128,470 Royal Gold, Inc. 45,135 799,792 * Royale Energy, Inc. 4,509 34,584 RPC, Inc. 28,600 779,350 * RSA Security, Inc. 140,000 2,961,000 * RTI International Metals, Inc. 46,700 1,006,385 * RTW, Inc. 5,150 47,020 * Rubio's Restaurants, Inc. 20,095 266,862
64
SHARES VALUE+ ------------------ ------------------ Ruddick Corp. 102,800 $ 2,242,068 * Rudolph Technologies, Inc. 36,900 590,400 * Rural Cellular Corp. Class A 2,800 13,664 * Rural/Metro Corp. 14,000 48,300 * Rush Enterprises, Inc. Class A 7,000 106,260 * Rush Enterprises, Inc. Class B 7,000 112,840 Russ Berrie & Co., Inc. 45,500 1,034,670 Russell Corp. 71,800 1,316,812 * Ryan's Restaurant Group, Inc. 89,200 1,362,084 Ryerson Tull, Inc. 54,900 888,282 * S&K Famous Brands, Inc. 2,100 33,642 S&T Bancorp, Inc. 57,981 2,128,483 * S1 Corp. 154,406 1,446,784 * Saba Software, Inc. 29,577 125,111 * Safeguard Scientifics, Inc. 206,800 415,668 * SafeNet, Inc. 51,704 1,843,765 * Safety Components International, Inc. 118 1,652 * Saga Communications, Inc. Class A 40,525 688,520 * Salem Communications Corp. 44,069 1,082,335 *# Salton, Inc. 25,000 152,750 * San Filippo (John B.) & Son, Inc. 17,893 397,225 Sanders Morris Harris Group, Inc. 38,039 580,095 Sanderson Farms, Inc. 43,900 1,635,275 * Sands Regent Casino Hotel 2,000 23,900 Sandy Spring Bancorp, Inc. 31,164 1,131,876 * Sangamo BioSciences, Inc. 54,897 256,369 * Sapient Corp. 270,394 2,138,817 * SatCon Technology Corp. 52,200 105,966 Saucony, Inc. Class A 2,700 66,690 Saucony, Inc. Class B 3,500 86,240 Sauer-Danfoss, Inc. 49,600 985,056 * Savient Pharmaceuticals, Inc. 76,600 168,520 * Saxon Capital, Inc. 17,400 394,980 * SBA Communications Corp. 101,800 977,280 * SBE, Inc. 3,500 11,585 * SBS Technologies, Inc. 33,930 443,126 * ScanSoft, Inc. 225,660 823,659 * ScanSource, Inc. 27,800 1,798,660 Schawk, Inc. 22,200 376,956 * Scheid Vineyards, Inc. 2,200 12,562 *# Schick Technologies, Inc. 9,000 115,200 * Schieb (Earl), Inc. 2,200 6,490 * Schlotzsky's, Inc. 7,200 270 * Schmitt Industries, Inc. 2,466 18,865 Schnitzer Steel Industries, Inc. Class A 62,351 2,352,503 * Scholastic Corp. 82,462 2,716,298 * Schuff International, Inc. 7,000 19,320 Schulman (A.), Inc. 65,979 1,415,250 Schweitzer-Maudoit International, Inc. 32,400 1,119,744 * Sciclone Pharmaceuticals, Inc. 97,969 399,714 * Scientific Games Corp. 116,381 2,781,506 * Scientific Learning Corp. 4,400 23,760 * Scientific Technologies, Inc. 6,700 34,103 * SCM Microsystems, Inc. 30,763 104,902 SCP Pool Corp. 85,050 2,681,627 SCPIE Holdings, Inc. 9,300 92,907 * SCS Transportation, Inc. 32,654 690,632 Seaboard Corp. 1,400 1,050,000 * Seabulk International, Inc. 46,800 557,856 * Seachange International, Inc. 60,700 1,036,756 Seacoast Banking Corp. of Florida 33,228 $ 731,681 * SEACOR Holdings, Inc. 41,800 2,319,900 * Seattle Genetics, Inc. 91,734 626,543 * Secom General Corp. 140 172 * Secure Computing Corp. 64,074 667,651 * SED International Holdings, Inc. 825 763 * SeeBeyond Technology Corp. 184,633 583,440 * SEEC, Inc. 100 23 * Segue Software, Inc. 9,500 46,265 * Selas Corp. of America 4,750 9,880 *# Select Comfort Corp. 79,100 1,541,659 Select Medical Corp. 202,700 3,537,115 * Selectica, Inc. 71,960 277,046 Selective Insurance Group, Inc. 61,179 2,740,207 SEMCO Energy, Inc. 62,300 301,532 * Semitool, Inc. 62,960 564,122 * Semtech Corp. 85,616 1,752,560 * SEMX Corp. 900 113 * Seneca Foods Corp. Class A 200 3,725 * Seneca Foods Corp. Class B 1,300 24,239 * Senesco Technologies, Inc. 6,300 20,475 # Sensient Technologies Corp. 103,100 2,376,455 * Sequa Corp. Class A 6,900 411,930 * Sequa Corp. Class B 2,600 156,650 * Sequenom, Inc. 63,500 56,515 * SeraCare Life Sciences, Inc. 4,080 46,516 *# Serena Software, Inc. 95,890 1,999,307 * Serologicals Corp. 54,950 1,282,533 * Service Corp. International 243,900 1,721,934 * ServiceWare Technologies, Inc. 2,900 1,363 * Servotronics, Inc. 1,100 4,675 * SFBC International, Inc. 33,996 1,320,065 * Shared Technologies Cellular, Inc. 10,100 20 * Sharper Image Corp. 34,000 651,440 *# Shaw Group, Inc. 140,287 2,066,428 * Shiloh Industries, Inc. 33,066 429,197 * Shoe Carnival, Inc. 27,579 359,630 * Shoe Pavilion, Inc. 6,200 16,864 * Sholodge, Inc. 5,100 23,307 * ShopKo Stores, Inc. 65,800 1,176,504 *# Shuffle Master, Inc. 50,987 2,346,932 * Siebert Financial Corp. 22,300 69,108 Sierra Bancorp 1,700 35,700 * Sierra Health Services, Inc. 58,036 3,228,543 *# Sierra Pacific Resources 258,100 2,645,525 * SIFCO Industries, Inc. 5,400 22,680 * Sigma Designs, Inc. 45,800 413,574 * Sigmatron International, Inc. 2,200 29,898 Silgan Holdings, Inc. 40,413 2,194,426 *# Silicon Graphics, Inc. 348,800 561,568 * Silicon Image, Inc. 165,389 2,778,535 * Silicon Storage Technology, Inc. 211,200 1,469,952 *# Silicon Valley Bancshares 71,258 2,991,411 * Siliconix, Inc. 65,324 2,416,335 * Simclar, Inc. 6,500 28,600 Simmons First National Corp. Class A 31,627 917,183 * SimpleTech, Inc. 105,557 524,618 Simpson Manufacturing Co., Inc. 87,400 2,936,640 Sinclair Broadcast Group, Inc. Class A 100,100 721,721
65
SHARES VALUE+ ------------------ ------------------ * Sipex Corp. 74,246 $ 408,353 * Sirenza Microdevices, Inc. 76,511 388,676 *# Sirna Therapeutics, Inc. 82,075 253,612 * Sitel Corp. 137,600 305,472 * Six Flags, Inc. 212,505 1,032,774 SJW Corp. 9,000 346,950 * Skechers U.S.A., Inc. Class A 46,400 538,704 Skyline Corp. 8,300 343,205 Skywest, Inc. 126,096 2,399,607 * Skyworks Solutions, Inc. 290,417 2,883,841 * SL Industries, Inc. 5,900 82,069 * SM&A 44,600 359,922 * Smart & Final Food, Inc. 66,400 961,472 * SmartDisk Corp. 100 29 * Smith & Wollensky Restaurant Group, Inc. 13,400 62,176 Smith (A.O.) Corp. 48,200 1,448,410 Smith (A.O.) Corp. Convertible Class A 3,750 112,688 * Smith Micro Software, Inc. 21,400 150,014 * Smithway Motor Xpress Corp. Class A 4,000 29,000 * Sola International, Inc. 70,000 1,512,000 * Somera Communications, Inc. 59,150 65,657 Sonic Automotive, Inc. 64,400 1,599,052 * Sonic Corp. 113,237 3,303,123 *# Sonic Foundry, Inc. 42,300 75,294 * Sonic Innovations, Inc. 43,200 175,824 * Sonic Solutions, Inc. 50,600 976,580 * SonicWALL, Inc. 148,400 912,660 * SonoSite, Inc. 32,445 968,483 * Sonus Networks, Inc. 54,057 357,317 * Sonus Pharmaceuticals, Inc. 46,400 141,984 * Sotheby's Holdings, Inc. Class A 104,300 1,635,424 Sound Federal Bancorp, Inc. 27,084 411,704 * Source Interlink Companies, Inc. 50,600 660,330 * Source Media, Inc. 27,400 219 * SOURCECORP, Inc. 34,502 573,768 South Jersey Industries, Inc. 30,364 1,561,013 Southern Banc Co., Inc. 200 3,500 * Southern Energy Homes, Inc. 13,825 63,872 * Southern Union Co. 77,303 1,895,487 Southside Banchares, Inc. 331 8,308 * Southwall Technologies, Inc. 14,200 15,904 Southwest Bancorp, Inc. 11,400 306,090 Southwest Bancorporation of Texas, Inc. 109,400 2,675,924 Southwest Gas Corp. 77,600 1,971,040 Southwest Water Co. 35,740 486,421 * Southwestern Energy Co. 19,301 1,059,625 * Spacehab, Inc. 25,166 57,882 Span-American Medical System, Inc. 2,400 27,600 * Spanish Broadcasting System, Inc. 87,200 932,168 * SPAR Group, Inc. 2,900 4,405 Spartan Motors, Inc. 27,045 321,322 * Spartan Stores, Inc. 38,375 199,550 Spartech Corp. 70,700 1,976,065 * Sparton Corp. 8,334 81,015 * Specialty Laboratories, Inc. 50,300 552,294 SpectraLink Corp. 41,800 612,370 * Spectranetics Corp. 55,582 270,129 * Spectrum Control, Inc. 13,000 $ 96,980 * Spectrum Pharmaceuticals, Inc. 2,700 15,201 * SpectRx, Inc. 8,900 6,675 Speedway Motorsports, Inc. 67,390 2,475,909 * Spescom Software, Inc. 1,202 445 * Spherion Corp. 133,120 1,048,986 * Spherix, Inc. 12,100 35,453 * Spinnaker Exploration Co. 74,590 2,705,379 * Spire Corp. 6,700 29,480 * Sport Chalet, Inc. 2,700 35,103 * Sport Supply Group, Inc. 8,900 18,245 * Sport-Haley, Inc. 2,700 12,434 * SportsLine.com, Inc. 33,400 57,782 * Sportsman's Guide, Inc. 10,389 252,245 * SPSS, Inc. 27,637 441,916 * SRA International, Inc. 35,100 2,037,204 * SRI/Surgical Express, Inc. 6,100 31,842 * SRS Labs, Inc. 31,745 206,343 SS&C Technologies, Inc. 49,850 1,116,142 St. Mary Land & Exploration Co. 65,300 2,807,247 * Staar Surgical Co. 45,200 268,036 * Stage Stores, Inc. 38,372 1,572,868 * Stamps.com, Inc. 49,723 769,215 *# Standard Automotive Corp. 4,400 0 Standard Commercial Corp. 29,029 546,326 * Standard Management Corp. 7,600 27,360 * Standard Microsystems Corp. 40,572 997,260 Standard Motor Products, Inc. 42,900 668,811 Standard Register Co. 52,500 690,900 Standex International Corp. 26,500 738,025 Stanley Furniture, Inc. 6,700 308,200 Star Buffet, Inc. 2,800 16,576 *# Star Scientific, Inc. 141,895 935,088 * Starbiz Restrictive Shares 2 0 * Starcraft Corp. 2,756 39,549 Starrett (L.S.) Co. Class A 4,800 95,424 StarTek, Inc. 31,800 914,568 State Auto Financial Corp. 87,312 2,339,962 State Financial Services Corp. Class A 7,800 230,100 *# STATS ChipPAC, Ltd. 134,937 757,132 * Steak n Shake Co. 60,418 1,124,983 Steel Dynamics, Inc. 73,158 2,965,094 Steel Technologies, Inc. 27,250 797,880 * SteelCloud, Inc. 12,100 24,079 * Stein Mart, Inc. 93,516 1,555,171 * Steinway Musical Instruments, Inc. 16,500 466,455 * Stellent, Inc. 58,100 456,085 *# StemCells, Inc. 2,600 7,930 Stepan Co. 8,400 213,948 Stephan Co. 3,500 14,210 Sterling Bancorp 33,376 1,073,706 Sterling Bancshares, Inc. 98,799 1,440,489 * Sterling Construction Co., Inc. 8,500 40,800 * Sterling Financial Corp. 49,070 1,960,347 Stewart & Stevenson Services, Inc. 63,302 1,266,040 * Stewart Enterprises, Inc. 229,470 1,702,667 Stewart Information Services Corp. 39,800 1,737,270 * Stifel Financial Corp. 20,900 502,645 * Stillwater Mining Co. 198,600 2,355,396 * Stone Energy Corp. 58,563 2,809,853
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SHARES VALUE+ ------------------ ------------------ * Stonepath Group, Inc. 69,400 $ 53,438 * Stoneridge, Inc. 50,100 762,021 * StorageNetworks, Inc. Escrow Shares 60,800 1,648 * Stratagene Corp. 4,926 33,787 * Stratasys, Inc. 22,600 729,980 * Strategic Diagnostics, Inc. 42,300 107,019 * Strategic Distribution, Inc. 3,029 34,379 * Stratex Networks, Inc. 168,568 347,250 * Stratos International, Inc. 27,936 113,420 * Strattec Security Corp. 4,100 258,300 * Stratus Properties, Inc. 7,050 104,622 Strayer Education, Inc. 8,300 892,084 Stride Rite Corp. 80,900 890,709 Sturm Ruger & Co., Inc. 59,200 537,536 * Suburban Lodges of America, Inc. Escrow Shares 18,500 0 Suffolk BanCorp 8,600 285,348 Summa Industries, Inc. 5,200 47,216 Summit Bancshares, Inc. 2,000 68,100 Summit Bank Corp. 2,520 43,042 * SumTotal Systems, Inc. 28,067 154,088 * Sun Bancorp, Inc. 37,368 928,595 * Sun Healthcare Group, Inc. 30,992 232,440 Sun Hydraulics, Inc. 4,900 70,021 * Sunair Electronics, Inc. 3,000 19,110 * Suncoast Naturals, Inc. 950 181 * Sundance Homes, Inc. 1,500 5 * SunLink Health Systems, Inc. 1,048 5,502 *# Sunrise Senior Living, Inc. 45,265 1,944,132 Sunrise Telecom, Inc. 3,700 9,805 * Suntron Corp. 5,265 17,375 * Superconductor Technologies, Inc. 71,840 60,346 *# SuperGen, Inc. 99,590 719,040 * Superior Consultant Holdings Corp. 10,700 70,192 * Superior Energy Services, Inc. 171,800 2,522,024 # Superior Industries International, Inc. 58,400 1,649,800 Superior Uniform Group, Inc. 7,000 97,440 * Supertex, Inc. 28,400 617,700 * SupportSoft, Inc. 93,500 474,980 Supreme Industries, Inc. 11,408 69,817 * SureBeam Corp. Class A 2,142 18 SureWest Communications 31,112 885,759 *# SurModics, Inc. 38,492 1,158,609 Susquehanna Bancshares, Inc. 101,591 2,641,366 * Swift Energy Corp. 61,500 1,865,910 * Swift Transportation Co., Inc. 6,343 123,625 * Swisher International, Inc. 700 1,540 SWS Group, Inc. 34,518 728,675 * Sybase, Inc. 190,100 3,275,423 * Sybron Dental Specialties, Inc. 85,600 2,939,504 * Sycamore Networks, Inc. 348,888 1,308,330 * Sykes Enterprises, Inc. 84,828 572,589 * Symmetricom, Inc. 99,367 1,073,164 * Syms Corp. 28,200 349,398 * Symyx Technologies 70,600 2,226,018 * Synalloy Corp. 5,900 57,525 *# Synaptics, Inc. 55,320 2,124,288 * Synovis Life Technologies, Inc. 24,600 291,510 * Synplicity, Inc. 55,675 312,894 Syntel, Inc. 88,385 1,730,578 * Synthetech, Inc. 16,400 17,056 * Syntroleum Corp. 100,526 $ 696,645 Sypris Solutions, Inc. 38,347 623,906 * Systemax, Inc. 47,500 327,750 * T-3 Energy Services, Inc. 1,250 8,363 *# Tag-It Pacific, Inc. 18,200 81,900 * Taitron Components, Inc. 5,000 12,450 *# Take-Two Interactive Software, Inc. 50,900 1,778,955 * TALK America Holdings, Inc. 58,409 369,145 TALX Corp. 30,238 888,997 Tandy Brand Accessories, Inc. 5,900 84,305 * Tanox, Inc. 96,754 1,340,043 * Tarantella, Inc. 3,300 4,257 * Tarrant Apparel Group 32,800 61,008 Tasty Baking Co. 17,400 145,638 TB Wood's Corp. 7,600 41,192 * TBC Corp. 48,950 1,305,497 * Team, Inc. 7,600 129,048 * TeamStaff, Inc. 20,200 40,198 Tech/Ops Sevcon, Inc. 3,100 18,538 Teche Holding Co. 700 28,613 * Techne Corp. 45,700 1,697,755 * Technical Communications Corp. 400 2,660 Technical Olympic USA, Inc. 48,292 1,180,739 * Technitrol, Inc. 88,600 1,528,350 Technology Research Corp. 12,050 84,350 * Technology Solutions Corp. 35,500 33,370 * TechTeam Global, Inc. 20,000 188,000 Tecumseh Products Co. Class A 29,000 1,327,910 * Tegal Corp. 5,000 6,550 * Tejon Ranch Co. 13,900 549,745 * Tekelec 132,600 3,104,166 * TeleCommunication Systems, Inc. 53,600 162,944 * Teledyne Technologies, Inc. 70,600 2,096,820 * Teleglobe International Holdings, Ltd. 11,300 38,759 * TeleTech Holdings, Inc. 163,900 1,601,303 * Telik, Inc. 96,100 1,836,471 * Telkonet, Inc. 7,600 34,428 * Telular Corp. 28,300 180,271 * TenFold Corp. 4,500 4,635 Tennant Co. 19,700 788,000 * Tenneco Automotive, Inc. 92,400 1,432,200 * Terayon Communication Systems, Inc. 123,500 245,765 * Terex Corp. 50,721 2,325,051 * Terra Industries, Inc. 170,900 1,401,380 * Tesoro Petroleum Corp. 97,100 3,215,952 * Tessco Technologies, Inc. 4,500 59,850 * Tetra Tech, Inc. 123,696 1,885,127 * Tetra Technologies, Inc. 49,000 1,489,600 Texas Industries, Inc. 47,700 2,862,000 Texas Regional Banchshares, Inc. Class A 75,960 2,701,138 Texas United Bancshares, Inc. 100 1,875 TF Financial Corp. 2,600 84,201 * Thackeray Corp. 4,100 3,895 * The Banc Corp. 34,700 272,742 * The Children's Place Retail Stores, Inc. 61,900 1,959,754 * The Dress Barn, Inc. 68,204 1,171,063 * The Geo Group, Inc. 25,000 576,250 * The Lamson & Sessions Co. 31,800 287,790
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SHARES VALUE+ ------------------ ------------------ The Manitowoc Co., Inc. 61,750 $ 2,306,363 The Marcus Corp. 47,800 1,092,230 * The Medicines Co. 109,392 2,728,236 * The Mens Warehouse, Inc. 82,400 2,607,960 * The Mosaic Co. 138,058 2,399,448 # The Phoenix Companies, Inc. 208,400 2,542,480 * The Rowe Companies 13,100 66,155 * The Sports Authority, Inc. 56,306 1,605,284 * The Sports Club Co., Inc. 20,100 33,969 The Topps Co., Inc. 88,848 885,815 * The Washtenaw Group, Inc. 1,500 2,385 * Theragenics Corp. 65,200 273,840 * Therma-Wave, Inc. 78,789 252,125 * Thermwood Corp. 200 166 * TheStreet.com, Inc. 54,235 235,922 * Third Wave Technologies, Inc. 88,144 710,441 * Thomas & Betts Corp. 91,000 2,879,240 * Thomas Group, Inc. 4,000 4,800 Thomas Industries, Inc. 38,150 1,494,717 * Thoratec Corp. 111,843 1,118,430 * THQ, Inc. 86,100 1,847,706 * Three-Five Systems, Inc. 43,099 83,612 * TIBCO Software, Inc. 66,652 766,498 * Tickets.com, Inc. 1,600 1,200 * Tier Technologies, Inc. Class B 41,400 365,562 TierOne Corp. 39,453 978,829 * TII Network Technologies, Inc. 11,260 16,440 Timberland Bancorp, Inc. 3,900 95,550 * Timco Aviation Services, Inc. 2,749 990 * Time Warner Telecom, Inc. 100,387 380,467 * Tipperary Corp. 17,900 84,309 * Titan Corp. 185,600 2,990,016 # Titan International, Inc. 19,600 244,608 * Titan Pharmaceuticals, Inc. 70,700 176,750 * Titanium Metals Corp. 15,850 364,392 *# TiVo, Inc. 175,826 828,140 * TL Administration Corp. 200 4 * TLC Vision Corp. 33,060 385,480 Todd Shipyards Corp. 6,300 107,919 * Todhunter International, Inc. 4,600 54,832 * Tofutti Brands, Inc. 6,900 21,390 * Tollgrade Communications, Inc. 27,991 299,224 Tompkins County Trustco, Inc. 363 19,130 * Too, Inc. 75,900 1,927,860 * Torch Offshore, Inc. 23,300 46,111 * Toreador Resources Corp. 4,900 75,607 # Toro Co. 39,200 2,842,000 * Total Entertainment Restaurant Corp. 21,861 219,484 *# Tower Automotive, Inc. 128,000 230,400 Track Data Corp. 3,400 2,822 * Tractor Supply Co. 84,193 2,670,602 * Tradestation Group, Inc. 91,800 681,156 Traffix, Inc. 29,800 195,190 * Trailer Bridge, Inc. 9,800 63,700 * Trammell Crow Co. 82,300 1,407,330 * Trans World Entertainment Corp. 74,900 844,872 * Transact Technologies, Inc. 8,550 191,093 * Transaction Systems Architects, Inc. 82,439 1,691,648 * Transcat, Inc. 6,100 18,300 * Transgenomic, Inc. 21,900 26,718 * Trans-Industries, Inc. 1,400 3,654 * Transkaryotic Therapies, Inc. 76,418 $ 1,743,095 *# Transmeta Corp. 264,600 447,174 * TransMontaigne, Inc. 87,500 475,125 * Transport Corp. of America 5,200 38,272 * Transpro, Inc. 16,100 97,969 * Transtechnology Corp. 6,200 46,810 * Transwitch Corp. 40,600 49,532 * Travis Boats & Motors, Inc. 2,900 1,117 * TRC Companies, Inc. 29,400 524,496 Tredegar Industries, Inc. 84,891 1,581,519 *# Trenwick Group, Ltd. 11,975 144 *# Trestle Holdings, Inc. 450 731 * Trex Co., Inc. 32,600 1,530,570 * Triad Guaranty, Inc. 32,014 1,920,840 Triarc Companies, Inc. Class A 50,900 659,155 Triarc Companies, Inc. Class B 49,000 624,750 Trico Bancshares 9,900 237,105 *# Trico Marine Services, Inc. 55,100 19,285 * Trident Microsystems, Inc. 50,500 787,800 * Trimble Navigation, Ltd. 91,185 2,878,710 * Trimedyne, Inc. 4,300 2,580 * Trimeris, Inc. 48,078 596,648 Trinity Industries, Inc. 88,000 3,110,800 * Trio-Tech International 400 1,848 * TriPath Imaging, Inc. 83,652 600,621 * Tripath Technology, Inc. 68,751 58,438 * Tripos, Inc. 10,620 55,118 * Triquint Semiconductor, Inc. 272,497 1,179,912 * Triton PCS Holdings, Inc. 136,900 342,250 * Triumph Group, Inc. 34,902 1,415,625 *# Tri-Valley Corp. 10,800 73,548 * TriZetto Group, Inc. 103,201 730,663 * TRM Corp. 7,000 131,390 *# Tropical Sportswear International Corp. 19,875 28,024 * Troy Group, Inc. 13,800 40,158 * Trump Hotels & Casino Resorts, Inc. 29,600 24,568 TrustCo Bank Corp. NY 163,455 2,304,716 TSR, Inc. 4,400 30,668 * TTM Technologies, Inc. 89,700 931,086 * Tuesday Morning Corp. 86,241 2,888,211 * Tufco Technologies, Inc. 4,500 34,875 * Tumbleweed Communications Corp. 105,295 368,533 Tupperware Corp. 128,800 2,411,136 * TurboChef Technologies, Inc. 20,500 130,175 * Tut Systems, Inc. 51,200 202,240 * Tweeter Home Entertainment Group, Inc. 51,800 332,038 Twin Disc, Inc. 2,800 70,308 * Tyler Technologies, Inc. 90,800 711,872 *# U.S. Aggregates, Inc. 1,600 4 * U.S. Concrete, Inc. 60,700 441,289 * U.S. Energy Corp. Wyoming 11,500 34,385 * U.S. Physical Therapy, Inc. 28,972 449,066 * U.S. Xpress Enterprises, Inc. Class A 10,823 281,398 * UbiquiTel, Inc. 204,190 1,327,235 *# UFP Technologies, Inc. 3,800 13,224 UICI 97,400 3,253,160 UIL Holdings Corp. 32,000 1,710,720 * Ulticom, Inc. 92,830 1,666,299 *# Ultimate Electronics, Inc. 31,258 95,649
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SHARES VALUE+ ------------------ ------------------ * Ultimate Software Group, Inc. 48,347 $ 617,391 * Ultradata Systems, Inc. 2,000 900 * Ultralife Batteries, Inc. 13,100 197,024 * Ultratech, Inc. 52,400 902,852 UMB Financial Corp. 47,465 2,658,515 Umpqua Holdings Corp. 96,760 2,474,153 *# Unapix Entertainment, Inc. 6,100 25 * Unico American Corp. 5,500 41,085 * Unifi, Inc. 114,634 426,438 Unifirst Corp. 20,450 565,238 Union Bankshares Corp. 170 6,377 Union Community Bancorp 2,300 43,528 Unisource Energy Corp. 67,080 1,636,081 * Unit Corp. 67,400 2,670,388 United Auto Group, Inc. 101,800 2,903,336 United Bankshares, Inc. 47,960 1,835,429 United Community Banks, Inc. 78,918 2,261,790 United Community Financial Corp. 65,672 754,571 United Financial Corp. 660 16,236 * United Financial Mortgage Corp. 10,400 47,320 United Fire & Casualty Co. 6,200 412,920 United Industrial Corp. 28,600 1,115,400 * United Natural Foods, Inc. 88,302 2,483,935 * United Online, Inc. 132,703 1,415,941 * United PanAm Financial Corp. 600 11,910 * United Rentals, Inc. 171,100 3,057,557 * United Retail Group, Inc. 22,866 94,894 # United Security Bancshares 2,000 49,780 * United Stationers, Inc. 60,900 2,915,892 * United Surgical Partners International, Inc. 62,302 2,459,060 * United Therapeutics Corp. 47,154 2,075,248 United-Guardian, Inc. 1,900 14,725 Unitil Corp. 4,700 131,647 Unity Bancorp, Inc. 5,733 69,083 * Universal Access Global Holdings, Inc. 435 57 * Universal American Financial Corp. 120,600 1,610,010 * Universal Compression Holdings, Inc. 69,249 2,582,988 Universal Corp. 55,300 2,692,004 * Universal Display Corp. 63,248 616,668 * Universal Electronics, Inc. 29,700 542,025 Universal Forest Products, Inc. 38,783 1,673,874 * Universal Stainless & Alloy Products, Inc. 6,000 88,320 Unizan Financial Corp. 33,197 855,819 * Unova, Inc. 133,900 2,967,224 * UQM Technologies, Inc. 41,100 86,721 * Urologix, Inc. 31,342 223,155 * URS Corp. 95,313 2,863,203 *# US Airways Group, Inc. Class A 46,800 51,948 *# US LEC Corp. 69,136 232,988 * USA Mobility, Inc. 42,300 1,538,028 * USA Truck, Inc. 9,300 115,227 *# USANA Health Services, Inc. 41,200 1,224,052 USB Holding Co., Inc. 17,953 501,633 *# USDATA Corp. 2,820 113 USEC, Inc. 185,431 1,952,588 USF Corp. 61,137 2,260,235 Utah Medical Products, Inc. 5,000 108,750 *# V.I. Technologies, Inc. 57,100 38,257 * VA Software Corp. 109,000 $ 269,230 # Vail Banks, Inc. 1,300 16,926 * Vail Resorts, Inc. 77,600 1,765,400 *# Valence Technology, Inc. 20,900 75,240 Valhi, Inc. 14,240 220,862 Valley National Gases, Inc. 4,200 53,760 Valmont Industries, Inc. 52,200 1,302,912 * Valpey Fisher Corp. 1,650 5,610 Value Line, Inc. 9,900 396,010 * ValueClick, Inc. 176,200 2,272,980 * ValueVision Media, Inc. Class A 79,947 906,599 * Varian Semiconductor Equipment Associates, Inc. 80,100 2,845,152 * Varian, Inc. 76,300 2,857,435 *# Vascular Solutions, Inc. 30,600 317,016 * Vastera, Inc. 75,179 139,081 *# Vaxgen, Inc. 42,400 664,832 # Vector Group, Ltd. 91,624 1,502,634 * Veeco Instruments, Inc. 64,700 1,254,533 * VendingData Corp. 2,100 3,969 * Ventana Medical Systems, Inc. 38,224 2,283,884 * Ventiv Health, Inc. 2,200 42,592 * Verilink Corp. 40,558 141,953 * Veritas DGC, Inc. 73,500 1,719,900 * Verity, Inc. 82,200 1,126,962 * Vermont Pure Holdings, Ltd. 17,300 30,794 * Versant Corp. 3,874 2,828 * Versar, Inc. 8,700 37,845 * Verso Technologies, Inc. 26,319 21,318 * Vertex Pharmaceuticals, Inc. 176,229 1,871,552 * VerticalBuyer Inc. 920 28 *# Vertrue, Inc. 21,500 746,050 Vesta Insurance Group, Inc. 79,400 298,544 * Vestin Group, Inc. 200 614 Viad Corp. 47,800 1,146,722 * Vialta, Inc. 9,801 1,666 * Viasat, Inc. 58,891 1,229,055 * Vical, Inc. 47,255 203,197 * Vicon Industries, Inc. 4,600 26,036 Vicor Corp. 65,819 715,453 * Vicuron Pharmaceuticals, Inc. 137,550 2,419,505 # Video Display Corp. 7,200 98,280 * Viewpoint Corp. 118,316 309,988 * Vignette Corp. 407,600 517,652 * Viisage Technology, Inc. 94,795 764,996 Vintage Petroleum, Inc. 143,400 3,477,450 * Virage Logic Corp. 47,227 709,822 * Virbac Corp. 22,000 77,440 * Virco Manufacturing Corp. 13,269 102,171 * Virginia Commerce Bancorp, Inc. 500 14,250 *# Virologic, Inc. 90,800 190,680 *# ViroPharma, Inc. 57,925 163,928 * Vision-Sciences, Inc. 5,100 13,515 *# Vista Medical Technologies, Inc. 7,500 8,400 Visteon Corp. 285,400 2,414,484 * Visual Networks, Inc. 31,900 102,718 * VISX, Inc. 108,900 2,816,154 *# Vital Images, Inc. 25,700 416,083 Vital Signs, Inc. 27,956 1,045,834 * VitalWorks, Inc. 95,650 385,470 *# Vitech America, Inc. 14,850 41
69
SHARES VALUE+ ------------------ ------------------ * Vitesse Semiconductor, Inc. 200,110 $ 652,359 * Vitria Technology, Inc. 73,242 253,417 * Vivus, Inc. 83,664 491,944 * VL Dissolution Corp. 3,101 465 *# VLPS Lighting Services International, Inc. Escrow Shares 4,800 392 * Vodavi Technology, Inc. 4,300 30,186 * Volt Information Sciences, Inc. 33,000 1,006,500 Vulcan International Corp. 700 31,500 * Vyyo, Inc. 31,600 229,100 * W-H Energy Services, Inc. 60,500 1,383,030 * Wabash National Corp. 60,200 1,497,174 Wabtec Corp. 100,200 2,061,114 Walter Industries, Inc. 82,000 2,064,760 *# Warnaco Group, Inc. 101,217 2,011,182 Warwick Valley Telephone Co. 300 6,744 Washington Banking Co. 4,680 82,087 * Washington Group International, Inc. 55,215 2,153,385 Washington Savings Bank FSB 2,400 32,400 Washington Trust Bancorp, Inc. 28,963 852,091 * Waste Connections, Inc. 78,500 2,673,710 Waste Industries USA, Inc. 19,300 221,371 * WatchGuard Technologies, Inc. 71,080 291,428 * Water Pik Technologies, Inc. 8,400 144,480 * Waterlink, Inc. 100 0 Waters Instruments, Inc. 300 2,265 Watsco, Inc. Class A 50,500 1,670,035 Watsco, Inc. Class B 1,350 44,618 Watson Wyatt & Co., Holdings 71,300 1,900,858 Watts Water Technologies, Inc. 54,900 1,681,587 Wausau-Mosinee Paper Corp. 113,736 2,041,561 * Waxman Industries, Inc. 600 3,900 Waypoint Financial Corp. 53,226 1,478,086 * WCI Communities, Inc. 97,600 2,500,512 WD-40 Co. 36,503 1,066,253 * Webb Interactive Services, Inc. 5,300 2,173 * Webco Industries, Inc. 6,000 45,000 * WebEx Communications, Inc. 97,480 2,314,175 * webMethods, Inc. 116,402 714,708 *# Websense, Inc. 51,200 2,460,672 * Weider Nutrition International, Inc. 10,500 44,520 Weis Markets, Inc. 59,607 2,288,909 Wellco Enterprises, Inc. 1,000 14,800 Wellman, Inc. 70,400 724,416 *# Wells-Gardner Electronics Corp. 6,101 32,213 Wesbanco, Inc. 43,261 1,367,480 * WESCO International, Inc. 92,000 2,587,040 West Bancorporation 6,300 109,242 West Coast Bancorp 32,829 863,731 * West Marine, Inc. 45,778 1,057,472 West Pharmaceutical Services, Inc. 67,100 1,568,798 * Westaff, Inc. 24,300 74,115 Westamerica Bancorporation 2,000 116,320 Westbank Corp. 4,740 87,311 * Westcoast Hospitality Corp. 12,900 65,403 * Westell Technologies, Inc. 117,980 772,769 * Western Power & Equipment Corp. 3,373 5,565 * Western Sierra Bancorp 1,575 63,000 * Westmoreland Coal Co. 800 23,720 Westwood Holdings Group, Inc. 6,479 123,619 *# Wet Seal, Inc. Class A 45,533 75,585 Weyco Group, Inc. 300 $ 12,102 WGL Holdings, Inc. 14,000 424,480 * White Electronics Designs Corp. 51,323 343,864 * Whitehall Jewelers, Inc. 30,250 250,470 * Whiting Petroleum Corp. 2,960 100,758 *# WHX Corp. 6,333 4,940 * Wickes, Inc. 4,400 20 * Wild Oats Markets, Inc. 61,369 439,402 *# William Lyon Homes, Inc. 21,600 1,519,560 * Williams Industries, Inc. 1,200 4,200 * Willis Lease Finance Corp. 9,500 84,550 Willow Grove Bancorp, Inc. 21,051 379,550 * Wilshire Enterprises, Inc. 7,107 42,855 * Wilson Greatbatch Technologies, Inc. 49,200 986,460 * Wilsons The Leather Experts, Inc. 84,545 422,725 * Wind River Systems, Inc. 180,973 2,189,773 * Winmark Corp. 3,800 101,270 # Winn-Dixie Stores, Inc. 312,700 1,250,800 # Winnebago Industries, Inc. 73,900 2,803,027 Wintrust Financial Corp. 46,219 2,765,745 * Wireless Facilities, Inc. 151,851 1,257,326 Wireless Telecom Group, Inc. 37,900 112,184 * Wireless WebConnect!, Inc. 8,900 26 * Witness Systems, Inc. 51,600 773,484 * WJ Communications, Inc. 56,300 190,857 *# WMS Industries, Inc. 66,900 1,989,606 * Wolverine Tube, Inc. 31,900 338,778 Wolverine World Wide, Inc. 84,100 2,518,795 * Women First HealthCare, Inc. 1,500 2 Woodhead Industries, Inc. 26,657 401,988 Woodward Governor Co. 24,870 1,811,780 * World Acceptance Corp. 40,600 1,047,074 * World Access, Inc. 1,672 2 World Fuel Services Corp. 26,100 1,075,320 World Wrestling Federation Entertainment, Inc. 45,900 550,800 *# WorldGate Communications, Inc. 6,500 15,600 * WorldQuest Networks, Inc. 1,500 4,485 * Worldwide Restaurant Concepts, Inc. 60,500 197,835 Worthington Industries, Inc. 28,229 607,206 * Wright Medical Group, Inc. 73,552 1,945,450 WSI Industries, Inc. 2,000 5,200 X-Rite, Inc. 45,663 680,835 * Xanser Corp. 42,800 120,696 * Xeta Corp. 10,300 30,591 * Yankee Candle Co., Inc. 100,500 3,061,230 Yardville National Bancorp 16,400 546,284 York International Corp. 87,000 3,207,690 * Young Broadcasting, Inc. Class A 39,207 382,660 * Zapata Corp. 2,340 147,467 Zenith National Insurance Corp. 18,600 855,042 * Zevex International, Inc. 3,400 11,900 * Zhone Technologies, Inc. 181,262 442,279 * Zila, Inc. 100,566 447,519 *# Zix Corp. 69,726 319,345 * Zoll Medical Corp. 20,422 692,918 *# Zoltek Companies, Inc. 36,100 332,120 * Zomax, Inc. 70,500 242,520 * Zones, Inc. 13,500 82,755 * Zoran Corp. 88,535 1,049,140 * Zygo Corp. 38,600 448,532
70
SHARES VALUE+ ------------------ ------------------ * ZymeTx, Inc. 700 $ 30 * Zymogenetics, Inc. 117,939 2,681,933 ------------------ TOTAL COMMON STOCKS (Cost $1,925,480,313) 2,293,355,046 ------------------ RIGHTS/WARRANTS -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 30 0 * American Banknote Corp. Warrants Series 2 10/01/07 30 0 * Anacomp, Inc. Class B Warrants 12/10/06 0 0 *# Angeion Corp. Warrants 10/31/07 215 11 * Aura Systems, Inc. Warrants 05/31/05 1,262 0 * CD&L, Inc. Rights 10/15/04 650 0 * Chart Industries, Inc. Warrants 09/15/10 24 372 * Chiquita Brands International, Inc. Warrants 03/19/09 9,947 54,708 * CSF Holding, Inc. Litigation Rights 12/30/99 3,250 0 * Del Global Technologies Corp. Warrants 03/28/08 971 1,068 *# Foster Wheelers, Ltd. Warrants 09/24/07 40,600 0 * Imperial Credit Industries, Inc. Warrants 01/31/08 22 0 * Imperial Sugar Co. Warrants 08/29/08 498 1,096 * Lodgian, Inc. Class A Warrants 11/25/07 188 7 * Lodgian, Inc. Class B Warrants 11/25/09 582 22 * Magnum Hunter Resources, Inc. Warrants 03/21/05 7,200 4,392 * Milltope Group, Inc. Contigent Value Rights 5,800 0 * Optical Cable Corp. Warrants 10/24/07 2,823 0 *# OSI Pharmaceuticals, Inc. Rights 4,829 579 * PDS Gaming Corp. 1,100 1,650 PMR Corp. Contingent Value Rights 08/05/04 7,300 7 * Timco Aviation Services, Inc. Warrants 12/31/07 6,696 1 ------------------ TOTAL RIGHTS/WARRANTS (Cost $445,757) 63,913 ------------------
FACE AMOUNT VALUE ------------------ ------------------ (000) BONDS -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 $ 2 $ 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 3 0 ------------------ TOTAL BONDS (Cost $0) 0 ------------------ TEMPORARY CASH INVESTMENTS -- (8.2%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $164,370,000 U.S. Treasury Note, 4.75%, 05/15/14, valued at $170,106,222) to be repurchased at $166,776,566 (Cost $166,767,579)@ 166,768 166,767,579 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $38,206,000 FHLMC Notes 4.20%, 10/20/09, valued at $38,369,904) to be repurchased at $37,971,983 (Cost $37,970,000) 37,970 37,970,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $204,737,579) 204,737,579 ------------------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,130,663,649) $ 2,498,156,538 ==================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. @ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 71 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ UNITED KINGDOM -- (17.9%) COMMON STOCKS -- (17.9%) Aggregate Industries P.L.C. 1,964,973 $ 3,688,173 Amvescap P.L.C. 225,900 1,384,318 Arriva P.L.C. 231,050 2,163,954 Associated British Foods P.L.C. 990,462 14,152,962 Associated British Ports Holdings P.L.C. 378,800 3,403,288 Aviva P.L.C. 2,630,567 29,114,963 * AWG P.L.C. 76,018 1,092,962 BAA P.L.C. 1,614,239 17,953,811 BAE Systems P.L.C. 2,667,041 12,496,750 * Banco Santander Central Hispano SA 841,876 10,033,633 Barratt Developments P.L.C. 338,959 3,329,838 BBA Group P.L.C. 680,050 3,761,732 Bellway P.L.C. 38,000 517,193 Bovis Homes Group P.L.C. 132,000 1,272,170 BPB P.L.C. 458,500 3,857,096 Bradford & Bingley P.L.C. 80,259 421,938 Britannic P.L.C. 278,864 2,213,019 * British Airways P.L.C. 1,839,331 7,767,617 British Land Co. P.L.C. 870,090 13,610,932 British Vita P.L.C. 286,388 1,466,422 Brixton P.L.C. 359,333 2,217,502 Cable and Wireless P.L.C. 3,512,914 7,609,065 Carnival P.L.C. 156,870 8,751,205 * Corus Group P.L.C. 6,312,988 6,630,051 Derwent Valley Holdings P.L.C. 49,351 927,107 DeVere Group P.L.C. 85,228 713,960 Dixons Group P.L.C. 333,402 927,542 * Duelguide Units P.L.C. 36,010 370,184 * Easyjet P.L.C. 294,025 1,045,345 FKI P.L.C. 856,795 2,171,803 Friends Provident P.L.C. 2,272,618 6,652,081 Galen Holdings P.L.C. 319,000 5,197,328 Great Portland Estates P.L.C. 239,324 1,464,984 Greene King P.L.C. 105,263 2,400,651 Hammerson P.L.C. 468,800 7,136,185 Hanson P.L.C. 963,671 7,718,181 HBOS P.L.C. 14,538 203,486 * HHG P.L.C. 842,619 780,794 Hilton Group P.L.C. 2,673,589 13,199,650 Intercontinental Hotels Group P.L.C. 968,773 12,321,669 * International Power P.L.C. 2,525,271 7,316,497 ITV P.L.C. 1,551,881 3,253,412 Johnson Matthey P.L.C. 43,250 837,103 Kelda Group P.L.C. 161,510 1,664,219
1 Kingfisher P.L.C. 659,395 3,628,560 Land Securities Group P.L.C. 78,654 1,931,002 Liberty International P.L.C. 469,345 7,948,434 London Merchant Securities P.L.C. 358,862 1,374,062 Marks & Spencer Group P.L.C. 1,197,239 7,507,828 Mersey Docks & Harbour Co. P.L.C. 115,042 1,963,986 MFI Furniture Group P.L.C. 66,600 147,555 Millennium and Copthorne Hotels P.L.C. 493,245 3,403,860 Mitchells & Butlers P.L.C. 630,549 3,645,854 * MM02 P.L.C. 8,760,348 19,150,459 Pearson P.L.C. 245,987 2,881,913 Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,506,424 Pennon Group P.L.C. 58,615 993,265 Persimmon P.L.C. 271,811 3,215,321 * Pillar Property P.L.C. 131,128 1,766,906 * Premier Oil P.L.C. 119,812 1,281,811 Quintain Estates & Development P.L.C. 75,000 678,151 Rio Tinto P.L.C. 83,136 2,429,211 RMC Group P.L.C. 401,000 6,426,693 * Rolls Royce Group P.L.C. 2,749,448 13,820,270 Rolls Royce Group P.L.C. 87,432,446 177,656 Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,069,730 Royal Bank of Scotland Group P.L.C. 219,664 6,750,397 Sabmiller P.L.C. 192,609 3,241,389 Sainsbury (J.) P.L.C. 2,629,334 13,111,209 Scottish & Newcastle P.L.C. 976,911 8,005,286 Scottish Power P.L.C. 1,102,159 8,143,727 Severn Trent P.L.C. 210,597 3,579,003 Shire Pharmaceuticals Group P.L.C. 683,427 6,850,230 Singer & Friedlander Group P.L.C. 253,818 1,360,647 Slough Estates P.L.C. 706,900 6,514,933 Smith (David S.) Holdings P.L.C. 547,941 1,559,927 Somerfield P.L.C. 738,068 2,153,583 Stanley Leisure P.L.C. 189,634 1,618,826 Tate & Lyle P.L.C. 660,070 6,201,623 Taylor Woodrow P.L.C. 998,309 4,430,105 * The Berkeley Group Holdings P.L.C. 228,802 5,208,890 * Thus Group P.L.C. 1,857,640 506,804 Trinity Mirror P.L.C. 495,640 5,900,900 United Utilities P.L.C. 265,595 2,853,278 Vodafone Group P.L.C. 36,676,526 99,621,935 Westbury P.L.C. 27,098 198,280 Whitbread P.L.C. 520,965 7,943,848 Wilson Bowden P.L.C. 105,900 2,014,911 Wimpey (George) P.L.C. 446,968 3,047,161 Wolverhampton & Dudley Breweries P.L.C. 107,366 1,877,948 Woolworths Group P.L.C. 2,125,199 1,807,964 ------------------ TOTAL COMMON STOCKS (Cost $395,622,398) 537,664,530 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 222,049 ------------------ (Cost $218,213) TOTAL -- UNITED KINGDOM (Cost $395,840,611) 537,886,579 ------------------
2
SHARES VALUE+ ------------ ------------------ JAPAN -- (15.6%) COMMON STOCKS -- (15.4%) # Aichi Steel Corp. 120,000 639,864 AIOI Insurance Co., Ltd. 928,735 4,099,014 Aisin Seiki Co., Ltd. 182,500 3,922,135 Akita Bank, Ltd. 115,000 450,865 # Alpine Electronics, Inc. 36,800 493,856 Amada Co., Ltd. 376,000 1,892,739 # Anritsu Corp. 67,000 489,523 Aoyama Trading Co., Ltd. 47,700 1,177,185 Asahi Breweries, Ltd. 221,600 2,616,693 Asatsu-Dk, Inc. 32,500 948,181 Autobacs Seven Co., Ltd. 23,700 691,733 Awa Bank, Ltd. 196,600 1,196,489 Bank of Iwate, Ltd. 15,300 708,959 # Bank of Kyoto, Ltd. 347,400 2,905,585 Bank of Nagoya, Ltd. 185,000 954,565 Canon Sales Co., Inc. 124,900 1,788,562 Chiba Bank, Ltd. 941,000 5,972,629 Chudenko Corp. 41,100 594,696 Chugoku Bank, Ltd. 238,800 2,606,569 Citizen Watch Co., Ltd. 318,000 2,878,243 Coca-Cola West Japan Co., Ltd. 58,400 1,453,691 Comsys Holdings Corp. 92,000 790,402 Cosmo Oil Co., Ltd. 764,000 2,217,655 Dai Nippon Ink & Chemicals, Inc. 459,000 1,037,281 Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,019,438 Dai Nippon Printing Co., Ltd. 784,000 11,698,696 Daicel Chemical Industries, Ltd. 485,000 2,683,925 Daido Steel Co., Ltd. 274,000 749,659 Daishi Bank, Ltd. 355,000 1,354,819 Daiwa House Industry Co., Ltd. 663,000 7,115,109 Denso Corp. 22,500 537,877 # Ebara Corp. 173,000 769,700 Ezaki Glico Co., Ltd. 174,600 1,228,722 Fuji Electric Co., Ltd. 525,780 1,357,224 Fuji Fire & Marine Insurance Co., Ltd. 297,000 967,308 Fuji Heavy Industries 493,000 2,277,016 Fuji Oil Co., Ltd. 55,200 649,009 Fuji Photo Film Co., Ltd. 563,000 19,770,970 Fujikura, Ltd. 241,000 1,080,405 Fukui Bank, Ltd. 343,000 1,392,967 # Fukuoka Bank, Ltd. 418,000 2,647,827 Fukuyama Transporting Co., Ltd. 266,000 1,050,906 Futaba Corp. 16,000 374,944 Futaba Industrial Co., Ltd. 44,100 715,289 Glory, Ltd. 46,800 731,875 Gunma Bank, Ltd. 323,000 1,689,328 Gunze, Ltd. 148,000 645,146
3 Hachijuni Bank, Ltd. 344,000 2,269,157 * Hankyu Corp. 174,000 672,142 Hanshin Electric Railway Co., Ltd. 216,000 711,083 Heiwa Corp. 81,500 1,219,515 Higo Bank, Ltd. 308,000 1,941,622 Hitachi Cable, Ltd. 236,000 995,854 Hitachi Maxell, Ltd. 96,000 1,303,233 Hitachi Metals, Ltd. 360,000 2,041,542 Hitachi, Ltd. 3,891,000 24,995,057 Hokkoku Bank, Ltd. 223,000 989,578 Hokuetsu Paper Mills, Ltd. 162,000 876,828 House Foods Corp. 117,000 1,665,322 Hyakugo Bank, Ltd. 258,000 1,475,276 Hyakujishi Bank, Ltd. 314,000 1,844,631 * Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,114,336 * Itochu Corp. 120,000 543,178 Itoham Foods, Inc. 132,000 638,519 Iyo Bank, Ltd. 204,000 1,488,562 Japan Airport Terminal Co., Ltd. 33,000 309,897 Joyo Bank, Ltd. 545,000 2,549,901 Juroku Bank, Ltd. 349,000 1,500,586 Kagoshima Bank, Ltd. 132,000 795,400 Kamigumi Co., Ltd. 357,000 2,766,866 # Kandenko Co., Ltd. 129,000 683,325 Katokichi Co., Ltd. 34,500 650,155 # Kawasaki Heavy Industries, Ltd. 910,000 1,369,900 Kikkoman Corp. 259,000 2,361,000 Kinden Corp. 167,000 1,229,842 Kirin Brewery Co., Ltd. 752,000 7,200,964 # Kissei Pharmaceutical Co., Ltd. 41,000 858,892 Kobe Steel, Ltd. 2,632,000 4,005,252 Koito Manufacturing Co., Ltd. 101,000 832,929 Kokuyo Co., Ltd. 81,200 931,741 Komori Corp. 47,000 648,548 Kuraray Co., Ltd. 332,500 2,736,331 KYORIN Pharmaceutical Co., Ltd. 52,000 742,348 # Makita Corp. 209,000 3,228,203 Marubeni Corp. 1,942,000 5,496,133 Marui Co., Ltd. 345,200 4,561,048 Maruichi Steel Tube, Ltd. 117,000 2,051,704 Matsushita Electric Industrial Co., Ltd. 2,684,135 39,847,476 Matsushita Electric Works, Ltd. 268,000 2,293,600 Meiji Seika Kaisha, Ltd. Tokyo 243,000 1,068,514 Michinoku Bank, Ltd. 73,000 345,500 Millea Holdings, Inc. 1,870 26,342,329 Mitsubishi Gas Chemical Co., Inc. 305,000 1,442,488 Mitsubishi Heavy Industries, Ltd. 3,355,000 9,601,127 Mitsubishi Logistics Corp. 106,000 984,889 Mitsubishi Materials Corp. 975,000 2,020,966 Mitsui Chemicals, Inc. 540,800 2,829,991 Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 801,907 Mitsui Marine & Fire Insurance Co., Ltd. 1,564,000 13,746,639 Mitsumi Electric Co., Ltd. 45,800 505,707 Mizuho Holdings, Inc. 1,192 5,173,642
4 Morinaga Milk Industry Co., Ltd. 160,000 644,584 Musashino Bank, Ltd. 20,000 800,061 Nagase & Co., Ltd. 87,000 687,585 Namco, Ltd. 11,000 135,028 Nanto Bank, Ltd. 317,000 1,532,365 NGK Insulators, Ltd. 216,000 1,791,941 NGK Spark Plug Co., Ltd. 144,000 1,401,487 Nichicon Corp. 51,200 633,612 Nichirei Corp. 180,000 670,824 # Nifco, Inc. 37,000 567,669 Nihon Unisys, Ltd. 69,100 641,335 Nippon Broadcasting System, Inc. 20,690 978,259 Nippon Kayaku Co., Ltd. 128,000 699,364 Nippon Meat Packers, Inc., Osaka 144,000 1,860,776 Nippon Mitsubishi Oil Corp. 1,871,050 12,279,544 Nippon Paint Co., Ltd. 167,000 670,721 Nippon Sheet Glass Co., Ltd. 280,000 1,076,398 * Nippon Shinpan Co., Ltd. 191,000 675,452 Nippon Shokubai Co., Ltd. 163,000 1,338,046 Nippon Television Network Corp. 9,400 1,358,813 # Nishimatsu Construction Co., Ltd. 364,000 1,141,553 Nishi-Nippon Bank, Ltd. 112,540 485,374 Nissay Dowa General Insurance Co., Ltd. 383,000 1,786,299 Nisshin Seifun Group, Inc. 148,000 1,622,155 Nisshin Steel Co., Ltd. 627,000 1,494,189 Nisshinbo Industries, Inc. 305,000 2,084,653 # * Nissho Iwai-Nichmen Holdings Corp. 130,400 547,916 # NSK, Ltd. 319,000 1,481,284 Obayashi Corp. 520,000 3,225,959 Ogaki Kyoritsu Bank, Ltd. 68,000 361,150 Oji Paper Co., Ltd. 275,000 1,564,800 Okumura Corp. 144,000 793,282 Onward Kashiyama Co., Ltd. 100,000 1,357,842 PanaHome Corp. 106,000 543,820 Pioneer Electronic Corp. 139,800 2,613,796 Promise Co., Ltd. 60,500 4,220,704 Q.P. Corp. 109,600 960,526 # Rengo Co., Ltd. 152,000 696,632 * Resona Holdings, Inc. 1,873,000 3,307,879 San In Godo Bank, Ltd. 110,000 882,181 Sanwa Shutter Corp. 101,000 563,623 Sanyo Shinpan Finance Co., Ltd. 19,800 1,273,932 # Sapporo Breweries, Ltd. 251,000 1,083,835 Sapporo Hokuyo Holdings, Inc. 224 1,565,943 Seino Transportation Co., Ltd. 193,000 1,751,928 Sekisui Chemical Co., Ltd. 557,000 3,646,982 Sekisui House, Ltd. 942,000 10,378,242 Seventy-seven (77) Bank, Ltd. 241,000 1,567,945 SFCG Co., Ltd. 8,010 1,971,516 Shiga Bank, Ltd. 272,000 1,484,603 Shikoku Bank, Ltd. 72,000 412,853 Shimachu Co., Ltd. 36,200 858,825 Shinko Securities Co., Ltd. 470,000 1,418,171 Shizuoka Bank, Ltd. 473,000 4,154,962
5 Sumitomo Bakelite Co., Ltd. 105,000 610,069 Sumitomo Corp. 471,000 3,964,211 Sumitomo Electric Industries, Ltd. 472,000 4,934,630 Sumitomo Forestry Co., Ltd. 139,000 1,217,377 Sumitomo Metal Industries, Ltd. Osaka 592,000 787,024 Sumitomo Metal Mining Co., Ltd. 313,000 2,340,059 Sumitomo Osaka Cement Co., Ltd. 269,000 591,633 Sumitomo Trust & Banking Co., Ltd. 21,000 139,903 Suzuken Co., Ltd. 54,000 1,269,287 Taiheiyo Cement Corp. 1,209,800 3,023,219 Taisei Corp. 527,000 2,077,690 Taiyo Yuden Co., Ltd. 77,000 782,756 Takara Standard Co., Ltd. 118,000 696,478 Takashimaya Co., Ltd. 124,000 1,172,422 Teijin, Ltd. 893,000 3,829,691 Teikoku Oil Co., Ltd. 346,000 1,878,076 Toda Corp. 203,000 906,207 Toho Bank, Ltd. 97,000 356,918 Tokai Tokyo Securities Co., Ltd. 155,000 440,169 Tokuyama Corp. 248,000 1,417,399 Tokyo Broadcasting System, Inc. 117,500 1,859,950 Tokyo Style Co., Ltd. 133,000 1,486,662 Tokyo Tatemono Co., Ltd. 143,000 920,968 Toppan Printing Co., Ltd. 441,000 4,576,733 Toshiba TEC Corp. 181,000 804,742 Tostem Inax Holding Corp. 228,000 4,022,909 Toyo Ink Manufacturing Co., Ltd. 174,000 615,254 Toyo Seikan Kaisha, Ltd. 287,600 4,687,662 Toyo Suisan Kaisha, Ltd. 64,000 825,720 Toyota Auto Body Co., Ltd. 86,000 1,414,103 Toyota Tsusho Corp. 79,000 1,188,614 TV Asahi Corp. 202 413,308 UNY Co., Ltd. 133,000 1,436,923 Wacoal Corp. 149,000 1,673,221 Yamagata Bank, Ltd. 100,000 468,422 Yamaguchi Bank, Ltd. 133,000 1,349,530 Yamanashi Chuo Bank, Ltd. 119,000 700,781 Yamatake Corp. 20,000 210,126 Yamazaki Baking Co., Ltd. 155,000 1,402,650 Yokohama Rubber Co., Ltd. 410,000 1,434,541 York-Benimaru Co., Ltd. 29,300 808,277 ------------------ TOTAL COMMON STOCKS (Cost $443,108,095) 464,821,980 ------------------ INVESTMENT IN CURRENCY -- (0.2%) * Japanese Yen 6,275,105 ------------------ (Cost $6,276,971) TOTAL -- JAPAN (Cost $449,385,066) 471,097,085 ------------------
6 FRANCE -- (10.8%) COMMON STOCKS -- (10.8%) AGF (Assurances Generales de France SA) 177,559 12,204,896 Air France 192,225 3,639,817 Air Liquide SA 9,820 1,671,861 Arcelor SA 167,800 3,697,167 AXA 1,670,413 39,122,585 BNP Paribas SA 902,415 62,745,944 Bongrain SA 7,145 484,919 # * Business Objects SA 54,856 1,280,655 * Cap Gemini SA 96,137 3,102,836 # * Club Mediterranee SA 8,962 411,643 Compagnie de Saint-Gobain 348,170 19,808,301 # Compagnie Francaise d'Etudes et de Construction Technip SA 16,088 2,694,337 Credit Agricole SA 27,709 820,511 Eiffage SA 6,954 693,811 Esso SA 686 101,897 Euler-Hermes SA 10,354 678,291 * Eurafrance 18,000 1,403,840 # Faurecia SA 30,445 2,276,996 # Fimalac SA 46,887 2,125,196 Generale des Establissements Michelin SA Series B 107,620 6,221,184 Havas SA 300,744 1,661,907 Imerys SA 44,000 3,363,354 LaFarge SA 139,696 13,122,402 LaFarge SA Prime Fidelity 85,542 8,043,508 Lagardere S.C.A. SA 10,900 778,878 Nexans 9,618 370,496 Peugeot SA 238,144 14,551,758 Pinault Printemps Redoute SA 67,999 7,065,871 Rallye SA 18,020 866,072 # Remy Cointreau SA 56,022 2,073,614 Renault SA 207,598 16,996,011 # Rexel SA 10,713 542,322 SA Des Galeries Lafayette 900 202,478 Schneider SA 209,919 14,594,986 SEB SA Prime Fidelity 9,900 1,006,552 Societe BIC SA 52,288 2,542,068 # Societe des Ciments de Francais 35,796 3,142,950 Societe Generale Paris 293,528 28,347,570 Sodexho Alliance SA 14,126 429,816 Suez (ex Suez Lyonnaise des Eaux) 701,284 16,488,080 Thomson Multimedia 179,505 4,311,546 # Unibail SA 34,832 4,955,962 Valeo SA 73,528 2,911,246 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 622,748 * Vivendi Universal SA 403,364 11,886,532 ------------------ TOTAL COMMON STOCKS (Cost $220,711,106) 326,065,414 ------------------ RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 16,500 18,421 * Rallye SA Series B Warrants 11/30/05 18,020 2,383 ------------------
7 TOTAL RIGHTS/WARRANTS (Cost $28,587) 20,804 ------------------ TOTAL -- FRANCE (Cost $220,739,693) 326,086,218 ------------------ MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad (Cost $1,085,853) 691,000 0 ------------------ GERMANY -- (7.1%) COMMON STOCKS -- (7.1%) Aachener und Muenchener Beteiligungs AG 33,828 2,556,439 Allianz AG 11,053 1,381,828 BASF AG 386,050 26,064,201 Bayer AG 498,853 15,829,617 Bayerische Motorenwerke AG 23,035 976,317 * Bayerische Vereinsbank AG 573,132 12,777,641 BHW Holding AG 10,667 144,370 Bilfinger & Berger Bau AG 23,702 887,947 * Commerzbank AG 408,050 8,157,135 DaimlerChrysler AG 1,037,459 46,429,283 Deutsche Bank AG 589,811 49,954,035 E.ON AG 12,593 1,060,464 Fraport AG 68,708 2,676,797 Fresenius Medical Care AG 27,600 2,160,307 * Heidelberger Druckmaschinen AG 46,167 1,578,133 Heidelberger Zement AG 70,373 3,993,505 Hochtief AG 56,150 1,667,607 * Hypo Real Estate Holding AG 84,277 3,263,856 IVG Immobilien AG 30,276 460,689 Karstadt Quelle AG 12,500 128,405 Linde AG 77,043 4,733,669 Merck KGAA 36,000 2,072,910 * MG Technologies AG 150,773 1,780,689 # Preussag AG 131,223 2,925,027 Salzgitter AG 13,041 263,659 SCA Hygiene Products AG 3,550 1,366,619 ThyssenKrupp AG 325,691 7,076,828 Vattenfall Europe AG 94,898 3,658,597 Volkswagen AG 202,446 9,107,320 ------------------ TOTAL COMMON STOCKS (Cost $180,557,681) 215,133,894 ------------------ RIGHTS/WARRANTS -- (0.0%) * Karstadt Quelle AG Rights 12/09/04 12,500 29,737 ------------------ (Cost $70,225) TOTAL -- GERMANY (Cost $180,627,906) 215,163,631 ------------------
8 SWITZERLAND -- (7.1%) COMMON STOCKS -- (7.1%) Baloise-Holding 214,760 9,027,920 Bank Sarasin & Cie Series B, Basel 180 299,479 Banque Cantonale Vaudoise 12,608 1,946,224 Berner Kantonalbank 23,400 3,325,566 * Ciba Spezialitaetenchemie Holding AG 81,000 5,862,257 Cie Financiere Richemont AG Series A 1,251,000 38,073,212 Clariant AG 19,200 298,870 * Credit Swisse Group 806,195 31,473,228 * Fischer (Georg) AG, Schaffhausen 1,280 330,452 # Givaudan SA 5,792 3,828,374 Helvetia Patria Holding 7,696 1,072,659 Holcim, Ltd. 199,770 11,440,948 Jelmoli Holding AG 500 690,230 Luzerner Kantonalbank AG 14,627 2,681,791 Pargesa Holding SA, Geneve 1,935 6,538,318 PSP Swiss Property AG 109,600 4,681,675 Rieters Holdings AG 7,860 2,284,323 Sig Holding AG 44,130 9,945,721 * Sika Finanz AG, Baar 3,828 2,261,329 # St. Galler Kantonalbank 14,319 3,512,490 * Swiss Life AG 132,137 17,356,050 Swiss Reinsurance Co., Zurich 82,700 5,524,052 * Syngenta AG 165,100 17,492,792 # Unaxis Holding AG 45,400 4,796,859 * Valiant Holding AG 39,295 3,566,334 Valora Holding AG 12,170 2,949,565 * Zurich Financial SVCS AG 152,206 23,419,596 ------------------ TOTAL COMMON STOCKS (Cost $148,683,401) 214,680,314 ------------------ RIGHTS/WARRANTS -- (0.0%) * Helvetia Patria Holding Rights 12/07/04 8,116 90,582 ------------------ (Cost $0) TOTAL -- SWITZERLAND (Cost $148,683,401) 214,770,896 ------------------ AUSTRALIA -- (6.4%) COMMON STOCKS -- (6.2%) Amcor, Ltd. 862,273 4,942,349 AMP, Ltd. 1,026,661 5,453,050 # Ansell, Ltd. 303,463 2,151,028 APN News & Media, Ltd. 495,309 1,910,807 Australand Property Group 292,716 411,887 AWB, Ltd. 356,256 1,309,632
9 AXA Asia Pacific Holdings, Ltd. 2,837,724 8,777,105 # Bluescope Steel, Ltd. 1,252,100 8,134,416 Boral, Ltd. 919,617 4,895,282 Caltex Australia, Ltd. 440,369 3,121,553 Commonwealth Bank of Australia 1,251,077 30,387,664 CSR, Ltd. 1,514,337 3,010,727 Downer Group, Ltd. 223,115 772,283 Futuris Corp., Ltd. 458,719 748,533 Insurance Australiz Group, Ltd. 1,466,691 6,613,074 Lend Lease Corp., Ltd. 568,460 5,344,330 Lion Nathan, Ltd. 871,345 5,354,657 Mayne Group, Ltd. 1,301,416 4,286,592 # Mirvac, Ltd. 1,185,081 4,330,046 National Australia Bank, Ltd. 1,252,892 27,239,746 Onesteel, Ltd. 446,887 852,312 Orica, Ltd. 358,303 5,418,336 Origin Energy, Ltd. 694,412 3,776,075 Paperlinx, Ltd. 727,704 2,614,992 Publishing and Broadcasting, Ltd. 405,482 4,895,936 Quantas Airways, Ltd. 3,393,231 9,378,667 Rinker Group, Ltd. 1,155,484 8,572,213 Santos, Ltd. 953,246 6,529,804 # Seven Network, Ltd. 383,865 1,866,988 * Southcorp, Ltd. 1,146,542 3,232,560 Stockland Trust Group 22,084 100,390 * Stockland Trust Group 783 3,548 WMC Resources, Ltd. 1,821,249 10,096,940 ------------------ TOTAL COMMON STOCKS (Cost $123,337,406) 186,533,522 ------------------ INVESTMENT IN CURRENCY -- (0.2%) * Australian Dollar 6,012,695 ------------------ (Cost $6,108,819) TOTAL -- AUSTRALIA (Cost $129,446,225) 192,546,217 ------------------ SPAIN -- (4.9%) COMMON STOCKS -- (4.9%) # Acerinox SA 261,360 3,836,009 Arcelor SA 30,000 662,119 Autopistas Concesionaria Espanola SA 496,408 10,306,237 Banco de Andalucia 900 84,421 Banco de Sabadell SA 154,021 3,458,030 # Banco Pastor SA 59,400 1,939,044 # Banco Santander Central Hispanoamerica SA 2,754,687 33,045,586 Cementos Portland SA 21,016 1,175,481 Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,057,465 Ebro Puleva SA 120,322 1,549,160 Endesa SA, Madrid 1,136,646 24,487,412 Gas Natural SA, Buenos Aires 121,385 3,474,711 # Iberdrola SA 535,000 12,597,452
10 Iberia Lineas Aereas de Espana SA 617,500 2,013,474 Inmobiliaria Colonial SA ICSA 32,300 1,243,490 # Inmobiliaria Urbis SA 96,328 1,325,041 # Metrovacesa SA 69,066 3,290,079 Repsol SA 1,289,224 31,413,737 Sociedad General de Aguas de Barcelona SA 119,484 2,236,550 # Sol Melia SA 157,217 1,474,608 Union Fenosa SA 230,000 5,925,764 Vallehermoso SA 46,125 705,967 ------------------ TOTAL COMMON STOCKS (Cost $99,497,069) 148,301,837 ------------------ RIGHTS/WARRANTS -- (0.0%) * Sociedad General de Aguas de Barcelona SA Rights 12/15/04 119,484 22,232 ------------------ (Cost $0) TOTAL -- SPAIN (Cost $99,497,069) 148,324,069 ------------------ NETHERLANDS -- (4.2%) COMMON STOCKS -- (4.2%) ABN AMRO Holding NV 48,226 1,184,128 Aegon NV 1,335,528 16,512,414 Buhrmann NV 94,439 843,671 DSM NV 99,492 5,992,654 Hunter Douglas NV 94,242 4,750,608 IHC Caland NV 21,931 1,341,229 ING Groep NV 1,856,950 50,968,074 * Koninklijke Ahold NV 713,522 5,243,102 Koninklijke KPN NV 778,922 6,757,700 Koninklijke Nedlloyd NV 12,142 616,114 Koninklijke Philips Electronics NV 780,482 20,113,730 NV Holdingsmij de Telegraaf 6,800 161,860 Oce NV 60,734 907,927 * Versatel Telecom International NV 323,150 858,891 VNU NV 380,388 11,476,796 ------------------ TOTAL -- NETHERLANDS (Cost $89,713,830) 127,728,898 ------------------ SWEDEN -- (3.7%) COMMON STOCKS -- (3.6%) # * Ainax AB 40,366 1,601,623 Carbo AB 2,900 79,805 Castellum AB 4,100 142,427 Electrolux AB Series B 168,300 3,703,241 Gambro AB Series A 555,400 7,197,790 Gambro AB Series B 216,300 2,715,309 Holmen AB Series A 6,300 233,677 Holmen AB Series B 155,700 5,437,892
11 NCC AB Series B 59,700 753,603 Nordic Baltic Holdings AB 1,843,100 18,092,336 Skandinaviska Enskilda Banken Series A 196,000 3,730,512 Skandinaviska Enskilda Banken Series C 9,800 181,344 SSAB Swedish Steel Series A 180,800 4,361,398 SSAB Swedish Steel Series B 60,500 1,433,272 Svenska Cellulosa AB Series A 19,000 794,428 Svenska Cellulosa AB Series B 221,100 9,214,003 Svenska Kullagerfabriken AB Series A 22,650 965,142 Svenska Kullagerfabriken AB Series B 29,700 1,262,280 Telia AB 1,875,000 11,425,027 Trelleborg AB Series B 160,600 2,658,989 Volvo AB Series A 243,200 9,574,994 Volvo AB Series B 443,400 18,072,158 Whilborg Fastigheter AB Class B 173,980 3,457,233 ------------------ TOTAL COMMON STOCKS (Cost $70,971,563) 107,088,483 ------------------ INVESTMENT IN CURRENCY -- (0.1%) * Swedish Krona 3,698,511 ------------------ (Cost $3,705,806) TOTAL -- SWEDEN (Cost $74,677,369) 110,786,994 ------------------ HONG KONG -- (3.2%) COMMON STOCKS -- (3.2%) Cheung Kong Holdings, Ltd. 1,648,000 15,846,285 China Overseas Land & Investment, Ltd. 1,864,000 442,873 China Travel International Investment, Ltd. 680,000 205,117 Great Eagle Holdings, Ltd. 175,987 418,358 Hang Lung Development Co., Ltd. 2,518,000 4,721,136 Henderson Land Development Co., Ltd. 123,000 638,612 Hong Kong and Shanghai Hotels, Ltd. 372,000 348,818 Hopewell Holdings, Ltd. 1,455,000 3,771,769 Hutchison Whampoa, Ltd. 2,319,000 20,660,149 Hysan Development Co., Ltd. 2,157,039 4,377,561 Kerry Properties, Ltd. 2,312,291 4,951,737 New Asia Realty & Trust Co., Ltd. 140,000 66,640 New World Development Co., Ltd. 2,625,649 2,946,084 # Shanghai Industrial Holdings, Ltd. 1,094,000 2,203,508 # Shangri-La Asia, Ltd. 4,190,734 5,359,848 # Shun Tak Holdings, Ltd. 134,000 135,857 # Sino Land Co., Ltd. 8,041,407 7,689,791 Tsim Sha Tsui Properties, Ltd. 472,000 661,501 Wharf Holdings, Ltd. 3,619,214 12,871,190 Wheelock and Co., Ltd. 3,940,000 6,508,047 ------------------ TOTAL COMMON STOCKS (Cost $77,052,663) 94,824,881 ------------------
12 INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 203,239 ------------------ (Cost $203,299) RIGHTS/WARRANTS -- (0.0%) * China Travel International Investment, Ltd. Warrants 05/31/06 136,000 13,292 ------------------ (Cost $0) TOTAL -- HONG KONG (Cost $77,255,962) 95,041,412 ------------------ ITALY -- (2.5%) COMMON STOCKS -- (2.5%) * Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,295,497 * Banca Antoniana Popolare Veneta SpA 83,000 1,985,205 Banca Monte Dei Paschi di Siena SpA 1,623,479 5,306,690 # * Banca Nazionale del Lavoro SpA 2,230,687 5,457,494 # Banca Popolare di Lodi Scarl 437,995 4,889,598 Banca Popolare di Milano 665,400 5,414,145 Benetton Group SpA 181,249 2,179,239 # Buzzi Unicem SpA 67,793 950,378 Caltagirone Editore SpA 222,304 1,889,830 Capitalia SpA 2,910,876 11,419,773 CIR SpA (Cie Industriale Riunite), Torino 500,000 1,253,920 # Compagnia Assicuratrice Unipol SpA 452,120 2,000,977 # * Edison SpA 1,390,717 2,856,235 Erg SpA 197,993 2,203,693 # * Fiat SpA 1,054,970 7,814,046 Italcementi SpA 444,060 6,715,735 Italmobiliare SpA, Milano 33,664 1,949,937 Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 99,295 Milano Assicurazioni SpA 182,000 917,096 Pirelli & Co. SpA 1,486,658 1,891,787 # SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,076,989 San Paolo-IMI SpA 121,701 1,670,468 Societe Cattolica di Assicurazoni Scarl SpA 8,800 387,448 ------------------ TOTAL COMMON STOCKS (Cost $69,926,723) 75,625,475 ------------------ RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 51,693 8,224 ------------------ (Cost $0) TOTAL -- ITALY (Cost $69,926,723) 75,633,699 ------------------ IRELAND -- (1.6%) COMMON STOCKS -- (1.6%) Allied Irish Banks P.L.C. 144,188 2,798,692 Bank of Ireland P.L.C. 99,637 1,518,985 CRH P.L.C. 545,646 13,761,010 * Elan Corp. P.L.C. 690,634 17,993,169
13 Irish Permanent P.L.C. 650,175 11,241,742 ------------------ TOTAL -- IRELAND (Cost $26,709,697) 47,313,598 ------------------ FINLAND -- (1.5%) COMMON STOCKS -- (1.5%) Huhtamaki Van Leer Oyj 2,300 33,653 # * Kemira GrowHow Oyj 21,542 157,467 Kemira Oyj 101,377 1,403,187 Kesko Oyj 157,000 3,651,209 Metso Oyj 219,166 3,509,431 M-real Oyj Series B 253,400 1,651,678 Okobank Class A 65,000 903,664 Outokumpu Oyj Series A 351,300 6,533,481 Rautaruukki Oyj Series K 12,900 155,654 Stora Enso Oyj Series R 766,900 12,227,695 Upm-Kymmene Oyj 539,400 12,165,996 # Wartsila Corp. Oyj Series B 39,600 1,374,564 ------------------ TOTAL -- FINLAND (Cost $31,526,494) 43,767,679 ------------------ BELGIUM -- (1.4%) COMMON STOCKS -- (1.4%) Ackermans & Van Haaren SA 4,187 142,184 Algemene Mij Voor Nijverheidskredit Almanij 94,286 8,460,761 Banque Nationale de Belgique 1,049 4,441,149 Bekaert SA 2,787 218,038 Cofinimmo SA 1,108 177,423 Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 109,966 8,509,068 Dexia SA 191,251 4,080,385 D'Ieteren SA 431 81,571 Groupe Bruxelles Lambert 55,500 4,336,610 * ING Bank Belgium NV 128 4 Nationale a Portefeuille 4,029 763,223 Sofina SA 10,500 694,874 Suez (ex Suez Lyonnaise des Eaux) 95,400 2,239,088 Tessenderlo Chemie 31,155 1,298,467 Union Miniere SA 70,740 6,405,311 ------------------ TOTAL COMMON STOCKS (Cost $26,690,265) 41,848,156 ------------------ RIGHTS/WARRANTS -- (0.0%) * Umicore-Strip VVPR Rights 2,009 265 ------------------ (Cost $0) TOTAL -- BELGIUM (Cost $26,690,265) 41,848,421 ------------------
14
SHARES VALUE+ ------------ ------------------ DENMARK -- (1.2%) COMMON STOCKS -- (1.2%) Carlsberg A.S. Series B 32,525 1,517,604 Codan A.S. 57,000 2,919,597 Danisco A.S. 56,130 3,423,707 Danske Bank A.S. 395,753 11,832,330 # * Jyske Bank A.S. 82,000 2,945,370 Nordea AB 475,918 4,667,916 Rockwool, Ltd. 31,200 1,502,307 Sydbank A.S. 7,120 1,351,873 Tele Danmark A.S. 179,750 7,369,301 ------------------ TOTAL COMMON STOCKS (Cost $23,184,424) 37,530,005 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 527 ------------------ (Cost $506) TOTAL -- DENMARK (Cost $23,184,930) 37,530,532 ------------------ SINGAPORE -- (1.1%) COMMON STOCKS -- (1.1%) DBS Group Holdings, Ltd. 672,000 6,477,280 Fraser & Neave, Ltd. 756,290 6,733,037 Keppel Corp., Ltd. 570,000 2,797,082 # Neptune Orient Lines, Ltd. 801,000 1,440,753 Overseas Chinese Banking Corp., Ltd. 94,000 768,699 Sembcorp Industries, Ltd. 1,700,000 1,505,050 Singapore Airlines, Ltd. 1,258,000 8,361,262 Singapore Land, Ltd. 813,000 2,221,984 United Overseas Bank, Ltd. 66,000 547,881 United Overseas Land, Ltd. 1,734,000 2,458,662 ------------------ TOTAL COMMON STOCKS (Cost $26,461,854) 33,311,690 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 1,127,329 ------------------ (Cost $1,126,620) TOTAL -- SINGAPORE (Cost $27,588,474) 34,439,019 ------------------ NORWAY -- (1.1%) COMMON STOCKS -- (1.1%) Den Norske Bank ASA Series A 759,794 7,170,633 Norsk Hydro ASA 200,940 16,466,917 Norske Skogindustrier ASA Series A 247,500 5,265,472
15 Storebrand ASA 355,300 3,163,737 ------------------ TOTAL COMMON STOCKS (Cost $23,217,193) 32,066,759 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone 524,680 ------------------ (Cost $525,947) TOTAL -- NORWAY (Cost $23,743,140) 32,591,439 ------------------ AUSTRIA -- (0.4%) COMMON STOCKS -- (0.4%) * Bank Austria Creditanstalt AG 45,184 3,847,276 Bohler Uddeholm AG 6,402 758,788 OMV AG 11,385 3,007,395 # Voestalpine AG 62,211 4,450,174 Wienerberger AG 16,123 717,244 ------------------ TOTAL -- AUSTRIA (Cost $7,462,154) 12,780,877 ------------------ PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 1,428,405 3,572,420 Banco Espirito Santo e Comercial de Lisboa 86,280 1,526,668 BPI SGPS SA 477,999 1,946,299 # Cimpor Cimentos de Portugal SA 503,265 2,792,308 Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,938,854 ------------------ TOTAL -- PORTUGAL (Cost $10,531,651) 12,776,549 ------------------ GREECE -- (0.4%) COMMON STOCKS -- (0.4%) * Agricultural Bank of Greece S.A. 123,600 1,011,961 Alpha Credit Bank 35,040 1,100,861 Bank of Greece 8,520 1,077,870 Bank of Piraeus S.A. 4,600 72,272 Commercial Bank of Greece 44,760 1,364,782 EFG Eurobank Ergasias S.A. 60,097 1,751,263 Hellenic Petroleum S.A. 159,140 1,666,698 Hellenic Tellecommunication Organization Co. S.A. 140,460 2,309,191 National Bank of Greece 20,176 622,832 ------------------ TOTAL -- GREECE (Cost $7,215,408) 10,977,730 ------------------
16 NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 99,828 555,368 Carter Holt Harvey, Ltd. 1,955,577 3,108,333 Fletcher Building, Ltd. 440,315 1,942,870 ------------------ TOTAL COMMON STOCKS (Cost $4,198,478) 5,606,571 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 624,922 ------------------ (Cost $624,200) TOTAL -- NEW ZEALAND (Cost $4,822,678) 6,231,493 ------------------
VALUE+ ------------------ EMU -- (0.2%) INVESTMENT IN CURRENCY -- (0.2%) * Euro Currency 5,870,958 ------------------ (Cost $5,800,001) FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (7.1%) Repurchase Agreement, Mizuho Securities USA 1.96%, 12/01/04 (Collateralized by $245,420,215 U.S. STRIPS, maturities ranging from 05/15/05 to 02/15/16, valued at $183,600,001) to be repurchased at $180,009,800 (Cost $180,000,000) ^ 180,000 180,000,000 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $33,338,000 FNMA Notes 2.95%, 11/14/07, valued at $33,384,773) to be repurchased at $32,928,720 (Cost $32,927,000) 32,927 32,927,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $212,927,000) 212,927,000 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $2,345,081,600)++ $ 3,014,120,993 ------------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. # Total or Partial Securities on Loan. * Non-Income Producing Securities. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 17 THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------------ ------------------ JAPAN -- (77.5%) COMMON STOCKS -- (76.7%) * A&A Material Corp. 123,000 $ 170,730 * ABILIT Corp. 22,000 192,119 # Achilles Corp. 549,000 920,852 Aderans Co., Ltd. 72,850 1,603,895 Advan Co., Ltd. 48,700 595,887 ADVANEX, Inc. 78,000 308,808 *# Aeon Fantasy Co., Ltd. 21,000 493,120 * Ahjikan Co., Ltd. 10,500 81,945 # Ahresty Corp. 28,300 351,478 Aica Kogyo Co., Ltd. 111,000 1,281,041 Aichi Bank, Ltd. 19,000 1,479,008 Aichi Corp. 136,000 590,910 * Aichi Machine Industry Co., Ltd. 153,000 522,188 # Aichi Steel Corp. 68,000 362,590 Aichi Tokei Denki Co., Ltd. 67,000 195,785 Aida Engineering, Ltd. 113,000 468,119 Aigan Co., Ltd. 33,500 290,783 Aiphone Co., Ltd. 35,600 618,452 Airport Facilities Co., Ltd. 92,970 486,606 Airtech Japan, Ltd. 12,100 103,253 Aisan Industry Co., Ltd. 90,900 825,577 * Akai Electric Co., Ltd. 363,000 3,531 Akebono Brake Industry Co., Ltd. 166,000 821,612 Akita Bank, Ltd. 363,000 1,423,164 # Allied Telesis KK 130,700 274,687 Aloka Co., Ltd. 49,000 317,688 Alpha Systems, Inc. 19,600 339,384 # Alpine Electronics, Inc. 108,500 1,456,070 # Alps Logistics Co., Ltd. 24,000 539,400 Altech Co., Ltd. 14,000 62,569 * Altech Corp. 12,750 169,242 # Amano Corp. 154,000 1,402,316 Amatsuji Steel Ball Manufacturing Co., Ltd. 42,000 428,030 Ando Corp. 140,000 349,099 Anest Iwata Corp. 74,000 201,628 # Anrakutei Co., Ltd. 30,000 207,591 # Anritsu Corp. 170,000 1,242,072 * AOC Holdings, Inc. 111,100 1,375,848 AOI Advertising Promotion, Inc. 21,000 155,822 AOI Electronics Co., Ltd. 19,300 282,955 Aoki International Co., Ltd. 87,400 1,101,488 Aomori Bank, Ltd. 342,000 1,378,461 * Apic Yamada Corp. 20,000 72,196 *# Arai-Gumi, Ltd. 34,450 64,811 Arakawa Chemical Industries, Ltd. 28,500 377,157 Araya Industrial Co., Ltd. 84,000 192,486 * Argo 21 Corp. 13,200 93,426 Ariake Japan Co., Ltd. 26,000 628,879 Aronkasei Co., Ltd. 66,000 310,560 # As One Corp. 24,500 709,550 Asahi Denka Kogyo KK 169,000 1,628,994 Asahi Diamond Industrial Co., Ltd. 133,000 720,483 Asahi Kogyosha Co., Ltd. 48,000 157,598 Asahi Organic Chemicals Industry Co., Ltd. 179,000 546,173 # Asahi Pretec Corp. 36,400 $ 447,947 * Asahi Soft Drinks Co., Ltd. 98,500 822,675 * Asahi Tec Corp. 86,000 184,606 *# Asahi Techno Glass Corp. 95,000 331,134 Asanuma Corp. 123,000 235,199 Ashimori Industry Co., Ltd. 84,000 205,280 Asia Air Survey Co., Ltd. 17,000 39,278 Asia Securities Printing Co., Ltd. 29,000 250,227 Asics Corp. 392,000 1,254,068 Asics Trading Co., Ltd. 12,000 157,026 Asti Corp. 8,000 67,305 # Asunaro Construction, Ltd. 90,000 592,392 Ataka Constuction & Engineering Co., Ltd. 38,000 135,783 Atom Corp. 16,600 160,640 # Atsugi Co., Ltd. 361,000 454,404 Aucnet, Inc. 15,000 283,981 Autoseven Co., Inc. 7,600 66,474 # Avex, Inc. 73,300 769,910 * Azel Corp., Tokyo 89,000 104,723 Bando Chemical Industries, Ltd. 213,000 858,368 Bank of Okinawa, Ltd. 36,900 900,969 Bank of Saga, Ltd. 320,000 1,157,749 Bank of the Ryukyus, Ltd. 54,080 986,791 Banpresto Co., Ltd. 17,100 246,341 * Belluna Co., Ltd. 35,100 1,211,986 # Best Denki Co., Ltd. 231,000 938,859 Biken Techno Corp. 4,200 29,937 # BSL Corp. 270,950 520,578 Bull Dog Sauce Co., Ltd. 30,000 350,850 Bunka Shutter Co., Ltd. 134,000 624,324 Cabin Co., Ltd. 67,000 219,527 CAC Corp. 31,100 237,090 # Calpis Co., Ltd. 147,000 957,937 Canon Electronics, Inc. 50,000 1,076,793 # Canon Finetech, Inc. 78,070 1,251,914 # Capcom Co., Ltd. 105,500 1,001,297 * Catena Corp. 46,000 106,977 * Cats, Inc. 15,400 449 # Cecile Co., Ltd. 74,200 995,927 Central Finance Co., Ltd. 180,000 625,600 # Central Security Patrols Co., Ltd. 31,400 257,719 CFS Corp. 47,500 268,690 * Chiba Kogyo Bank, Ltd. 91,700 537,868 Chino Corp. 70,000 218,392 Chiyoda Co., Ltd. 76,600 1,142,112 Chofu Seisakusho Co., Ltd. 54,500 989,984 *# Chori Co., Ltd. 305,000 474,918 # Chuetsu Pulp and Paper Co., Ltd. 199,000 500,499 * Chugai Mining Co., Ltd. 188,600 115,538 Chugai Ro Co., Ltd. 168,000 369,806 # Chugoku Marine Paints, Ltd. 124,000 698,194 # Chugokukogyo Co., Ltd. 45,000 134,437 Chukyo Bank, Ltd. 412,000 1,472,841 Chuo Denki Kogyo Co., Ltd. 42,000 237,613 Chuo Gyorui Co., Ltd. 61,000 114,375 Chuo Spring Co., Ltd., Nagoya 103,000 414,148 Chuo Woollen Mills, Ltd. 24,000 86,669
78
SHARES VALUE+ ------------------ ------------------ CKD Corp. 113,000 $ 664,912 *# Clarion Co., Ltd. 587,000 1,394,571 Cleanup Corp. 75,000 681,545 # CMK Corp. 96,000 1,186,294 Coca-Cola Central Japan Co., Ltd. 166 1,259,116 Colowide Co., Ltd. 29,000 314,240 *# Columbia Music Entertainment, Inc. 260,000 247,056 Commuture Corp. 71,202 577,731 Computer Engineering & Consulting, Ltd. 29,800 295,210 *# Co-Op Chemical Co., Ltd. 80,000 110,014 *# Copal Co., Ltd. 21,600 321,747 * Core Corp. 10,100 187,034 Corona Corp. 53,500 856,982 # Cosel Co., Ltd. 35,900 851,634 *# Cosmo Securities Co., Ltd. 789,000 1,428,084 Create Medic Co., Ltd. 11,000 90,951 Credia Co., Ltd. 14,000 272,533 Cresco, Ltd. 11,600 121,578 CTI Engineering Co., Ltd. 19,000 124,327 # Culture Convenience Club Co., Ltd. 91,700 1,146,666 CVS Bay Area, Inc. 30,000 88,187 *# Cybozu, Inc. 41 47,865 *# Cybozu, Inc. 82 95,724 *# D&M Holdings, Inc. 134,000 365,710 # Dai Nippon Toryo, Ltd. 229,000 346,772 Daibiru Corp. 89,000 608,585 Dai-Dan Co., Ltd. 74,000 456,345 Daido Kogyo Co., Ltd. 60,000 124,908 # Daidoh, Ltd. 61,000 627,874 *# Daiei, Inc. 249,500 495,796 Daifuku Co., Ltd. 209,000 1,235,897 Daihen Corp. 215,000 422,743 Daiho Corp. 96,000 205,018 Dai-Ichi Jitsugyo Co., Ltd. 94,000 271,845 Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 141,332 # Daiken Corp. 242,000 980,149 Daiki Co., Ltd. 41,300 439,366 Daiko Clearing Services Corp. 25,000 175,135 Daikoku Denki Co., Ltd. 26,600 610,222 *# Daikyo, Inc. 444,000 719,481 Daimei Telecom Engineering Corp. 74,000 518,249 Dainichi Co., Ltd. 27,200 157,885 Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 163,000 730,598 # Dainippon Shigyo Co., Ltd. 25,000 119,017 Daisan Bank, Ltd. 337,000 1,313,494 # Daiseki Co., Ltd. 38,600 671,768 # Daiso Co., Ltd. 155,000 429,093 * Daisue Construction Co., Ltd. 151,500 167,307 Daisyo Corp. 38,300 415,245 * Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 46,895 Daiwa Industries, Ltd. 82,000 257,991 Daiwa Kosho Lease Co., Ltd. 249,000 1,326,061 * Daiwa Seiko, Inc. 145,000 185,863 Daiwabo Co., Ltd. 217,000 300,992 Daiwabo Information System Co., Ltd. 27,000 322,282 Danto Corp. 42,000 184,851 DC Co., Ltd. 33,000 85,245 # Denki Kogyo Co., Ltd. 132,000 $ 673,306 Denny's Japan Co., Ltd. 51,000 910,985 Densei-Lambda KK 34,584 262,743 Denyo Co., Ltd. 47,000 327,739 # Descente, Ltd. 140,000 503,788 * Dia Kensetsu Co., Ltd. 141,200 176,460 * Diamond City Co., Ltd. 4,050 104,822 Diamond Computer Service Co., Ltd. 37,700 479,673 * Dijet Industrial Co., Ltd. 34,000 72,097 DMW Corp. 1,600 68,863 Doshisha Co., Ltd. 22,900 667,419 # Doutor Coffee Co., Ltd. 38,800 734,133 DTS Corp. 21,200 484,982 * DyDo Drinco, Inc. 30,100 918,183 * Dynic Corp. 66,000 256,396 Eagle Industry Co., Ltd. 78,000 463,363 Echo Trading Co., Ltd. 4,000 51,530 * Econach Co., Ltd. 26,000 14,150 # Edion Corp. 144,216 1,290,220 Ehime Bank, Ltd. 274,000 855,187 # Eighteenth Bank, Ltd. 322,000 1,413,848 Eiken Chemical Co., Ltd. 54,000 629,604 Eikoh, Inc. 12,100 98,799 Eizo Nanao Corp. 40,600 1,014,287 Elna Co., Ltd. 34,000 79,155 Enplas Corp. 38,400 1,063,907 *# Enshu, Ltd. 69,000 134,538 Ensuiko Sugar Refining Co., Ltd. 51,000 103,308 Exedy Corp. 80,200 1,406,981 * F.D.C. Products, Inc. 16,390 208,517 Fancl Corp. 40,100 1,453,083 *# FDK Corp. 230,000 478,760 Fine Sinter Co., Ltd. 31,000 98,012 * First Baking Co., Ltd. 67,000 156,290 Foster Electric Co., Ltd. 44,000 362,871 # FP Corp. 42,100 674,725 France Bed Holdings Co., Ltd. 417,000 1,241,325 *# Fudo Construction Co., Ltd. 273,200 687,064 # Fuji Co., Ltd. 63,600 1,184,824 * Fuji Corp, Ltd. 28,000 285,252 # Fuji Kiko Co., Ltd. 71,000 295,691 *# Fuji Kosan Co., Ltd. 130,000 171,924 Fuji Kyuko Co., Ltd. 205,000 778,557 * Fuji Spinning Co., Ltd., Tokyo 163,000 205,364 * Fuji Titanium Industry Co., Ltd. 10,000 23,565 Fujicco Co., Ltd. 50,000 644,925 * Fujii & Co., Ltd. 44,000 428 * Fujiko Co., Ltd. 55,000 1,070 Fujikura Kasei Co., Ltd. 43,000 313,036 # Fujikura Rubber, Ltd. 34,000 212,968 # Fujirebio, Inc. 81,000 1,054,421 * Fujita Corp. 320,500 371,016 # Fujita Kanko, Inc. 194,000 689,835 # Fujitec Co., Ltd. 170,000 872,261 * Fujitsu Access, Ltd. 36,000 187,398 Fujitsu Business Systems, Ltd. 45,300 579,697 Fujitsu Devices, Inc. 44,000 484,917 Fujitsu Fronttec, Ltd. 41,500 350,523 *# Fujitsu General, Ltd. 188,000 573,434 *# Fujiya Co., Ltd. 218,000 509,899 Fukuda Corp. 80,000 484,654
79
SHARES VALUE+ ------------------ ------------------ # Fukushima Bank, Ltd. 323,000 $ 507,823 * Fukusima Industries Corp. 13,500 166,352 Fumakilla, Ltd. 37,000 71,694 *# Furukawa Battery Co., Ltd. 45,000 112,973 *# Furukawa Co., Ltd. 699,000 787,201 Fuso Lexel Inc. 25,400 140,759 Fuso Pharmaceutical Industries, Ltd. 157,000 503,210 * Gajoen Kanko KK 37,000 0 # Gakken Co., Ltd. 168,000 358,976 * Generas Corp. 64,000 623 # Genki Sushi Co., Ltd. 17,200 217,158 Geostar Corp. 10,000 37,241 * Gigas K's Denki Corp. 4,704 127,104 Global-Dining, Inc. 6,200 43,245 # Godo Steel, Ltd. 297,000 1,113,383 * Goldwin, Inc. 76,000 173,550 Gourmet Kineya Co., Ltd. 37,000 310,206 * Graphtec Corp. 39,000 56,867 Gro-BeLS Co., Ltd. 84,000 101,850 * GSI Creoss Corp. 90,000 198,577 Gun-Ei Chemical Industry Co., Ltd. 141,000 463,767 Hagoromo Foods Corp. 33,000 364,310 Hakuto Co., Ltd. 39,400 527,327 Hakuyosha Co., Ltd. 57,000 180,208 Haltec Corp. 32,000 55,422 * Hamai Co., Ltd. 22,000 31,546 Hanshin Sogo Bank, Ltd. 709,000 1,412,198 Hanwa Co., Ltd. 405,000 1,753,009 Happinet Corp. 18,800 212,519 Harashin Co., Ltd. 24,300 200,273 Harima Chemicals, Inc. 37,000 232,568 Haruyama Trading Co., Ltd. 21,600 274,474 *# Hayashikane Sangyo Co., Ltd. 128,000 223,264 * Hazama Corp. 120,600 259,610 Heiwado Co., Ltd. 111,000 1,531,046 Hibiya Engineering, Ltd. 72,000 558,462 Higashi-Nippon Bank, Ltd. 345,000 924,900 Hisaka Works, Ltd. 41,000 404,720 Hitachi Business Solution Co., Ltd. 22,700 154,361 Hitachi Kiden Kogyo, Ltd. 27,000 105,489 Hitachi Koki Co., Ltd. 205,000 1,624,610 Hitachi Kokusai Electric, Inc. 191,000 1,525,119 Hitachi Medical Corp. 71,000 983,991 Hitachi Metals Techno, Ltd. 13,000 39,260 Hitachi Mobile Co., Ltd. 35,000 248,302 # Hitachi Plant Engineering & Construction Co., Ltd. 215,000 929,896 Hitachi Powdered Metal Co., Ltd. 53,000 352,508 Hitachi Tool Engineering, Ltd. 44,500 353,866 Hitachi Transport System, Ltd. 75,000 630,520 *# Hitachi Zosen Corp. 944,000 1,392,150 # Hochiki Corp. 42,000 166,542 *# Hodogaya Chemical Co., Ltd. 114,000 541,464 # Hogy Medical Co., Ltd. 30,000 1,355,454 * Hohsui Corp. 56,000 90,389 Hokkai Can Co., Ltd., Tokyo 106,000 266,729 Hokkaido Coca Cola Bottling Co., Ltd. 64,000 410,520 Hokkaido Gas Co., Ltd. 105,000 277,418 Hokko Chemical Industry Co., Ltd. 41,000 146,954 # Hokuetsu Bank, Ltd. 416,000 851,389 Hokuriku Electric Industry Co., Ltd. 131,000 $ 322,897 Hokuriku Electrical Construction Co., Ltd. 36,000 103,893 Hokuriku Gas Co., Ltd. 64,000 191,792 *# Hokushin Co., Ltd. 39,900 81,933 # Hokuto Corp. 61,100 1,161,196 Homac Corp. 75,700 529,908 Honshu Chemical Industry Co., Ltd. 7,000 38,800 # Horiba, Ltd. 64,000 823,866 Horipro, Inc. 23,400 190,362 Hosiden Corp. 128,700 1,327,166 * Hosokawa Micron Corp. 54,000 234,951 *# Howa Machinery, Ltd. 181,000 229,900 * Ichida and Co., Ltd. 23,400 35,825 Ichikawa Co., Ltd. 49,000 189,986 *# Ichiken Co., Ltd. 48,000 122,348 # Ichikoh Industries, Ltd. 141,000 330,774 Ichiyoshi Securities Co., Ltd. 87,000 747,767 Icom, Inc. 26,800 610,130 Idec Izumi Corp. 63,000 606,459 Ihara Chemical Industry Co., Ltd. 80,000 225,576 # Iino Kaiun Kaisha, Ltd. 177,000 887,781 * Ikegami Tsushinki Co., Ltd. 102,000 179,310 i-Logistics Corp. 52,000 108,690 Imasen Electric Industrial Co., Ltd. 19,900 171,976 Impact 21 Co., Ltd. 34,100 719,121 * Impress Corp. 178 204,447 Inaba Denki Sangyo Co., Ltd. 47,400 1,047,742 Inaba Seisa Kusho Co., Ltd. 32,400 538,389 Inabata and Co., Ltd., Osaka 103,000 899,810 Inageya Co., Ltd. 97,000 890,992 Ines Corp. 94,300 847,270 I-Net Corp. 18,300 129,375 # Information Services International-Dentsu, Ltd. 51,800 592,254 * Intec Communications, Inc. 14,000 70,727 # Intec, Inc. 73,000 552,354 Inui Steamship Co., Ltd. 31,000 157,117 ISE Chemicals Corp. 38,000 155,141 # Iseki & Co., Ltd. 393,000 957,102 Ishihara Sangyo Kaisha, Ltd. 688,000 1,541,151 Ishii Hyoki Co., Ltd. 8,600 108,419 *# Ishii Iron Works Co., Ltd. 52,000 84,976 *# Ishikawa Seisakusho, Ltd. 75,000 96,036 Ishikawajima Construction Materials Co., Ltd. 18,000 51,928 Ishikawajima Transport Machinery Co., Ltd. 16,000 43,700 Ishizuka Glass Co., Ltd. 49,000 100,216 Itochu Enex Co., Ltd. 166,900 1,073,274 Itochu Shokuh Co., Ltd. 24,400 834,333 Itoki Crebio Corp. 56,000 181,275 Iwaki & Co., Ltd. 38,000 98,674 # Iwasaki Electric Co., Ltd. 142,000 467,684 Iwatani International Corp. 459,000 1,122,136 * Iwatsu Electric Co., Ltd. 166,000 341,683 * Izuhakone Railway Co., Ltd. 300 15,799 Izumiya Co., Ltd. 157,000 1,020,992 *# Izutsuya Co., Ltd. 123,000 210,110 Jac Holdings Co., Ltd. 17,300 125,398 # Jaccs Co., Ltd. 207,000 1,100,727
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SHARES VALUE+ ------------------ ------------------ * Jalux, Inc. 20,600 $ 373,667 Jamco Corp. 41,000 207,243 *# Janome Sewing Machine Co., Ltd. 259,000 376,595 Japan Aviation Electronics Industry, Ltd. 21,000 192,869 * Japan Bridge Corp. 31,000 40,105 Japan Business Computer Co., Ltd. 34,000 224,168 Japan Carlit Co., Ltd. 28,000 184,268 # Japan Cash Machine Co., Ltd. 36,610 1,509,798 Japan Digital Laboratory Co., Ltd. 59,200 628,265 Japan Foundation Engineering Co., Ltd. 49,200 261,734 Japan Information Processing Service Co., Ltd. 31,800 186,496 # Japan Kenzai Co., Ltd. 44,840 324,429 Japan Maintenance Co., Ltd. 34,100 331,075 Japan Medical Dynamic Marketing, Inc. 29,800 313,311 Japan Oil Transportation Co., Ltd. 45,000 105,304 # Japan Pulp and Paper Co., Ltd. 269,000 882,819 *# Japan Radio Co., Ltd. 240,000 839,121 Japan Servo Co., Ltd. 51,000 159,942 Japan Steel Tower Co., Ltd. 19,000 62,852 # Japan Steel Works, Ltd. 695,000 1,036,406 # Japan Storage Battery Co., Ltd. 529,000 1,096,133 # Japan Transcity Corp. 113,000 387,865 Japan Vilene Co., Ltd. 112,000 545,506 Japan Wool Textile Co., Ltd. 162,000 947,290 Jastec Co., Ltd. 11,600 199,891 Jeans Mate Corp. 15,540 163,807 # Jeol, Ltd. 137,000 884,317 Jiec Co., Ltd. 87 92,526 JMS Co., Ltd. 49,000 150,672 Joban Kosan Co., Ltd. 101,000 165,669 J-Oil Mills, Inc. 296,000 1,043,303 Joint Corp. 32,900 763,070 # Joshin Denki Co., Ltd. 98,000 296,715 # Jsp Corp. 49,200 552,133 Juel Verite Ohkubo Co., Ltd. 24,000 62,973 *# Jujiya Co., Ltd. 383,000 397,178 *# Juki Corp. 176,000 612,947 * Jyomo Co., Ltd. 48,000 124,070 K.R.S. Corp. 20,300 297,201 Kabuki-Za Co., Ltd. 16,000 654,089 Kadokawa Holdings, Inc. 27,000 1,031,369 # Kaga Electronics Co., Ltd. 46,200 795,167 Kagawa Bank, Ltd. 138,350 683,224 # Kagome Co., Ltd. 143,300 1,505,254 Kahma Co., Ltd. 55,900 612,248 # Kaken Pharmaceutical Co., Ltd. 180,000 1,131,450 * Kakuei (L.) Corp. 100,000 973 *# Kamagai Gumi Co., Ltd. 87,800 189,516 Kameda Seika Co., Ltd. 39,000 345,961 Kamei Corp. 67,000 611,107 Kanaden Corp. 55,000 281,017 Kanagawa Chuo Kotsu Co., Ltd. 109,000 649,793 Kanamoto Co., Ltd. 43,000 228,396 *# Kanebo, Ltd. 96,200 1,144,536 * Kanematsu Corp. 708,500 1,064,122 # Kanematsu Electronics, Ltd. 45,500 349,046 *# Kanematsu-NNK Corp. 60,000 156,933 Kanto Auto Works, Ltd., Yokosuka 125,500 $ 1,444,364 Kanto Denka Kogyo Co., Ltd. 93,000 320,095 Kanto Natural Gas Development Co., Ltd. 104,000 572,179 *# Kanto Tsukuba Bank, Ltd. 45,500 262,748 Kasai Kogyo Co., Ltd. 59,000 195,969 Kasei (C.I.) Co., Ltd. 58,000 228,153 Kasumi Co., Ltd. 132,000 744,366 Katakura Chikkarin Co., Ltd. 27,000 80,792 Katakura Industries Co., Ltd. 61,000 689,437 Kato Sangyo Co., Ltd. 70,300 916,784 # Kato Works Co., Ltd. 82,000 197,608 * Katsumura Construction Co., Ltd. 48,600 62,374 Kawada Industries, Inc. 76,000 205,790 *# Kawai Musical Instruments Manufacturing Co., Ltd. 99,000 146,903 Kawamoto Corp. 4,000 24,815 * Kawasaki Kasei Chemicals, Ltd. 36,000 48,848 Kawashima Textile Manufacturers, Ltd. 126,000 167,578 Kawasho Gecoss Corp. 57,900 274,190 Kawasumi Laboratories, Inc. 26,000 178,844 Kawatetsu Systems, Inc. 112 149,926 Kayaba Industry Co., Ltd. 399,000 1,362,520 Keihanshin Real Estate Co., Ltd. 76,000 363,304 # Keihin Co., Ltd. 100,000 201,971 Keiiyu Co., Ltd. 15,000 189,122 Keiyo Bank, Ltd. 375,000 1,332,159 # Keiyo Co., Ltd. 139,900 579,767 # Kentucky Fried Chicken Japan, Ltd. 55,000 1,082,310 *# Kenwood Corp. 570,000 1,050,340 Key Coffee, Inc. 41,300 578,146 # Kibun Food Chemifa Co., Ltd. 49,000 1,121,104 * Kimmon Manufacturing Co., Ltd. 41,000 59,134 * Kimura Chemical Plants Co., Ltd. 27,000 65,307 Kinki Coca-Cola Bottling Co., Ltd. 116,000 1,040,508 * Kinki Nippon Tourist Co., Ltd. 133,000 319,871 Kinki Sharyo Co., Ltd., Nagaokakyo 122,000 367,930 * Kinsho Corp. 21,000 71,208 # Kinugawa Rubber Industrial Co., Ltd. 107,000 225,335 Kioritz Corp. 113,000 303,705 * Kirindo Co., Ltd. 10,300 83,385 Kishu Paper Co., Ltd. 125,000 211,388 # Kisoji Co., Ltd. 42,100 638,283 Kitagawa Iron Works Co., Ltd. 150,000 312,951 Kita-Nippon Bank, Ltd. 14,206 671,051 Kitano Construction Corp. 124,000 278,951 Kitazawa Sangyo Co., Ltd. 17,500 41,127 Kitz Corp. 234,000 1,286,943 Kiyo Bank, Ltd. 757,000 1,499,096 Koa Corp. 76,000 538,665 Koatsu Gas Kogyo Co., Ltd. 93,000 347,033 Kobayashi Yoko Co., Ltd. 16,900 331,804 Kodensha Co., Ltd. 14,000 43,181 Koekisha Co., Ltd. 9,600 206,691 Kohnan Shoji Co., Ltd. 36,200 470,964 Kohsoku Corp. 48,000 315,049 Koike Sanso Kogyo Co., Ltd. 71,000 156,036 Koito Industries, Ltd. 66,000 285,594 # Kojima Co., Ltd. 68,400 716,704 * Kokune Corp. 42,000 409
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SHARES VALUE+ ------------------ ------------------ * Kokusai Kogyo Co., Ltd. 60,000 $ 182,129 Komai Tekko, Inc. 53,000 152,150 Komatsu Electronics Metals Co., Ltd. 52,000 482,007 Komatsu Seiren Co., Ltd. 69,000 395,402 Komatsu Wall Industry Co., Ltd. 17,300 309,524 Konaka Co., Ltd. 36,300 441,752 # Konami Sports Corp. 53,300 1,018,291 Kondotec, Inc. 18,500 140,301 Konishi Co., Ltd. 32,300 307,602 Kosaido Co., Ltd. 34,000 254,013 # Kosei Securities Co., Ltd. 137,000 253,049 # Kubotek Corp. 230 316,204 # Kumiai Chemical Industry Co., Ltd., Tokyo 139,000 357,411 Kurabo Industries, Ltd. 459,000 1,002,752 Kureha Chemical Industry Co., Ltd. 352,000 1,336,211 Kurimoto, Ltd. 224,000 550,321 # Kuroda Electric Co., Ltd. 62,400 1,349,502 Kuroganeya Co., Ltd. 14,000 58,957 Kurosaki Harima Corp. 144,000 428,099 Kyoden Co., Ltd. 93,000 616,919 Kyodo Printing Co., Ltd. 152,000 575,895 Kyodo Shiryo Co., Ltd. 145,000 204,105 Kyoei Sangyo Co., Ltd. 44,000 145,283 Kyoei Tanker Co., Ltd. 53,000 138,079 Kyokuto Boeki Kaisha, Ltd. 36,000 104,490 Kyokuto Kaihatsu Kogyo Co., Ltd. 49,200 563,274 Kyokuyo Co., Ltd. 198,000 389,775 Kyoritsu Maintenance Co., Ltd. 18,100 377,859 Kyosan Electric Manufacturing Co., Ltd. 97,000 298,255 Kyoto Kimono Yuzen Co., Ltd. 148 319,207 Kyowa Electronic Instruments Co., Ltd. 30,000 92,610 Kyowa Exeo Corp. 201,000 1,770,057 Kyowa Leather Cloth Co., Ltd. 38,800 216,450 Kyudenko Corp. 140,000 686,988 * Kyushu-Shinwa Holdings, Inc. 576,000 1,031,869 # Laox Co., Ltd. 54,000 126,392 # Life Corp. 98,400 1,254,434 * Link Consulting Associates - Japan Corp. 24,300 119,956 * Lonseal Corp. 69,000 76,459 * Look, Inc. 50,000 203,798 # Macnica, Inc. 31,000 931,417 Maeda Corp. 344,000 1,538,993 Maeda Road Construction Co., Ltd. 182,000 1,340,810 Maezawa Industries, Inc. 27,700 163,356 Maezawa Kaisei Industries Co., Ltd. 25,400 472,898 Maezawa Kyuso Industries Co., Ltd. 25,400 351,745 * Magara Construction Co., Ltd. 61,000 73,923 # Makino Milling Machine Co., Ltd. 161,000 866,709 * Mamiya-Op Co., Ltd. 58,000 80,837 Marche Corp. 10,700 112,383 # Mars Engineering Corp. 44,400 1,501,577 Marubeni Construction Material Lease Co., Ltd. 54,000 113,344 # Marubeni Telecom Co., Ltd. 117 116,539 Marubun Corp. 44,600 326,331 Marudai Food Co., Ltd. 214,000 428,099 * Maruei Department Store Co., Ltd. 72,000 166,181 Maruetsu, Inc. 209,000 $ 1,029,423 Maruha Group, Inc. 477,000 1,039,428 * Maruishi Holdings Co., Ltd. 214,000 2,082 Marusan Securities Co., Ltd. 138,000 831,289 Maruwa Co., Ltd. 17,500 266,956 Maruwn Corp. 44,000 117,653 Maruya Co., Ltd. 14,000 111,532 # Maruyama Manufacturing Co., Inc. 73,000 347,676 * Maruzen Co., Ltd. 179,000 414,428 Maruzen Co., Ltd. - General Commercial Kitchen Appliances & Equipment 30,000 166,398 Maruzen Showa Unyu Co., Ltd. 176,000 594,258 Maspro Denkoh Corp. 32,300 344,339 Matsuda Sangyo Co., Ltd. 34,500 301,701 Matsui Construction Co., Ltd. 40,000 156,880 * Matsuo Bridge Co., Ltd. 37,000 81,326 # Matsuya Co., Ltd. 96,000 515,272 Matsuya Foods Co., Ltd. 34,500 728,796 # Matsuzakaya Co., Ltd. 312,077 1,198,358 Max Co., Ltd. 104,000 1,070,430 * Maxvalu Tohok Co., Ltd. 18,200 167,475 * MEC Co., Ltd. 13,700 185,388 # Megachips Corp. 44,400 507,314 Meidensha Corp. 417,050 816,539 *# Meiji Machine Co., Ltd. 90,000 151,932 Meiji Shipping Co., Ltd. 58,000 207,405 Meisei Industrial Co., Ltd. 29,000 107,928 Meito Sangyo Co., Ltd. 45,600 713,799 Meito Transportation Co., Ltd. 22,000 200,770 Meiwa Estate Co., Ltd. 43,800 470,856 Meiwa Industry Co., Ltd. 15,000 47,909 * Meiwa Trading Co., Ltd. 55,000 124,478 Melco Holdings, Inc. 9,000 163,715 Mercian Corp. 267,000 657,256 * Mesco, Inc. 15,000 49,344 Michinoku Bank, Ltd. 281,000 1,329,939 Mikuni Coca-Cola Bottling Co., Ltd. 99,000 939,161 Milbon Co., Ltd. 18,900 517,922 # Mimasu Semiconductor Industry Co., Ltd. 38,200 510,863 Ministop Co., Ltd. 48,800 814,375 Mirai Group Co., Ltd. 49,000 95,890 Miroku Jyoho Service Co., Ltd. 22,500 222,677 * Misawa Homes Holdings, Inc. 465,900 1,273,124 Misawa Resort Co., Ltd. 90,000 261,851 Mito Securities Co., Ltd. 113,000 338,582 Mitsuba Corp. 77,690 567,563 *# Mitsubishi Cable Industries, Ltd. 277,000 322,375 * Mitsubishi Kakoki Kaisha, Ltd. 117,000 214,570 # Mitsubishi Paper Mills, Ltd. 554,000 854,506 Mitsubishi Pencil Co., Ltd. 61,000 522,763 Mitsubishi Plastics, Inc. 404,000 1,054,596 Mitsubishi Shindoh Co., Ltd. 82,000 182,506 Mitsubishi Steel Manufacturing Co., Ltd. 253,000 379,606 Mitsuboshi Belting, Ltd. 153,000 580,945 Mitsui High-Tec, Inc. 72,900 956,456 # Mitsui Home Co., Ltd. 122,000 596,429 Mitsui Knowledge Industry Co., Ltd. 20,100 172,178 *# Mitsui Matsushima Co., Ltd. 90,000 230,505
82
SHARES VALUE+ ------------------ ------------------ *# Mitsui Mining Co., Ltd. 290,000 $ 1,143,356 Mitsui Sugar Co., Ltd. 145,000 364,639 Mitsui-Soko Co., Ltd. 255,000 815,206 Mitsumi Electric Co., Ltd. 139,400 1,539,206 Mitsumura Printing Co., Ltd. 60,000 355,254 Mitsuuroko Co., Ltd. 117,000 742,675 Miura Co., Ltd. 76,600 1,228,819 Miura Printing Corp. 16,000 57,004 Miyaji Engineering Group 120,000 305,428 Miyazaki Bank, Ltd. 275,000 1,074,553 Miyoshi Oil & Fat Co., Ltd. 120,000 253,844 # Miyuki Keori Co., Ltd. 50,000 197,309 # Mizuno Corp. 239,000 999,645 Mochida Pharmaceutical Co., Ltd. 44,000 262,225 * Momiji Holdings, Inc. 371 651,189 Mori Seiki Co., Ltd. 165,100 1,438,333 # Morinaga & Co., Ltd. 499,000 1,133,148 * Morishita Jinton Co., Ltd. 32,800 154,492 Morita Corp. 85,000 504,647 Moritex Corp. 15,000 128,682 Morozoff, Ltd., Osaka 50,000 99,164 Mory Industries, Inc. 66,000 203,892 Mos Food Services, Inc. 59,000 790,372 Moshi Moshi Hotline, Inc. 9,350 790,647 # MR Max Corp. 56,300 183,791 * Mutoh Industries, Ltd. 78,000 208,412 Mutow Co., Ltd. 38,000 187,614 Myojo Foods Co., Ltd. 76,000 538,970 Mystar Engineering Corp. 15,600 89,533 Nabtesco Corp. 236,000 1,262,584 NAC Co., Ltd. 13,000 148,895 # Nachi-Fujikoshi Corp. 433,000 1,131,868 Nagano Bank, Ltd. 149,000 445,575 * Nagano Japan Radio Co., Ltd. 27,000 43,411 Nagatanien Co., Ltd. 70,000 551,844 * Naigai Co., Ltd. 109,000 141,706 # Nakabayashi Co., Ltd. 76,000 268,625 Nakamuraya Co., Ltd. 98,000 326,639 * Nakano Corp. 49,000 112,334 # Nakayama Steel Works, Ltd. 203,000 775,238 Nakayo Telecommunications, Inc. 36,000 178,552 # NEC Infrontia Corp. 196,000 765,295 # NEC Mobiling, Ltd. 26,400 614,578 NEC System Integration & Construction, Ltd. 78,600 650,172 NEC Tokin Corp. 207,000 890,751 # Neturen Co., Ltd., Tokyo 66,000 438,571 New Japan Radio Co., Ltd. 62,000 511,484 * New Real Property KK 43,900 0 # Nichia Steel Works, Ltd. 67,900 289,231 Nichias Corp. 253,000 960,377 Nichiban Co., Ltd. 58,000 220,885 * Nichiboshin, Ltd. 1,190 1,158 Nichiha Corp. 64,980 910,702 # Nichimo Co., Ltd. 54,000 165,673 * Nichimo Corp. 132,000 106,228 Nichireki Co., Ltd. 44,000 159,979 Nichiro Corp. 289,000 485,250 Nidec Tosok Corp. 27,800 501,908 Nihon Dempa Kogyo Co., Ltd. 38,300 820,568 Nihon Eslead Corp. 22,040 441,013 Nihon Inter Electronics Corp. 54,000 $ 420,106 Nihon Kagaku Sangyo Co., Ltd. 32,000 154,853 * Nihon Kentetsu Co., Ltd. 27,000 54,754 Nihon Kohden Corp. 85,000 999,874 Nihon Matai Co., Ltd. 50,000 111,693 Nihon Nohyaku Co., Ltd. 103,000 198,990 Nihon Parkerizing Co., Ltd. 115,000 985,091 Nihon Seiko Co., Ltd. 11,000 32,355 Nihon Shokuh Kako Co., Ltd. 40,000 113,763 * Nihon Spindle Manufacturing Co., Ltd. 56,000 95,926 Nihon Tokushu Toryo Co., Ltd. 35,000 248,646 Nihon Unisys, Ltd. 125,100 1,161,086 Niitaka Co., Ltd. 7,260 82,136 Nikken Chemicals Co., Ltd. 112,000 326,661 # Nikkiso Co., Ltd. 123,000 670,374 Nikko Co., Ltd., Akashi 66,000 213,822 Nikko Travel Co., Ltd. 12,200 68,354 * Nippei Toyama Corp. 80,000 164,519 Nippo Corp. 210,000 1,248,046 * Nippon Avionics Co., Ltd. 40,000 129,893 Nippon Beet Sugar Manufacturing Co., Ltd. 276,000 576,789 *# Nippon Carbide Industries Co., Inc., Tokyo 101,000 218,215 Nippon Carbon Co., Ltd. 177,000 324,586 # Nippon Ceramic Co., Ltd. 37,000 449,596 Nippon Chemical Industrial Co., Ltd. 161,000 544,949 Nippon Chemi-Con Corp. 239,000 1,228,334 *# Nippon Chemiphar Co., Ltd. 70,000 321,517 Nippon Chutetsukan KK 44,000 87,958 Nippon Concrete Industries Co., Ltd. 65,000 258,821 * Nippon Conveyor Co., Ltd. 43,000 53,355 # Nippon Denko Co., Ltd. 206,000 804,080 Nippon Densetsu Kogyo Co., Ltd. 118,000 613,052 Nippon Denwa Shisetu Co., Ltd. 104,000 369,962 # Nippon Felt Co., Ltd. 40,000 205,809 Nippon Fine Chemical Co., Ltd. 40,000 169,120 Nippon Flour Mills Co., Ltd. 314,000 1,366,219 * Nippon Foil Mfg., Co., Ltd. 21,000 47,295 Nippon Formula Feed Manufacturing Co., Ltd. 100,000 162,881 Nippon Gas Co., Ltd. 81,000 629,099 Nippon Hume Corp. 43,000 156,667 * Nippon Jogesuido Sekkei Co., Ltd. 175 246,417 Nippon Kanzai Co., Ltd. 37,200 575,068 *# Nippon Kasei Chemical Co., Ltd. 186,000 377,349 *# Nippon Kinzoku Co., Ltd. 93,000 183,237 # Nippon Koei Co., Ltd., Tokyo 137,000 367,077 Nippon Konpo Unyu Soko Co., Ltd. 137,000 1,344,347 *# Nippon Koshuha Steel Co., Ltd. 221,000 310,964 *# Nippon Metal Industry Co., Ltd. 319,000 584,317 Nippon Pigment Co., Ltd. 11,000 38,428 Nippon Pillar Packing Co., Ltd. 33,000 238,744 Nippon Piston Ring Co., Ltd. 133,000 283,717 # Nippon Road Co., Ltd. 177,000 360,112 # Nippon Seiki Co., Ltd. 104,000 921,598 Nippon Seisen Co., Ltd. 39,000 152,360 Nippon Sharyo, Ltd. 267,000 625,664 Nippon Shinyaku Co., Ltd. 129,000 931,242 Nippon Signal Co., Ltd. 109,000 551,637
83
SHARES VALUE+ ------------------ ------------------ Nippon Soda Co., Ltd. 252,000 $ 743,750 Nippon Suisan Kaisha, Ltd. 457,000 1,490,283 Nippon Synthetic Chemical Industry Co., Ltd. 152,000 362,615 Nippon System Development Co., Ltd. 47,500 853,979 Nippon Systemware Co., Ltd. 20,000 141,818 # Nippon Thompson Co., Ltd. 131,000 762,779 Nippon Tungsten Co., Ltd. 44,000 95,388 Nippon Valqua Industries, Ltd. 141,000 345,022 *# Nippon Yakin Kogyo Co., Ltd. 144,500 679,432 # Nippon Yusoki Co., Ltd. 49,000 157,741 # Nishimatsu Construction Co., Ltd. 238,000 746,400 Nishishiba Electric Co., Ltd. 28,000 51,707 Nissei Corp. 57,600 614,465 Nissei Plastic Industrial Co., Ltd. 35,000 229,892 * Nisseki House Industry Co., Ltd. 260,000 2,529 Nissha Printing Co., Ltd. 81,000 999,513 # Nisshin Fire & Marine Insurance Co., Ltd. 347,000 1,247,175 # Nisshin Fudosan Co., Ltd. 32,600 330,715 Nissho Electronics Corp. 49,900 383,506 *# Nissho Iwai-Nichmen Holdings Corp. 347,100 1,458,447 Nissin Co., Ltd. 826,400 1,869,154 Nissin Corp. 177,000 444,349 Nissin Electric Co., Ltd. 177,000 557,199 Nissin Kogyo Co., Ltd. 39,700 1,169,691 Nissin Sugar Manufacturing Co., Ltd. 74,000 143,825 # Nissui Pharmaceutical Co., Ltd. 34,000 206,289 Nitchitsu Co., Ltd. 14,000 28,355 Nitta Corp. 54,700 803,386 Nittan Valve Co., Ltd. 58,000 357,876 Nittetsu Mining Co., Ltd. 132,000 516,474 Nitto Boseki Co., Ltd. 460,000 913,118 Nitto Electric Works, Ltd. 79,300 755,372 Nitto FC Co., Ltd. 48,000 267,900 Nitto Flour Milling Co., Ltd. 54,000 149,551 Nitto Kohki Co., Ltd. 39,300 752,024 Nitto Seiko Co., Ltd. 56,000 143,665 Nitto Seimo Co., Ltd. 32,000 66,022 *# Nittoc Construction Co., Ltd. 61,000 123,299 NIWS Co., Ltd. 498 1,206,986 Noda Corp. 24,100 170,486 NOF Corp. 374,000 1,270,035 Nohmi Bosai, Ltd. 68,000 345,111 Nomura Co., Ltd. 61,000 397,127 # Noritake Co., Ltd. 320,000 1,310,538 # Noritsu Koki Co., Ltd. 58,300 1,201,146 # Noritz Corp. 93,400 1,360,948 Nosan Corp. 201,000 448,734 Obayashi Road Corp. 65,000 146,498 Odakyu Construction Co., Ltd. 29,000 79,991 Odakyu Real Estate Co., Ltd. 58,000 141,379 Oenon Holdings, Inc. 89,000 229,614 * Ohki Corp. 73,000 710 * Ohmori Co., Ltd. 18,400 13,605 Oie Sangyo Co., Ltd. 13,200 98,512 Oiles Corp. 37,700 787,389 Oita Bank, Ltd. 263,000 1,326,184 Okabe Co., Ltd. 29,000 128,060 Okamoto Industries, Inc. 236,000 694,298 * Okamoto Machine Tool Works, Ltd. 75,000 $ 220,279 Okamura Corp. 207,000 1,724,568 Okaya Electric Industries Co., Ltd. 32,000 99,514 Oki Electric Cable Co., Ltd. 56,000 125,112 Okinawa Electric Power Co., Ltd. 27,900 1,189,055 * OKK Corp. 101,000 236,475 * Okuma and Howa Machinery, Ltd. 69,000 155,897 * Okuma Corp. 243,000 960,365 # Okura Industrial Co., Ltd. 107,000 689,138 Okuwa Co., Ltd. 84,000 943,355 Olympic Corp. 41,900 478,295 # O-M, Ltd. 46,000 101,757 * Omikenshi Co., Ltd. 78,000 81,258 Ono Sokki Co., Ltd. 53,000 312,630 # Onoken Co., Ltd. 31,000 389,455 Organo Corp. 101,000 493,967 * Orient Watch Co., Ltd. 12,000 4,786 Oriental Construction Co., Ltd. 39,000 194,546 # Oriental Yeast Co., Ltd. 52,000 365,301 Origin Electric Co., Ltd. 54,000 285,423 Original Engineering Consultants Co., Ltd. 9,000 51,551 Osaka Securities Finance Co., Ltd. 54,000 158,966 Osaka Steel Co., Ltd. 77,900 968,170 Osaki Electric Co., Ltd. 56,000 218,548 Oyo Corp. 52,300 497,017 P.S. Mitsubishi Construction Co., Ltd. 46,500 202,692 Pacific Industrial Co., Ltd. 99,000 486,162 *# Pacific Metals Co., Ltd. 362,000 1,578,356 Paramount Bed Co., Ltd. 58,000 1,537,418 Parco Co., Ltd. 144,000 836,572 * Pasco Corp. 135,500 355,581 Patlite Corp. 16,540 305,127 PCA Corp. 12,000 181,720 * Penta-Ocean Construction Co., Ltd. 730,000 1,166,387 # Pentax Corp. 214,000 732,481 Petrolub International Co., Ltd. 24,800 164,224 * PIA Corp. 13,200 275,789 Pigeon Corp. 37,000 565,134 Pilot Corp. 65 222,005 Piolax, Inc. 19,600 363,333 Pocket Card Co., Ltd. 41,000 634,510 Pokka Corp. 57,000 255,079 Poplar Co., Ltd. 13,560 170,260 Posful Corp. 36,900 224,355 # Press Kogyo Co., Ltd. 185,000 631,122 * Prima Meat Packers, Ltd. 404,000 564,221 Pulstec Industrial Co., Ltd. 21,200 106,084 Q'Sai Co., Ltd. 58,800 587,001 Raito Kogyo Co., Ltd. 95,500 392,321 Rasa Industries, Ltd. 119,000 326,421 * Renown D'urban Holdings, Inc. 64,800 605,870 # Resorttrust, Inc. 52,900 1,426,435 Rheon Automatic Machinery Co., Ltd. 40,000 125,826 Rhythm Watch Co., Ltd. 344,000 721,633 Ricoh Elemex Corp. 35,000 204,654 Ricoh Leasing Co., Ltd. 55,000 1,388,213 Right On Co., Ltd. 37,600 1,124,315 Rikei Corp. 22,500 68,863 # Riken Corp. 193,000 804,946
84
SHARES VALUE+ ------------------ ------------------ Riken Electric Wire Co., Ltd. 20,000 $ 35,199 Riken Keiki Co., Ltd. 33,000 190,630 Riken Technos Corp. 121,000 527,877 Riken Vitamin Co., Ltd. 43,500 926,760 # Ringer Hut Co., Ltd. 38,300 423,839 Rion Co., Ltd. 5,000 24,253 Rock Field Co., Ltd. 25,300 392,826 Rohto Pharmaceutical Co., Ltd. 101,000 1,133,977 Roland Corp. 47,000 787,698 # Roland DG Corp. 14,200 686,159 Royal Co., Ltd. 76,000 990,583 Ryobi, Ltd. 320,000 1,171,150 Ryoden Trading Co., Ltd. 81,000 474,204 Ryosan Co., Ltd. 69,200 1,561,876 Ryoyo Electro Corp. 59,100 859,258 S Foods, Inc. 60,000 440,062 *# S Science Co., Ltd. 285,000 66,361 # S.T. Chemical Co., Ltd. 55,000 683,544 * Saeki Kensetsu Kogyo Co., Ltd. 71,000 91,529 # Sagami Chain Co., Ltd. 37,000 338,150 Sagami Co., Ltd. 66,000 230,978 Sagami Rubber Industries Co., Ltd. 15,000 42,651 # Saibu Gas Co., Ltd. 683,000 1,373,989 * Sailor Pen Co., Ltd. 74,000 169,054 # Saizeriya Co., Ltd. 78,100 1,353,760 Sakai Chemical Industry Co., Ltd. 187,000 783,074 Sakai Heavy Industries, Ltd. 60,000 147,209 *# Sakai Ovex Co., Ltd. 85,000 155,852 Sakata Inx Corp. 102,000 466,881 # Sakata Seed Corp. 89,400 1,087,106 * Sakurada Co., Ltd. 38,000 55,312 Sala Corp. 67,500 319,726 San-Ai Oil Co., Ltd. 134,000 519,420 # Sanix, Inc. 65,000 523,943 Sankei Building Co., Ltd. 102,000 612,156 Sanki Engineering Co., Ltd. 146,000 1,009,365 Sanko Co., Ltd. 12,000 79,041 Sanko Metal Industrial Co., Ltd., Tokyo 54,000 108,344 Sankyo Seiko Co., Ltd. 97,000 416,202 # Sankyu, Inc., Tokyo 515,000 1,447,775 Sanoh Industrial Co., Ltd. 60,000 396,732 Sanrio Co., Ltd. 136,700 1,233,896 Sanritsu Corp. 5,400 42,743 Sanshin Electronics Co., Ltd. 57,000 417,039 Sanyo Chemical Industries, Ltd. 221,000 1,532,183 # Sanyo Denki Co., Ltd. 103,000 470,863 # Sanyo Electric Credit Co., Ltd. 59,500 1,124,619 Sanyo Engineering & Construction, Inc. 34,000 127,909 Sanyo Industries, Ltd., Tokyo 48,000 119,192 # Sanyo Shokai, Ltd. 248,000 1,389,383 Sanyo Special Steel Co., Ltd. 283,000 570,674 *# Sasebo Heavy Industries Co., Ltd., Tokyo 267,000 352,883 * Sata Construction Co., Ltd., Gumma 61,000 65,542 # Sato Corp. 59,300 1,466,594 Sato Shoji Corp. 31,000 218,797 Satori Electric Co., Ltd. 27,980 353,055 Sawafugji Electric Co., Ltd. 31,000 79,406 * Secom Joshinetsu Co., Ltd. 21,400 424,105 Secom Techno Service Co., Ltd. 24,000 $ 943,699 Seibu Electric Industry Co., Ltd. 31,000 143,479 # Seijo Corp. 17,400 233,817 Seika Corp. 145,000 346,232 * Seikitokyu Kogyo Co., Ltd. 86,000 125,976 # Seiko Corp. 212,407 1,098,960 Seiren Co., Ltd. 101,000 727,514 Sekisui Jushi Co., Ltd. 84,000 493,047 Sekisui Plastics Co., Ltd. 165,000 547,207 Sekiwa Real Eastate, Ltd. 36,000 495,257 Sekiwa Real Estate Chubu, Ltd. 17,000 116,386 Sekonic Corp. 17,000 38,724 Senko Co., Ltd. 205,000 777,337 Senshu Electric Co., Ltd. 15,300 237,376 Senshukai Co., Ltd. 87,000 683,294 Shaddy Co., Ltd. 32,200 319,492 # Shibaura Mechatronics Corp. 79,000 583,457 Shibusawa Warehouse Co., Ltd. 115,000 281,510 Shibuya Kogyo Co., Ltd. 54,000 456,290 * Shikibo, Ltd. 155,000 192,225 Shikoku Chemicals Corp. 106,000 400,666 Shikoku Coca-Cola Bottling Co., Ltd. 41,100 505,220 Shimizu Bank, Ltd. 16,700 765,399 Shin Nippon Air Technologies Co., Ltd. 41,480 287,110 Shinagawa Refractories Co., Ltd. 104,000 281,856 * Shindengen Electric Manufacturing Co., Ltd. 129,000 411,963 Shin-Etsu Polymer Co., Ltd. 144,000 895,187 Shinkawa, Ltd. 36,600 684,815 Shin-Keisei Electric Railway Co., Ltd. 97,000 345,872 Shinki Co., Ltd. 76,000 745,702 # Shinko Electric Co., Ltd. 257,000 692,659 Shinko Plantech Co., Ltd. 56,000 109,692 Shinko Shoji Co., Ltd. 36,000 240,794 Shin-Kobe Electric Machinery Co., Ltd. 82,000 312,390 # Shinmaywa Industries, Ltd. 220,000 928,010 Shinsho Corp. 139,000 304,238 # Shinwa Kaiun Kaisha, Ltd. 304,000 984,621 Shinyei Kaisha 54,000 124,678 Shiraishi Corp. 25,000 41,536 Shiroki Co., Ltd. 148,000 357,480 Shizuki Electric Co., Inc. 47,000 128,273 Shizuokagas Co., Ltd. 119,000 483,989 * Sho-Bond Corp. 46,200 369,657 Shobunsha Publications, Inc. 29,300 379,676 *# Shochiku Co., Ltd. 198,000 1,246,606 # Shoei Co., Ltd. 28,800 451,319 Shoei Foods Corp. 26,000 151,247 Shoko Co., Ltd. 183,000 319,536 Shokusan Bank, Ltd. 98,000 352,838 Showa Aircraft Industry Co., Ltd. 54,000 309,546 Showa Corp. 39,500 461,584 # Showa Electric Wire & Cable Co., Ltd., Kawasaki 373,000 488,173 # Showa Highpolymer Co., Ltd. 86,000 250,659 Showa Mining Co., Ltd. 66,000 109,599 Showa Sangyo Co., Ltd. 329,000 769,873 Showa Tansan Co., Ltd. 31,000 102,087 # Siix Corp. 9,000 166,192
85
SHARES VALUE+ ------------------ ------------------ Silver Ox Inc. 30,000 $ 67,691 *# Silver Seiko, Ltd. 228,000 90,988 Simree Co., Ltd. 11,700 54,497 Sinanen Co., Ltd. 160,000 801,427 Sintokogio, Ltd., Nagoya 102,000 588,289 SK Japan Co., Ltd. 8,250 67,686 SMK Corp. 143,000 659,368 *# Snow Brand Milk Products Co., Ltd. 418,500 1,285,040 Snow Brand Seed Co., Ltd. 30,000 118,324 SNT Corp. 31,000 172,093 Soda Nikka Co., Ltd. 35,000 108,175 Sodick Co., Ltd. 87,000 641,653 * Sofmap Co., Ltd. 9,300 39,408 Software Research Associates, Inc. 11,400 165,872 Sogo Medical Co., Ltd. 8,800 135,746 * Sokkisha Co., Ltd. 40,000 101,452 Somar Corp. 22,000 68,206 Sonton Food Industry Co., Ltd. 27,000 289,881 Sorun Corp. 41,000 245,549 Sotetsu Rosen Co., Ltd. 44,000 258,327 Sotoh Co., Ltd. 12,000 193,052 Space Co., Ltd. 22,380 207,544 *# SPC Electronics Corp. 29,000 108,260 SPK Corp. 7,800 109,869 SRL, Inc. 33,000 380,264 # SS Pharmaceutical Co., Ltd., Tokyo 212,000 1,386,371 Star Micronics Co., Ltd. 103,000 797,139 Starzen Corp. 144,000 347,121 # Stella Chemifa Corp. 20,700 392,659 Subaru Enterprise Co., Ltd. 36,000 117,500 # Sugi Pharmacy Co., Ltd. 9,200 297,311 Sugimoto & Co., Ltd. 13,500 166,720 # Sumida Corp. 29,790 827,862 Suminoe Textile Co., Ltd. 122,000 230,654 *# Sumitomo Coal Mining Co., Ltd. 239,500 344,053 Sumitomo Densetsu Co., Ltd. 50,700 211,786 # Sumitomo Light Metal Industries, Ltd. 541,000 869,740 * Sumitomo Mitsui Construction Co., Ltd. 413,600 438,288 Sumitomo Pipe & Tube Co., Ltd. 52,000 198,564 Sumitomo Precision Products Co., Ltd., Amagasaki City 84,000 272,104 Sumitomo Seika Chemicals Co., Ltd. 125,000 350,108 *# Sumitomo Titanium Corp. 16,000 859,887 # Sumitomo Warehouse Co., Ltd. 254,000 1,150,432 Sun Wave Corp. 80,000 301,548 Sundrug Co., Ltd. 6,400 199,222 SunTelephone Co., Ltd. 55,000 317,599 # Suruga Corp. 15,400 279,204 * Suzutan Co., Ltd. 13,200 104,721 SXL Corp. 129,000 232,982 Sysmex Corp. 39,800 1,585,137 # T.Hasegawa Co., Ltd. 74,900 1,077,689 Tabai Espec Corp. 41,000 361,271 # Tachihi Enterprise Co., Ltd. 23,350 905,201 Tachikawa Corp. 32,300 202,764 Tachi-S Co., Ltd. 42,100 573,504 Tadano, Ltd. 239,000 1,134,917 Taihei Dengyo Kaisha, Ltd. 70,000 353,668 * Taihei Kogyo Co., Ltd. 129,000 482,234 * Taiheiyo Kouhatsu, Inc. 90,000 $ 120,049 Taiho Kogyo Co., Ltd. 42,000 426,361 Taikisha, Ltd. 97,000 1,312,165 Taisei Lamick Co., Ltd. 8,500 206,084 Taisei Rotec Corp. 140,000 275,400 # Taito Co., Ltd. 70,000 179,901 # Taito Corp. 619 821,579 Takada Kiko Co., Ltd. 31,000 180,878 Takagi Securities Co., Ltd. 94,000 246,406 Takamatsu Corp. 35,800 1,138,936 Takano Co., Ltd. 24,600 374,824 * Takaoka Electric Manufacturing Co., Ltd., Tokyo 156,000 246,677 *# Taka-Q Co., Ltd. 34,500 72,908 # Takara Co., Ltd. 224,000 1,105,376 Takara Printing Co., Ltd. 17,050 152,666 Takara Standard Co., Ltd. 36,000 212,485 * Takarabune Corp. 26,000 253 Takasago International Corp. 172,000 822,484 Takasago Thermal Engineering Co., Ltd. 160,000 1,026,283 Takashima & Co., Ltd. 60,000 146,988 Takigami Steel Construction Co., Ltd. 42,000 316,048 Takiron Co., Ltd. 131,000 592,696 # Takuma Co., Ltd. 163,000 1,182,717 Tamura Corp. 139,000 548,876 * Tamura Taiko Holdings, Inc. 101,000 491,528 Tanseisha Co., Ltd. 26,000 101,648 # Tasaki Shinju Co., Ltd. 53,000 209,912 Tateho Chemical Industries Co., Ltd. 26,500 96,869 Tatsuta Electric Wire & Cable Co., Ltd. 106,000 206,927 Taya Co., Ltd. 5,000 40,021 Tayca Corp. 74,000 208,016 *# TC Properties Co., Ltd. 579,000 0 TCM Corp. 146,000 314,191 * TDF Corp. 11,000 43,969 *# Teac Corp. 113,000 142,447 Techno Ryowa, Ltd. 32,200 181,250 Tecmo, Ltd. 35,100 264,031 # Teikoku Hormone Manufacturing Co., Ltd. 38,000 381,925 Teikoku Piston Ring Co., Ltd. 63,000 562,147 Teikoku Sen-I Co., Ltd. 39,000 189,347 Teikoku Tsushin Kogyo Co., Ltd. 89,000 362,716 Tekken Corp. 289,000 481,936 Ten Allied Co., Ltd. 37,000 143,129 Tenma Corp. 56,400 924,761 Teraoka Seisakusho Co., Ltd. 29,000 250,232 Tetra Co., Ltd., Tokyo 41,000 117,275 * The Daito Bank, Ltd. 186,000 299,644 The Nisshin Oillio Group, Ltd. 346,000 1,546,584 Three F Co., Ltd. 12,200 98,842 Tigers Polymer Corp. 27,000 142,047 *# Titan Kogyo KK 36,000 78,788 # TKC Corp. 55,900 874,360 Toa Corp. 341,000 552,759 Toa Doro Kogyo Co., Ltd. 65,000 154,735 Toa Oil Co., Ltd. 145,000 256,602 * Toabo Corp. 73,000 76,653
86
SHARES VALUE+ ------------------ ------------------ # Toagosei Co., Ltd. 544,719 $ 1,731,079 * Tobu Store Co., Ltd. 71,000 142,791 TOC Co., Ltd. 119,000 1,012,297 * Tocalo Co., Ltd. 14,000 424,284 Tochigi Bank, Ltd. 209,000 1,151,998 Tochigi Fuji Industrial Co., Ltd. 51,000 163,874 Toda Kogyo Corp. 84,000 329,437 Todentu Corp. 57,000 162,524 Toei Co., Ltd. 265,000 1,136,701 Toenec Corp. 175,000 712,364 Tohcello Co., Ltd. 47,000 195,781 Toho Bank, Ltd. 286,000 1,052,357 Toho Co., Ltd. 43,000 348,288 *# Toho Rayon Co., Ltd. 239,000 699,767 Toho Real Estate Co., Ltd. 98,000 373,189 Toho Titanium Co., Ltd. 56,000 1,370,390 Toho Zinc Co., Ltd. 217,000 556,990 Tohoku Bank, Ltd. 117,000 243,518 Tohoku Misawa Homes Co., Ltd. 24,000 86,695 # Tohoku Pioneer Corp. 34,000 635,277 Tohoku Telecommunications Construction Co., Ltd. 33,000 256,675 *# Tohpe Corp. 36,000 58,331 Tohto Suisan Co., Ltd. 54,000 99,613 Tokai Carbon Co., Ltd. 378,000 1,351,183 # Tokai Corp. 138,000 522,250 * Tokai Kanko Co., Ltd. 333,000 90,809 Tokai Konetsu Kogyo Co., Ltd. 15,000 54,397 * Tokai Lease Co., Ltd. 18,000 35,107 Tokai Pulp & Paper Co., Ltd. 101,000 341,339 Tokai Senko KK, Nagoya 47,000 93,462 Tokai Tokyo Securities Co., Ltd. 529,250 1,502,965 Tokimec, Inc. 152,000 287,536 Toko Electric Corp. 39,000 125,212 Toko, Inc. 171,000 485,068 Tokushima Bank, Ltd. 134,200 884,920 Tokushu Paper Manufacturing Co., Ltd. 80,000 384,387 Tokyo Biso Kogyo Corp. 19,000 126,900 Tokyo Denpa Co., Ltd. 11,000 124,168 Tokyo Dome Corp. 282,000 1,338,626 Tokyo Electron Device, Ltd. 144 369,448 Tokyo Energy & Systems, Inc. 61,000 276,077 # Tokyo Kikai Seisakusho, Ltd. 150,000 417,731 Tokyo Leasing Co., Ltd. 109,900 1,416,697 # Tokyo Nissan Auto Sales Co., Ltd. 97,000 268,613 Tokyo Rakutenchi Co., Ltd. 109,000 430,947 *# Tokyo Rope Manufacturing Co., Ltd. 294,000 544,776 Tokyo Sangyo Co., Ltd. 36,500 110,256 Tokyo Soir Co., Ltd. 34,000 103,234 *# Tokyo Tekko Co., Ltd. 67,000 241,652 Tokyo Theatres Co., Inc., Tokyo 116,000 163,663 Tokyo Tomin Bank, Ltd. 32,800 685,650 Tokyotokeiba Co., Ltd. 526,000 859,550 Tokyu Community Corp. 22,800 369,732 # Tokyu Livable Inc. 29,300 993,059 Tokyu Recreation Corp. 48,000 276,264 # Tokyu Store Chain Corp. 175,000 846,044 Toli Corp. 106,000 256,080 Tomato Bank, Ltd. 189,000 416,237 Tomen Electronics Corp. 15,000 785,619 # Tomoe Corp. 65,000 $ 264,694 Tomoegawa Paper Co., Ltd. 55,000 178,154 Tomoku Co., Ltd. 153,000 356,018 # Tomy Co., Ltd. 36,900 538,472 Tonami Transportation Co., Ltd. 165,000 498,805 # Topcon Corp. 85,000 1,120,146 Topre Corp. 98,000 729,910 # Topy Industries, Ltd. 405,000 1,465,701 Torigoe Co., Ltd. 35,000 185,354 Torii Pharmaceutical Co., Ltd. 54,100 1,119,065 Torishima Pump Manufacturing Co., Ltd., Osaka 47,000 262,103 Tose Co., Ltd. 12,200 178,862 # Toshiba Ceramics Co., Ltd. 350,000 1,027,904 # Toshiba Machine Co., Ltd. 294,000 1,121,697 Toshiba Plant Kensetsu Co., Ltd. 170,000 782,174 Tosho Printing Co., Ltd. 103,000 336,567 * Totenko Co., Ltd. 35,000 69,369 Totetsu Kogyo Co., Ltd. 53,000 214,124 * Totoku Electric Co., Ltd., Tokyo 62,000 111,004 # Tottori Bank, Ltd. 163,000 608,627 Touei Housing Corp. 49,140 1,271,417 * Toukei Computer Co., Ltd. 14,710 201,603 Towa Bank, Ltd. 443,000 976,143 * Towa Corp. 33,000 225,705 Towa Meccs Corp. 75,000 84,391 *# Towa Real Estate Development Co., Ltd. 80,000 192,235 *# Toyama Chemicals Co., Ltd. 359,000 1,288,441 Toyo Bussan Co., Ltd. 30,600 272,503 *# Toyo Communication Equipment Co., Ltd. 89,000 407,854 * Toyo Construction Co., Ltd. 471,000 438,494 # Toyo Corp. 59,700 698,850 Toyo Electric Co., Ltd. 67,000 187,328 *# Toyo Engineering Corp. 473,000 1,314,742 * Toyo Kanetsu KK 220,000 356,684 Toyo Kohan Co., Ltd. 183,000 710,565 # Toyo Radiator Co., Ltd. 129,000 519,615 Toyo Securities Co., Ltd. 133,000 469,378 * Toyo Shutter Co., Ltd. 77,000 101,573 * Toyo Sugar Refining Co., Ltd. 60,000 84,906 Toyo Tire & Rubber Co., Ltd. 387,000 1,195,680 Toyo Wharf & Warehouse Co., Ltd. 118,000 226,901 # Trans Cosmos, Inc. 43,800 1,497,596 Trusco Nakayama Corp. 57,400 856,820 Tsubaki Nakashima Co., Ltd. 93,500 1,153,131 Tsubakimoto Chain Co. 358,000 1,279,889 Tsubakimoto Kogyo Co., Ltd. 44,000 102,410 # Tsudakoma Corp. 101,000 307,483 # Tsugami Corp. 165,000 484,746 Tsukamoto Co., Ltd. 44,000 87,538 Tsukishima Kikai Co., Ltd. 78,000 554,283 Tsurumi Manufacturing Co., Ltd. 44,000 337,935 Tsutsumi Jewelry Co., Ltd. 37,700 1,104,894 Tsutsunaka Plastic Industry Co., Ltd. 73,000 317,752 Tsuzuki Denki Co., Ltd. 36,000 132,625 Tsuzuki Densan Co., Ltd. 14,200 60,074 TYK Corp. 67,000 181,962 U.Store Co., Ltd. 55,600 567,436 Ube Material Industries, Ltd. 144,000 345,018
87
SHARES VALUE+ ------------------ ------------------ Uchida Yoko Co., Ltd. 85,000 $ 343,455 Ueki Corp. 47,000 128,253 # Unicafe, Inc. 10,360 154,028 Unimat Offisco Corp. 37,500 453,961 # Union Tool Co. 40,400 1,355,688 *# Unitika, Ltd. 836,000 898,825 U-Shin, Ltd. 40,000 277,881 Utoc Corp. 68,000 168,092 Valor Co., Ltd. 32,000 667,462 Vital-Net, Inc. 72,100 475,548 Wakachiku Construction Co., Ltd. 206,000 513,072 Wakamoto Pharmaceutical Co., Ltd. 48,000 141,594 Wakodo Co., Ltd. 4,600 171,748 Warabeya Nichiyo Co., Ltd. 24,860 458,079 Watabe Wedding Corp. 13,200 288,790 Watami Food Service Co., Ltd. 72,200 560,781 Weathernews, Inc. 15,800 121,676 * Wondertable, Ltd. 8,000 10,282 Wood One Co., Ltd. 86,000 674,054 Xebio Co., Ltd. 21,100 639,507 XNET Corp. 57 164,926 Yahagi Construction Co., Ltd. 59,000 222,693 Yaizu Suisankagaku Industry Co., Ltd. 20,100 198,379 Yamagata Bank, Ltd. 329,000 1,541,108 Yamaichi Electronics Co., Ltd. 28,400 333,902 Yamamura Glass Co., Ltd. 212,000 481,365 # Yamatake Corp. 127,300 1,337,454 *# Yamatane Corp. 131,000 188,966 Yamato Corp. 36,000 156,788 Yamato International, Inc. 43,000 271,723 Yamato Kogyo Co., Ltd. 118,000 1,585,473 Yamaura Corp. 19,000 48,985 Yamazen Co., Ltd. 160,000 491,749 Yaoko Co., Ltd. 36,800 701,298 Yaskawa Information Systems Corp. 11,700 106,421 Yasuda Warehouse Co., Ltd. 61,000 363,477 Ye Data, Inc. 25,000 69,216 Yellow Hat, Ltd., Tokyo 39,600 332,294 # Yodogawa Steel Works, Ltd. 338,000 1,601,522 Yokogawa Bridge Corp. 74,400 463,833 # Yokohama Reito Co., Ltd. 80,000 520,388 Yokowo Co., Ltd. 32,300 380,980 Yomeishu Seizo Co., Ltd. 52,000 407,900 Yomiuri Land Co., Ltd. 157,000 479,385 Yondenko Corp. 63,800 305,420 Yonekyu Corp. 51,000 557,404 Yonex Co., Ltd. 41,000 356,489 Yorozu Corp. 34,100 278,088 Yoshimoto Kogyo Co., Ltd. 60,000 540,886 Yuasa Funashoku Co., Ltd. 69,000 152,137 * Yuasa Trading Co., Ltd. 274,000 478,215 * Yuken Kogyo Co., Ltd. 60,000 165,981 Yuki Gosei Kogyo Co., Ltd. 31,000 103,880 # Yukiguni Maitake Co., Ltd. 35,600 269,664 Yuraku Real Estate Co., Ltd. 95,000 347,649 Yurtec Corp. 148,000 721,300 # Yushin Precision Equipment Co., Ltd. 25,740 387,156 Yushiro Chemical Industry Co., Ltd. 24,000 374,690 * Z-Plus Holdings Co., Ltd. 52,000 154,794 Zenrin Co., Ltd. 63,700 $ 783,837 # Zensho Co., Ltd. 24,600 630,296 # Zeria Pharmacetical Co., Ltd. 81,000 790,626 # Zuken, Inc. 51,100 489,509 ------------------ TOTAL COMMON STOCKS (Cost $623,310,440) 592,082,308 ------------------ INVESTMENT IN CURRENCY -- (0.8%) * Japanese Yen (Cost $6,262,627) 6,275,614 ------------------ RIGHTS/WARRANTS -- (0.0%) * BSL Corp. Bonus Warrants 01/31/05 42,190 0 * Kanematsu Corp. Warrants 03/31/06 20,125 0 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 0 ------------------ TOTAL -- JAPAN (Cost $629,573,067) 598,357,922 ------------------ FACE AMOUNT ------------------ (000) TEMPORARY CASH INVESTMENTS -- (22.5%) Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities USA 1.96%, 12/01/04 (Collateralized by $167,173,427 U.S. Treasury Notes & STRIPS, rates ranging from 1.625% to 11.75%, maturities ranging from 03/31/05 to 11/15/29, valued at $169,079,214) to be repurchased at $166,188,246 (Cost $166,179,198)@ $ 166,179 166,179,198 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $7,650,000 FNMA Notes 2.95%, 11/14/07, valued at $7,660,733) to be repurchased at $7,555,395 (Cost $7,555,000) 7,555 7,555,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $173,734,198) 173,734,198 ------------------ TOTAL INVESTMENTS -- (100.0%) (Cost $803,307,265) $ 772,092,120 ==================
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. @ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 88 THE PACIFIC RIM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ AUSTRALIA -- (41.5%) COMMON STOCKS -- (41.3%) A.I., Ltd. 129,195 $ 19,475 A.P. Eagers, Ltd. 26,648 147,537 AAV, Ltd. 136,790 177,548 # ABB Grain, Ltd. 155,230 854,348 # ABC Learning Centres, Ltd. 199,929 781,792 * Acclaim Exploration NL 435,905 14,738 * Adacel Technologies, Ltd. 113,249 26,162 ADCorp Australia, Ltd. 123,389 102,248 Adelaide Bank, Ltd. 169,045 1,319,609 Adelaide Brighton, Ltd. 661,990 861,986 # Adsteam Marine, Ltd. 449,500 569,059 Adtrans Group, Ltd. 32,047 88,256 * Agenix, Ltd. 267,186 119,595 * AGT Biosciences, Ltd. 141,979 65,761 * Ainsworth Game Techology, Ltd. 254,960 196,165 AJ Lucas Group, Ltd. 85,235 108,150 Alesco Corp., Ltd. 116,883 735,788 * Alkane Exploration, Ltd. 185,165 26,959 * Allegiance Mining NL 274,272 30,708 * Altium, Ltd. 162,100 37,592 Amalgamated Holdings, Ltd. 213,820 686,094 Amcom Telecommunications, Ltd. 596,711 96,391 * Amity Oil NL 269,554 154,454 * Amrad Corp., Ltd. 211,023 84,580 * Anadis, Ltd. 136,900 58,377 * Anateus Energy, Ltd. 193,687 13,976 * Anvil Mining, Ltd. 343,284 157,148 ARB Corporation, Ltd. 116,670 344,900 * Arc Energy NL 321,280 332,723 Ariadne Australia, Ltd. 277,334 83,439 * Arrow Pharmaceuticals, Ltd. 109,428 1,089,932 Aspen Group, Ltd. 16,937 2,616 * Atlas Pacific, Ltd. 82,585 10,840 AuIron Energy, Ltd. 105,891 184,424 Ausdrill, Ltd. 172,389 67,902 Ausmelt, Ltd. 36,118 11,760 Auspine, Ltd. 89,325 266,955 * Austal, Ltd. 356,800 536,856 # * Austar United Communications, Ltd. 2,120,181 1,474,613 # Austereo Group, Ltd. 719,528 900,309 Austin Group, Ltd. 70,265 44,073 * Austral Coal, Ltd. 373,084 230,671 Australian Agricultural Co., Ltd. 344,519 397,085 # * Australian Magnesium Corp., Ltd. 332,383 6,136
1 Australian Pharmaceutical Industries, Ltd. 456,731 1,202,012 Australian Pipeline Trust 491,831 1,182,424 # * Australian Worldwide Exploration, Ltd. 465,421 702,127 Auto Group, Ltd. 41,309 21,106 Autron Corporation, Ltd. 989,247 153,013 # AV Jennings Homes, Ltd. 369,461 463,309 Avatar Industries, Ltd. 56,896 33,856 * Avexa, Ltd. 67,761 13,670 * Ballarat Goldfields NL 1,250,496 168,964 # Bank of Queensland, Ltd. 221,092 1,816,634 Baxter Group, Ltd. 56,513 227,297 * BayCorp Advantage, Ltd. 410,581 989,473 Beach Petroleum NL 1,920,078 681,603 * Beaconsfield Gold NL 89,078 29,807 Bendigo Bank, Ltd. 102,468 780,716 * Bendigo Mining NL 412,092 340,304 * Beyond International, Ltd. 61,256 18,061 * Biota Holdings, Ltd. 158,536 70,905 Blackmores, Ltd. 27,894 290,871 * Blina Diamonds, Ltd. 13,703 3,668 Bolnisi Gold NL 288,627 133,110 * Boulder Group NL 717,587 106,251 * BQT Solutions, Ltd. 179,898 32,660 Brazin, Ltd. 211,021 321,954 BreakFree, Ltd. 92,162 242,958 Bridgestone Australia, Ltd. 49,000 134,624 * Broadcast Services Australia, Ltd. 205,703 62,996 * Buka Mineral, Ltd. 210,323 63,200 Cabcharge Austalia, Ltd. 196,800 614,249 Campbell Brothers, Ltd. 90,980 641,536 Candle Australia, Ltd. 67,821 108,110 * Cape Range Wireless, Ltd. 1,698,199 48,739 # Capral Aluminium, Ltd. 167,379 308,116 CDS Technologies, Ltd. 61,294 120,634 Cedar Woods Properties, Ltd. 77,414 137,319 * Cellestis, Ltd. 147,658 365,112 Cellnet Telecommunications Group, Ltd. 91,100 120,302 # * Centamin Egypt, Ltd. 996,437 226,208 Centennial Coal, Ltd. 464,685 1,446,281 Central Equity, Ltd. 136,685 214,795 * Charter Pacific Corp., Ltd. 72,823 19,964 * Charters Towers Gold Mines, Ltd. 727,142 83,767 # * Chemeq, Ltd. 142,223 219,154 * Child Care Centres Australia, Ltd. 62,315 93,473 * Chiquita Brands South Pacific, Ltd. 250,903 151,451 Circadian Technologies, Ltd. 64,591 109,476 Citect Corp., Ltd. 109,822 71,255 * Climax Mining, Ltd. 870,299 69,990 * Clough, Ltd. 817,737 315,975 Clover Corp., Ltd. 269,348 78,803 * Cluff Resources Pacific NL 911,746 17,452 CMI, Ltd. 47,437 72,600 * CO2 Group, Ltd. 280,693 106,298 # Coates Hire, Ltd. 371,530 1,303,482
2 Cochlear, Ltd. 97,156 1,768,754 Coffey International, Ltd. 105,045 162,339 Collection House, Ltd. 176,200 235,645 Colorado Group, Ltd. 192,662 947,250 Commander Communications, Ltd. 256,819 474,375 Consolidated Minerals, Ltd. 320,225 544,942 * Coplex Resources NL 231,400 16,159 Corporate Express Australia, Ltd. 320,507 1,398,598 Count Financial, Ltd. 367,126 383,221 Coventry Group, Ltd. 61,839 350,127 * CPI, Ltd. 68,585 42,987 Crane Group, Ltd. 99,416 776,664 Croesus Mining NL 798,235 367,827 * Crown Diamonds NL 300,000 53,130 Danks Holdings, Ltd. 10,425 100,593 # DCA Group, Ltd. 509,294 1,322,469 Devine, Ltd. 168,183 88,638 * Dioro Exploraration NL 297,142 25,067 * Dominion Mining, Ltd. 168,015 50,464 Downer Group, Ltd. 513,745 1,778,260 * Dragon Mining NL 498,591 111,561 * Emporer Mines, Ltd. 168,840 82,972 Energy Developments, Ltd. 231,690 616,223 * Energy World Corp., Ltd. 325,630 4,254 # Envestra, Ltd. 1,370,800 1,112,417 * Environmental Solutions International, Ltd. 67,364 3,345 Equigold NL 252,890 302,108 * Equinox Minerals, Ltd. 67,716 36,253 Evans & Tate, Ltd. 160,542 131,603 Fantastic Holdings, Ltd. 146,410 610,746 FKP, Ltd. 221,750 619,103 # Fleetwood Corp., Ltd. 77,785 522,367 * Forest Enterprises Australia, Ltd. 387,869 194,986 * Fortescue Metals Group, Ltd. 222,872 558,803 Funtastic, Ltd. 210,036 433,265 # Futuris Corp., Ltd. 1,170,799 1,910,497 Gale Pacific, Ltd. 72,812 170,436 Gazal Corp., Ltd. 98,175 281,529 * Geodynamics, Ltd. 89,459 103,638 * Giants Reef Mining, Ltd. 1,400,196 82,895 Globe International, Ltd. 712,348 266,974 * Gold Aura 41,097 4,417 * Goldstream Mining NL 105,681 33,989 Gowing Bros., Ltd. 60,296 123,279 * Gradipore, Ltd. 104,226 64,465 Graincorp, Ltd. Series A 78,059 796,619 Grand Hotel Group 383,087 239,665 GRD NL 379,594 822,614 # Great Southern Plantations, Ltd. 437,017 1,278,184 Green's Foods, Ltd. 129,747 93,209 GUD Holdings, Ltd. 114,428 977,506 # Gunns, Ltd. 602,832 1,958,402 * Gutnick Resources NL 17,866 2,058 GWA International, Ltd. 490,586 1,243,414
3 * Gympie Gold, Ltd. 302,445 131,413 * Hardman Resources NL 977,372 1,354,713 Harvey World Travel, Ltd. 52,100 58,432 Health Communication Network, Ltd. 106,000 134,362 Healthscope, Ltd. 157,155 488,845 Henry Walker Eltin Group, Ltd. 360,324 157,360 * Herald Resources, Ltd. 69,910 46,358 HGL, Ltd. 84,970 128,181 # Hills Industries, Ltd. 279,879 912,400 Home Building Society, Ltd. 18,776 89,047 * Horizon Oil NL 752,832 95,906 Housewares International, Ltd. 293,921 609,014 HPAL, Ltd. 193,847 234,207 * Hutchison Telecommunications (Australia), Ltd. 1,153,996 323,826 * IBA Health, Ltd. 322,750 162,059 IInet, Ltd. 136,659 316,593 Iluka Resources, Ltd. 398,111 1,799,395 * Imdex, Ltd. 135,662 19,780 Incitec Pivot, Ltd. 67,442 1,097,905 * Independent Practioner Network, Ltd. 457,414 13,486 * Indophil Resources NL 250,607 74,888 # Infomedia, Ltd. 598,900 371,341 Institute of Drug Technology Australia, Ltd. 82,205 145,695 Integrated Group, Ltd. 145,820 282,177 Integrated Research, Ltd. 261,513 105,015 * Intellect Holdings, Ltd. 403,028 12,092 * Intermoco, Ltd. 1,067,459 62,396 * International All Sports, Ltd. 58,815 15,480 Investor Group, Ltd. 112,388 341,462 # ION, Ltd. 419,349 319,580 Iress Market Technology, Ltd. 176,883 498,069 IWL, Ltd. 81,474 142,300 * Ixla, Ltd. 89,921 1,605 JDV, Ltd. 123,805 74,312 # Jones (David), Ltd. 707,771 1,265,632 Jubilee Mines NL 224,549 767,701 K&S Corp., Ltd. 93,878 213,490 * Kagara Zinc, Ltd. 276,962 194,430 Keycorp, Ltd. 156,412 220,038 * Kimberley Diamond Co. NL 274,068 213,428 # Kingsgate Consolidated NL 141,645 285,453 Kresta Holdings, Ltd. 231,002 99,956 * Lakes Oil NL 2,055,217 79,469 Lemarne Corp., Ltd. 20,790 40,808 * Leyshon Resources, Ltd. 103,357 38,047 Lighting Corp., Ltd. 112,500 69,364 * LionOre Mining International, Ltd. 25,843 149,482 * Lynas Gold NL 433,768 125,462 # MacArthur Coal, Ltd. 265,423 870,588 MacMahon Holdings, Ltd. 593,580 222,369 * Macmin Silver, Ltd. 343,722 39,418 * Macquarie Corporate Telecommunications, Ltd. 350,192 51,502 Macquarie Goodman Management, Ltd. 465,692 1,272,113 Magellan Petroleum Australia, Ltd. 32,760 33,526
4 * Magnesium International, Ltd. 656,061 34,023 * Maryborough Sugar Factory, Ltd. 600 3,434 * Matrix Oil NL 557,000 19,016 MaxiTRANS Industries, Ltd. 273,119 225,572 # McGuigan Simeon Wines, Ltd. 291,513 1,186,362 McPherson's, Ltd. 103,232 438,880 * Medica Holdings, Ltd. 31,587 17,556 Melbourne IT, Ltd. 83,305 87,074 # * Metabolic Pharmaceuticals, Ltd. 700,000 967,725 # * Metal Storm, Ltd. 791,640 166,847 # Miller's Retail, Ltd. 493,726 461,973 * Minara Resources, Ltd. 846,370 1,421,569 Mincor Resources NL 333,960 164,299 Monadelphous Group, Ltd. 40,803 253,732 # * Mosaic Oil NL 756,146 148,653 * MPI Mines, Ltd. 170,592 293,988 * MPI Mines, Ltd. Leviathan Entitlements 56,864 34,414 * MXL, Ltd. 512,804 34,697 MYOB, Ltd. 698,496 745,632 Namoi Cotton Cooperative, Ltd. 152,330 69,156 National Can Industries, Ltd. 97,017 112,994 * Norwood Abbey, Ltd. 245,896 121,412 * Nova Health, Ltd. 162,859 29,066 * Novera Energy, Ltd. 314,130 83,272 # * Novogen, Ltd. 166,644 718,861 Nufarm, Ltd. 287,774 1,835,428 * Nylex, Ltd. 1,110,199 339,680 Oakton, Ltd. 130,899 144,695 # Oamps, Ltd. 182,284 488,184 * Occupational & Medical Innovations, Ltd. 31,208 33,587 * Orbital Engine Corp., Ltd. 537,358 48,297 OrotonGroup, Ltd. 76,854 169,606 * Oxiana, Ltd. 2,124,170 1,710,523 Pacific Group, Ltd. 248,624 702,617 Pacific Hydro, Ltd. 378,635 1,080,005 * Paladin Resources, Ltd. 573,901 230,885 * Palm Springs, Ltd. 222,804 25,801 * Pan Pacific Petroleum NL 327,800 34,317 * Panbio, Ltd. 58,078 16,544 * Payce Consolidated, Ltd. 18,000 37,685 Penfold Buscombe, Ltd. 54,588 79,134 * People Telecom, Ltd. 274,060 35,717 Peppercorn Management Group, Ltd. 22,267 183,484 * Peptech, Ltd. 281,015 440,441 * Perilya Mines NL 263,500 174,648 * Perseverance Corp., Ltd. 917,246 274,396 # * Petsec Energy, Ltd. 203,974 223,842 * Plantcorp NL 4,329 0 Plaspak Group, Ltd. 99,965 72,596 # * PMP, Ltd. 497,872 777,364 * Polartechnics, Ltd. 43,405 15,292 Port Bouvard, Ltd. 108,200 113,668 * Port Douglas Reef Resorts, Ltd. 251,655 16,612 Portman, Ltd. 343,890 803,275
5 * PowerTel, Ltd. Series B 110,422 119,017 * Prana Biotechnology, Ltd. 195,424 80,563 * Precious Metals Australia, Ltd. 10,606 1,263 * Preston Resources NL 64,000 1,171 Primary Health Care, Ltd. 196,419 1,214,515 Prime Television, Ltd. 210,595 514,192 * Primelife Corp., Ltd. 99,482 128,862 * Progen Industries, Ltd. 64,862 264,698 Programmed Maintenance Service, Ltd. 124,246 319,349 Queensland Cotton Holdings, Ltd. 47,054 164,307 * Quiktrak Networks P.L.C. Entitlement Shares 23,875 0 * Quiktrak Networks, Ltd. 7,401 574 Ramsay Health Care, Ltd. 230,574 1,316,240 Raptis Group, Ltd. 12,000 6,675 Rebel Sport, Ltd. 132,283 322,855 * Redfire Resources NL 859,797 125,519 Reece Australia, Ltd. 185,260 1,677,477 * Reinsurance Australia Corp., Ltd. 399,993 176,524 * Reliance Mining, Ltd. 105,540 36,690 Repcol, Ltd. 308,668 100,322 * Resolute Mining, Ltd. 287,264 335,706 * Resonance Health, Ltd. 29,264 3,389 Ridley Corp., Ltd. 607,544 639,017 Roberts, Ltd. 18,045 108,786 * Roc Oil Co., Ltd. 311,181 441,017 Rock Building Society, Ltd. 11,373 32,970 Ross Human Directions, Ltd. 121,481 91,853 Rural Press, Ltd. 38,633 300,631 S8, Ltd. 118,171 136,244 Salmat, Ltd. 200,045 750,552 Schaffer Corp., Ltd. 33,766 347,264 SDI, Ltd. 200,815 288,252 * Sedimentary Holdings, Ltd. 577,321 122,403 Select Harvests, Ltd. 71,550 456,764 * Senetas Corp., Ltd. 240,406 45,755 Servcorp, Ltd. 156,000 323,088 Seven Network, Ltd. 319,923 1,555,996 # SFE Corp., Ltd. 225,787 1,432,702 Sigma Co., Ltd. 256,868 1,851,638 * Silex System, Ltd. 235,100 228,479 Sims Group, Ltd. 150,718 2,079,144 * Sino Gold, Ltd. 235,144 417,456 # * Sirtex Medical, Ltd. 96,109 206,398 Skilled Engineering, Ltd. 153,706 304,130 Smorgon Steel Group, Ltd. 1,498,240 1,388,420 SMS Management & Technology, Ltd. 507,212 133,921 * Sons of Gwalia, Ltd. 253,252 255,447 # Southern Cross Broadcasting (Australia), Ltd. 103,651 1,240,178 * Southern Pacific Petroleum NL 698,740 130,116 SP Telecommunications, Ltd. 583,805 973,161 # SPC Ardmona, Ltd. 352,780 579,497 # Spotless Group, Ltd. 377,303 1,440,908 * St. Barbara Mines, Ltd. 375,500 21,652 Star Games, Ltd. 132,410 144,339
6 * Starpharma Holdings, Ltd. 178,465 103,453 * Straits Resources, Ltd. 212,913 303,856 * Strategic Minerals Corp. NL 358,100 35,994 * Strathfield Group, Ltd. 492,553 83,869 * Striker Resources NL 435,484 17,532 # STW Communications Group, Ltd. 295,275 720,251 # Sunland Group, Ltd. 370,446 524,239 Sydney Aquarium, Ltd. 49,135 204,655 * Sydney Gas, Ltd. 402,065 304,434 Symex Holdings, Ltd. 163,000 172,537 * Taipan Resources NL 2,475,883 123,267 * Tandou, Ltd. 3,410 4,461 * Tap Oil, Ltd. 269,296 382,728 Technology One, Ltd. 587,800 281,834 Tectonic Resources NL 259,183 73,758 * Television & Media Services, Ltd. 2,000,584 65,072 Tempo Service, Ltd. 184,359 173,727 Thakral Holdings Group 948,383 534,300 The Gribbles Group, Ltd. 780,300 374,098 Ticor, Ltd. 455,148 527,588 # Timbercorp, Ltd. 373,920 594,064 * Titan Resources NL 297,586 49,371 * Tooth & Co., Ltd. 153,000 14,129 Transfield Services, Ltd. 258,722 1,237,451 Triako Resources, Ltd. 25,400 32,506 Troy Resources NL 72,048 199,862 Trust Company of Australia, Ltd. 53,206 357,646 United Group, Ltd. 185,592 925,193 * Unitract, Ltd. 147,406 115,516 UXC, Ltd. 230,697 146,276 VeCommerce, Ltd. 13,680 15,901 * Ventracor, Ltd. 331,714 386,827 * Victoria Petroleum NL 2,180,492 79,049 Villa World, Ltd. 185,574 221,134 # * Village Roadshow, Ltd. 591,536 912,883 * Virotec International NL 298,151 124,809 Vision Systems, Ltd. 281,036 263,897 * Voicenet (Australia), Ltd. 495,284 7,241 Volante Group, Ltd. 211,215 248,067 Waterco, Ltd. 22,304 69,053 Watpac, Ltd. 139,743 138,434 # Wattyl, Ltd. 136,317 403,654 * Webster, Ltd. 33,551 22,251 * Wedgetail Exploration NL 1,413,422 59,981 Wide Bay Capricorn Building Society, Ltd. 35,356 182,831 Worley Group, Ltd. 283,762 1,197,893 * Yates, Ltd. 60,281 2,421 ------------------ TOTAL COMMON STOCKS (Cost $98,124,864) 130,771,728 ------------------ INVESTMENT IN CURRENCY -- (0.1%) * Australian Dollar 409,212 ------------------ (Cost $387,262)
7 PREFERRED STOCKS -- (0.1%) Southern Cross Broadcasting (Australia), Ltd. 12,034 140,057 * Village Roadshow, Ltd. 2% Class A 55,477 73,339 ------------------ TOTAL PREFERRED STOCKS (Cost $205,920) 213,396 ------------------ RIGHTS/WARRANTS -- (0.0%) * Ainsworth Game Technology, Ltd. Rights 12/10/04 33,994 396 * Allegiance Mining NL Rights 12/15/04 27,427 943 * Axon Instruments, Inc. Options 01/02/07 16,148 0 * CBH Resources, Ltd. Rights 12/10/04 171,959 0 * Macmin Silver, Ltd. Options 10/30/08 38,191 2,104 # * Mosaic Oil NL Options 09/30/05 48,415 3,005 ------------------ TOTAL RIGHTS/WARRANTS (Cost $98) 6,448 ------------------ TOTAL -- AUSTRALIA (Cost $98,718,144) 131,400,784 ------------------ HONG KONG -- (22.8%) COMMON STOCKS -- (22.8%) * 139 Holdings, Ltd. 6,200,000 17,500 ABC Communications (Holdings), Ltd. 930,000 69,190 Aeon Credit Service (Asia) Co., Ltd. 740,000 485,286 ALCO Holdings, Ltd. 740,000 189,854 Allan International Holdings, Ltd. 592,000 94,372 * Allied Group, Ltd. 559,200 574,606 * Allied Properties, Ltd. 802,600 412,284 * Anex International Holdings, Ltd. 152,000 2,072 * Applied International Holdings, Ltd. 1,243,000 19,465 * APT Satellite Holdings, Ltd. 599,000 110,003 Artel Solutions Group Holdings, Ltd. 2,315,000 67,413 Arts Optical International Holdings, Ltd. 468,000 159,377 Asia Aluminum Holdings, Ltd. 2,084,000 240,418 * Asia Commercial Holdings, Ltd. 72,800 4,243 Asia Financial Holdings, Ltd. 1,976,908 486,945 * Asia Logistics Technologies, Ltd. 22,140 3,871 Asia Satellite Telecommunications Holdings, Ltd. 233,000 452,304 * Asia Standard International Group, Ltd. 6,780,000 356,109 * Asia Tele-Net & Technology Corp., Ltd. 521,000 29,975 Associated International Hotels, Ltd. 898,000 728,507 Automated Systems Holdings, Ltd. 340,000 55,377 Baltrans Holdings, Ltd. 376,000 133,920 * Beijing Development (Hong Kong), Ltd. 166,000 21,298 Bossini International Holdings, Ltd. 1,801,500 467,049 Bright International Group, Ltd. 710,000 73,083 Cafe de Coral Holdings, Ltd. 350,000 402,703 * Capital Prosper, Ltd. 480,000 4,198 * Capital Strategic Investment, Ltd. 30,500 2,389 * Cash Financial Services Group, Ltd. 27,018 623
8 * Casil Telecommunications Holdings, Ltd. 1,420,000 78,666 * Catic International Holdings, Ltd. 5,332,000 92,448 CCT Telecom Holdings, Ltd. 472,970 76,257 CEC International Holdings, Ltd. 210,000 4,510 * Celestial Asia Securities Holdings, Ltd. 426,036 22,892 * Central China Enterprises, Ltd. 210,400 18,033 # Champion Technology Holdings, Ltd. 1,329,386 235,337 Chaoda Modern Agriculture (Holdings), Ltd. 1,536,000 556,436 Chen Hsong Holdings, Ltd. 1,210,000 769,266 Cheuk Nang (Holdings), Ltd. 112,501 58,712 * Cheung Tai Hong Holdings, Ltd. 100,920 4,779 Chevalier International Holdings, Ltd. 441,482 354,909 Chevalier Itech Holdings, Ltd. 355,250 47,783 * China Aerospace International Holdings, Ltd. 3,384,000 195,383 * China Bio-medical Group, Ltd. 415,000 8,005 * China City Natural Gas Holdings, Ltd. 10,488,000 26,983 * China Digicontent Co., Ltd. 2,710,000 3,485 China Everbright International, Ltd. 3,945,000 262,654 * China Everbright Technology, Ltd. 3,244,000 155,712 # * China Gas Holdings, Ltd. 2,026,000 331,991 China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 129,970 China Insurance International Holdings Co., Ltd. 856,000 384,547 * China Investments Holdings, Ltd. 210,000 4,537 * China Motion Telecom International, Ltd. 257,000 9,969 China Motor Bus Co., Ltd. 74,000 530,942 * China Nan Feng Group, Ltd. 28,800 389 # China National Aviation Co., Ltd. 1,552,000 322,441 China Online (Bermuda), Ltd. 296,240 47,999 China Pharmaceutical Enterprise and Investment Corp., Ltd. 754,000 193,839 China Rare Earth Holdings, Ltd. 1,180,000 163,921 China Resources Land, Ltd. 2,658,000 451,045 China Resources Logic, Ltd. 3,796,000 447,704 * China Rich Holdings, Ltd. 3,380,000 16,518 * China Sci-Tech Holdings, Ltd. 2,786,000 9,580 * China Star Entertainment, Ltd. 440,292 42,383 * China Strategic Holdings, Ltd. 1,368,500 97,758 # China Travel International Investment, Ltd. 1,276,000 384,896 Chinney Investments, Ltd. 1,144,000 97,060 * Chitaly Holdings, Ltd. 150,000 113,458 Chow Sang Sang Holdings International, Ltd. 721,400 338,077 Chuangs China Investments, Ltd. 1,347,000 83,222 Chuang's Consortium International, Ltd. 1,858,884 171,677 Chun Wo Holdings, Ltd. 1,671,917 231,596 Chung Tai Printing Holdings, Ltd. 548,000 87,975 * CITIC 21CN Co., Ltd. 1,536,000 463,109 * CITIC Resources Holdings, Ltd. 1,790,000 362,846 City e Solutions, Ltd. 186,000 20,047 City Telecom (H.K.), Ltd. 1,070,000 221,129 # * Clear Media, Ltd. 340,000 341,536 * Climax International Co., Ltd. 296,000 1,296 # CNPC (Hong Kong), Ltd. 2,680,000 430,399 * CNT Group, Ltd. 3,078,000 71,070 * Coastal Greenland, Ltd. 2,440,000 50,103 COFCO International, Ltd. 1,042,000 457,706
9 * Compass Pacific Holdings, Ltd. 624,000 23,272 * Computer & Technologies Holdings, Ltd. 432,000 58,706 Continental Holdings, Ltd. 98,825 10,666 Continental Mariner Investment Co., Ltd. 1,328,000 259,056 * COSCO International Holdings, Ltd. 2,573,600 451,986 # Coslight Technology International Group, Ltd. 626,000 170,814 * Cosmos Machinery Enterprises, Ltd. 1,126,400 54,779 * Crocodile Garments, Ltd. 1,539,000 82,946 Cross Harbour Tunnel Co., Ltd. 386,520 230,953 * Culturecom Holdings, Ltd. 3,767,000 265,489 * Dah Hwa International Holdings, Ltd. 1,062,000 39,512 * Dan Form Holdings Co., Ltd. 2,386,600 116,822 * Daqing Petroleum & Chemical Group, Ltd. 1,375,000 104,033 Dickson Concepts International, Ltd. 498,300 578,211 * Digital China Holdings, Ltd. 1,416,000 436,117 * DVN Holdings, Ltd. 744,490 149,297 * Dynamic Global Holdings, Ltd. 3,522,000 19,023 Dynamic Holdings, Ltd. 244,000 35,203 Easyknit International Holdings, Ltd. 282,860 5,165 * Eforce Holdings, Ltd. 2,620,000 18,738 Egana Jewelry and Pearls 331,789 59,301 # Eganagoldfeil Holdings, Ltd. 2,017,235 406,183 Emperor International Holdings, Ltd. 90,436 160,584 * e-New Media Co., Ltd. 320,000 10,481 * eSun Holdings, Ltd. 653,600 71,180 * Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 102,227 Ezcom Holdings, Ltd. 72,576 2,988 * Fairwood Holdings, Ltd. 42,600 16,680 # Far East Consortium International, Ltd. 1,948,929 748,524 * Far East Hotels & Entertainment, Ltd. 1,853,000 119,970 Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,124 * First Natural Foods Holdings, Ltd. 295,000 22,340 First Sign International Holdings, Ltd. 1,424,000 42,581 Fong's Industries Co., Ltd. 304,000 262,000 * Forefront International Holdings, Ltd. 658,000 48,233 * Fortuna International Holdings, Ltd. 9,344,000 20,154 * Foundation Group, Ltd. 83,800 1,983 * Founder Holdings, Ltd. 1,854,000 164,305 Fountain Set Holdings, Ltd. 508,000 371,554 Four Seas Frozen Food Holdings, Ltd. 347,184 58,427 Four Seas Mercantile Holdings, Ltd. 592,000 213,170 * Fujian Holdings, Ltd. 237,800 7,650 Fujikon Industrial Holdings, Ltd. 532,000 76,656 * Fushan Holdings, Ltd. 2,566,000 143,341 * GeoMaxima Energy Holdings, Ltd. 5,810,000 63,222 Giordano International, Ltd. 1,128,000 709,383 * Global China Group Holdings, Ltd. 3,022,000 157,407 Global Green Tech Group, Ltd. 1,336,000 114,752 * Global Tech (Holdings), Ltd. 5,612,000 36,086 Glorious Sun Enterprises, Ltd. 1,650,000 581,787 Gold Peak Industries (Holdings), Ltd. 1,059,250 271,825 * Goldbond Group Holdings, Ltd. 2,609,500 51,245 Golden Meditech Company, Ltd. 533,802 128,875 Golden Resources Development International, Ltd. 1,456,500 70,169
10 * Gold-Face Holdings, Ltd. 2,003,600 139,140 Goldlion Holdings, Ltd. 1,438,000 142,195 Golik Holdings, Ltd. 930,500 28,632 Good Fellow Group, Ltd. 3,488,000 110,892 * Gorient Holdings, Ltd. 7,370 66 Grande Holdings, Ltd. 258,000 263,036 * Great Wall Cybertech, Ltd. 15,795,170 20,313 # Group Sense (International), Ltd. 2,062,000 203,327 Guangdong Brewery Holdings, Ltd. 2,212,000 682,524 * Guangnan Holdings, Ltd. 14,216,000 264,101 # Guangzhou Investment Co., Ltd. 4,058,000 406,350 * Guo Xin Group, Ltd. 3,640,000 80,258 * Guorun Holdings, Ltd. 2,125,000 110,304 GZI Transport, Ltd. 1,820,000 555,122 Hang Fung Gold Technology, Ltd. 762,000 118,322 Hang Ten Group Holdings, Ltd. 5,850 825 Hanny Holdings, Ltd. 186,658 74,184 * Hansom Eastern Holdings, Ltd. 3,473,235 25,456 Harbour Centre Development, Ltd. 517,000 578,480 Harbour Ring International Holdings, Ltd. 3,306,000 305,295 * Hen Fung Holdings, Ltd. 1,740,000 39,662 Henderson China Holdings, Ltd. 815,000 413,715 Heng Tai Consumables Group, Ltd. 530,000 88,309 # Hengan International Group Co., Ltd. 628,000 387,751 High Fashion International, Ltd. 268,000 53,470 HKR International, Ltd. 1,884,860 996,242 Hon Kwok Land Investment Co., Ltd 572,535 132,366 Hong Kong Catering Management, Ltd. 512,000 87,331 * Hong Kong Construction Holdings, Ltd. 970,000 64,988 Hong Kong Ferry (Holdings) Co., Ltd. 671,300 741,218 * Hong Kong Parkview Group, Ltd. 1,130,000 78,473 * Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,756 Hongkong Chinese, Ltd. 2,126,000 284,295 * Hop Hing Holdings, Ltd. 660,265 29,719 Hopson Development Holdings, Ltd. 1,246,000 344,454 * Hsin Chong Construction Group, Ltd. 1,569,658 84,893 Hua Han Bio-Pharmaceutical Holdings, Ltd. 208,000 25,125 * Huabao International Holdings, Ltd. 19,300 2,260 * Huafeng Textile International Group, Ltd. 248,000 23,885 * Hualing Holdings, Ltd. 1,344,000 68,117 Hung Hing Printing Group, Ltd. 266,000 203,151 * Hycomm Wireless, Ltd. 4,709,000 33,041 I-Cable Communications, Ltd. 888,000 350,791 * I-China Holdings, Ltd. 375,756 9,641 IDT International, Ltd. 4,028,486 890,691 * Imagi International Holdings, Ltd. 137,400 25,598 * Innomaxx Biotechnology Group, Ltd. 3,050,000 111,325 * Interchina Holdings Co., Ltd. 8,130,000 243,241 International Bank of Asia, Ltd. 462,000 195,372 * Inworld Group, Ltd. 2,036 9 * ITC Corp., Ltd. 466,157 40,005 JCG Holdings, Ltd. 414,000 337,994 * Jinhui Holdings Co., Ltd. 16,000 44,476 * Joyce Boutique Holdings, Ltd. 514,000 28,948
11 * Junefield Department Store Group, Ltd. 256,000 3,301 # K Wah International Holdings, Ltd. 3,096,364 794,345 K. Wah Construction Materials, Ltd. 2,455,075 965,456 * Kader Holdings Co., Ltd. 545,600 11,583 * Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 47,675 Karrie International Holdings, Ltd. 488,000 169,059 Keck Seng Investments (Hong Kong), Ltd. 858,600 247,220 Kee-Shing Holdings Co., Ltd. 886,000 84,389 Kin Yat Holdings, Ltd. 586,000 51,195 King Fook Holdings, Ltd. 1,000,000 77,407 * King Pacific International Holdings, Ltd. 1,404,200 22,031 Kingdee International Software Group Co., Ltd. 638,000 182,274 Kingmaker Footwear Holdings, Ltd. 1,058,750 271,246 * Kong Sun Holdings, Ltd. 2,198,000 7,067 Kowloon Development Co., Ltd. 604,000 638,857 * KPI Co., Ltd. 396,000 6,503 KTP Holdings, Ltd. 560,400 40,987 * Kwong Sang Hong International, Ltd. 1,434,000 223,104 Kwoon Chung Bus Holdings, Ltd. 556,000 96,456 * Lai Sun Development Co., Ltd. 7,592,000 185,463 * Lai Sun Garment (International), Ltd. 2,325,000 110,382 Lam Soon (Hong Kong), Ltd. 302,310 103,168 Le Saunda Holdings, Ltd. 236,000 33,928 * Leadership Publishing Group, Ltd. 250,511 973 * Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,971 * Lee & Man Holdings, Ltd. 566,000 82,870 Lerado Group (Holding) Co., Ltd. 1,048,000 152,102 * LifeTec Group, Ltd. 1,383,000 20,405 Lippo, Ltd. 1,074,760 283,113 Liu Chong Hing Bank, Ltd. 293,000 436,851 Liu Chong Hing Investment, Ltd. 635,200 498,034 Luk Fook Holdings (International), Ltd. 690,000 165,730 Luks Industrial Group, Ltd. 645,555 108,610 Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 633,901 * MACRO-LINK International Holdings, Ltd. 1,036,250 39,962 * Mae Holdings, Ltd. 2,220,000 4,790 * Magnificent Estates, Ltd. 8,368,000 124,104 * Magnum International Holdings, Ltd. 300,000 2,585 Mainland Headwear Holdings, Ltd. 410,000 154,203 * Mansion House Group, Ltd. 1,820,000 44,506 Matrix Holdings, Ltd. 402,000 99,250 * Mei Ah Entertainment Group, Ltd. 1,142,000 42,756 Melbourne Enterprises, Ltd. 45,500 172,616 Midas International Holdings, Ltd. 774,000 61,664 Midland Realty (Holding), Ltd. 1,110,000 646,869 * Millennium Group, Ltd. 1,392,000 13,068 Min Xin Holdings, Ltd. 753,200 167,041 Miramar Hotel & Investment Co., Ltd. 374,000 456,959 * Morning Star Resources, Ltd. 1,845,000 16,372 Moulin International Holdings, Ltd. 699,274 399,365 Nanyang Holdings, Ltd. 137,500 139,613 National Electronics Holdings, Ltd. 2,156,000 67,396 Natural Beauty Bio-Technology, Ltd. 540,000 38,109 New Asia Realty & Trust Co., Ltd. 1,355,000 644,977
12 * New China Merchants Dichain 7,160,000 78,934 New Island Printing Holdings, Ltd. 176,000 14,486 * New World China Land, Ltd. 961,600 376,790 * New World Cyberbase, Ltd. 48,419 2,314 * New World TMT, Ltd. 1,380,600 116,635 Newocean Green Energy Holdings, Ltd. 393,120 66,074 * Next Media, Ltd. 852,000 306,272 # Ngai Lik Industrial Holdings, Ltd. 1,556,000 434,301 # * Onfem Holdings, Ltd. 1,266,000 114,016 Orient Power Holdings, Ltd. 804,000 58,784 * Oriental Metals, Ltd. 711,780 280,894 Oriental Press Group, Ltd. 1,544,000 579,723 Oriental Watch Holdings, Ltd. 398,000 84,922 Pacific Andes International Holdings, Ltd. 1,172,000 195,420 Pacific Century Insurance Holdings, Ltd. 1,272,000 530,707 # * Pacific Century Premium Developments, Ltd. 945,000 323,709 * Pacific Plywood Holdings, Ltd. 4,430,000 25,067 Paul Y. ITC Construction Holdings, Ltd. 2,309,062 457,847 Peace Mark Holdings, Ltd. 1,138,022 214,733 Pegasus International Holdings, Ltd. 226,000 32,833 Perfectech International Holdings, Ltd. 571,450 48,151 Pico Far East Holdings, Ltd. 1,190,000 103,980 Playmates Holdings, Ltd. 2,223,000 433,415 Pokfulam Development Co., Ltd. 234,000 91,106 * Poly Investments Holdings, Ltd. 2,670,000 61,113 Prime Success International Group, Ltd. 2,366,000 357,971 # Proview International Holdings, Ltd. 944,000 176,576 # * QPL International Holdings, Ltd. 1,191,000 245,793 Quality Healthcare Asia, Ltd. 133,800 28,354 * Rainbow International Holdings, Ltd. 2,036 12 Raymond Industrial, Ltd. 605,400 175,092 # * Regal Hotels International Holdings, Ltd. 11,656,000 701,410 * Rexcapital International Holdings, Ltd. 1,272,905 18,488 * Riche Multi-Media Holdings, Ltd. 706,000 176,066 * Rivera Holdings, Ltd. 3,620,000 115,683 * Riverhill Holdings, Ltd. 2,036 28 Road King Infrastructure, Ltd. 449,000 323,038 * Roadshow Holdings, Ltd. 1,456,000 157,043 S.A.S.Dragon Holdings, Ltd. 1,696,000 159,357 SA SA International Holdings, Ltd. 1,872,000 938,866 Safety Godown Co., Ltd. 408,000 166,693 Saint Honore Holdings, Ltd. 128,000 48,579 * San Miguel Brewery Hong Kong, Ltd. 612,800 138,697 SCMP Group, Ltd. 1,038,000 432,912 Sea Holdings, Ltd. 832,000 304,692 * Seapower Resources International, Ltd. 151,680 2,357 * SEEC Media Group, Ltd. 2,550,000 124,244 Shanghai Allied Cement, Ltd. 1,152,080 63,807 * Shanghai Century Holdings, Ltd. 7,142,000 184,396 * Shanghai Land Holdings, Ltd. 1,464,000 64,954 * Shanghai Ming Yuan Holdings, Ltd. 670,000 82,652 Shanghai Real Estates, Ltd. 2,234,000 244,313 Shaw Brothers Hong Kong, Ltd. 134,000 147,094 Shell Electric Manufacturing (Holdings) Co., Ltd. 746,340 157,140
13 Shenyin Wanguo (Hong Kong), Ltd. 847,500 92,483 Shenzhen International Holdings, Ltd. 7,092,500 272,721 Shougang Concord Century Holdings, Ltd. 1,676,000 171,798 * Shougang Concord Grand (Group), Ltd. 1,701,000 124,746 * Shougang Concord International Enterprises Co., Ltd. 4,166,000 271,959 * Shougang Concord Technology Holdings, Ltd. 2,639,809 227,333 Shui On Construction & Materials, Ltd. 468,000 525,318 * Shun Ho Resources Holdings, Ltd. 483,000 34,151 * Shun Ho Technology Holdings, Ltd. 1,037,452 73,388 Silver Grant International Industries, Ltd. 2,087,000 1,197,451 * Sincere Co., Ltd. 505,500 27,405 # Singamas Container Holdings, Ltd. 838,000 468,663 Sino Golf Holdings, Ltd. 438,000 69,364 * Sinocan Holdings, Ltd. 350,000 1,755 * Sino-I.com, Ltd. 19,383,158 388,420 Sinolink Worldwide Holdings, Ltd. 3,933,600 590,766 Sinopec Kantons Holdings, Ltd. 1,638,000 235,334 * Skynet (International Group) Holdings, Ltd. 244,240 314 SNP Leefung Holdings, Ltd. 144,000 19,210 * Softbank Investment International (Strategic), Ltd. 7,398,000 85,345 * Solartech International Holdings, Ltd. 49,600 2,225 South China Brokerage Co., Ltd. 4,872,000 39,969 South China Industries, Ltd. 1,124,000 57,819 Southeast Asia Properties & Finance, Ltd. 263,538 37,958 Starlight International Holdings, Ltd. 1,311,292 137,917 Starlite Holdings, Ltd. 694,000 64,208 Stelux Holdings International, Ltd. 1,307,702 99,220 * Styland Holdings, Ltd. 101,808 327 Sun Hing Vision Group Holdings, Ltd. 358,000 165,816 Sun Hung Kai & Co., Ltd. 2,048,600 510,318 * Sun Innovation Holdings, Ltd. 1,420,360 6,943 * Sun Media Group Holdings, Ltd. 9,814,000 30,076 * Sunday Communications, Ltd. 4,441,000 255,982 Sunway International Holdings, Ltd. 866,000 30,692 * Suwa International Holdings, Ltd. 1,062,000 28,602 SW Kingsway Capitol Holdings, Ltd. 1,186,000 51,892 Symphony Holdings, Ltd. 496,000 93,610 * Tack Fat Group International, Ltd. 896,000 94,392 * Tack Hsin Holdings, Ltd. 542,000 19,575 Tai Cheung Holdings, Ltd. 1,013,000 542,098 Tai Fook Securities Group, Ltd. 590,000 88,084 Tai Sang Land Development, Ltd. 471,984 148,313 Tak Shun Technology Group, Ltd. 2,088,000 91,170 Tak Sing Alliance Holdings, Ltd. 2,909,865 132,458 # Tan Chong International, Ltd. 960,000 193,665 TCC International Holdings, Ltd. 1,124,000 174,930 # * TCL International Holdings, Ltd. 1,702,000 474,934 * Technology Venture Holdings, Ltd. 586,000 13,101 * Termbray Industries International (Holdings), Ltd. 2,304,900 145,381 Tern Properties Co., Ltd. 61,200 17,315 * The Sun's Group, Ltd. 17,004,000 21,867 # * Tian An China Investments Co., Ltd. 1,238,275 341,848 Tian Teck Land, Ltd. 1,098,000 338,677 Tianjin Development Holdings, Ltd. 1,118,000 476,755
14 * Titan Petrochemicals Group, Ltd. 2,740,000 319,815 * Tomorrow International Holdings, Ltd. 165,000 15,250 * Tongda Group Holdings, Ltd. 1,020,000 27,341 Tonic Industries Holdings., Ltd. 920,000 35,421 Top Form International, Ltd. 1,586,000 307,858 * Topsearch International (Holdings), Ltd. 204,000 21,440 * Tristate Holdings, Ltd. 138,000 23,022 Truly International Holdings, Ltd. 302,000 314,271 Tungtex (Holdings) Co., Ltd. 788,000 301,321 * Tysan Holdings, Ltd. 1,040,773 28,069 * U-Cyber Technology Holdings, Ltd. 432,800 12,235 * United Power Investment, Ltd. 1,664,000 130,818 * Universal Holdings Ltd 2,770,000 17,378 * Universe International Holdings, Ltd. 573,339 5,392 U-Right International Holdings, Ltd. 2,040,000 104,595 USI Holdings, Ltd. 928,999 138,251 Van Shung Chong Holdings, Ltd. 359,335 55,347 * Vanda Systems & Communications Holdings, Ltd. 3,232,000 178,668 Varitronix International, Ltd. 534,293 501,296 Veeko International Holdings, Ltd. 1,420,000 63,845 Victory City International Holdings, Ltd. 839,768 350,096 * Vital Biotech Holdings, Ltd. 470,000 23,248 Vitasoy International Holdings, Ltd. 1,423,000 375,289 Wah Ha Realty Co., Ltd. 278,600 48,540 * Wah Nam International 38,696 791 Wai Kee Holdings, Ltd. 1,265,738 246,379 Wang On Group, Ltd. 47,897 8,483 * Wellnet Holdings, Ltd. 2,059,200 108,510 * Winfoong International, Ltd. 1,210,000 71,518 Wing On Co. International, Ltd. 565,000 675,735 Wing Shan International, Ltd. 896,000 46,577 * Winsan China Investment Group, Ltd. 1,296,000 46,056 Wong's International (Holdings), Ltd. 737,641 84,572 * Wonson International Holdings, Ltd. 4,040,000 13,587 World Houseware (Holdings), Ltd. 605,700 21,455 # * Xinao Gas Holdings, Ltd. 1,094,000 643,208 Y. T. Realty Group, Ltd. 965,000 86,839 Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 167,839 * Yanion International Holdings, Ltd. 118,000 8,352 * Yaohan International Holdings, Ltd. 974,000 0 Yau Lee Holdings, Ltd. 534,000 43,294 YGM Trading, Ltd. 228,000 379,929 Yip's Chemical Holdings, Ltd. 674,000 163,750 Yugang International, Ltd. 11,916,000 191,947 * Yunnan Enterprises Holdings, Ltd. 240,000 12,792 * Zhu Kuan Development Co., Ltd. 646,000 32,787 ------------------ TOTAL COMMON STOCKS (Cost $86,108,792) 71,941,389 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 83,337 ------------------ (Cost $83,186)
15 RIGHTS/WARRANTS -- (0.0%) * Champion Technology Holdings, Ltd. Warrants 265,877 1,881 * China City Natural Gas Holdings, Ltd. Rights 12/13/04 2,097,600 0 * China Credit Holdings Warrants 09/30/99 174,000 2,461 * China Travel International Investment, Ltd. Warrants 05/31/06 124,800 12,198 * QPL International Holdings, Ltd. Warrants 10/14/07 238,200 15,163 * Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 692 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 32,395 ------------------ TOTAL -- HONG KONG (Cost $86,191,978) 72,057,121 ------------------ SINGAPORE -- (16.8%) COMMON STOCKS -- (16.8%) * Acma, Ltd. 3,040,700 92,695 Airocean Group, Ltd. 1,649,000 221,364 * Alliance Technology & Development, Ltd. 156,000 10,008 Amtek Engineering, Ltd. 799,625 586,079 * Apollo Enterprises, Ltd. 193,000 54,833 Armstrong Industrial Corp. 1,460,000 115,620 * ASA Group Holdings, Ltd. 586,000 100,348 Ascott Group, Ltd. 1,807,250 462,983 Aussino Group, Ltd. 967,000 270,989 Benjamin (F.J.) Holdings, Ltd. 1,095,000 148,056 # Beyonics Technology, Ltd. 1,556,640 411,558 * Blu Inc. Group, Ltd.. 729,000 69,038 Bonvests Holdings, Ltd. 825,000 264,671 Brilliant Manufacturing, Ltd. 1,855,000 694,760 * Broadway Industrial Group, Ltd. 461,000 113,587 Bukit Sembawang Estates, Ltd. 71,334 570,510 * Central Properties, Ltd. 66,000 0 Ch Offshore, Ltd. 823,200 188,128 * Chemical Industries (Far East), Ltd. 105,910 39,435 * China Merchants Holdings Pacific, Ltd. 652,000 219,836 Chip Eng Seng Corp., Ltd. 1,775,000 129,873 Chosen Holdings, Ltd. 1,284,000 175,563 Chuan Hup Holdings, Ltd. 4,385,000 1,737,907 Chuan Soon Huat Industrial Group, Ltd. 614,000 112,147 CIH, Ltd. 498,460 900,979 * CK Tang, Ltd. 614,000 151,963 * Compact Metal Industries, Ltd. 643,000 11,640 Courts Singapore, Ltd. 495,000 160,381 * CSC Holdings, Ltd. 672,000 12,244 CSE Global, Ltd. 1,262,000 395,425 CWT Distribution, Ltd. 461,500 157,677 * Eagle Brand Holdings, Ltd. 5,158,000 220,682 # Eastern Asia Technology, Ltd. 1,844,260 309,513 Eastgate Technology, Ltd. 870,000 58,371 * Econ International, Ltd. 2,267,000 62,330 ECS Holdings, Ltd. 1,375,000 247,084 Eng Wah Organisation, Ltd. 265,000 46,495
16 * Firstlink Investments Corp., Ltd. 995,000 66,579 Freight Links Express Holdings, Ltd. 3,368,000 194,336 Frontline Technologies Corp., Ltd. 3,170,000 260,729 # Fu Yu Manufacturing, Ltd. 1,819,000 1,118,897 Fuji Offset Plates Manufacturing, Ltd. 33,750 5,825 GB Holdings, Ltd. 200,000 110,551 # Ges International, Ltd. 2,909,000 1,249,732 GK Goh Holdings, Ltd. 1,494,000 743,503 Goodpack, Ltd. 1,592,000 1,155,703 * Goodwood Park Hotel, Ltd. 24,307 794,986 GP Industries, Ltd. 1,516,000 917,793 Guocoland, Ltd. 1,215,000 861,170 Hiap Moh Corp., Ltd. 34,874 6,392 Ho Bee Investment, Ltd. 761,000 157,528 Hong Fok Corp., Ltd. 1,796,000 266,839 # Hong Leong Asia, Ltd. 1,048,000 1,016,053 * Horizon Education & Technologies, Ltd. 2,054,000 124,591 Hotel Grand Central, Ltd. 875,280 210,937 Hotel Plaza, Ltd. 1,189,000 558,937 # Hotel Properties, Ltd. 1,675,000 1,176,148 Hour Glass, Ltd. 298,000 117,250 HTL International Holdings, Ltd. 1,471,875 1,122,514 Huan Hsin Holdings, Ltd. 1,138,400 599,835 Hup Seng Huat, Ltd. 900,200 172,571 Hwa Hong Corp., Ltd. 2,488,000 822,093 IDT Holdings, Ltd. 718,000 1,169,448 * Inno-Pacific Holdings, Ltd. 680,000 10,271 Innovalues Precision, Ltd. 520,000 219,098 International Factors (Singapore), Ltd. 290,000 101,524 * Internet Technology Group, Ltd. 874,408 18,728 * Interra Resources, Ltd. 185,430 12,404 * Intraco, Ltd. 292,500 60,767 Isetan (Singapore), Ltd. 122,500 209,604 # Jaya Holdings, Ltd. 2,733,000 1,699,154 JK Yaming International, Ltd. 907,000 210,782 Jurong Cement, Ltd. 132,500 60,717 Jurong Engineering, Ltd. 137,000 181,994 Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,152,618 * K1 Ventures, Ltd. 5,340,500 796,798 Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,009,711 Khong Guan Flour Milling, Ltd. 19,000 18,922 Kian Ann Engineering, Ltd. 868,000 86,871 Kian Ho Bearings, Ltd. 521,000 50,726 Koh Brothers, Ltd. 1,494,000 105,337 * L & M Group Investments, Ltd. 7,107,100 43,423 Labroy Marine, Ltd. 3,343,000 1,059,238 * LanTroVision (S), Ltd. 1,117,500 37,375 Lee Kim Tah Holdings, Ltd. 1,600,000 278,050 * Leong Hin Holdings, Ltd. 526,000 84,966 * Liang Huat Aluminium, Ltd. 2,954,000 27,059 Lion Asiapac, Ltd. 473,000 50,351 Low Keng Huat Singapore, Ltd. 372,000 87,419 Lum Chang Holdings, Ltd. 1,134,030 148,428 Magnecomp International, Ltd. 931,000 415,740
17 * Manufacturing Integration Technology, Ltd. 588,000 44,661 MCL Land, Ltd. 1,427,000 1,261,180 * Mediaring.Com, Ltd. 3,410,000 290,520 Metro Holdings, Ltd. 2,256,960 639,497 MMI Holdings, Ltd. 1,994,000 388,956 Multi-Chem, Ltd. 1,263,000 204,555 Nera Telecommunications, Ltd. 1,450,000 384,160 New Toyo Intenational Holdings, Ltd. 1,043,000 375,021 Norelco Centreline Holdings, Ltd. 941,000 357,830 * Orchard Parade Holdings, Ltd. 1,084,022 244,272 # Osim International, Ltd. 1,638,000 819,228 Ossia International, Ltd. 728,332 77,747 Pan-United Corp., Ltd. 2,193,000 456,915 * Pan-United Marine, Ltd. 1,096,500 157,437 PCI, Ltd. 734,000 270,569 Pertama Holdings, Ltd. 459,750 81,445 Popular Holdings, Ltd. 1,813,000 476,143 PSC Corp., Ltd. 5,723,200 262,351 Qian Hu Corp., Ltd. 408,200 83,369 Robinson & Co., Ltd. 284,832 1,076,303 Rotary Engineering, Ltd. 1,624,000 361,135 San Teh, Ltd. 838,406 202,283 SBS Transit, Ltd. 1,011,000 1,066,086 Sea View Hotel, Ltd. 66,000 168,131 * Seatown Corp., Ltd. 101,000 1,851 Sembawang Kimtrans, Ltd. 1,295,000 134,101 Sin Soon Huat, Ltd. 1,307,000 63,498 Sing Investments & Finance, Ltd. 94,500 101,530 # Singapore Food Industries, Ltd. 1,707,000 906,868 Singapore Reinsurance Corp., Ltd 1,540,935 249,003 Singapore Shipping Corp., Ltd. 1,930,000 388,184 Singapura Finance, Ltd. 139,250 117,420 SMB United, Ltd. 2,010,000 177,452 SNP Corp., Ltd. 466,495 221,686 * SP Corp., Ltd. 454,000 13,862 Ssangyong Cement (Singapore), Ltd. 236,000 139,769 Stamford Land Corp., Ltd. 3,229,000 443,437 Straits Trading Co., Ltd. 1,117,200 1,501,418 * Sunright, Ltd. 378,000 69,288 Superbowl Holdings, Ltd. 490,000 70,461 Superior Metal Printing, Ltd. 490,500 56,870 Thakral Corp., Ltd. 6,028,000 404,161 Tiong Woon Corp. Holding, Ltd. 906,000 179,398 * Transmarco, Ltd. 106,500 51,091 Trek 2000 International, Ltd. 1,004,000 238,274 TSM Resources, Ltd. 1,502,000 310,960 # TT International, Ltd. 2,109,600 256,757 * Tuan Sing Holdings, Ltd. 3,362,000 174,771 * Ultro Technologies, Ltd. 530,000 32,057 Unisteel Technology, Ltd. 974,000 807,579 United Engineers, Ltd. 846,666 821,301 United Overseas Insurance, Ltd. 125,500 275,726 United Pulp & Paper Co., Ltd. 354,000 90,996 UOB-Kay Hian Holdings, Ltd. 1,602,000 958,055
18 Vicom, Ltd. 120,000 69,579 WBL Corp., Ltd. 647,000 1,302,552 * Xpress Holdings, Ltd. 1,392,000 59,554 * Yongnam Holdings, Ltd. 1,506,000 22,932 ------------------ TOTAL COMMON STOCKS (Cost $56,843,330) 53,226,022 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 66,513 ------------------ (Cost $66,214) RIGHTS/WARRANTS -- (0.0%) * Yongnam Holdings, Ltd. Warrants 08/26/09 251,000 1,534 ------------------ (Cost $0) TOTAL -- SINGAPORE (Cost $56,909,544) 53,294,069 ------------------ UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Exergy, Inc. 7,260 0 ------------------ (Cost $ 0) NEW ZEALAND -- (6.7%) COMMON STOCKS -- (6.7%) AFFCO Holdings, Ltd. 1,806,887 515,467 Cavalier Corp., Ltd. 283,674 935,486 CDL Hotels New Zealand, Ltd. 1,387,344 574,820 CDL Investments New Zealand, Ltd. 306,025 80,847 Colonial Motor Co., Ltd. 126,795 268,308 * Cue Energy Resources NL 452,354 138,064 Ebos Group, Ltd. 112,108 336,142 * Evergreen Forests, Ltd. 323,301 75,973 Hallenstein Glassons Holdings, Ltd. 241,638 679,838 Hellaby Holdings, Ltd. 201,679 911,442 Horizon Energy Distribution, Ltd. 40,420 127,813 Met Lifecare, Ltd. 270,895 522,839 Michael Hill International, Ltd. 156,746 919,173 * New Zealand Oil & Gas, Ltd. 584,872 459,254 New Zealand Refining Co., Ltd. 84,779 1,782,262 Northland Port Corp. (New Zealand), Ltd. 219,997 481,353 Nuplex Industries, Ltd. 271,267 1,056,695 * Pacific Retail Group, Ltd. 194,156 304,513 Port of Tauranga, Ltd. 541,952 2,185,411 * Provenco Group, Ltd. 281,600 160,888 Pyne Gould Guinness, Ltd. 229,634 308,527 Restaurant Brand New Zealand, Ltd. 369,175 360,331 * Richina Pacific, Ltd. 309,644 143,544 * Rubicon, Ltd. 995,760 754,457
19 Ryman Healthcare Group, Ltd. 415,999 969,769 Sanford, Ltd. 418,047 1,422,689 Scott Technology, Ltd. 60,843 142,259 * Seafresh Fisheries 80,520 1,615 South Port New Zealand, Ltd. 30,744 27,706 Steel & Tube Holdings, Ltd. 379,638 1,260,100 * Tasman Farms 157,056 0 Taylors Group, Ltd. 29,646 47,961 Tourism Holdings, Ltd. 402,452 589,532 * Trans Tasman Properties, Ltd. 2,311,308 661,565 Waste Management NZ, Ltd. 430,471 1,706,521 Williams & Kettle, Ltd. 57,558 137,370 Wrightson, Ltd. 222,276 272,721 ------------------ TOTAL COMMON STOCKS (Cost $11,977,485) 21,323,255 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 14,954 ------------------ (Cost $14,838) TOTAL -- NEW ZEALAND (Cost $11,992,323) 21,338,209 ------------------ MALAYSIA -- (0.1%) COMMON STOCKS -- (0.1%) * Autoways Holdings Berhad 10,000 3,395 * Jaks Resources Berhad 11,975 5,357 * Promet Berhad 1,143,000 87,229 * Rekapacific Berhad 473,000 0 * RNC Corp. Berhad 1,650 3,560 * Saship Holdings Berhad 223,520 52,351 ------------------ TOTAL -- MALAYSIA (Cost $1,212,987) 151,892 ------------------
FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (12.1%) Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04 (Collateralized by $37,206,292 U.S. Treasury Note 1.625%, 03/31/05, valued at $37,129,275) to be repurchased at $37,131,286 (Cost $37,129,275) ^ 37,129 37,129,275 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $1,372,000 FNMA Notes 2.95%, 11/14/07, valued at $1,373,925) to be repurchased at $1,355,071 (Cost $1,355,000) 1,355 1,355,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $38,484,275) 38,484,275 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $293,509,251) $ 316,726,350 ------------------
20 - ---------- + Securities have been fair valued. See Note B to Financial Statements. # Total or Partial Securities on Loan. * Non-Income Producing Securities. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 21 THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------------ ------------------ UNITED KINGDOM -- (98.2%) COMMON STOCKS -- (97.3%) 4Imprint P.L.C. 50,375 $ 138,106 600 Group P.L.C. 100,910 130,855 Abacus Group P.L.C. 77,082 353,138 Abbeycrest P.L.C. 42,590 52,689 Abbot Group P.L.C. 295,728 1,214,140 Aberdeen Asset Management P.L.C. 420,124 819,199 Acal P.L.C. 37,689 283,773 * Acambis P.L.C. 159,373 782,749 AEA Technology P.L.C. 95,244 321,344 AGA Food Service Group P.L.C. 199,923 977,815 Aggreko P.L.C. 439,570 1,289,549 Air Partner P.L.C. 15,611 136,297 * Airflow Streamlines P.L.C. 20,500 22,924 Airsprung Furniture Group P.L.C. 58,000 53,770 Alba P.L.C. 105,025 1,359,958 Alexandra P.L.C. 86,243 164,323 Alexon Group P.L.C. 116,632 719,418 * Alizyme P.L.C. 257,044 635,568 Alpha Airports Group P.L.C. 392,541 698,813 Alphameric P.L.C. 172,688 242,416 * Alterian P.L.C. 57,131 102,075 Alumasc Group P.L.C. 100,245 310,984 * Amberley Group P.L.C. 200,000 43,289 Amec P.L.C. 49,000 277,290 Amstrad P.L.C. 149,652 494,096 * Anglesey Mining P.L.C. 55,000 4,205 Anglo Eastern Plantations P.L.C. 87,249 278,551 Anglo Pacific Group P.L.C. 143,361 268,823 * Anite Group P.L.C. 638,587 650,431 * Antisoma P.L.C. 389,246 122,839 * API Group P.L.C. 57,134 107,287 * Applied Optical Technologies P.L.C. 75,383 33,797 * ARC International P.L.C. 228,396 141,755 * Arena Leisure P.L.C. 1,136,685 804,074 * Argonaut Games, Ltd. 100,000 5,973 Arla Foods UK P.L.C. 1,658,226 1,709,118 Arm Holdings P.L.C. 127,000 249,102 Arriva P.L.C. 129,697 1,214,708 * Ashtead Group P.L.C. 542,850 832,883 Ashtenne Holdings P.L.C. 51,168 376,604 * Aston Villa P.L.C. 8,000 50,682 Atkins (WS) P.L.C. 160,065 2,156,570 Atrium Underwriting P.L.C. 88,040 325,541 Austin Reed Group P.L.C. 68,999 170,128 Autologic Holdings P.L.C. 72,986 412,105 * Autonomy Corp. P.L.C. 188,658 546,229 Avesco P.L.C. 29,998 54,356 Aveva Group P.L.C. 31,324 381,926 Avis Europe P.L.C. 1,767,228 2,178,902 Avon Rubber P.L.C. 40,705 159,241 * AWG P.L.C. 16,000 230,043 * Axis-Shield P.L.C. 68,430 290,991 Axon Group P.L.C. 88,403 243,486 Babcock International Group P.L.C. 383,561 933,647 Baggeridge Brick P.L.C. 98,000 270,334 * Bailey (C.H.) P.L.C. 109,500 41,862 * Bailey (C.H.) P.L.C. Class B 10,000 $ 20,071 * Baltimore Technologies P.L.C. 60,656 12,192 Barr (A.G.) P.L.C. 43,000 608,183 Beale P.L.C. 22,161 29,013 Beattie (James) P.L.C. 132,247 325,893 * Bede P.L.C. 105,978 79,496 Belhaven Brewery Group P.L.C. 42,948 358,945 Bellway P.L.C. 127,364 1,733,467 Ben Bailey P.L.C. 26,000 186,863 Bespak P.L.C. 55,918 505,445 * Biocompatibles International P.L.C. 54,080 250,459 * Bioquell P.L.C. 50,194 123,878 Biotrace International P.L.C. 75,000 118,206 Birse Group P.L.C. 421,901 118,886 Black Arrow Group P.L.C. 56,500 65,340 Blacks Leisure Group P.L.C. 60,959 564,069 Bloomsbury Publishing P.L.C. 101,005 526,846 * BNB Resources P.L.C. 89,395 23,081 Body Shop International P.L.C. 583,233 1,945,493 Bodycote International P.L.C. 481,180 1,461,431 Boot (Henry) P.L.C. 71,794 602,306 Bovis Homes Group P.L.C. 218,408 2,104,941 BPP Holdings P.L.C. 106,500 676,599 * Bradstock Group P.L.C. 5,200 4,373 * Braemar Seascope Group P.L.C. 29,642 227,951 Brammer P.L.C. 119,123 376,785 Brandon Hire P.L.C. 51,098 145,120 Brewin Dolphin Holdings P.L.C. 361,518 657,882 Bristol Water Group P.L.C. 35,257 347,387 Britannic P.L.C. 261,455 2,074,864 British Polythene Industries P.L.C. 56,740 348,179 British Vita P.L.C. 370,957 1,899,449 Brixton P.L.C. 296,900 1,832,218 Broadcastle P.L.C. 74,468 106,700 * Brown & Jackson P.L.C. 748,566 873,398 Brown (N) Group P.L.C. 562,850 1,439,968 BSS Group P.L.C. 47,905 753,625 * BTG P.L.C. 255,913 461,860 Burtonwood Brewery P.L.C. 38,000 342,496 Business Post Group P.L.C. 157,099 1,772,371 BWD Securities P.L.C. 40,834 384,288 Caffyns P.L.C. 6,000 78,465 * Cambridge Antibody Technology Group P.L.C. 71,681 819,889 Capital & Regional P.L.C. 105,849 1,274,820 Capital Radio P.L.C. 117,032 905,576 Carclo P.L.C. 100,463 89,078 Care UK P.L.C. 90,334 640,443 Carillion P.L.C. 349,691 1,506,829 * Carlisle Holdings, Ltd. 8,709 58,164 Carpetright P.L.C. 125,839 2,621,990 Carr's Milling Industries P.L.C. 19,000 169,694 Castings P.L.C. 79,000 258,887 * Celtic P.L.C. 40,759 40,070 * Cenes Pharmaceuticals P.L.C. 298,612 41,460 Chamberlin & Hill P.L.C. 18,000 71,181 Chapelthorpe P.L.C. 646,612 250,895 Character Group P.L.C. 97,314 151,805
92
SHARES VALUE+ ------------------ ------------------ Charles Taylor Consulting P.L.C. 67,918 $ 306,829 * Charter P.L.C. 262,215 1,032,711 * Che Group P.L.C. 51,533 42,357 Chemring Group P.L.C. 51,708 432,962 Chesnara P.L.C. 92,900 176,246 * Chime Communications P.L.C. 354,020 191,244 Chloride Group P.L.C. 485,500 473,658 Christie Group P.L.C. 53,263 96,791 Chrysalis Group P.L.C. 328,544 1,105,344 Churchill China P.L.C. 30,000 142,056 City North Group P.L.C. 33,044 140,100 City Restaurant Group P.L.C. 307,772 640,215 Clarkson (Horace) P.L.C. 44,733 666,848 * Clinical Computing P.L.C. 46,666 26,945 Clinton Cards P.L.C. 433,380 779,242 * CLS Holdings P.L.C. 166,734 1,233,210 CML Microsystems P.L.C. 28,361 198,833 Colefax Group P.L.C. 60,000 112,396 Collins Stewart Tullett P.L.C. 137,946 991,481 * Colt Telecom Group P.L.C. 2,574,360 2,179,450 Comino Group P.L.C. 23,596 92,987 Communisis P.L.C. 237,134 506,033 Compel Group P.L.C. 48,999 86,561 Computacenter P.L.C. 452,614 2,344,536 * Cookson Group P.L.C. 2,842,939 1,833,181 Coral Products P.L.C. 50,000 36,940 Corin Group P.L.C. 58,244 379,616 * Corporate Services Group P.L.C. 1,704,859 220,963 Cosalt P.L.C. 30,700 197,716 * Costain Group P.L.C. 1,176,378 950,197 * Country & Metropolitan P.L.C. 40,047 143,662 Countryside Property P.L.C. 124,717 679,624 Countrywide P.L.C. 185,800 1,059,253 Courts P.L.C. 110,722 28,712 Cox Insurance Holdings P.L.C. 609,714 999,115 Cranswick P.L.C. 60,394 537,862 Crest Nicholson P.L.C. 267,250 1,728,916 Creston P.L.C. 28,278 80,413 Croda International P.L.C. 235,353 1,442,138 Cropper (James) P.L.C. 22,000 67,333 * Culver Holdings P.L.C. 338 65 Daejan Holdings P.L.C. 25,000 1,302,730 Dairy Crest Group P.L.C. 206,634 1,645,883 * Dana Petroleum P.L.C. 126,354 986,759 * Danka Business Systems P.L.C. 367,079 280,673 Dart Group P.L.C. 74,000 470,116 * Datamonitor P.L.C. 98,643 221,570 Davis Service Group P.L.C. 227,016 1,710,600 Dawson Holdings P.L.C. 122,588 392,161 * Dawson International P.L.C. 100,688 18,274 De La Rue P.L.C. 302,052 1,942,489 Dechra Pharmaceiticals P.L.C. 76,357 264,090 Dee Valley Group P.L.C. 4,214 59,941 Delta P.L.C. 289,145 533,929 Deltron Electronics P.L.C. 73,691 121,895 * Densitron International P.L.C. 74,175 21,627 Derwent Valley Holdings P.L.C. 96,752 1,817,582 Detica Group P.L.C. 32,953 443,893 Development Securities P.L.C. 57,390 437,734 DeVere Group P.L.C. 132,501 1,109,968 Devro P.L.C. 229,507 520,648 Dewhurst P.L.C. 9,000 $ 22,020 Dewhurst P.L.C. Class A Non-Voting 15,500 33,332 Dicom Group P.L.C. 38,035 583,273 * Dimension Data Holdings P.L.C. 939,000 600,575 Diploma P.L.C. 40,758 463,140 Domestic & General Group P.L.C. 66,440 777,583 Domino Printing Sciences P.L.C. 355,935 1,667,360 Domnick Hunter Group P.L.C. 51,942 389,316 * Dowding & Mills P.L.C. 336,440 69,063 DRS Data Research Services P.L.C. 26,825 17,811 DTZ Holdings P.L.C. 114,500 418,857 * Duelguide Units P.L.C. 3,971 40,822 * Durlacher Corp. P.L.C. 15,272 18,310 Dyson Group P.L.C. 44,875 295,835 East Surrey Holdings P.L.C. 234,414 1,677,200 * Easyjet P.L.C. 1,068,671 3,799,438 * Easynet Group P.L.C. 179,628 250,460 * Easyscreen P.L.C. 72,275 25,226 * Ebookers P.L.C. 109,492 649,572 * Edinburgh Oil & Gas P.L.C. 68,779 242,615 * Eidos P.L.C. 200,222 306,085 Eleco P.L.C. 104,685 56,650 Electronic Data Processing P.L.C. 55,200 75,914 * Elementis P.L.C. 721,332 445,594 * Emerald Energy P.L.C. 72,830 184,999 * Emess P.L.C. 350,042 56,037 Ennstone P.L.C. 522,823 354,736 * Enodis P.L.C. 631,211 1,212,742 * Entertainment Rights P.L.C. 633,958 179,379 * Erinaceous Group P.L.C. 54,863 175,611 * Eurodis Electron P.L.C. 1,230,802 44,010 Euromoney Institutional Investors P.L.C. 205,774 1,646,143 * European Colour P.L.C. 82,090 28,637 European Motor Holdings P.L.C. 118,325 455,655 Expro International Group P.L.C. 117,277 818,589 Fenner P.L.C. 193,713 481,555 * Ferguson International Holdings P.L.C. 89,105 40,878 Ferraris Group P.L.C. 63,540 134,979 * Fibernet Group P.L.C. 86,796 130,145 * FII Group P.L.C. 41,166 5,311 Filtronic P.L.C. 117,386 439,103 * Financial Objects P.L.C. 7,000 7,622 Findel P.L.C. 142,288 1,176,618 First Choice Holidays P.L.C. 862,478 2,273,502 First Technology P.L.C. 128,111 870,531 Fisher (James) & Sons P.L.C. 89,846 487,131 FKI P.L.C. 773,617 1,960,963 Forminster P.L.C. 43,333 14,918 Forth Ports P.L.C. 142,983 3,550,158 Fortress Holdings P.L.C. 120,728 66,347 * Fortune Oil P.L.C. 3,248,130 481,247 Freeport P.L.C. 53,348 399,963 French Connection Group P.L.C. 284,510 1,401,332 Fuller, Smith & Turner P.L.C. Series A 20,000 273,106 Fulmar P.L.C. 107,500 169,255 Future Network P.L.C. 456,752 554,120 Galliford Try P.L.C. 517,870 519,638 Game Group P.L.C. 534,000 695,627 Games Workshop Group P.L.C. 43,442 683,081
93
SHARES VALUE+ ------------------ ------------------ * Garton Engineering P.L.C. 10,248 $ 0 * Gaskell P.L.C. 36,000 6,523 GB Group P.L.C. 250,000 106,125 Geest P.L.C. 142,649 1,594,049 * Genetix Group P.L.C. 92,497 83,210 Get Group P.L.C. 20,485 100,829 Gibbs & Dandy P.L.C. 13,681 86,364 Gleeson (M.J.) Group P.L.C. 112,355 435,216 * Global Natural Energy P.L.C. 11,004 39,936 * Glotel P.L.C. 49,741 106,962 Go-Ahead Group P.L.C. 93,733 2,467,617 Goldshield Group P.L.C. 49,104 203,047 Gowrings P.L.C. 5,000 9,702 Grainger Trust, Ltd. 48,556 1,605,432 Great Portland Estates P.L.C. 307,973 1,885,208 Greene King P.L.C. 92,950 2,119,838 * Greenwich Resources P.L.C. 438,664 24,107 Greggs P.L.C. 26,000 1,813,289 * Gresham Computing P.L.C. 75,530 494,979 Group 4 Securicor P.L.C. 290,000 701,233 Guiness Peat Group P.L.C. 1,137,590 1,720,268 GWR Group P.L.C. 225,354 972,066 * Gyrus Group P.L.C. 153,080 648,490 Halma P.L.C. 642,966 1,917,779 Halstead (James) Group P.L.C. 52,208 618,369 * Hampson Industries P.L.C. 250,757 104,357 * Hampton Trust P.L.C. 232,050 6,099 Hardy Underwriting Group P.L.C. 46,683 212,008 Hardys & Hansons P.L.C. 48,000 507,711 * Harvey Nash Group P.L.C. 183,750 280,425 Havelock Europa P.L.C. 40,813 102,225 * Hawtin P.L.C. 196,500 46,088 Haynes Publishing Group P.L.C. 14,703 98,413 Headlam Group P.L.C. 152,974 1,155,721 Heath (Samuel) & Sons P.L.C. 7,500 68,814 Helical Bar P.L.C. 46,000 936,968 Helphire Group P.L.C. 173,986 721,590 * Heywood Williams Group P.L.C. 140,400 236,528 Highbury House Communications P.L.C. 439,166 75,515 Highway Insurance Holdings P.L.C. 467,933 288,406 Hill & Smith Holdings P.L.C. 108,912 249,744 Hiscox P.L.C. 419,927 1,275,894 Hit Entertainment P.L.C. 273,440 1,358,459 Hitachi Capital (UK) P.L.C. 124,239 566,435 Holidaybreak P.L.C. 92,974 990,471 Homeserve P.L.C. 101,138 1,301,792 * Homestyle Group P.L.C. 94,472 231,838 Hornby P.L.C. 50,000 252,017 House of Fraser P.L.C. 427,439 862,749 Hunting P.L.C. 223,174 774,564 Huntleigh Technology P.L.C. 90,597 722,724 Huntsworth P.L.C. 480,401 187,882 Hyder Consulting P.L.C. 16,308 49,097 * Hydro International P.L.C. 17,669 33,677 * IAF Group P.L.C. 30,000 9,749 ICM Computer Group P.L.C. 37,114 251,703 IFX Group P.L.C. 34,486 64,594 * Imagination Technologies Group P.L.C. 266,048 343,287 * IMS Group P.L.C. 75,000 6,451 Incepta Group P.L.C. 280,643 $ 364,712 Inchcape P.L.C. 19,200 600,018 Incisive Media P.L.C. 137,054 347,359 Independent Media Distribution P.L.C. 21,621 28,719 * Industrial & Commercial Holdings P.L.C. 5,000 143 Infast Group P.L.C. 301,224 108,006 * Intec Telecom Systems P.L.C. 654,113 842,657 Intelek P.L.C. 99,880 16,654 Intertek Group P.L.C. 70,100 944,505 Intserve P.L.C. 179,459 1,079,584 * Invensys P.L.C. 5,864,457 1,956,999 Inveresk P.L.C. 150,000 27,318 * IQE P.L.C. 107,400 20,993 ISIS Asset Management P.L.C. 268,751 1,219,903 Isoft Group P.L.C. 210,764 1,552,064 Isotron P.L.C. 50,325 459,195 Ite Group P.L.C. 518,511 814,990 Itnet P.L.C. 115,160 596,105 * Itouch International P.L.C. 615,741 397,312 * Jarvis Porter Group P.L.C. 99,894 19,095 JJB Sports P.L.C. 448,783 1,741,970 JKX Oil and Gas P.L.C. 264,746 615,117 John David Group P.L.C. 114,500 431,925 Johnson Service Group P.L.C. 125,535 950,615 * Kalamazoo Computer Group P.L.C. 56,120 1,877 KBC Advanced Technologies P.L.C. 68,734 48,500 Keller Group P.L.C. 123,128 571,421 Kensington Group P.L.C. 98,187 786,076 * Kewill Systems P.L.C. 128,018 158,804 Kidde P.L.C. 232,000 672,558 Kier Group P.L.C. 63,370 847,229 Kiln P.L.C. 383,129 589,623 * Kingston Communications P.L.C. 850,036 1,001,415 Kleeneze P.L.C. 109,256 271,087 * Knowledge Support Systems Group P.L.C. 25,000 382 La Fitness P.L.C. 53,738 210,933 Laing (John) P.L.C. 353,630 1,602,032 Laird Group P.L.C. 291,676 2,037,150 Lambert Howarth Group P.L.C. 43,203 234,725 * Lastminute.com P.L.C. 504,477 990,057 Latchways P.L.C. 15,838 124,842 * Laura Ashley Holdings P.L.C. 2,505,661 658,049 Lavendon Group P.L.C. 61,795 173,246 Lincat Group P.L.C. 19,000 144,081 Linton Park P.L.C. 39,000 275,647 Linx Printing Technologies P.L.C. 27,000 280,553 Litho Supplies P.L.C. 20,000 18,559 * London Clubs International P.L.C. 332,581 873,851 London Industrial P.L.C. 30,631 1,188,765 London Merchant Securities P.L.C. 597,381 2,287,338 London Scottish Bank P.L.C. 263,000 646,741 Lookers P.L.C. 63,057 364,052 * Lorien P.L.C. 60,000 61,359 Low & Bonar P.L.C. 166,108 378,837 Luminar P.L.C. 135,289 1,294,900 Lupus Capital P.L.C. 354,881 111,738 * M.L. Laboratories P.L.C. 377,657 129,730 Macfarlane Group P.L.C. 228,287 135,438
94
SHARES VALUE+ ------------------ ------------------ Macro 4 P.L.C. 42,500 $ 150,591 Maiden Group P.L.C. 16,800 72,944 Mallett P.L.C. 24,837 135,964 Management Consulting Group P.L.C. 331,679 277,946 Manchester United P.L.C. 609,642 3,210,240 Manganese Bronze Holdings P.L.C. 32,184 117,339 Marchpole Holdings P.L.C. 189,130 99,168 Marlborough Stirling P.L.C. 408,654 324,522 Marshalls P.L.C. 221,135 1,213,146 * Marylebone Warwick Balfour Group P.L.C. 239,501 305,051 Matalan P.L.C. 84,701 348,722 * Mayflower Corp. P.L.C. 550,636 71,046 McAlpine (Alfred) P.L.C. 198,580 1,096,293 McBride P.L.C. 314,973 912,373 McCarthy & Stone P.L.C. 194,968 2,048,964 McKay Securities P.L.C. 97,232 473,623 * Medical Solutions P.L.C. 126,658 16,342 * Medisys P.L.C. 586,814 82,701 Meggitt P.L.C. 514,738 2,513,664 * Melrose Resouces P.L.C. 109,660 568,138 Menzies (John) P.L.C. 103,775 906,595 Merchant Retail Group P.L.C. 185,666 554,298 Merrydown P.L.C. 59,927 144,885 Mersey Docks & Harbour Co. P.L.C. 117,087 1,998,898 Metal Bulletin P.L.C. 95,500 412,159 Metalrax Group P.L.C. 358,740 531,873 MFI Furniture Group P.L.C. 60,855 134,827 Mice Group P.L.C. 139,909 136,132 Michael Page International P.L.C. 608,273 1,960,127 * Microgen P.L.C. 165,574 173,910 Millennium and Copthorne Hotels P.L.C. 80,633 556,444 Minerva P.L.C. 266,135 1,475,228 Mitie Group P.L.C. 589,515 1,664,945 Molins P.L.C. 68,000 198,426 * Monsoon P.L.C. 71,000 303,582 * Morgan Crucible Company P.L.C. 435,211 1,378,320 Morgan Sindall P.L.C. 78,265 700,713 Morse P.L.C. 277,169 528,750 Moss Brothers Group P.L.C. 163,400 330,099 Mothercare P.L.C. 100,783 560,145 Mouchel Parkman P.L.C. 152,923 696,941 Mowlem (John) & Co. P.L.C. 341,969 1,222,580 MS International P.L.C. 71,500 102,516 MSB International P.L.C. 16,000 25,105 Mtl Instruments Group P.L.C. 24,678 120,568 Mucklow (A & J) Group P.L.C. 175,000 1,132,721 * Music Choice Europe P.L.C. 33,796 11,133 * My Travel Group P.L.C. 628,934 62,308 National Express Group P.L.C. 25,000 360,225 * Ncipher P.L.C. 42,512 177,561 Nestor Healthcare Group P.L.C. 180,200 465,261 * Netstore P.L.C. 143,737 90,764 * New Avesco P.L.C. 29,998 42,434 Newcastle United P.L.C. 198,896 144,472 * Next Fifteen Communtications P.L.C. 25,000 27,458 NHP P.L.C. 311,286 1,529,367 Nichols P.L.C. 66,550 217,223 Nord Anglia Education P.L.C. 63,924 $ 287,005 Northamber P.L.C. 75,888 136,356 Northern Foods P.L.C. 527,042 1,694,889 Northern Recruitment Group P.L.C. 22,158 76,228 * Northgate Information Solutions P.L.C. 933,445 1,215,860 Northgate P.L.C. 118,200 1,766,043 Novar P.L.C. 646,454 2,005,610 * NSB Retail P.L.C. 636,455 343,990 * NXT P.L.C. 125,976 120,232 Ocean Wilsons Holdings, Ltd. 84,250 394,832 * Orbis P.L.C. 11,428 1,090 * Osmetech P.L.C. 669,354 39,321 Ottakar's P.L.C. 34,693 221,410 Owen (H.R.) P.L.C. 46,993 181,932 * Oxford Biomedica, Ltd. 523,967 167,730 Oxford Instruments P.L.C. 63,163 233,940 * Pace Micro Technology P.L.C. 428,871 450,882 Paladin Resources P.L.C. 626,476 2,131,292 Paragon Group of Companies P.L.C. 153,200 1,031,055 Parity Group P.L.C. 381,072 72,823 Park Group P.L.C. 291,600 167,419 Partridge Fine Arts P.L.C. 58,000 64,303 Pendragon P.L.C. 239,375 1,215,664 Penna Consulting P.L.C. 33,000 83,912 * Pharmagene P.L.C. 160,000 123,983 Photo-Me International P.L.C. 850,594 1,503,385 PHS Group P.L.C. 729,053 969,168 * Phytopharm P.L.C. 56,696 206,268 * Pillar Property P.L.C. 171,938 2,316,807 Pittards P.L.C. 60,985 28,594 * Planestation Group P.L.C. 76,551 63,637 Planit Holdings P.L.C. 235,000 114,616 * Plantation & General P.L.C. 70,623 24,974 * Plasmon P.L.C. 100,000 357,323 Portmeirion Group P.L.C. 22,856 79,733 Porvair P.L.C. 62,000 122,969 Premier Farnell P.L.C. 18,000 70,300 * Premier Oil P.L.C. 141,425 1,513,039 * Pressac P.L.C. 78,129 7,611 Primary Health Properties P.L.C. 23,784 123,497 * Primback Units 135,600 0 * Probus Estates P.L.C. 83,333 1,314 * Protherics P.L.C. 557,510 575,553 * Provalis P.L.C. 586,513 95,700 PSD Group P.L.C. 43,500 216,005 Psion P.L.C. 683,616 717,293 PZ Cuzzons P.L.C. 40,541 988,791 * QA P.L.C. 158,950 8,746 * Quantica P.L.C. 76,321 76,676 Quintain Estates & Development P.L.C. 158,650 1,434,515 * QXL Ricardo P.L.C. 130 1,677 RAC P.L.C. 142,900 1,665,865 Radamec Group P.L.C. 35,000 18,448 Radstone Technology P.L.C. 40,384 233,415 Ransom (William) & Son P.L.C. 30,000 29,535 Redrow P.L.C. 238,311 1,549,066 * Redstone P.L.C. 257,485 38,867 Reed Health Group P.L.C. 155,333 185,146 Reg Vardy P.L.C. 112,005 958,341 Regent Inns P.L.C. 162,667 156,893
95
SHARES VALUE+ ------------------ ------------------ * Regus Group P.L.C. 1,049,446 $ 1,748,769 Reliance Security Group P.L.C. 66,349 590,351 Renishaw P.L.C. 188,734 2,184,251 Renold P.L.C. 144,000 203,833 * Retail Decisions P.L.C. 381,092 179,661 Ricardo P.L.C. 114,409 479,619 Richmond Foods P.L.C. 40,237 436,011 * Richmond Oil & Gas P.L.C. 220,000 0 RM P.L.C. 153,319 460,648 * RMS Communications P.L.C. 15,000 0 Robert Walters P.L.C. 124,017 245,035 Robert Wiseman Dairies P.L.C. 199,037 894,942 ROK property solutions P.L.C. 58,166 457,732 Rotork P.L.C. 185,440 1,546,991 Roxboro Group P.L.C. 55,682 394,942 * Royal Doulton P.L.C. 585,904 123,213 Royalblue Group P.L.C. 47,200 406,254 RPC Group P.L.C. 123,353 497,344 RPS Group P.L.C. 309,949 889,361 Rugby Estates P.L.C. 15,328 82,732 Rutland Trust P.L.C. 174,255 123,243 S & U P.L.C. 21,140 221,634 * Safeland P.L.C. 25,000 27,261 Salvesen (Christian) P.L.C. 396,216 452,630 Sanctuary Group P.L.C. 489,749 432,855 Savills P.L.C. 104,000 829,405 Scapa Group P.L.C. 163,581 87,820 * Scipher P.L.C. 34,563 743 Scottish Radio Holdings P.L.C. 75,876 1,338,976 SCS Upholstery P.L.C. 47,547 327,964 * SDL P.L.C. 95,883 220,868 * Seashell Group P.L.C. 1,441 3,305 Secure Trust Group P.L.C. 27,118 159,214 Senior P.L.C. 433,410 315,081 Serco Group P.L.C. 235,235 1,003,336 * Servicepower Technologies P.L.C. 150,000 93,222 Severfield-Rowan P.L.C. 26,211 238,244 * SFI Group P.L.C. 26,713 15,829 Shaftesbury P.L.C. 189,732 1,102,476 Shanks & McEwan Group P.L.C. 330,006 832,723 Shiloh P.L.C. 14,500 35,058 SHL Group P.L.C. 73,174 153,852 * ShopRite Group P.L.C. 204,780 47,951 Shore Capital Group P.L.C. 344,465 237,462 SIG P.L.C. 231,332 2,312,092 * Simon Group P.L.C. 348,089 286,669 Sinclair (William) Holdings P.L.C. 53,000 56,660 Singer & Friedlander Group P.L.C. 248,303 1,331,083 Sirdar P.L.C. 41,600 25,741 * Skyepharma P.L.C. 1,025,478 1,312,647 Smart (J.) & Co. (Contractors) P.L.C. 22,500 251,601 * Smart Approach Group P.L.C. 12,599 3,856 SMG P.L.C. 574,831 1,169,453 Smith (David S.) Holdings P.L.C. 768,516 2,187,879 Smith (James) Estates P.L.C. 17,524 136,501 Smith (WH) P.L.C. 216,982 1,236,388 * Soco International P.L.C. 132,328 752,445 Somerfield P.L.C. 722,361 2,107,753 Sondex P.L.C. 89,293 348,360 South Staffordshire Group P.L.C. 21,600 461,397 Southampton Leisure Holdings P.L.C. 19,615 14,042 Spectris P.L.C. 242,231 $ 1,874,163 Speedy Hire P.L.C. 80,739 744,263 Spirax-Sarco Engineering P.L.C. 122,800 1,444,064 * Spirent P.L.C. 1,610,055 2,192,960 * Sportech P.L.C. 846,974 149,713 Spring Group P.L.C. 406,488 750,092 SSL International P.L.C. 284,176 1,534,081 St. Ives P.L.C. 154,964 1,147,086 St. Modwen Properties P.L.C. 228,607 1,341,218 Stanelco P.L.C. 1,201,354 134,687 Stanley (Charles) Group P.L.C. 86,800 424,750 Stanley Leisure P.L.C. 235,641 2,011,568 * Sterling Publishing Group P.L.C. 75,298 19,431 Stylo P.L.C. 64,096 74,737 * Superscape P.L.C. 189,476 191,757 * Surfcontrol P.L.C. 56,124 593,986 Swallowfield P.L.C. 15,000 25,037 Sygen International P.L.C. 492,975 387,050 T&F Informa Group P.L.C. 355,029 2,583,316 T. Clarke P.L.C. 18,714 214,266 * Tadpole Technology P.L.C. 427,207 85,825 * Tandem Group P.L.C. 327,365 0 Tarsus Group P.L.C. 86,934 199,142 Taylor Nelson AGB P.L.C. 109,000 478,996 TBI P.L.C. 1,238,853 2,175,033 Ted Baker P.L.C. 82,767 731,413 Teesland P.L.C. 69,925 106,261 * Telecity P.L.C. 549,148 144,057 Telecom Plus P.L.C. 89,103 440,742 * Telecommunications Group P.L.C. 45,958 659 Telemetrix P.L.C. 177,320 437,146 * Telspec P.L.C. 25,000 5,968 * Terence Chapman Group P.L.C. 62,500 379 Tex Holdings P.L.C. 14,000 34,462 The Big Food Group P.L.C. 595,901 1,054,322 * The Innovation Group P.L.C. 940,000 688,036 The Malcolm Group P.L.C. 109,377 203,976 The Peacock Group P.L.C. 172,468 922,323 * The Television Corp. P.L.C. 81,937 151,318 * The Wireless Group P.L.C. 189,923 281,328 * Theratase P.L.C. 46,347 34,553 Thorntons P.L.C. 158,000 463,644 Thorpe (F.W.) P.L.C. 24,000 152,577 * Thus Group P.L.C. 2,022,919 551,895 Tinsley (Eliza) Group P.L.C. 19,844 9,680 * Toad Group P.L.C. 85,507 17,229 Topps Tiles P.L.C. 348,450 1,519,141 Tops Estates P.L.C. 116,033 760,342 * Torotrak P.L.C. 167,633 238,071 * Tottenham Hotspur P.L.C. 150,000 78,255 Town Centre Securities (New) P.L.C. 142,137 887,952 Trace Computers P.L.C. 33,552 51,620 * Trafficmaster P.L.C. 198,201 289,554 Transport Development Group P.L.C. 133,173 575,685 Treatt P.L.C. 9,957 35,782 Trifast P.L.C. 135,388 203,238 Trio Holdings P.L.C. 111,411 48,386 TT Electronics P.L.C. 254,463 935,507 * TTP Communications P.L.C. 325,621 364,785 Tullow Oil P.L.C. 500,218 1,402,232 U.K. Coal P.L.C. 205,912 522,890
96
SHARES VALUE+ ------------------ ------------------ UCM Group P.L.C. 41,980 $ 56,307 Ulster Television, Ltd. 115,602 986,808 Ultra Electronics Holdings P.L.C. 100,269 1,280,801 Ultraframe P.L.C. 162,456 263,869 Umeco P.L.C. 51,019 402,112 Uniq P.L.C. 186,872 745,219 Unite Group P.L.C. 156,391 751,684 Universal Salvage P.L.C. 36,111 52,805 * Vanco P.L.C. 145,748 765,347 Vega Group P.L.C. 32,300 106,913 * Venture Production P.L.C. 197,404 901,756 * Vernalis P.L.C. 244,324 403,510 Victoria P.L.C. 12,000 52,282 Victrex P.L.C. 136,254 901,966 Vislink P.L.C. 103,960 41,778 Vitec Group P.L.C. 62,856 372,796 * Volex Group P.L.C. 58,801 107,391 VP P.L.C. 108,111 325,417 VT Group P.L.C. 257,959 1,460,252 Wagon P.L.C. 74,388 233,315 * Walker Greenbank P.L.C. 53,105 9,136 Warner Estate Holdings P.L.C. 95,471 896,265 * Waterdorm P.L.C. 105,000 0 Waterman P.L.C. 74,473 133,292 Watermark Group P.L.C. 68,660 198,545 Weir Group P.L.C. 356,454 2,024,411 Wellington Holdings P.L.C. 32,446 97,580 Wembley P.L.C. 36,926 480,659 Westbury P.L.C. 202,522 1,481,884 * Weston Medical Group P.L.C. 50,200 2,399 Wetherspoon (J.D.) P.L.C. 282,231 1,230,702 Whatman P.L.C. 241,935 1,179,246 White Young Green P.L.C. 74,666 406,810 Whitehead Mann Group P.L.C. 95,000 287,055 Whittard of Chelsea P.L.C. 37,487 135,109 Wilmington Group P.L.C. 143,376 375,693 * Wilshaw P.L.C. 198,409 33,185 Wilson Bowden P.L.C. 7,000 133,186 Wincanton P.L.C. 163,303 870,149 Windsor P.L.C. 101,510 90,761 Wolverhampton & Dudley Breweries P.L.C. 125,925 2,202,565 Wood Group (John) P.L.C. 881,804 2,443,289 Woolworths Group P.L.C. 2,617,775 2,227,011 Workplace Systems International P.L.C. 238,739 74,240 WSP Group P.L.C. 94,842 418,774 Wyevale Garden Centres P.L.C. 78,824 559,382 Wyndeham Press Group P.L.C. 73,066 179,540 * XAAR P.L.C. 108,722 267,704 XANSA P.L.C. 575,870 1,018,183 * Xenova Group P.L.C. 607,931 72,352 XKO Group P.L.C. 30,304 40,506 XP Power P.L.C. 26,903 225,639 * Yorkshire Group P.L.C. 82,504 9,068 Young & Co's Brewery P.L.C. 10,000 185,921 Young & Co's Brewery P.L.C. Class A 5,234 $ 131,216 Yule Catto & Co. P.L.C. 278,083 1,559,934 Zotefoams P.L.C. 62,000 79,996 ------------------ TOTAL COMMON STOCKS (Cost $274,387,702) 371,382,332 ------------------ INVESTMENT IN CURRENCY -- (0.9%) * British Pound Sterling (Cost $3,631,644) 3,641,345 ------------------ RIGHTS/WARRANTS -- (0.0%) * Letter of Entitlements - Audemars Piguet 90,242 0 * Planestation Group P.L.C. Warrants 01/13/11 229,653 2,724 * SFI Holdings Litigation Certificate 26,713 0 * Xenova Group P.L.C. Contingent Rights 08/14/11 94,500 0 * Xenova Group P.L.C. Warrants 12/31/08 56,991 2,315 ------------------ TOTAL RIGHTS/WARRANTS (Cost $4,780) 5,039 ------------------ TOTAL -- UNITED KINGDOM (Cost $278,024,126) 375,028,716 ------------------ UNITED STATES -- (0.1%) COMMON STOCKS -- (0.1%) * Bookham, Inc. (Cost $500,697) 57,292 307,085 ------------------ EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency (Cost $101) 127 ------------------ FACE AMOUNT ------------------ (000) TEMPORARY CASH INVESTMENTS -- (1.7%) Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $6,458,000 FNMA Notes 2.95%, 11/14/07, valued at $6,467,061) to be repurchased at $6,378,333 (Cost $6,378,000) $ 6,378 6,378,000 ------------------ TOTAL INVESTMENTS -- (100.0%) (Cost $284,902,924) $ 381,713,928 ==================
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 97 THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ FRANCE -- (12.5%) COMMON STOCKS -- (12.5%) Affine 1,400 $ 127,012 Ales Groupe SA 6,648 114,679 Altedia SA 2,800 51,136 * Alten SA 21,372 483,168 * # Altran Technologies SA 82,633 857,783 Apem SA 1,000 79,347 April Group SA 31,201 724,059 Ares (Groupe) SA 5,500 35,896 Arkopharma 18,720 423,610 Assystem Brime SA 7,580 151,159 Aubay SA 5,774 30,186 Audika SA 1,900 174,175 * Baccarat SA 1,090 126,707 Bacou-Dalloz 6,287 484,287 # Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,433,224 Banque Tarneaud SA 1,000 174,614 # Beneteau SA 13,527 1,072,045 * Bigben Interactive 2,100 8,108 Boiron SA 16,659 504,084 Boizel Chanoine Champagne SA 600 37,987 # Bonduelle SA 6,723 606,701 Bongrain SA 13,083 887,920 Bricorama SA 3,379 211,944 Brioche Pasquier SA 2,888 206,764 Buffalo Grill SA 1,028 18,850 * Bull SA 379,800 237,573 Burelle SA 4,030 478,349 * Business Objects SA 16,500 385,205 * BVRP SA 2,900 55,079 Camaieu SA 4,988 465,368 * Carbone Lorraine 40,631 1,975,195 Cegedim SA 6,902 526,110 CEGID SA 18,000 587,040 * Cesar SA 16,955 20,292 CFF Recycling SA 84,608 2,225,250 Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux Sa 6,400 363,242 Clarins SA 8,798 487,472 * # Club Mediterranee SA 15,665 719,525 Consortium International de Diffusion et de Representation Sante 600 6,594 Crometal SA 1,100 70,027 * CS Communication et Systemes 4,983 196,084 * Cybergun 1,058 21,933 * Damartex SA 22,900 728,108
1 * Dane-Elec Memory SA 11,400 51,830 Delachaux SA 1,300 171,307 Deveaux SA 1,040 107,787 Didot-Bottin 1,620 193,990 * DMC (Dollfus Mieg et Cie) 9,630 56,084 * Dynaction SA 10,660 232,632 Electricite de Strasbourg 23,784 3,327,592 Elior 104,108 1,063,766 Esso SA 3,200 475,319 Etam Developpement SA 7,300 154,651 * Eurafrance 12,668 987,991 * Euraltech SA 11,700 21,500 * # Euro Disney SCA 797,643 287,105 Evialis SA 1,200 47,908 Exel Industries SA 1,800 122,994 * Explosifs et de Produits Chimiques 524 197,094 Faurecia SA 6,500 486,138 # Fimalac SA 111,143 5,037,658 Fininfo SA 9,760 290,909 Fleury Michon SA 3,100 148,810 Francois Freres (Tonnellerie) SA 3,150 86,219 * Gantois Series A 647 9,115 Gascogne SA 6,472 579,628 Gaumont 14,607 1,060,047 * GCI (Groupe Chatellier Industrie SA) 7,258 965 * Generale de Geophysique SA 20,770 1,315,273 Generale de Sante 32,259 637,283 Generale Location SA 9,000 233,743 * Geodis SA 4,379 456,689 Gevelot 3,584 250,314 GFI Informatique SA 26,700 158,416 Gifi 4,678 217,100 * Ginger (Groupe Ingenierie Europe) 2,600 51,256 Grands Moulins de Strasbourg 110 65,861 Groupe Bourbon SA 19,038 915,112 Groupe Crit 6,900 168,816 * Groupe Flo SA 11,900 80,085 * Groupe Focal SA 1,400 8,745 Groupe Go Sport SA 2,207 152,875 Groupe Guillin SA 1,200 82,802 Groupe Open SA 6,000 68,182 Groupe Steria 14,365 539,118 Guerbet SA 1,700 153,790 Guyenne et Gascogne SA 26,000 2,871,779 Havas SA 62,300 344,269 * Hotels et Casinos de Deauville 2,055 1,231,323 Hyparlo SA 5,514 312,305 IDSUD 614 20,458 * Iliad SA 8,500 251,572 * IMS International Metal Service SA 12,630 127,572 Industrielle et Financiere d'Entreprise SA 300 66,150 * # Infogrames Entertainment SA 83,638 139,063 Ingenico SA 61,820 1,010,755 Ioltech SA 500 54,371
2 Ipsos SA 5,776 582,014 Kaufman et Broad SA 7,722 398,245 Lafuma SA 810 59,088 Laurent-Perrier 3,100 129,319 Lectra Systemes SA 23,092 158,185 Lisi SA 7,827 406,237 Manitou SA 44,368 1,422,008 Manutan International SA 4,700 231,606 # Marionnaud Parfumeries Retails Perfumes 11,209 331,281 * Matussiere et Forest SA 13,600 52,418 * Metaleurop SA 35,449 25,441 MGI Coutier SA 1,400 64,980 Montupet SA 32,450 908,243 Mr. Bricolage SA 6,600 149,138 Neopost SA 7,200 518,749 Nexans 15,136 583,055 Norbert Dentressangle 8,372 455,465 Nord Est SA 21,507 1,246,469 * # Oberthur Card Systems SA 53,640 374,390 * Oeneo 31,265 42,323 * Otor SA 13,700 67,356 Parcours SA 5,300 35,490 * Paris Orleans et Cie SA 2,832 647,137 Passat SA 2,400 48,014 * Penauille Polyservices SA 10,200 109,781 Petit Forestier SA 3,043 123,913 # Pierre & Vacances 6,635 706,897 Pinguely-Haulotte SA 25,000 185,364 Plastic Omnium SA 15,423 823,385 Plastivaloire SA 1,700 49,745 Prosodie SA 4,500 116,332 Provimi SA 13,972 294,071 PSB Industries SA 1,240 212,572 * Radiall SA 1,340 110,514 Remy Cointreau SA 8,774 324,763 Robertet SA 1,076 144,221 # Rodriguez Group SA 9,687 492,332 Rougier SA 2,040 160,135 * S.T. Dupont SA 3,800 25,325 Sabeton 13,500 200,334 Samse SA 4,400 665,477 Sasa Industries SA 1,000 29,054 * Saveurs de France-Brossard 900 31,403 * # Scor SA 524,279 974,499 SDR de Bretagne SA 1,314 46,464 SEB SA Prime Fidelite 2002 3,300 333,655 Sechilienne-Sidec 2,200 568,962 Securidev SA 1,500 24,533 Selectibail 29,286 1,141,306 Signaux Girod SA 600 41,958 SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 15,009 1,358,500 Skis Rossignol SA 41,668 755,322 Smoby SA 500 53,255
3 Societe du Louvre SA 14,513 1,621,782 Societe Industrielle D'Aviations Latecoere SA 3,700 159,053 Societe Pour L'Informatique Industrielle SA 1,800 80,592 Solving International SA 2,160 11,201 Somfy Interational SA 22,900 4,835,130 Sopra SA 7,618 437,718 # SR Teleperformance 90,928 2,283,048 Stallergenes SA 1,949 160,961 Ste Virbac SA 7,637 253,774 Stef-Tfe SA 2,032 215,257 Sucriere de Pithiviers-le-Vieil 1,825 1,379,849 * Sylis SA 4,700 34,412 Synergie SA 8,000 227,231 Taittinger SA 12,700 3,574,538 * Teisseire France SA 700 68,840 Tessi SA 1,700 84,206 Touax (Touage Investissement SA) 10,378 274,343 Toupargel-Agrigel SA 6,200 214,041 Trigano SA 7,953 570,503 * # Ubi Soft Entertainment SA 10,800 230,902 Unilog SA 9,747 630,323 # Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 4,383,017 * Valtech, La Defense 68,224 89,824 Viel et Compagnie 44,339 215,002 Vilmorin et Cie SA 2,349 457,848 VM Materiaux SA 600 62,073 Vranken Monopole 2,800 133,623 Zodiac SA 14,964 617,256 ------------------ TOTAL COMMON STOCKS (Cost $47,280,511) 89,105,077 ------------------ RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 24,800 27,687 * Ales Groupe SA Warrants 03/23/09 316 1,575 * Carbone Lorraine Rights 10/06/04 8 19 * Ginger (Groupe Ingenierie Europe) Warrants 09/30/05 2,600 173 * Groupe Open SA Warrants 10/21/06 1,000 487 * Oeneo Warrants 08/26/06 14,365 764 * Prosodie SA Warrants 10/28/06 900 449 * Ubi Soft Entertainment SA Warrants 05/14/06 4,100 1,089 * Valtech, La Defense Warrants 07/29/05 20,000 807 ------------------ TOTAL RIGHTS/WARRANTS (Cost $20,863) 33,050 ------------------ TOTAL -- FRANCE (Cost $47,301,374) 89,138,127 ------------------ GERMANY -- (11.5%) COMMON STOCKS -- (11.5%) A.S. Creation Tapeton AG 2,900 88,216
4 Aareal Bank AG 46,391 1,418,237 * Acg AG Fuer Chipkarten und Informationssysteme 16,940 23,178 Ackermann-Goeggingen AG 8,100 157,250 AC-Service AG 4,300 28,875 * Adva AG Optical Networking 39,883 264,788 * Agrob AG 5,800 64,763 * # Aixtron AG 74,124 331,688 * Amadeus Fire AG 4,900 25,372 Andreae-Noris Zahn AG, Anzag 27,200 1,165,433 * Articon Integralis AG 7,900 23,012 Atoss Software AG 3,700 50,035 * Augusta Technologie AG 11,750 7,800 Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,023,757 AWD Holding AG 52,932 1,988,042 * Baader Wertpapier Handelsbank AG 19,026 132,122 # Balda AG 40,277 460,379 * Basler AG 3,200 63,767 # Beate Uhse AG 56,241 814,421 # Bechtle AG 25,498 534,592 * Berliner Elektro Holding AG 17,611 178,427 Bertrandt AG 9,850 159,888 # Beru AG 14,051 1,283,506 Beta Systems Software AG 2,850 46,535 Bien-Haus AG 2,400 30,272 Bilfinger & Berger Bau AG 44,787 1,677,853 * Biolitec AG 8,000 44,168 * Biotest AG 3,804 60,949 * BKN International AG 17,600 139,241 * BMP AG 10,600 29,896 Boewe Systec AG 7,866 414,951 * Borussia Dortmund GMBH & Co. KGAA 21,650 72,599 Bremer Energiekonto AG 14,700 22,108 * CBB Holding AG 102,602 8,182 * # Ce Consumer Electrnic AG 21,600 33,600 * Ceag AG 20,670 230,868 * Cenit AG Systemhaus 3,500 67,699 * Centrotec Hochleistungskunststoffe AG 7,500 192,072 Cewe Color Holding AG 7,073 165,034 Comdirect Bank AG 120,666 1,170,685 * Computec Media AG 4,650 38,961 Computerlinks AG 5,700 97,090 * Condomi AG 1,800 3,415 * CTS Eventim AG 14,800 295,957 Curanum AG 21,500 55,128 * D. Logistics AG 37,750 67,822 * # DAB Bank AG 70,271 499,756 * Data Modul AG 3,194 48,383 * DEAG Deutsche Entertainment AG 10,500 21,341 Deutsche Euroshop AG 18,927 927,683 * Deutsche Steinzeug Cremer & Breuer AG 87,200 90,536 * # Deutz AG 96,790 391,089 * Dierig Holding AG 10,500 175,145 Dis Deutscher Industrie Service AG 18,524 642,726 * Dom-Braugerei AG 900 25,312
5 Douglas Holding AG 43,825 1,450,046 * Dr. Scheller Cosmetics AG 4,000 19,628 * Drillisch AG 28,287 132,387 * Duerr Beteiligungs AG 17,593 349,862 DVB Bank AG 7,124 967,410 * Eckert and Ziegler Strahlen - und Medizintechnik AG 3,000 33,278 * Elexis AG 8,600 76,974 Elmos Semiconductor AG 23,218 395,877 ElreingKlinger AG 3,000 224,173 * # Em.TV AG 18,773 72,106 * Emprise Management Consulting AG 8,950 19,535 * Epcos AG 55,500 881,305 Erlus Baustoffwerke AG 297 141,231 * Escada AG 20,520 437,119 * Euwax AG 536 19,262 * Evotec Biosystems AG 42,707 153,859 Feilmann AG 29,181 2,016,941 # FJA AG 9,889 65,656 Fortec Elektronik AG 1,400 51,071 * Freenet.De AG 50,400 1,088,857 Fuchs Petrolub AG Oel & Chemie 6,693 668,086 GFK AG 45,483 1,656,509 * Gft Technologies AG 22,600 51,999 * GPC Biotech AG 23,900 375,512 # Grenkeleasing AG 15,958 678,297 Gwag Bayerische Wohnungs- Aktiengesellschaft AG 3,383 173,276 Hamborner AG 21,000 627,738 Hawesko Holdings AG 4,300 144,004 * Herlitz AG 6,962 26,404 Hochtief AG 34,000 1,009,771 * Hoeft & Wessel AG 6,100 24,320 Hucke AG 8,300 34,417 Hugo Boss AG 25,100 719,360 Hutschenreuther AG 2,800 35,400 * I-D Media AG 9,700 15,956 * IFA Hotel & Touristik AG 7,000 65,886 * IM International Media AG 19,800 16,081 * # Innovation in Traffic Systems AG 12,300 55,676 Interseroh AG 11,845 266,867 * # Intershop Deutschland AG 7,955 7,718 * Intertainment AG 8,500 22,933 * Isra Vision Systems AG 3,650 61,169 IVG Immobilien AG 143,237 2,179,536 Iwka AG 26,613 648,382 * Jenoptik AG 67,265 719,330 K & S Aktiengesellschaft AG 129,500 6,596,434 Kampa-Haus AG 10,375 84,577 Keramag Keramische Werke AG 13,000 818,692 * # Kloeckner-Werke AG 53,211 855,835 * Kontron AG 53,965 512,721 Krones AG 10,180 1,042,394 KSB AG 2,387 418,646 KWS Kleinwanzlebener Saatzucht AG 1,650 1,328,738 * Leica Camera AG 4,400 25,249
6 Leifheit AG 12,500 324,475 Leoni AG 37,500 2,496,154 * Loewe AG 7,100 58,963 LPKF Laser & Electronics AG 9,000 35,949 Masterflex AG 4,400 158,450 * Maternus-Kliniken AG, Bad Oyenhausen 165 109 * Maxdata AG 32,897 123,059 * Mediclin AG 30,850 74,210 * # Medigene AG 8,600 87,332 * Mensch und Maschine Software AG 10,700 38,957 * # Morphosys AG 4,800 221,880 * Mosaic Software AG 5,200 6,655 Muehlabauer Holdings AG & Co. KGAA 7,423 274,453 * MVS Miete Vertrieb Service AG 13,050 31,044 MVV Energie AG 58,291 1,151,032 * MWG Biotech AG 30,700 21,682 * Nemetschek AG 7,400 66,949 * Neschen AG 5,800 21,596 * Norddeutsche Affinerie AG 37,449 614,942 Norddeutsche Steingutfabrik AG 5,960 50,383 * November AG 5,400 40,504 * Ohb Teledata 12,650 111,644 * Pandatel AG 5,700 8,710 * Paragon AG 11,282 223,789 * Parsytec AG 11,900 44,345 PC-Ware Information Technologies AG 5,100 51,510 * Personal & Informatik AG 5,900 61,904 Pfeiffer Vacuum Technology AG 8,250 367,915 * Pfleiderer AG 51,351 550,238 * Plambeck Neue Energien AG 19,350 20,817 * Plasmaselect AG 4,290 22,833 * Plenum AG 9,300 20,617 * Primacom AG 15,200 24,552 * Produkte und Syteme der Informationstechnologie AG 10,300 44,540 Progress-Werk Oberkirch AG 5,000 205,379 * PVATepla AG 15,550 37,117 * # Qs Communications AG 124,164 618,103 Rational AG 15,083 1,364,009 * Realtech AG 3,650 25,704 Renk AG 19,400 683,894 REpower Systems AG 5,000 94,685 Rheinmetall Berlin AG 45,000 2,304,151 Rhoen Klinikum AG 24,107 1,334,374 * Rinol AG 5,900 11,348 * Rohwedder AG 4,860 28,572 * Ruecker AG 7,800 25,398 * S.A.G. Solarstrom AG 4,319 29,332 Salzgitter AG 85,948 1,737,674 Sartorius AG 11,252 224,300 Schlott Sebaldus AG 7,440 198,753 Schwarz Pharma AG 30,101 1,249,192 Sektkellerei Schloss Wachenheim AG 15,120 184,419 * Senator Entertainment AG 980 1,967 * # SGL Carbon AG 57,758 759,240
7 * # Singulus Technologies AG 36,100 638,157 Sinner AG, Karlsruhe 4,160 60,896 Sixt AG 19,433 352,695 * Sm Wirtschaftsberatungs AG 3,350 26,130 * Software AG 34,296 1,048,876 Stada Arzneimittel AG 50,186 1,321,970 Stahl (R.) AG 6,300 95,203 * # Steag Hamtech AG 35,473 69,772 * Stoehr & Co. AG 16,000 72,500 * Strabag AG 4,840 301,942 Stratec Biomedical Systems AG 3,200 72,059 Stuttgarter Hofbraeu AG 18,000 575,114 Sued-Chemie AG 29,146 1,067,674 * # Suess Microtec AG 17,785 142,778 Syskoplan AG 3,300 22,379 * Syzygy AG 18,000 105,912 Takkt AG 87,707 858,908 * Techem AG 29,076 971,402 Technotrans AG 6,450 121,968 * Telegate AG 20,500 369,478 * Teles AG Informationstechnologien 26,657 247,143 * Textilgruppe Hof AG 12,170 112,212 * TFG Venture Capital AG & Co. KGAA 8,800 24,241 * Tomorrow Focus AG 42,650 125,675 * TTL Information Technology AG 6,400 25,998 * TV Loonland AG 7,000 18,258 United Internet AG 79,458 2,080,469 * Utimaco Safeware AG 12,200 60,865 * Value Management & Research AG 7,650 22,571 * VBH (Vereinigter Baubeschlag-Handel) AG 9,415 46,915 * Vereinigte Deutsche Nickel-Werke AG 12,150 8,065 * Vivacon AG 3,032 25,732 Vossloh AG 21,469 970,693 Wanderer-Werke AG 7,903 253,047 * WaveLight Laser Technologies AG 1,159 19,532 * WCM Beteiligungs AG 346,726 603,815 Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 77,740 Wuerttembergische Lebensversicherung AG 11,330 230,874 Wuerttembergische Metallwarenfabrik AG 30,330 540,638 Wuerzburger Hofbraeu AG 133 73,357 Zapf Creation AG 7,500 158,255 ------------------ TOTAL COMMON STOCKS (Cost $58,435,826) 82,230,805 ------------------ RIGHTS/WARRANTS -- (0.0%) * BMP AG Rights 12/06/04 10,600 0 * D. Logistics AG Rights 12/06/04 37,750 0 * Intershop Holding AG, Zurich Rights 12/14/04 7,955 0 * Medigene AG Rights 11/09/04 8,600 0 * MWG Biotech AG Rights 12/09/04 30,700 0 * November AG Rights 12/07/04 5,400 0 * Paragon AG Rights 12/03/04 11,282 0
8 TOTAL RIGHTS/WARRANTS (Cost $0) 0 ------------------ TOTAL -- GERMANY (Cost $58,435,826) 82,230,805 ------------------ SWITZERLAND -- (9.9%) COMMON STOCKS -- (9.8%) * 4M Technologies Holding SA 3,751 19,829 * A. Hiestad Holding AG 561 440,593 * Actelion, Ltd. 4,400 405,668 AFG Arbonia-Forster Holding AG 2,610 355,051 * Agie Charmilles Holding AG 3,402 232,839 Allreal Holding AG 5,733 539,396 Also Holding AG 268 76,468 * Amazys Holding AG 2,152 106,085 * Ascom Holding AG 32,674 498,918 Bachem AG 6,984 395,067 Baloise-Holding 7,415 311,706 Bank Coop AG 29,405 1,311,454 Bank Sarasin & Cie Series B, Basel 502 835,214 * Banque Cantonale de Geneve 1,344 216,313 Banque Cantonale du Jura 450 101,855 Banque Cantonale Vaudoise 600 92,619 Banque Privee Edmond de Rothschild SA, Geneve 120 1,472,010 Barry Callebaut AG 3,526 866,473 Basellandschaftliche Kantonalbank 600 459,423 Basler Kantonalbank 5,250 415,936 Batigroup Holding AG 9,987 120,441 Belimo Holdings 593 345,669 * Berna Biotech 33,198 285,121 Berner Kantonalbank 4,815 684,299 BHB Beteiligungs und Finanzgesellschaft 150 5,788 Bobst Group SA 18,200 718,899 Bossard Holding AG 6,350 365,558 Bucher Industries AG, Niederweningen 3,355 717,077 BVZ (Brig Visp Zermatt) Holding AG 370 81,334 # Caisse d'Epargne Cantonale Vaudoise, Lausanne 697 681,761 Calida Holding AG 396 102,229 * Card Guard AG 5,402 21,786 Carlo Gavazzi Holding AG 910 68,889 Charles Voegele Holding AG 3,960 176,721 Cie Financiere Tradition 5,202 478,781 Conzzeta Holdings AG 1,415 1,425,684 * COS Computer Systems AG 2,430 70,028 * Crossair AG, Basel 13,517 100,668 Daetwyler Holding AG, Atldorf 348 775,487 Edipresse SA, Lausanne 694 359,300 EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,761 3,269,055 Eichhof Holding AG 188 178,546 Ems-Chemie Holding AG 3,663 324,788 Energie Electrique du Simplon SA 350 74,489 Energiedienst Holding AG 8,265 2,858,844
9 Escor Casino & Entertainment AG 744 20,884 * Feintol International Holding AG 254 49,962 * Fischer (Georg) AG, Schaffhausen 3,073 793,343 * Flughafen Zuerich AG 3,965 452,273 * Forbo Holding AG, Eglisau 1,100 307,418 Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 602,199 Galenica Holding, Ltd. AG, Bern 6,922 1,262,283 * Generale d'Affichage 1,772 279,337 Generali (Switzerland) Holdings, Adliswil 1,670 323,992 * Getaz Romang Holding SA 125 21,933 * Golay-Buchel Holding SA, Lausanne 40 27,484 Gornergrat Monte Rasa-Bahnen Zermatt 70 55,326 Gurit-Heberlein AG 1,125 898,356 # Helvetia Patria Holding 4,331 603,650 Industrieholding Cham AG, Cham 864 197,373 * Interroll-Holding SA 320 42,077 Jelmoli Holding AG 1,521 2,099,679 # Jelmoli Holding AG, Zuerich (Namen) 2,835 775,170 Kaba Holding AG 2,970 826,023 Kardex Ag, Zuerich 8,245 233,511 * Komax Holding AG 4,975 426,847 * Kudelski SA 22,850 858,072 Kuoni Reisen Holding AG 3,130 1,328,346 * Leica Geosystems Holdings AG 3,216 949,370 * Lem Holdings AG, Lyss 371 89,386 * Logitech International SA 22,086 1,300,814 Luzerner Kantonalbank AG 5,601 1,026,917 * Maag Holding AG, Zuerich 922 138,272 * Micronas Semi 24,941 1,075,763 * Mikron Holding AG, Biel 10,454 139,843 * Mobilezone Holding AG 13,349 47,304 * Moevenpick-Holding, Zuerich 1,320 389,546 Nobel Biocare Holding AG 23,200 4,166,724 Orell Fussli Graphische Betriebe Ag, Zuerich 2,400 280,212 Oz Holding AG 4,400 244,688 * Parco Industriale e Immobiliare SA 600 1,846 Phoenix Mecano AG, Stein am Rhein 2,749 763,551 Phonak Holding AG 48,668 1,535,747 PSP Swiss Property AG 47,132 2,013,291 Publicitas Holding SA, Lausanne 1,937 565,193 Rieters Holdings AG 5,207 1,513,291 SAIA-Burgess Electronics AG 693 417,546 Sarna Kunststoff Holding AG 1,760 167,919 * Saurer AG 17,705 1,055,431 * Schaffner Holding AG 888 140,286 * Schweiter Technology AG 1,103 208,217 Schweizerhall Holding AG, Basel 140 218,774 Schweizerische National Versicherungs Gesellschaft 917 474,301 * SEZ Holding AG 2,982 71,907 SIA Abrasives Holding AG 878 172,818 Siegfried Holding AG 8,560 1,058,814 Sig Holding AG 6,922 1,560,034 * Sihl 150 395 * Sika Finanz AG, Baar 2,303 1,360,460
10 Sopracenerina 2,409 486,579 # St. Galler Kantonalbank 3,636 891,921 Sulzer AG, Winterthur 1,637 621,822 * Swiss Prime Site AG 3,460 858,703 * Swissfirst AG 207 19,971 * Swisslog Holding AG 17,025 14,172 * Swissquote Group Holding SA 270 22,053 * Tamedia AG 5,300 478,384 # Tecan Group AG 5,859 159,801 * Temenos Group AG 35,359 290,073 * UMS Schweizerische Metallwerke Holding AG, Bern 2,560 25,816 Unaxis Holding AG 2,013 212,689 Unilabs SA 6,102 180,517 * Valiant Holding AG 17,966 1,630,558 Valora Holding AG 3,485 844,637 Vaudoise Assurances Holding, Lausanne 45 79,207 Villars Holding SA, Fribourg 150 38,818 * Von Roll Holding AG, Gerlafingen 46,048 44,003 Vontobel Holdings AG 58,345 1,356,586 Walliser Kantonalbank 351 104,840 * Wmh Walter Meier Holding Ag, Zuerich 1,000 53,521 Zehnder Holding AG 512 623,935 Zschokke Holding SA, Geneve 431 213,711 * Zueblin Holding AG 25,262 201,744 Zuger Kantonalbank 590 1,501,879 ------------------ TOTAL COMMON STOCKS (Cost $42,935,999) 70,034,297 ------------------ PREFERRED STOCKS -- (0.1%) Fuchs Petrolub AG Oel & Chemie 6,003 580,677 ------------------ (Cost $266,229) RIGHTS/WARRANTS -- (0.0%) * Helvetia Patria Holding Rights 12/07/04 4,331 48,338 ------------------ (Cost $0) INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs 8,678 ------------------ (Cost $7,914) TOTAL -- SWITZERLAND (Cost $43,210,142) 70,671,990 ------------------ ITALY -- (7.8%) COMMON STOCKS -- (7.8%) Acea SpA 163,000 1,664,643 Acegas SpA 31,875 314,932 * Actelios SpA 25,801 208,610 * Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 4,291 19,974 Aem Torino SpA 450,627 1,122,396 Aeroporto de Firenze SpA 6,000 76,679 * Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,271,617
11 Amplifon SpA 18,242 840,572 Azienda Mediterranea Gas e Acqua SpA 360,014 697,642 # Banca Ifis SpA 19,351 235,970 Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 963,369 # Banca Popolare Dell'etruria e Del Lazio Scrl 23,918 573,112 Banca Profilo SpA 114,243 266,334 Banco di Desio e della Brianza SpA 109,105 672,384 # Banco Piccolo Valellinese Scarl SpA 56,071 678,216 * Beghelli SpA 142,000 107,715 Beni Stabili SpA, Roma 1,309,500 1,289,545 Biesse SpA 17,100 58,785 Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 250,034 Bremba SpA 74,782 543,516 Buzzi Unicem SpA 94,100 1,319,171 Caltagirone Editore SpA 132,868 1,129,525 # Caltagirone SpA 178,399 1,343,666 CAMFIN (Cam Finanziaria) 36,527 103,162 Carraro SpA 34,400 158,649 Cementir Cementerie del Tirreno SpA 249,704 1,242,882 * Centrale del Latte di Torino & Co. SpA 4,182 23,465 CIR SpA (Cie Industriale Riunite), Torino 591,100 1,482,384 * Cirio Finanziaria SpA 175,000 40,469 Class Editore SpA 83,868 192,279 * # CMI SpA 90,302 377,195 * Coats Cucirini SpA 30,000 43,658 * Compagnia Immobiliare Azionaria 44,000 8,070 Credito Artigiano SpA 114,446 483,653 # Cremonini SpA 135,428 316,883 * CSP International Industria Calze SpA 10,000 17,229 Danieli & C.Officine Meccaniche SpA 66,500 399,333 Davide Campari - Milano SpA 27,599 1,671,921 De Longhi SpA 139,386 593,914 * # Ducati Motor Holding SpA 129,900 160,111 Emak SpA 27,000 133,324 Erg SpA 173,330 1,929,190 Ergo Previdenza SpA 95,165 520,985 Esprinet SpA 3,700 183,832 * Finarte Casa d'Aste SpA (Milano) 56,266 67,464 * Finarte Partecipazioni Pro Arte SpA 242,693 24,353 * # Finmatica SpA 35,900 108,737 Gabetti Holding SpA 55,000 159,475 Gefran SpA 11,000 63,680 # Gemina SpA 331,283 391,350 Gewiss SpA 221,700 1,217,089 * Giovanni Crespi SpA 49,200 54,770 Grandi Navi Veloci SpA 53,833 181,345 # Granitifiandre SpA 33,237 273,193 * Gruppo Ceramiche Ricchetti SpA 41,000 78,032 I Grandi Viaggi SpA 28,100 40,255 * # Immobiliare Lombardia SpA 425,000 99,955 # Immsi SpA 287,000 561,228 # Impregilo SpA 592,300 324,324 Industria Macchine Automatique SpA 33,671 498,330 * Industria Romagnola Conduttori Elettrici SpA 17,500 63,516
12 Industrie Zignago S. Margherita SpA 52,000 1,052,598 Interpump Group SpA 75,402 393,789 * ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 267,291 Italmobiliare SpA, Milano 20,975 1,214,946 * Juventus Footbal Club SpA 98,000 197,034 La Doria SpA 22,000 62,983 * Lavorwash SpA 10,000 23,134 Linificio and Canapificio Nazionale SpA 22,000 83,998 Maffei SpA 52,500 109,607 Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 2,458,770 * Marcolin SpA 35,100 58,187 Mariella Burani Fashion Group SpA 26,077 278,432 Meliorbanca SpA 90,667 379,533 Merloni Elettrodomestici SpA 155,000 2,600,000 Milano Assicurazioni SpA 266,700 1,343,898 Mirato SpA 12,000 102,507 * Monrif SpA 150,000 168,172 * Montefibre SpA 143,130 51,614 Navigazione Montanari SpA 110,917 343,174 * Necchi SpA 164,250 15,499 * Negri Bossi SpA 13,700 41,907 * NGP SpA 17,891 8,322 Olidata SpA 20,000 22,344 * Opengate Group SpA 4,000 10,154 * Pagnossin SpA 9,000 6,806 Permasteelisa SpA 24,470 406,522 Pininfarina SpA 31,285 927,115 Pirelli & C.Real Estate SpA 9,600 458,033 Poligrafici Editoriale SpA 132,000 279,695 * Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 526,834 Premuda SpA 109,728 200,133 * Ratti SpA 31,768 18,992 Recordati Industria Chimica e Farmaceutica SpA 58,644 1,324,871 * # Reno de Medici SpA, Milano 332,210 347,299 * Richard-Ginori 1735 SpA 140,800 99,957 Risanamento Napoli SpA 255,850 616,779 Sabaf SpA 9,200 225,323 # SAES Getters SpA 14,750 322,432 * Schiapparelli 1824 SpA, Milano 831,000 47,496 * Sirti SpA 29,967 73,121 SISA (Societa Imballaggi Speciali Asti SpA) 65,000 186,343 * # SNIA SpA 227,590 76,981 Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,196,246 Sogefi SpA 182,500 772,069 Sol SpA 81,830 411,669 * SOPAF (Societa Partecipazioni Finanziarie SpA) 85,000 15,764 * Sorin SpA 341,385 1,023,348 * STA Metallurgica Italiana SpA 282,640 177,891 Stefanel SpA 54,400 128,807 Targetti Sankey SpA 14,500 84,833 * Tecnodiffusione Italia SpA 3,332 8,857 Terme Demaniali di Acqui SpA 532,000 424,723 Tod's Group SpA 30,476 1,384,971 Trevi-Finanziaria Industriale SpA 52,400 82,126
13 * Vemer Siber Group SpA 46,000 38,836 * Viaggi del Ventaglio SpA 58,384 78,995 Vianini Industria SpA 52,520 175,755 Vianini Lavori SpA 180,752 1,341,022 Vittoria Assicurazioni SpA 51,500 435,728 Zucchi (Vincenzo) SpA 144,350 723,442 ------------------ TOTAL COMMON STOCKS (Cost $36,266,091) 55,875,798 ------------------ RIGHTS/WARRANTS -- (0.0%) * Immsi SpA Rights 12/20/04 287,000 30,515 * Tecnodiffusione Italia SpA Warrants 11/15/04 1,332 141 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 30,656 ------------------ TOTAL -- ITALY (Cost $36,266,091) 55,906,454 ------------------ SWEDEN -- (7.3%) COMMON STOCKS -- (7.3%) * # Active Biotech AB 38,640 209,994 Addtech AB Series B 22,300 172,786 Alfa Laval AB 18,600 292,064 * Alfaskop AB 3,200 380 Angpannefoereningen AB Series B 10,800 225,219 * Anoto Group AB 134,833 203,001 Axfood AB 73,400 2,336,155 * # Axis AB 76,994 212,799 * B & N Bylock & Nordsjoefrakt AB Series B 41,800 130,349 * Ballingslov International AB 2,800 37,283 Beiger Electronics AB 11,700 124,664 Beijer AB Series B 11,700 208,979 Beijer Alma AB Series B 10,400 181,199 Bergman & Beving AB Series B 36,200 382,361 Biacore International AB 11,150 223,292 Bilia AB Series A 116,725 1,859,130 Billerud AB 58,700 982,918 * Boliden AB 197,400 762,261 * Bong Ljungdahl AB 9,000 46,960 * Boras Waefveri AB Series B 8,600 31,794 * Boss Media AB 63,200 230,507 * Capio AB 78,700 877,752 Capona AB 25,400 362,769 Carbo AB 37,100 1,020,954 Castellum AB 43,600 1,514,584 Cloetta AB Series B 22,250 691,991 Concordia Maritime AB Series B 37,300 183,219 * Consilium AB Series B 5,246 23,758 D. Carnegie & Co. AB 74,000 852,252 Digital Illusions AB Series A 7,800 70,699 * Doro Telefoni AB Series A 2,000 2,973
14 * Duroc AB Series B 2,700 6,053 * Elekta AB 28,600 782,316 * Enea Data AB Series B 440,000 281,920 Eniro AB 154,000 1,510,294 * Expanda AB 6,547 39,051 Fagerhult AB 14,100 201,829 * Finnveden AB 57,000 636,315 * # Framtidsfabriken AB 966,000 73,365 * Frontec AB Series B 50,800 49,078 Getinge AB 176,604 2,192,889 Geveko AB Series B 8,300 211,396 * Glocalnet AB 187,500 71,800 Gorthon Lines AB Series B 41,800 130,552 Gunnebo AB 50,000 628,051 Haldex AB 39,000 638,272 Heba Fastighets AB Series B 13,500 229,920 Hexagon AB Series B 3,572 150,552 Hiq International AB 41,889 116,653 HL Display AB Series B 6,000 111,874 Hoganas AB Series B 38,200 989,084 * IBS AB Series B 83,200 144,342 * Industrial & Financial AB Series B Issue 2004 59,300 40,532 * Industrial & Financial Systems AB Series B 59,300 40,532 * Industrifoervaltnings AB Skandigen 63,975 228,339 * Intentia International AB Series B 149,420 292,165 * Intrum Justitia AB 115,700 775,115 * Invik and Co. AB Series B 155,400 1,526,412 Karlshamns AB 23,800 338,634 * Klippans Finpappersbruk AB 5,800 14,237 Klovern AB 53,276 146,730 Kungsleden AB 17,600 685,801 Lagercrantz Group AB Series B 23,800 63,108 * LB Icon AB 14,530 66,840 # Lindex AB 16,100 543,017 Ljungberg Gruppen AB Series B 3,800 81,399 * Lundin Petroleum AB 322,400 2,184,460 * Mandator AB 20,520 3,756 Meda AB Series A 9,725 328,370 * Medivir Series B 10,650 166,770 * Micronic Laser Systems AB 42,600 400,382 * Modern Times Group AB Series B 48,700 1,237,538 Naerkes Elektriska AB Series B 4,250 65,588 NCC AB Series B 118,100 1,490,795 Nefab AB Series B 5,100 130,599 * Net Insight AB Series B 199,000 60,422 New Wave Group AB 20,800 406,828 Nibe Industrier AB 22,800 624,802 * Nobia AB 13,800 209,480 Nolato AB Series B 42,840 360,515 Observer AB 137,856 591,079 OEM International AB Series B 7,100 121,429 * OMHEX AB 78,100 986,544 Orc Software AB 16,500 132,668 * Ortivus AB 11,507 42,379
15 * Partnertech AB 9,800 105,430 # PEAB AB Series B 105,200 971,177 * Pergo AB 43,300 165,796 Poolia AB Series B 18,150 89,718 * Prevas AB Series B 16,000 46,435 * # Pricer AB Series B 431,500 85,049 * Proact It Group AB 15,000 49,461 * Proffice AB 72,800 168,785 Profilgruppen AB 4,000 38,987 Protect Data AB 6,500 66,638 * PyroSequencing AB 51,940 58,587 Q-Med AB 34,000 875,753 * Readsoft AB Series B 17,800 38,964 # Rottneros Bruk AB 366,600 409,523 Salus Ansvar AB Series B 12,900 40,690 Sardus AB 11,200 177,565 * Scribona AB Series A 40,100 77,915 * Scribona AB Series B 46,300 93,154 * Semcon AB 18,300 75,045 * Sigma AB Series B 25,800 25,367 Skistar AB 21,000 412,062 SSAB Swedish Steel Series A 60,300 1,454,603 SSAB Swedish Steel Series B 17,100 405,107 Sweco AB Series B 23,450 427,288 * # Switchcore AB 154,820 49,893 * Teleca AB Series B 69,200 363,727 * Telelogic AB 196,200 460,160 * Ticket Travel Group AB 15,152 26,975 Trelleborg AB Series B 75,400 1,248,367 TV 4 AB Series A 22,200 418,231 * Uniflex AB Series B 3,630 25,084 * VBG AB Series B 271 4,374 # Wallenstam Byggnads AB Series B 16,700 668,283 * Wedins Norden AB Series B 280,000 30,375 * Westergyllen AB Series B 4,300 62,609 Whilborg Fastigheter AB Class B 164,145 3,261,797 Wilh. Sonesson AB Series A 4,160 15,919 Wilh. Sonesson AB Series B 4,160 14,837 WM-Data AB Series B 437,600 996,043 Xponcard Group AB 2,800 51,728 ------------------ TOTAL COMMON STOCKS (Cost $31,114,196) 52,095,418 ------------------ RIGHTS/WARRANTS -- (0.0%) * Active Biotech AB Rights 12/06/04 38,640 230 * Duroc AB Rights 11/08/04 2,700 0 * Nanook Investment Special Rights 250 0 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 230 ------------------ TOTAL -- SWEDEN (Cost $31,114,196) 52,095,648 ------------------
16
SHARES VALUE+ ------------ ------------------ NETHERLANDS -- (5.6%) COMMON STOCKS -- (5.6%) Aalberts Industries NV 25,910 1,063,468 Accell Group NV 5,260 279,951 * AFC Ajax NV 10,787 119,798 Airspray NV 3,800 95,811 AM NV 75,747 688,757 Arcadis NV 14,000 220,644 * ASM International NV 40,484 648,026 * Atag Group NV 4,630 1,784 Athlon Groep NV 34,250 783,312 Batenburg Beheer NV 3,000 120,999 * Begemann Groep NV 11,909 37,276 * Begemann Groep NV Series B 13,451 4,473 Beter Bed Holding NV 4,900 89,904 Boskalis Westminster NV 51,300 1,499,200 Brunel International NV 12,000 130,510 Buhrmann NV 112,817 1,007,851 * Crucell NV 33,880 407,173 # Draka Holding NV 24,283 300,384 * Econosto NV 17,305 33,643 # Eriks Group NV 9,483 501,554 Exact Holding NV 19,764 564,049 Fornix Biosciences NV 2,665 49,043 * # Fox Kids Europe NV 66,840 1,217,849 Gamma Holding NV 15,705 745,484 Gemeenschappeljk Bezit Crown van Gelder NV 12,000 257,173 * # Getronics NV 554,907 1,172,086 Grolsche NV 32,100 961,948 Grontmij NV 2,053 108,890 * # Hagemeyer NV 493,757 1,004,690 # Heijmans NV 19,031 586,905 ICT Automatisering NV 5,800 90,226 # Imtech NV 28,645 911,124 * # Ispat International NV 84,322 3,534,696 Kas Bank NV 42,888 847,054 * Kendrion NV 21,454 49,473 Koninklijke Bam NV 25,037 1,070,918 Koninklijke Frans Maas Groep NV 12,349 509,068 Koninklijke Nedlloyd NV 33,528 1,701,290 Koninklijke Ten Cate NV 11,531 784,169 # Koninklijke Vopak NV 50,371 1,088,020 * # Laurus NV 92,985 551,327 MacIntosh NV 15,590 484,765 * Maverix Capital NV 1,500 75,756 Nederlandsche Apparatenfabriek 14,000 511,407 NH Hoteles 21,703 260,057 Nutreco Holding NV 31,673 774,812 NV Holdingsmij de Telegraaf 42,524 1,012,196 Oce NV 96,974 1,449,687 Opg Groep NV Series A 12,903 702,454 * # Petroplus International NV 22,363 228,907
17 * Pharming Group NV 67,601 188,709 Pinkroccade NV 16,914 306,846 Randstad Holdings NV 21,290 818,369 Reesink NV 2,050 151,517 Roto Smeets de Boer NV 2,640 119,294 Rubber Cultuur Maatschappij Amsterdam NV 40,800 170,449 * Samas-Groep NV 24,184 163,659 * Semiconductor Industries NV 21,900 119,407 # Sligro Food Group Beheer 15,046 687,436 Smit Internationale NV 20,578 854,498 Stern Groep NV 1,236 47,775 Stork NV 34,021 1,091,265 * Textielgroep Twenthe NV 1,000 3,323 * Tulip Computers NV 53,860 15,040 Twentsche Kabel Holding NV 18,244 697,129 United Services Group NV 18,374 415,023 Univar NV 10,125 274,668 * # Van Der Mollen Holding NV 57,660 346,827 Vedior NV 21,796 365,984 * # Versatel Telecom International NV 376,079 999,570 * Wegener Arcade NV . 70,830 849,632 ------------------ TOTAL -- NETHERLANDS (Cost $21,941,138) 40,026,461 ------------------ FINLAND -- (5.5%) COMMON STOCKS -- (5.5%) Alandsbanken AB Series B 4,890 123,480 * Aldata Solutions Oyj 64,735 93,905 Alma Media Oyj 34,388 420,459 * Amanda Capital Oyj 180,700 45,728 Amer-Yhtymae Oyj Series A 25,370 1,345,755 Aspo P.L.C. 8,200 176,419 # Aspocomp Group P.L.C. 12,738 180,482 Basware Oyj 7,050 80,234 * Benefon Oy 1,900 380 * Biotie Therapies Oyj 39,754 55,020 Capman Oyj Series B 12,485 37,169 Chips Corp. Series B 17,750 534,411 * Componenta Oyj 5,400 38,659 # Comptel Oyj 149,541 380,110 Efore Oy 12,920 120,688 Elcoteq Network Corp. 21,260 511,801 Elektrobit Group Oyj 663,597 495,511 * Elisa Communications Corp. 74,525 1,237,543 * Eq Online Oyj 23,900 66,200 * Evox Rifa Group Oyj 51,210 6,797 Finnair Oyj 118,150 808,760 Finnlines Oyj 60,560 1,055,412 # Fiskars Oy AB Series A 41,270 753,976 * # F-Secure Oyj 140,928 342,884 # HK Ruokatalo Oy Series A 26,160 249,930
18 Honkarakenne Oy Series B 3,030 22,573 Huhtamaki Van Leer Oyj 125,650 1,838,464 Ilkka-Yhtyma Oyj 7,560 85,072 * Incap Oyj 11,000 29,275 J.W. Suominen Yhtyma Oy 17,955 102,768 Jaakko Poyry Group Oyj 14,610 391,522 KCI Konecranes International Oyj 13,800 639,204 * Kemira GrowHow Oyj 25,160 183,913 Kemira Oyj 118,400 1,638,806 # Kesko Oyj 32,060 745,591 Laennen Tehtaat Oy 5,870 94,359 # Lassila & Tikanoja Oyj 33,980 578,373 * Lassila & Tikanoja Oyj 6,796 115,675 # Lemminkainen Oy 16,600 394,466 Leo Longlife Oy 2,920 34,918 Martela Oy 530 9,439 Metsaemarkka Oyj Series B 700 7,085 New Kyro Corp. Oyj 91,340 460,984 Nokian Renkaat Oyj 12,180 1,751,041 Nordic Aluminium Oy 1,900 25,798 * Okmetic Oyj 16,204 57,169 Okobank Class A 101,080 1,405,268 Olvi Oyj Series A 3,320 58,803 Orion-Yhtyma Oyj Series A 41,180 650,902 Orion-Yhtyma Oyj Series B 60,920 967,283 Oy Stockmann AB Series B 30,200 919,549 Perlos P.L.C. Warrants 04/04/04 72,311 1,225,523 PK Cables Oyj 16,590 226,454 * Pmj Automec Oyj 23,910 22,290 Pohjola Group P.L.C. Series D 146,205 1,624,529 Ponsse Oyj 12,600 250,161 * Proha Oyj 51,232 32,062 Raisio Group P.L.C. Series V 118,423 299,404 Rakentajain Koneuvokrammo Oy 10,260 96,147 Ramirent Oyj 12,270 328,144 # Rapala VMC Oyj 36,040 273,212 Rautaruukki Oyj Series K 188,780 2,277,859 Raute Oy Series A 2,390 27,415 Rocla Oy 1,300 13,992 * Saunalahti Group Oyj 124,754 259,017 # Scanfil Oyj 63,879 411,959 Sponda Oyj 109,111 1,023,285 Stockmann Oyj AB 35,240 1,071,357 * Stonesoft Corp. 49,279 34,798 Sysopen P.L.C. 7,720 34,011 Talentum Oyj 18,300 150,963 * Tecnomen Holding Oyj 49,370 89,242 Teleste Corp. Oyi 14,699 111,711 Tulikivi Oyj 5,710 53,134 Turkistuottajat Oy 2,590 29,515 Uponor Oyj Series A 88,800 1,624,826 Vacon Oyj 14,537 227,242 Vaisala Oy Series A 19,050 501,864 Viking Line AB 10,360 324,190
19 # Wartsila Corp. Oyj Series B 66,460 2,306,907 Yit-Yhtymae Oyj 67,708 1,506,257 Yomi Oyj 15,450 142,373 ------------------ TOTAL -- FINLAND (Cost $21,865,536) 38,969,856 ------------------ GREECE -- (5.3%) COMMON STOCKS -- (5.3%) * A. Cambas Holding & Real Estate S.A. 45,937 147,207 * Aegek S.A. 99,835 91,564 * Agrotiki Insurance S.A. 34,455 128,777 Aktor Technical Co. S.A. 196,380 761,610 Alco Hellas ABEE S.A. 38,730 71,520 * Alfa Alfa Energy S.A. 3,810 10,943 Alfa-Beta Vassilopoulos S.A. 15,172 252,142 Alisida S.A. 2,160 10,231 * Allatini Industrial & Commercial Co. 15,370 25,012 Alte Technological Co. S.A. 85,048 32,768 * Altec Information & Communication Systems S.A. 80,278 46,934 Alumil Milonas S.A. 27,516 92,576 * Aluminum of Attica S.A. 104,982 40,455 Anek Lines S.A. 60,821 87,231 Arcadia Metal Industry C. Rokas S.A. 22,389 220,541 AS Co. S.A. 25,370 35,716 * Aspis Bank S.A. 45,604 156,621 * Aspis Pronia General Insurance S.A. 48,640 45,913 * Astir Palace Vouliagmenis S.A. 58,560 429,572 * Athens Medical Center S.A. 104,974 198,036 Athens Water Supply & Sewage Co. S.A. 53,245 367,140 Atlantic Super Market S.A. 13,640 24,526 Attica Enterprises S.A. Holdings 138,964 539,366 Attica Publications S.A. 16,674 101,891 Atti-Kat S.A. 88,984 53,300 Autohellas S.A. 44,980 185,566 Babis Vovos S.A. 50,982 774,287 Balafas Construction Holdings S.A. 15,200 4,450 Bank of Attica S.A. 115,721 657,908 Bank of Greece 9,296 1,176,042 Bank of Piraeus S.A. 163,829 2,573,981 Benrubi S.A. 11,121 199,458 Betanet S.A. 11,220 52,220 * Bitros Holdings S.A. 19,302 80,102 Byte Computers S.A. 17,230 47,610 Chipita S.A. 60,222 173,974 Commercial Bank of Greece 1,960 59,763 * Compucon Computer Applications S.A. 11,260 9,884 Computer Peripherals International S.A. 9,110 15,599 Cyclon Hellas S.A 18,131 18,082 Daios Plastics S.A. 16,350 125,687 Delta Holdings S.A. 33,747 256,002 Dionic S.A. 12,948 13,277
20 Domiki Krittis S.A. 17,730 18,399 Dynamic Life S.A. 16,440 33,883 Edrasi Psalllidas Technical Co. S.A. 31,108 35,569 Egnatia Bank S.A. 117,107 412,602 El. D. Mouzakis S.A. 31,653 31,995 Elais Oleaginous Production S.A. 16,707 387,801 * Elbisco Holding S.A. 56,000 429,207 Elektrak S.A. 14,040 33,943 Elektroniki of Athens S.A. 21,560 82,864 Elgeka S.A. 18,590 47,136 Elmec Sport S.A. 64,256 152,481 Elton S.A. 18,640 28,511 * Empedos SA 15,974 4,458 Ethniki General Insurance Co. S.A. 118,768 625,466 * Etma Rayon S.A. 11,242 17,310 * Euro Reliance General Insurance 14,830 21,981 Eurodrip S.A. 11,620 31,484 Euromedica S.A. 33,300 67,134 * Europaiki Techniki 32,750 10,011 Everest S.A. 30,730 87,882 Evrofarma S.A. 9,500 22,056 F.G. Europe SA Common Registered Shares 4,536 19,921 * Fanco S.A. 10,110 9,397 * Forthnet S.A. 17,510 119,112 * Fourlis S.A. 64,420 408,552 Frigoglass S.A. 49,990 216,556 G.Polyhronos S.A. 10,580 14,763 Galaxidi Fish S.A. 12,940 9,477 General Construction Co. S.A. 34,649 271,762 General Commercial & Industry 24,060 25,023 * General Hellenic Bank 35,139 341,980 Germanos S.A. 61,810 1,756,239 Goody's S.A. 17,740 306,473 Halkor S.A. 121,226 321,998 Hatziioannou S.A. 44,200 74,026 Hellas Can Packaging Manufacturers S.A. 27,902 289,021 * Hellenic Cables S.A. 26,908 36,793 Hellenic Duty Free Shops S.A. 80,020 1,406,449 Hellenic Fabrics S.A. 17,110 42,161 Hellenic Sugar Industry S.A. 35,750 195,957 Hellenic Technodomiki S.A. 163,867 727,782 Heracles General Cement Co. 93,293 1,096,454 Hermes Real Estate S.A. 23,136 113,299 * Hippotour S.A. 12,155 15,605 Hyatt Regency S.A. 130,260 1,439,981 Iaso S.A. 49,300 281,461 Iktinos Hellas S.A. 6,500 19,648 Inform P. Lykos S.A. 20,610 79,516 Informatics S.A. 18,890 7,275 * Intersat S.A. 19,392 9,021 Intertech S.A. 12,236 40,990 Intracom Constructions S.A. 30,520 40,190 Intracom S.A. 172,366 906,690 * Ionian Hotel Enterprises 16,754 215,512
21 Ipirotiki Software & Publications S.A. 14,380 33,073 * J Boutaris & Son Holding S.A. 28,150 34,376 J&P-Avax S.A. 100,626 571,941 Kalpinis Simos Steel Service Center 12,432 59,854 Karelia Tobacco Co., Inc. S.A. 2,160 172,235 Kathimerini S.A. 21,240 165,917 Katselis Sons S.A. 18,000 52,203 Kego S.A. 21,670 33,707 Kekrops S.A. 2,244 38,145 * Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 9,883 * Klonatex Group S.A. Bearer Shares 20,351 28,655 Kordellou Brothers S.A. 12,300 28,330 * Lambrakis Press S.A. 107,586 509,488 * Lampsa Hotel Co. 19,051 139,190 * Lan-Net S.A. 19,045 27,078 * Lavipharm S.A. 39,294 65,180 Lazarides Vineyards S.A. 18,326 32,810 Light Metals Industry 37,502 100,769 * Logic Dis S.A. 77,230 35,916 * Loulis Mills S.A. 15,382 38,755 * Mailis (M.J.) S.A. 101,594 470,613 * Maritime Company of Lesvos S.A. 30,753 15,120 * Maxim Knitwear Factory C.M. 16,360 8,730 Medicon Hellas S.A. 2,860 17,515 Mesochoritis Bros. Construction Co. 23,700 9,764 Metka S.A. 59,820 351,687 Michaniki S.A. 98,065 237,152 Minerva Knitwear 5,140 16,310 Minoan Lines S.A. 77,309 192,210 MLS Multimedia S.A. 8,300 18,528 Mochlos S.A. 101,679 52,756 Motor Oil (Hellas) Corinth Refineries S.A. 152,870 2,055,589 Mytilineos Holdings S.A. 47,000 357,260 * N. Levederis S.A. 8,355 8,236 N.B.G. Real Estate Development Co. 134,960 757,637 * Naoussa Spinning Mills S.A. 21,832 27,833 Naytemporiki S.A. 26,080 61,698 * Neochimiki Lv Lavrentiadis S.A. 20,750 101,598 * Neorion-Syro's Shipyards S.A. 27,210 35,029 Nexans Hellas S.A. 3,003 11,291 Nikas S.A. 25,287 141,805 Notos Com.Holdings S.A. 94,554 370,751 Pantechniki S.A. 50,460 78,428 * Pegasus Publishing & Printing S.A. 58,590 116,102 Persefs S.A. Health Care 23,592 25,437 Petros Petropoulos S.A. 7,360 53,809 * Petzetakis S.A. 22,560 67,967 * Pilias S.A. 103,584 24,758 Pipeworks L. Girakian Profil S.A. 11,730 23,895 Piraeus Leasing 5,765 49,143 * Prodeftiki Technical Co. 32,257 16,724 * Promota Hellas S.A. 26,580 16,290 Rilken S.A. 1,982 17,113 * Sanyo Hellas S.A. 59,251 69,282
22 Sarantis S.A. 43,940 264,084 Sato S.A. 28,850 27,966 Selected Textile Industry Assoc. S.A. 44,649 35,041 Sfakianakis S.A. 13,390 60,911 * Sheet Steel S.A. 25,850 10,696 * Shelman Hellenic-Swiss Wood S.A. 38,042 48,608 Silver and Baryte Ores Mining Co. S.A. 34,961 262,400 * Singular S.A. 54,600 169,888 Spyroy Agricultural House S.A. 22,258 24,588 * Stabilton S.A. 27,530 2,927 Strintzis Shipping Lines S.A. 131,240 148,407 Technical Olympic S.A. 180,370 987,825 * Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,891 Teletypos S.A. Mega Channel 36,227 174,972 Terna Tourist Technical & Maritime S.A. 63,180 541,931 Themeliodomi S.A. 37,422 61,175 Thrace Plastics Co. S.A. 45,500 79,276 Uncle Stathis S.A. 10,999 82,479 Unisystems S.A. 41,820 87,796 Vardas S.A. 13,780 44,497 * Varvaressos S.A. European Spinning Mills 7,200 8,320 * Veterin S.A. 18,984 66,279 Viohalco S.A. 296,585 2,587,202 Vioter S.A. 61,470 76,040 * Vis Container Manufacturing Co. 4,259 13,251 * Zampa S.A. 830 12,450 ------------------ TOTAL COMMON STOCKS (Cost $34,259,881) 37,775,206 ------------------ PREFERRED STOCKS -- (0.0%) Egnatia Bank S.A. 3,196 9,807 ------------------ (Cost $8,592) TOTAL -- GREECE (Cost $34,268,473) 37,785,013 ------------------ SPAIN -- (5.0%) COMMON STOCKS -- (5.0%) Abengoa SA 66,042 639,629 Adolfo Dominguez SA 3,700 80,698 Aldeasa SA 15,329 516,174 * Amper SA 56,800 311,566 * Avanzit SA 17,275 45,524 * # Azkoyen SA 52,500 464,363 Banco de Andalucia 9,800 919,248 Banco de Credito Balear SA 35,424 933,399 Banco de Valencia SA 191,814 5,136,773 Banco Guipuzcoano SA 21,194 675,968 Banco Pastor SA 34,300 1,119,684 * Baron de Ley SA 5,642 247,663 CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 599,733 Campofrio Alimentacion SA 92,800 1,461,714
23 Cementos Portland SA 16,881 944,200 Compania de Distribucion Integral Logista SA 29,600 1,374,099 Cortefiel SA 57,093 810,853 * Dogi International Fabrics SA 4,000 22,335 * Dogi International Fabrics SA 2,000 11,167 * Duro Felguera SA 10,860 99,409 Elecnor SA 18,300 1,017,119 * Ercros SA 100,518 48,141 * Espanola del Zinc SA 29,250 65,836 * Estacionamientos Urbanos SA 4,200 0 # Europistas Concesionaria Espanola SA 174,940 1,176,816 Faes Farma SA 36,107 636,016 Funespana SA 4,500 50,039 Grupo Empresarial Ence SA 18,593 563,817 * Grupo Picking Pack SA 145,775 95,036 Hullas del Coto Cortes 8,666 115,175 Iberpapel Gestion SA 6,700 134,507 Inbesos SA 8,050 48,441 Indo Internacional SA 33,600 281,617 Indra Sistemas SA 75,200 1,181,436 Inmobiliaria Colonial SA ICSA 35,200 1,355,135 Inmobiliaria del Sur SA 378 62,295 * Inmobiliaria del Sur SA Issue 2004 37 6,230 Inmobiliaria Urbis SA 80,282 1,104,320 Lingotes Especiales SA 22,080 138,228 * LSB (La Seda de Barcelona SA) Series B 32,010 81,040 * Mecalux SA 9,500 87,192 Metrovacesa SA 744 35,442 Miquel y Costas y Miquel SA 4,891 309,638 Natra SA 14,979 81,832 * Nicolas Correa SA 15,750 73,718 Obrascon Huarte Lain SA 65,366 534,057 Pescanova SA 26,443 541,895 Prosegur Cia de Seguridad SA 45,049 823,545 Recoletos Grupo de Comunicacion SA 95,420 737,379 Sol Melia SA 112,700 1,057,063 # SOS Cuetara SA 20,902 892,215 Tavex Algodonera SA 31,944 127,481 * Tecnocom Telecomunicaciones y Energia SA 6,300 49,611 # Tele Pizza SA 163,225 321,461 Transportes Azkar, SA 35,477 283,296 # Tubacex SA 73,130 176,224 Tubos Reunidos SA 12,466 114,285 Unipapel SA 41,935 995,207 * Unipapel SA Issue 04 2,329 55,289 * Uralita SA 338,493 1,597,993 Vidrala SA, Alava 47,040 947,895 Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 925,749 ------------------ TOTAL -- SPAIN (Cost $15,762,077) 35,343,910 ------------------
24 DENMARK -- (5.0%) COMMON STOCKS -- (5.0%) Aarhus Oliefabrik A.S. Aeries A 4,950 502,558 * Alm. Brand A.S. 28,360 994,557 # Amagerbanken A.S. 2,734 401,617 Ambu International A.S. Series B 1,500 35,713 Amtssparekassen Fyn A.S. 2,243 419,709 AS Dampskibsselsk Torm 49,460 2,183,069 Bang & Olufsen Holding A.S. Series B 13,387 848,495 * # Bavarian Nordic A.S. 4,930 515,877 * Brodrene Hartmann A.S. Series B 5,865 113,448 Bryggerigruppen A.S. 8,515 546,814 Christian Hansen Holding A.S. Series B 10,855 1,243,044 Codan A.S. 43,400 2,222,991 Dalhoff, Larsen & Hornemann A.S. Series B 1,370 94,428 Danware A.S. 4,185 78,056 DFDS A.S., Copenhagen 11,760 559,857 DiskontoBanken A.S. 713 165,333 DSV, De Sammensluttede Vognmaend A.S. 22,630 1,467,948 East Asiatic Co., Ltd. 22,723 1,160,009 Edb Gruppen A.S. 3,230 70,639 * Fimiston Resources & Technology Ltd. 400 5,437 * # FLS Industries 73,180 1,177,535 Fluegger A.S. Series B 2,913 239,810 Foras Holding A.S. Series A 13,292 172,663 Forstaedernes Bank 4,322 356,789 * Genmab A.S. 28,629 490,099 * Glunz & Jensen A.S. 1,470 8,560 GN Great Nordic A.S. 210,980 2,180,407 H&H International A.S. Series B 1,140 248,818 Harboes Bryggeri A.S. 575 195,529 Hedegaard (Peder P.) A.S. 660 53,324 Hojgaard Holding A.S. Series B 2,500 89,696 * IC Co. A.S. 3,510 52,227 * Incentive A.S. 3,575 11,832 * Jyske Bank A.S. 75,520 2,712,614 Kjobenhavns Sommer Tivoli A.S. 580 259,802 Koebenhavns Lufthavne 9,910 1,818,859 # Kompan A.S. 230 47,389 Lan & Spar Bank A.S. 2,250 120,408 Lollands Bank 150 34,885 * # Neurosearch A.S. 9,160 388,976 NKT Holding A.S. 30,245 791,224 Nordjyske Bank A.S. 920 185,213 * NTR Holdings A.S. 1,130 9,734 Oestjydsk Bank 400 51,566 Ove Arkil Series B 270 37,431 Per Aarsleff A.S. Series B 1,545 81,559 * Pharmexa A.S. 12,940 61,993 Ringkjobing Bank 1,670 148,647 # Ringkjobing Landbobank 1,620 639,367 Rockwool, Ltd. 24,520 1,180,659 * # RTX Telecom A.S. 8,400 83,563 Salling Bank 250 25,473
25 Sanistal A.S. Series B 1,786 129,639 * # SAS Danmark A.S. 34,300 285,324 Satair A.S. 1,350 28,102 Schouw & Co. A.S. 15,485 340,944 Simcorp A.S. 5,240 323,891 Sjaelso Gruppen A.S. 2,388 245,861 Skjern Bank A.S. 725 66,433 * Sondagsavisen A.S. 21,165 83,782 Spar Nord Holding 6,823 891,307 Sparbank Vest A.S. 6,600 344,469 Sparekassen Faaborg A.S. 481 158,996 Sydbank A.S. 8,172 1,551,616 Thrane & Thrane A.S. 5,258 219,443 * # TK Development 12,478 32,465 * Topdanmark A.S. 28,300 2,137,268 * Treka A.S. 8,498 150,420 Vestfyns Bank 200 26,137 Vestjysk Bank A.S. 10,800 413,474 VT Holdings Shares B 3,130 199,314 * Wessel & Vett Magasin du Nord A.S. Series C 2,102 61,261 ------------------ TOTAL COMMON STOCKS (Cost $17,197,739) 35,276,396 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 14,559 ------------------ (Cost $13,468) TOTAL -- DENMARK (Cost $17,211,207) 35,290,955 ------------------ NORWAY -- (4.6%) COMMON STOCKS -- (4.6%) * Aker Kvaerner OGEP ASA 45,609 1,166,166 * # Aker Yards AS 28,121 578,891 Aktiv Kapital ASA 57,017 1,173,036 Arendals Fosse Kompani ASA 100 9,674 * Blom ASA 18,367 18,299 Bonheur ASA 16,850 732,731 * Choice Hotel Scandinavia ASA 27,740 103,332 * Corrocean ASA 19,321 10,060 # Det Norske Oljeselskap ASA Series A 88,945 411,970 * # DOF ASA 97,006 314,255 * # EDB Elektronisk Data Behandling ASA 149,417 1,123,659 Ekornes ASA 56,490 1,319,504 * # Eltek ASA 40,842 425,378 Expert ASA 48,758 469,286 Farstad Shipping ASA 60,790 775,460 * # Fjord Seafood ASA 783,483 332,513 * # Fred Olsen Energy ASA 91,600 1,171,059 Ganger Rolf ASA 6,690 263,285 Gresvig ASA 4,590 30,808 * Home Invest ASA 15,077 12,316
26 # Kongsberg Gruppen ASA 49,500 709,074 Kverneland ASA 16,160 198,168 * # Merkantildata ASA 320,521 130,725 Natural ASA 10,143 65,943 # Nera ASA 187,753 500,478 * Nordic Semiconductor ASA 25,000 217,671 * Northern Offshore, Ltd. 214,000 97,867 * # Ocean Rig ASA 105,531 453,334 Odfjell ASA Series A 24,910 1,649,626 Olav Thon Eiendomsselskap ASA 8,320 502,698 * P4 Radio Hele Norge ASA 32,200 89,619 * Photocure ASA 26,690 200,883 Prosafe ASA 55,980 1,478,195 Rieber and Son ASA Series A 63,654 576,932 Schibsted ASA 112,960 3,140,732 * Sinvest ASA 6,220 18,340 Smedvig ASA Series A 83,580 1,259,758 * Software Innovation ASA 13,423 41,622 Solstad Offshore ASA 54,100 601,262 Steen and Stroem ASA 19,512 436,700 Storebrand ASA 183,330 1,632,445 Tandberg ASA Series A 217,280 2,463,681 * # Tandberg Data ASA 58,950 77,053 * Tandberg Storage ASA 48,450 19,422 * Tandberg Television ASA 90,430 696,180 * Telecomputing ASA 44,963 59,931 * # Tgs-Nopec Geophysical Co. ASA 40,910 944,697 Tomra Systems ASA 294,480 1,584,935 * Tybring-Gjed ASA 145,146 63,123 * Unit 4 Agresso NV 4,620 52,082 Veidekke ASA 21,846 325,025 Visma ASA 47,393 543,488 Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,381,028 ------------------ TOTAL COMMON STOCKS (Cost $18,720,500) 32,654,399 ------------------ RIGHTS/WARRANTS -- (0.0%) * Ementor ASA Rights 12/01/04 320,521 32,991 ------------------ (Cost $69,669) INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone 11,887 ------------------ (Cost $10,735) TOTAL -- NORWAY (Cost $18,800,904) 32,699,277 ------------------ BELGIUM -- (3.9%) COMMON STOCKS -- (3.9%) * Abfin SA 2,560 0 Ackermans & Van Haaren SA 32,186 1,092,987 * Arinso International NV 14,739 242,647
27 Banque Nationale de Belgique 710 3,005,926 Barco (New) NV 12,051 1,110,434 Bekaert SA 23,290 1,822,070 Brantano NV 2,060 112,344 Brederode SA 12,180 312,945 Carrieres Unies Porphyre 20 34,597 CFE (Compagnie Francois d'Entreprises) 2,080 686,191 Cie Martime Belge SA 8,237 2,386,893 Cofinimmo SA 9,778 1,565,740 Commerciale de Brasserie SA COBRHA 115 162,227 Deceuninck SA 63,700 1,932,919 D'Ieteren SA 5,831 1,103,575 Distrigaz 57 218,705 * Docpharma SA NV 4,489 206,344 Dolmen Computer Applications 1,476 21,445 Duvel Moorgat NV 5,019 163,212 EVS Broadcast Equipment SA 1,100 116,198 Exmar NV 3,677 213,706 Floridienne NV 2,033 154,314 Glaces de Moustier-sur-Sambre SA 13,370 558,734 * ICOS Vision Systems Corp. NV 6,053 143,369 * Immobel (Cie Immobiliere de Belgique SA) 4,600 216,282 * Innogenetics NV 1,572 28,052 * Integrated Production & Test Engineering NV 4,380 18,158 * Ion Beam Application SA 23,058 249,525 * Ipso-Ilg SA 5,990 58,242 Keytrade Bank SA 2,800 86,096 Kinepolis Group NV 5,020 166,799 Lotus Bakeries NV 650 83,972 * Melexis NV 47,001 595,069 Metiers Automatiques Picanol 16,120 386,237 * Neuhaus NV 670 36,047 Nord-Sumatra Investissements SA 650 198,885 Omega Pharma SA 26,708 1,367,112 * Option NV 5,619 195,477 Papeteries de Catala SA 315 35,585 Quick Restaurants SA 19,501 342,399 * # Real Software SA 10,280 9,164 Recticel SA 22,870 263,415 Resilux NV 1,754 114,145 Rosier SA 655 103,340 Roularta Media Groep 9,837 650,933 * Sait Radioholland 7,313 47,917 Sapec SA 3,635 305,625 * Sapec SA VVPR 75 409 Sioen Industries 21,502 273,718 * SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,545 260,820 * Solvus SA 38,344 712,455 * Solvus SA Interim Strip VVPR 18,176 242 Spector Photo Group SA 5,408 52,785 * Systemat SA 6,330 49,306 Telindus Group SA 39,392 403,833 Ter Beke NV 2,281 183,399
28 Tessenderlo Chemie 28,984 1,207,984 UNIBRA 1,600 155,732 Union Miniere SA 9,586 867,986 Van de Velde NV 2,683 413,286 VPK Packaging Group SA 7,185 234,423 Warehouses de Pauw Sicafi 6,608 298,116 TOTAL COMMON STOCKS (Cost $16,342,460) 28,040,492 ------------------ RIGHTS/WARRANTS -- (0.0%) * Belge des Betons Contingent Rights 8,500 0 ------------------ (Cost $0) TOTAL -- BELGIUM (Cost $16,342,460) 28,040,492 ------------------ AUSTRIA -- (3.1%) COMMON STOCKS -- (3.1%) Andritz AG 13,609 955,807 * Austria Email AG 715 3,554 * Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 561,704 Bank Fuer Kaernten und Steiermark AG 520 64,618 * # Betandwin.com Interactive Entertainment AG 12,749 356,931 Bohler Uddeholm AG 11,195 1,326,871 BWT AG 21,819 755,555 * Ca Immobilien Invest AG 34,838 926,602 Constantia-Verpackungen AG 19,123 503,472 * Demeter Vermoegensverwaltung 15,000 0 Flughafen Wien AG 25,698 1,845,515 * Immofinanz Immobilien Anlagen AG 165,130 1,521,265 Lenzing AG 3,948 902,834 Manner (Josef) & Co. AG 870 42,146 Mayr-Melnhof Karton AG 11,760 1,881,113 Oberbank AG 5,384 562,737 Palfinger AG 10,383 502,625 * RHI AG, Wien 19,649 527,737 Rosenbauer International AG 1,530 109,226 * Sparkassen Immobilien AG 29,760 319,732 Ubm Realitaetenentwicklung AG 1,440 52,105 Uniqa Versicherungen AG 128,555 1,770,339 * # VA Technologie AG 17,392 1,356,003 Voestalpine AG 30,095 2,152,803 Wienerberger AG 63,642 2,831,163 * Wolford AG 4,900 116,524 TOTAL COMMON STOCKS (Cost $12,188,779) 21,948,981 ------------------ RIGHTS/WARRANTS -- (0.0%) * Jenbacher AG Rights 03/31/08 7,860 0 * Sparkassen Immobilien AG Profit Share Certificate Rights 10/28/04 29,760 395
29 * Sparkassen Immobilien AG Rights 10/28/04 29,760 395 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 790 ------------------ TOTAL -- AUSTRIA (Cost $12,188,779) 21,949,771 ------------------ IRELAND -- (2.5%) COMMON STOCKS -- (2.5%) Abbey P.L.C. 25,557 271,655 * Arcon International Resources P.L.C. 14,375 7,072 * Ardagh P.L.C. 14,262 35,185 DCC P.L.C. 91,965 1,926,902 * Dragon Oil P.L.C. 159,204 164,813 FBD Holdings P.L.C. 10,822 267,522 Fyffes P.L.C. 380,502 1,052,182 Glanbia P.L.C. 321,765 1,156,208 Grafton Group P.L.C. 253,939 2,575,097 Greencore Group P.L.C. 218,422 841,849 Heiton Holdings P.L.C. 51,677 484,201 * Horizon Technology Group P.L.C. 19,455 28,530 IAWS Group P.L.C. 105,879 1,554,576 IFG Group P.L.C. 52,309 54,894 Independent News & Media P.L.C. 645,069 1,912,359 * Iona Technologies P.L.C. 21,281 111,158 Irish Intercontental Group P.L.C. 18,872 280,648 * IWP International P.L.C. 39,611 9,476 Jurys Hotel Group P.L.C. 69,061 1,073,157 Kingspan Group P.L.C. 183,188 1,638,520 McInerney Holdings P.L.C. 33,991 273,312 Paddy Power P.L.C. 49,663 715,367 Readymix P.L.C. 109,762 262,582 United Drug P.L.C. 190,860 870,122 * Waterford Wedgwood P.L.C. 1,026,650 107,853 ------------------ TOTAL -- IRELAND (Cost $9,337,566) 17,675,240 ------------------ PORTUGAL -- (1.6%) COMMON STOCKS -- (1.6%) * Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 281,248 Efacec Capital SGPS SA 60,600 188,237 * Gescartao SGPS SA 3,064 43,095 Ibersol SGPS SA 14,462 89,384 * Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,307,460 * Investimentos Participacoes e Gestao SA Inapa 43,702 159,387 Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho * Administracao e Participacoes Financeiros SA) 170,757 2,172,482 Mota-Engil SGPS SA 250,900 609,574 * Novabase SGPS 56,005 451,259
30 * ParaRede-SGPS SA 44,939 22,157 Portucel-Empresa Produtora de Pasta de Papel SA 466,977 951,402 Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 398,057 Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 275,754 * Sociedad Construcoes Soares da Costa SA 19,200 48,750 Sociedade de Investimento e Gestao SGPS SA 160,396 885,790 Sonae SGPS SA 1,079,900 1,421,066 * Sonaecom SGPS SA 321,175 1,509,706 Teixeira Duarte Engenharia e Construcoes SA 609,000 898,593 ------------------ TOTAL -- PORTUGAL (Cost $6,643,075) 11,713,401 ------------------ UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Epicor Software Corp. 2,171 34,237 * InFocus Corp. 10,455 70,048 ------------------ TOTAL -- UNITED STATES (Cost $214,919) 104,285 ------------------
VALUE+ ------------------ EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency 67,307 ------------------ (Cost $64,998) FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (8.9%) Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04 (Collateralized by $60,319,792 U.S. Treasury Note 1.625%, 03/31/05, valued at $60,194,931) to be repurchased at $60,198,191 (Cost $60,194,930) ^ 60,195 60,194,930 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $3,177,000 FNMA Notes 2.95%, 11/14/07, valued at $3,181,457) to be repurchased at $3,137,164 (Cost $3,137,000) 3,137 3,137,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $63,331,930) 63,331,930 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $454,300,691) $ 713,040,922 ------------------
- ---------- + See Note B to Financial Statements. 31 * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 32 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
THE U.S. THE U.S. THE U.S. THE DFA LARGE LARGE CAP SMALL INTERNATIONAL COMPANY VALUE CAP VALUE SERIES SERIES SERIES SERIES ------------ ------------ ------------ ------------- ASSETS: Investments at Value (including $365,201, $450,016, $156,464 and $166,414 of securities on loan, respectively) $ 3,863,486 $ 4,386,085 $ 2,498,157 $ 3,014,121 Cash 4,320 2 -- 15 Receivables: Investment Securities Sold -- -- 5,363 39,221 Dividends, Interest, and Tax Reclaims 16,343 7,596 1,040 5,868 Securities Lending 23 20 147 82 Fund Shares Sold 3,420 4,261 106,707 4,249 Prepaid Expenses and Other Assets 2 2 1 1 ------------ ------------ ------------ ------------- Total Assets 3,887,594 4,397,966 2,611,415 3,063,557 ------------ ------------ ------------ ------------- LIABILITIES: Payables: Upon Return of Securities Loaned 380,579 469,590 166,767 180,000 Investment Securities Purchased -- 7,933 18,127 78,844 Fund Shares Redeemed 12,686 1 105,251 19 Due to Advisor 73 318 56 450 Payable for Futures Margin Variation 128 -- -- -- Accrued Expenses and Other Liabilities 209 211 124 201 ------------ ------------ ------------ ------------- Total Liabilities 393,675 478,053 290,325 259,514 ------------ ------------ ------------ ------------ NET ASSETS $ 3,493,919 $ 3,919,913 $ 2,321,090 $ 2,804,043 ============ ============ ============ ============= SHARES OUTSTANDING $.01 PAR VALUE N/A 211,325,458 144,271,555 174,867,617 ============ ============ ============ ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE N/A $ 18.55 $ 16.09 $ 16.04 ============ ============ ============ ============= Investments at Cost $ 3,052,709 $ 3,546,521 $ 2,130,664 $ 2,345,082 ============ ============ ============ ============= THE THE JAPANESE THE PACIFIC THE UNITED CONTINENTAL SMALL RIM SMALL KINGDOM SMALL SMALL COMPANY COMPANY COMPANY COMPANY SERIES SERIES SERIES SERIES ------------ ------------ ------------ ------------ ASSETS: Investments at Value (including $155,648, $29,601, $0 and $53,654 of securities on loan, respectively) $ 772,092 $ 316,726 $ 381,714 $ 713,041 Cash 15 15 15 15 Receivables: Investment Securities Sold 202 1,256 5 858 Dividends, Interest, and Tax Reclaims 1,970 347 530 821 Securities Lending 206 40 -- 60 Fund Shares Sold 6,826 2,251 3,646 318 Prepaid Expenses and Other Assets 2 -- -- -- ------------ ------------ ------------ ------------- Total Assets 781,313 320,635 385,910 715,113 ------------ ------------ ------------ ------------- LIABILITIES: Payables: Upon Return of Securities Loaned 166,179 37,129 -- 60,195 Investment Securities Purchased 9,868 426 8,057 136 Due to Advisor 49 23 30 52 Accrued Expenses and Other Liabilities 85 58 60 86 ------------ ------------ ------------ ------------- Total Liabilities 176,181 37,636 8,147 60,469 ------------ ------------ ------------ ------------- NET ASSETS $ 605,132 $ 282,999 $ 377,763 $ 654,644 ============ ============ ============ ============= Investments at Cost $ 803,307 $ 293,170 $ 284,903 $ 454,301 ============ ============ ============ =============
See accompanying Notes to Financial Statements. 103 STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS)
THE U.S. THE U.S. THE U.S. THE DFA LARGE LARGE CAP SMALL INTERNATIONAL COMPANY VALUE CAP VALUE SERIES SERIES SERIES SERIES ------------ ------------ ------------ ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $5,119, respectively) $ 66,149 $ 48,899 $ 14,978 $ 52,733 Interest 661 453 295 318 Income from Securities Lending 356 375 1,132 2,413 ------------ ------------ ------------ ------------- Total Investment Income 67,166 49,727 16,405 55,464 ------------ ------------ ------------ ------------- EXPENSES Investment Advisory Services 823 3,190 534 4,209 Accounting & Transfer Agent Fees 494 952 531 1,022 Custodian Fees 108 303 169 570 Legal Fees 29 21 12 20 Audit Fees 43 47 23 28 S&P 500 Fees 80 -- -- -- Shareholders' Reports 36 43 24 14 Trustees' Fees and Expenses 33 27 9 9 Other 58 51 31 67 ------------ ------------ ------------ ------------- Total Expenses 1,704 4,634 1,333 5,939 ------------ ------------ ------------ ------------- NET INVESTMENT INCOME (LOSS) 65,462 45,093 15,072 49,525 ------------ ------------ ------------ ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (2,763) 84,609 113,151 115,062 Net Realized Gain (Loss) on Futures 9,374 -- -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- (332) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 317,965 496,658 180,068 436,284 Futures 714 -- -- -- Translation of Foreign Currency Denominated Amounts -- -- -- 162 ------------ ------------ ------------ ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 325,290 581,267 293,219 551,176 ------------ ------------ ------------ ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 390,752 $ 626,360 $ 308,291 $ 600,701 ============ ============ ============ =============
See accompanying Notes to Financial Statements. 104
THE THE JAPANESE THE PACIFIC THE UNITED CONTINENTAL SMALL RIM SMALL KINGDOM SMALL SMALL COMPANY COMPANY COMPANY COMPANY SERIES SERIES SERIES SERIES ------------ ------------ ------------- ------------ INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $430, $214, $786 and $1,719, respectively) $ 5,742 $ 7,953 $ 8,331 $ 11,809 Interest 89 41 63 78 Income from Securities Lending 1,854 348 -- 952 ------------ ------------ ------------ ------------- Total Investment Income 7,685 8,342 8,394 12,839 ------------ ------------ ------------ ------------- EXPENSES Investment Advisory Services 448 202 283 547 Accounting & Transfer Agent Fees 485 259 359 549 Custodian Fees 226 179 102 283 Legal Fees 5 -- 2 7 Audit Fees 8 1 4 9 Shareholders' Reports 5 -- 3 6 Trustees' Fees and Expenses 4 2 2 5 Other 16 6 8 23 ------------ ------------ ------------ ------------- Total Expenses 1,197 649 763 1,429 ------------ ------------ ------------ ------------- NET INVESTMENT INCOME (LOSS) 6,488 7,693 7,631 11,410 ------------ ------------ ------------ ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 4,671 8,924 7,907 20,346 Net Realized Gain (Loss) on Foreign Currency Transactions (28) 69 (42) 114 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 101,600 37,804 56,621 139,855 Translation of Foreign Currency Denominated Amounts 127 16 (12) (20) ------------ ------------ ------------ ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 106,370 46,813 64,474 160,295 ------------ ------------ ------------ ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 112,858 $ 54,506 $ 72,105 $ 171,705 ============ ============ ============ =============
See accompanying Notes to Financial Statements. 105 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE U.S. LARGE THE U.S. LARGE COMPANY SERIES CAP VALUE SERIES --------------------------- --------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 65,462 $ 45,762 $ 45,093 $ 31,384 Net Realized Gain (Loss) on Investment Securities Sold (2,763) (137,474) 84,609 (48,309) Net Realized Gain (Loss) on Futures 9,374 9,903 -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 317,965 447,952 496,658 415,785 Translation of Foreign Currency Denominated Amounts -- -- -- -- Futures 714 (3,012) -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 390,752 363,131 626,360 398,860 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income -- -- (33,641) (31,464) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ------------ ------------ ------------ ------------ Total Distributions -- -- (33,641) (31,464) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued -- -- 857,913 495,839 Shares Issued in Lieu of Cash Distributions -- -- 32,697 31,027 Shares Redeemed -- -- (74,078) (121,409) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions -- -- 816,532 405,457 ------------ ------------ ------------ ------------ Transactions in Interest: Contributions 571,038 547,508 -- -- Withdrawals (468,868) (533,199) -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) from Transactions in Interest 102,170 14,309 -- -- ------------ ------------ ------------ ------------ Total Increase (Decrease) 492,922 377,440 1,409,251 772,853 NET ASSETS Beginning of Period 3,000,997 2,623,557 2,510,662 1,737,809 ------------ ------------ ------------ ------------ End of Period $ 3,493,919 $ 3,000,997 $ 3,919,913 $ 2,510,662 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 50,791 36,572 Shares Issued in Lieu of Cash Distributions N/A N/A 1,939 2,270 Shares Redeemed (4,363) (9,461) ------------ ------------ 48,367 29,381 ============ ============ THE DFA THE U.S. SMALL INTERNATIONAL CAP SERIES VALUE SERIES --------------------------- --------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 15,072 $ 8,625 $ 49,525 $ 31,730 Net Realized Gain (Loss) on Investment Securities Sold 113,151 11,512 115,062 (3,540) Net Realized Gain (Loss) on Futures -- -- -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (332) 205 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 180,068 370,338 436,284 379,196 Translation of Foreign Currency Denominated Amounts -- -- 162 114 Futures -- -- -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 308,291 390,475 600,701 407,705 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (10,116) (8,820) (44,310) (30,082) Net Short-Term Gains (638) -- -- -- Net Long-Term Gains -- -- -- (1,177) ------------ ------------ ------------ ------------ Total Distributions (10,754) (8,820) (44,310) (31,259) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 890,063 397,476 728,312 542,740 Shares Issued in Lieu of Cash Distributions 10,424 8,584 42,852 31,258 Shares Redeemed (345,420) (171,130) (128,290) (471,133) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 555,067 234,930 642,874 102,865 ------------ ------------ ------------ ------------ Transactions in Interest: Contributions -- -- -- -- Withdrawals -- -- -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) from Transactions in Interest -- -- -- -- ------------ ------------ ------------ ------------ Total Increase (Decrease) 852,604 616,585 1,199,265 479,311 NET ASSETS Beginning of Period 1,468,486 851,901 1,604,778 1,125,467 ------------ ------------ ------------ ------------ End of Period $ 2,321,090 $ 1,468,486 $ 2,804,043 $ 1,604,778 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 60,867 34,898 51,724 53,795 Shares Issued in Lieu of Cash Distributions 728 658 3,072 2,986 Shares Redeemed (23,461) (15,197) (9,358) (47,941) ------------ ------------ ------------ ------------ 38,134 20,359 45,438 8,840 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 106
THE JAPANESE THE PACIFIC RIM SMALL COMPANY SMALL COMPANY SERIES SERIES --------------------------- --------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 6,488 $ 3,245 $ 7,693 $ 4,147 Net Realized Gain (Loss) on Investment Securities Sold 4,671 (18,120) 8,924 (436) Net Realized Gain (Loss) on Foreign Currency Transactions (28) 54 69 18 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 101,600 101,101 37,804 56,281 Translation of Foreign Currency Denominated Amounts 127 16 16 4 ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 112,858 86,296 54,506 60,014 ------------ ------------ ------------ ------------ Transactions in Interest: Contributions 214,817 53,153 82,852 25,155 Withdrawals (6,242) (50,797) (11,124) (50,041) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Transactions in Interest 208,575 2,356 71,728 (24,886) ------------ ------------ ------------ ------------ Total Increase (Decrease) 321,433 88,652 126,234 35,128 NET ASSETS Beginning of Period 283,699 195,047 156,765 121,637 ------------ ------------ ------------ ------------ End of Period $ 605,132 $ 283,699 $ 282,999 $ 156,765 ============ ============ ============ ============ THE UNITED KINGDOM THE CONTINENTAL SMALL COMPANY SMALL COMPANY SERIES SERIES --------------------------- --------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 7,631 $ 3,789 $ 11,410 $ 7,753 Net Realized Gain (Loss) on Investment Securities Sold 7,907 (1,016) 20,346 12,045 Net Realized Gain (Loss) on Foreign Currency Transactions (42) 30 114 315 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 56,621 42,580 139,855 120,867 Translation of Foreign Currency Denominated Amounts (12) 5 (20) 69 ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 72,105 45,388 171,705 141,049 ------------ ------------ ------------ ------------ Transactions in Interest: Contributions 148,279 41,630 70,258 97,585 Withdrawals (3,538) (25,000) (35,726) (53,295) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Transactions in Interest 144,741 16,630 34,532 44,290 ------------ ------------ ------------ ------------ Total Increase (Decrease) 216,846 62,018 206,237 185,339 NET ASSETS Beginning of Period 160,917 98,899 448,407 263,068 ------------ ------------ ------------ ------------ End of Period $ 377,763 $ 160,917 $ 654,644 $ 448,407 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 107 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE COMPANY SERIES -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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+ ============================================================================================================================== Total Return 12.77% 15.05% (16.59)% (12.30)% (4.25)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 Ratio of Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.06% Ratio of Net Investment Income to Average Net Assets 1.99% 1.75% 1.53% 1.26% 1.12% Portfolio Turnover Rate 2% 8% 11% 8% 8% THE U.S. LARGE CAP VALUE SERIES -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.23 0.21 0.20 0.25 0.33 Net Gains (Losses) on Securities (Realized and Unrealized) 3.09 2.41 (1.43) 1.25 0.04 ------------ ------------ ------------ ------------ ------------ Total From Investment Operations 3.32 2.62 (1.23) 1.50 0.37 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.18) (0.22) (0.20) (0.27) (0.32) Net Realized Gains -- -- -- (1.50) (3.13) ------------ ------------ ------------ ------------ ------------ Total Distributions (0.18) (0.22) (0.20) (1.77) (3.45) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 ============================================================================================================================== Total Return 21.68% 20.34% (8.64)% 10.97% 3.06% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 Ratio of Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets 1.41% 1.62% 1.49% 1.66% 2.20% Portfolio Turnover Rate 7% 7% 9% 6% 26%
N/A+ Not applicable as The U.S. Large Company Series is organized as a partnership and does not have a unitized value. See accompanying Notes to Financial Statements. 108
THE U.S. SMALL CAP SERIES -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.08 0.09 0.10 0.11 Net Gains (Losses) on Securities (Realized and Unrealized) 2.22 3.92 (1.00) 1.24 0.65 ------------ ------------ ------------ ------------ ------------ Total From Investment Operations 2.34 4.00 (0.91) 1.34 0.76 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.08) (0.09) (0.10) (0.10) (0.11) Net Realized Gains (0.01) -- (0.14) (1.83) (1.22) ------------ ------------ ------------ ------------ ------------ Total Distributions (0.09) (0.09) (0.24) (1.93) (1.33) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67 ============================================================================================================================== Total Return 16.99% 40.32% (8.42)% 13.08% 6.48% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151 Ratio of Expenses to Average Net Assets 0.07% 0.08% 0.08% 0.08% 0.08% Ratio of Net Investment Income to Average Net Assets 0.85% 0.84% 0.81% 0.94% 0.99% Portfolio Turnover Rate 16% 16% 34% 13% 38% THE DFA INTERNATIONAL VALUE SERIES -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.33 0.27 0.24 0.27 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) 3.61 3.06 (0.78) (1.49) (0.31) ------------ ------------ ------------ ------------ ------------ Total From Investment Operations 3.94 3.33 (0.54) (1.22) (0.04) - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.30) (0.25) (0.25) (0.27) (0.26) Net Realized Gains -- (0.01) (0.03) (0.43) (0.81) ------------ ------------ ------------ ------------ ------------ Total Distributions (0.30) (0.26) (0.28) (0.70) (1.07) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 ============================================================================================================================== Total Return 32.15% 36.24% (5.53)% (10.75)% (0.51)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 Ratio of Expenses to Average Net Assets 0.28% 0.30% 0.30% 0.29% 29.00% Ratio of Net Investment Income to Average Net Assets 2.35% 2.61% 2.36% 2.32% 2.13% Portfolio Turnover Rate 15% 14% 18% 6% 9%
See accompanying Notes to Financial Statements. 109
THE JAPANESE SMALL COMPANY SERIES -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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+ ============================================================================================================================== Total Return 32.73% 47.87% (9.62)% (13.51)% (9.93)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118 Ratio of Expenses to Average Net Assets 0.27% 0.28% 0.27% 0.28% 0.27% Ratio of Net Investment Income to Average Net Assets 1.45% 1.41% 1.26% 1.41% 1.38% Portfolio Turnover Rate 5% 16% 5% 9% 6% THE PACIFIC RIM SMALL COMPANY SERIES -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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+ ============================================================================================================================== Total Return 27.40% 61.47% 7.28% 2.84% (10.99)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888 Ratio of Expenses to Average Net Assets 0.32% 0.31% 0.32% 0.28% 0.29% Ratio of Net Investment Income to Average Net Assets 3.82% 3.35% 3.77% 3.69% 4.10% Portfolio Turnover Rate 11% 15% 26% 10% 7%
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim Small Company Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 110
THE UNITED KINGDOM SMALL COMPANY SERIES -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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+ ============================================================================================================================== Total Return 29.68% 44.65% (4.67)% (4.89)% (6.18)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806 Ratio of Expenses to Average Net Assets 0.27% 0.26% 0.26% 0.27% 0.26% Ratio of Net Investment Income to Average Net Assets 2.70% 3.25% 3.03% 2.86% 3.06% Portfolio Turnover Rate 7% 7% 6% 14% 11% THE CONTINENTAL SMALL COMPANY SERIES -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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+ ============================================================================================================================== Total Return 36.57% 52.86% 3.22% (5.43)% 2.67% - ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724 Ratio of Expenses to Average Net Assets 0.26% 0.30% 0.31% 0.30% 0.28% Ratio of Net Investment Income to Average Net Assets 2.09% 2.49% 2.22% 2.73% 2.36% Portfolio Turnover Rate 9% 11% 12% 12% 9%
N/A+ Not applicable as The United Kingdom Small Company Series and The Continental Small Company Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 111 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. At November 30, 2004, the Trust consisted of twenty-one investment portfolios, of which eight are included in this section of the report and three are presented elsewhere in this report (collectively, the "Series"): The U.S. Large Company Series The U.S. Large Cap Value Series The U.S. Small Cap Series (the "Domestic Equity Portfolios") The DFA International Value Series The Japanese Small Company Series The Pacific Rim Small Company Series The United Kingdom Small Company Series The Continental Small Company Series (the "International Equity Portfolios") B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operation during the reporting period. Actual results could differ from those estimates and those differences could be material. 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. Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values the securities at the mean between the most recent bid and asked prices. Securities held by the International Equity Portfolios that 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 available are valued at the mean between the quoted bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial 112 markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Boards of Directors/Trustees of the Funds have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Funds utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Fund. When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. 2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities of the International Equity Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Trustees' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. 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 utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust or Series are allocated using methods approved by the Board of Trustees, generally based on average net assets. The International Equity Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The International Equity Portfolios accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales of foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. 113 C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Trust. For the year ended November 30, 2004, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates: The U.S. Large Company Series 0.025 of 1% The U.S. Large Cap Value Series 0.10 of 1% The U.S. Small Cap Series 0.03 of 1% The DFA International Value Series 0.20 of 1% The Japanese Small Company Series 0.10 of 1% The Pacific Rim Small Company Series 0.10 of 1% The United Kingdom Small Company Series 0.10 of 1% The Continental Small Company Series 0.10 of 1%
Certain officers of the Trust are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At November 30, 2004, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The U.S. Large Company Series $ 55,348 The U.S. Large Cap Value Series 52,268 The U.S. Small Cap Series 28,911 The DFA International Value Series 33,960 The Japanese Small Company Series 7,191 The Pacific Rim Small Company Series 3,222 The United Kingdom Small Company Series 4,597 The Continental Small Company Series 9,063
E. PURCHASE AND SALES OF SECURITIES: For the year ended November 30, 2004, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
OTHER INVESTMENT SECURITIES ------------------------ PURCHASES SALES ------------ --------- The U.S. Large Company Series $ 226,523 $ 62,048 The U.S. Large Cap Value Series 1,043,610 211,695 The U.S. Small Cap Series 812,693 280,940 The DFA International Value Series 966,299 308,148 The Japanese Small Company Series 230,758 20,708 The Pacific Rim Small Company Series 101,051 21,708 The United Kingdom Small Company Series 136,795 19,199 The Continental Small Company Series 95,467 46,846
There were no purchases or sales of U.S. Government Securities during the year ended November 30, 2004. F. FEDERAL INCOME TAXES: It is the intention of The U.S. Large Cap Value Series, The U.S. Small Cap Series, and The DFA International Value Series, to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and to distribute substantially all of their taxable income and capital gains to shareholders. 114 The U.S. Large Company Series, The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small Company Series, and The Continental Small Company Series, are treated as partnerships for federal income tax purposes and therefore, no provision for federal income taxes is required. Any interest, dividends, and gains or losses have been deemed to have been "passed down" to their Feeder Funds. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in-capital, accumulated net realized gain or accumulated net investment income, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of November 30, 2004, primarily attributable to realized net foreign currency gains/losses, which for tax purposes, are not available to offset future income, were reclassified to the following accounts (amounts in thousands):
INCREASE INCREASE (DECREASE) (DECREASE) ACCUMULATED UNDISTRIBUTED NET REALIZED NET INVESTMENT GAINS (LOSSES) INCOME -------------- -------------- The DFA International Value Series $ (11,672) $ 11,672
These reclassifications had no effect on net assets or net asset value per share. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- --------- The U.S. Large Cap Value Series 2004 $ 33,641 -- $ 33,641 2003 31,464 -- 31,464 The U.S. Small Cap Series 2004 10,754 -- 10,754 2003 8,820 -- 8,820 The DFA International Value Series 2004 44,310 -- 44,310 2003 30,082 $ 1,177 31,259
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. As of November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED EARNINGS NET INVESTMENT LONG-TERM (ACCUMULATED INCOME CAPITAL GAINS LOSSES) -------------- ------------- ------------- The U.S. Large Cap Value Series $ 13,203 $ 3,947 $ 17,150 The U.S. Small Cap Series 23,732 94,427 118,159 The DFA International Value Series 22,727 104,819 127,546
115 During the year ended November 30, 2004, the following Series utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes in the following approximate amounts: The U.S. Large Cap Value Series $ 80,662,000 The DFA International Value Series 3,507,000
Certain of The DFA International Value Series' investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation/(depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. At November 30, 2004, the Series had unrealized appreciation/(depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $10,083,171 and $12,003,955 respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. At November 30, 2004, the total cost of securities and net realized gains or losses on securities sold for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Series, at November 30, 2004 were as follows (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- The U.S. Large Company Series $ 3,213,488 $ 1,038,480 $ (388,482) $ 649,998 The U.S. Large Cap Value Series 3,546,521 1,009,036 (169,472) 839,564 The U.S. Small Cap Series 2,133,706 578,316 (213,865) 364,451 The DFA International Value Series 2,355,353 738,191 (79,423) 658,768 The Japanese Small Company Series 810,005 88,467 (126,380) (37,913) The Pacific Rim Small Company Series 294,690 47,764 (25,728) 22,036 The United Kingdom Small Company Series 286,339 120,108 (24,733) 95,375 The Continental Small Company Series 457,571 287,262 (31,792) 255,470
116 G. COMPONENTS OF NET ASSETS: At November 30, 2004, net assets consisted of (amounts in thousands):
UNREALIZED ACCUMULATED ACCUMULATED APPRECIATION UNREALIZED NET NET REALIZED (DEPRECIATION)OF NET FOREIGN INVESTMENT ACCUMULATED FOREIGN INVESTMENT EXCHANGE PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND GAIN CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY (LOSS) ----------- ----------- ------------ ------------ ---------------- ----------- The U.S. Large Cap Value Series $ 3,063,388 $ 13,157 $ 3,803 -- $ 839,565 -- The U.S. Small Cap Series 1,838,985 5,149 109,463 -- 367,493 -- The DFA International Value Series 2,017,396 18,196 99,382 $ (332) 669,039 $ 362 NUMBER OF TOTAL NET SHARES ASSETS AUTHORIZED ----------- ----------- The U.S. Large Cap Value Series $ 3,919,913 Unlimited The U.S. Small Cap Series 2,321,090 Unlimited The DFA International Value Series 2,804,043 Unlimited
H. FINANCIAL INSTRUMENTS: In accordance with the Series' investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty 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 with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on November 30, 2004. 2. 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 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 Series may be inhibited. 3. FUTURES CONTRACTS: During the year ended November 30, 2004, The U.S. Large Company Series ("Large Company") entered into futures contracts in accordance with its investment objectives. Upon entering into a futures contract, Large Company 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 Large Company as unrealized gains or losses until the contracts are closed. When the contracts are closed, Large Company 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 November 30, 2004, Large Company had outstanding 270 long futures contracts on the S&P 500 Index, all of which expire on December 17, 2004. The value of such contracts on November 30, 2004 was $79,251,750 which resulted in an unrealized gain of $2,955,600. Approximately $4,320,000 of cash has been segregated as collateral for the open futures contracts and has been accounted for as cash on the Statement of Assets and Liabilities. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. 117 I. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 28, 2005. For the year ended November 30, 2004, borrowings under the line were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- The Pacific Rim Small Company Series 1.75% $ 441,938 4 $ 86 $ 477,750
There were no outstanding borrowings by the Series under the line of credit at November 30, 2004. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2005. There were no borrowings by the Series under the line of credit during the year ended November 30, 2004. J. SECURITIES LENDING: As of November 30, 2004, some of the Series' portfolios had securities on loan to brokers/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% 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, PNCBank, National Association, the lending agent has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. The cash collateral received by each Portfolio from securities on loan is invested along with cash collateral from the other Portfolios in repurchase agreements collateralized by U.S. government securities. These investments are accounted for separately for each Portfolio. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. K. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 118 REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments (for The U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small Cap Series, The Japanese Small Company Series and The United Kingdom Small Company Series) and the summary schedules of portfolio holdings (for The DFA International Value Series, The Pacific Rim Small Company Series and The Continental Small Company Series), and the related statements of operations and of changes in net assets and the financial highlights presents fairly, in all material respects, the financial position of The U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small Cap Series, The DFA International Value Series, The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small Company Series and The Continental Small Company Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Series") at November 30, 2004, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2004 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 14, 2005 119 FUND MANAGEMENT TRUSTEES/DIRECTORS Each Board of Trustees/Directors of The DFA Investment Trust Company Inc. ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund Inc. ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Fund's policies and for overseeing the management of the Fund. The Trustees/Directors of the Funds, including all of the disinterested Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has two standing committees, an Audit Committee and a Portfolio Performance and Service Review Committee (the "Performance Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board of Trustee's/Directors. The Audit Committee recommends the appointment of each Fund's independent registered certified public accountanting firm and also acts as a liaison between the Fund's independent registered certified public accountanting firm and the full Board. There were four Audit Committee meetings held during the fiscal year ended November 30, 2004. The Performance Committee is comprised of Messrs. Constantinides and Ibbotson, Ms. Smith, John R. Gould, Myron S. Scholes and Robert C. Merton. Each member of the Fund's Performance Committee is a disinterested Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were three Performance Committee meetings held during the fiscal year ended November 30, 2004. Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director's experience as a Trustee/Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience. The statements of additional information (together, "SAI") of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors Inc. by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401. Prospectuses are also available at www.dfafunds.com.
NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD - --------------------------- -------------------------- -------------------------- ----------------------------------------------- DISINTERESTED TRUSTEES/DIRECTORS George M. Constantinides DFAITC - since 1993 75 portfolios in 4 Leo Melamed Professor of Finance, Graduate Director of DFAIDG, DIG DFAIDG - since 1983 investment companies School of Business, University of Chicago. and DEM. DIG - since 1993 Trustee of DFAITC. DEM - since 1993 1101 E. 58th Street Chicago, IL 60637 Date of Birth: 9/22/47 John P. Gould Director of DFAITC - since 1993 75 portfolios in 4 Steven G. Rothmeier Distinguished Service DFAIDG, DIG and DEM. DFAIDG - since 1986 investment companies Professor of Economics, Graduate School of Trustee of DFAITC. DIG - since 1993 Business, University of Chicago. Senior 1101 E. 58th Street DEM - since 1993 Vice-President, Lexecon Inc. (economics, law, Chicago, IL 60637 strategy and finance consulting). Formerly, Date of Birth: 1/19/39 President, Cardean University (division of UNext.com). Member of the Boards of Milwaukee Mutual Insurance Company and UNext.com. Formerly, Trustee, First Prairie Funds (registered investment company). Trustee, Harbor Fund (registered investment company) (13 Portfolios).
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NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD - --------------------------- -------------------------- -------------------------- ----------------------------------------------- Roger G. Ibbotson DFAITC - since 1993 75 portfolios in 4 Professor in Practice of Finance, Yale School Director of DFAIDG, DIG DFAIDG - since 1981 investment companies of Management. Director, BIRR Portfolio and DEM. DIG - since 1993 Analysis, Inc. (software products). Chairman, Trustee of DFAITC. DEM - since 1993 Ibbotson Associates, Inc., Chicago, IL Yale School of Management (software, data, publishing and P.O. Box 208200 consulting). Partner, Zebra Capital Management, New Haven, CT LLC (hedge fund manager). Formerly, Director, 06520-8200 Hospital Fund, Inc. (investment management Date of Birth: 5/27/43 services). Robert C. Merton DFA ITC - since 2003 75 portfolios in 4 John and Natty McArthur University Professor, Director of DFAIDG, DIG DFA IDG - since 2003 investment companies Graduate School of Business Administration, and DEM. DFA DIG - since 2003 Harvard University (since 1998). George Fisher Trustee of DFAITC. DEM - since 2003 Baker Professor of Business Administration, Harvard Business School Graduate School of Business Administration, 397 Morgan Hall Harvard University (1988-1998), Co-founder, Soldiers Field Chief Science Officer, Integrated Finance Boston, MA 02163 Limited (since 2002). Director, MF Risk, Date of Birth: 7/31/44 Inc. (risk managemetnt software) (since 2001). Director, Peninsula Banking Group (bank) (since 2003). Director, Community First Financial Group (bank holding company) (since 2003). Formerly, Co-Founder and Principal, Long-Term Capital Management. Director, Vical Incorporated (biopharamceutical product development). Myron S. Scholes DFAITC - since 1993 75 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Stanford University. Managing Partner, Oak Hill and DEM. DIG - since 1993 Capital Management (private equity Trustee of DFAITC. DEM - since 1993 firm). Chairman, Oak Hill Platinum Partners Oak Hill Capital (hedge fund). Director, Chicago Mercantile Management, Inc. Exchange. Consultant, Arbor Investors. 2775 Sand Hill Rd. Formerly, Director, Smith Breeden Family of Suite 220 Funds. Director, American Century Fund Complex Menlo Park, CA 94025 (registered investment companies) (38 Date of Birth: 7/01/41 Portfolios); and Director, Chicago Mercantile Exchange Holdings Inc.. Abbie J. Smith DFAITC - since 2000 75 portfolios in 4 Boris and Irene Stern Professor of Accounting, Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of and DEM. DIG - since 2000 Chicago, Formerly, Marvin Bower Fellow, Harvard Trustee of DFAITC. DEM - since 2000 Business School (9/01 to 8/02). Director, HON Graduate School of Business Industries Inc. (office furniture) and University of Chicago Director, Ryder System Inc. (transportation). 1101 East 58th Street, Chicago, IL 60637 Date of Birth: 4/30/53 INTERESTED TRUSTEES/DIRECTORS** David G. Booth DFAITC - since 1993 75 portfolios in 4 Chairman, Director, Chief Executive Officer, Chairman, Director, Chief DFAIDG - since 1981 investment companies Chief Investment Officer and President of Executive Officer, Chief DIG - since 1992 Dimensional Fund Advisors Inc., DFA Securities Investment Officer and DEM- since 1993 Inc., DFAIDG, DIG and DEM. Chairman, Trustee, President of DFAIDG, DIG Chief Executive Officer, Chief Investment and DEM. Chairman, Officer and President of DFAITC. Director of Trustee, Chief Executive Dimensional Fund Advisors Ltd. and formerly Officer, Chief Investment Chief Investment Officer. Director, Chief Officer and President of Investment Officer and President of DFA DFAITC. Australia Ltd. Formerly, Director of 1299 Ocean Avenue Dimensional Funds PLC. Chairman, Director, Santa Monica, CA 90401 Chief Executive Officer and Chief Investment Date of Birth: 12/02/46 Officer of Dimensional Fund Advisors Canada Inc. (All Chief Investment Officer positions held starting 1/1/2003 except for Dimensional Fund Advisors Canada Inc., which was from 6/17/2003.) Limited Partner, Oak Hill Partners. Director, University of Chicago Business School. Formerly, Director, SA Funds (registered investment company). Formerly Director, Assante Corporation (investment management) (until 2002).
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NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD - --------------------------- -------------------------- -------------------------- ----------------------------------------------- Rex A. Sinquefield* DFAITC - since 1993 75 portfolios in 4 Chairman and Director (and prior to 1/1/2003, Chairman and Director of DFAIDG - since 1981 investment companies Chief Investment Officer) of Dimensional Fund DFAIDG, DIG and DEM. DIG - since 1992 Advisors Inc., DFA Securities Inc., DFAIDG, DIG Trustee and Chairman of DEM - since 1993 and DEM. Chairman, Trustee (and prior to DFAITC. 1/1/2003, Chief Investment Officer) of 1299 Ocean Avenue DFAITC. Director and formerly President of Santa Monica, CA 90401 Dimensional Fund Advisors Ltd. Director (and Date of Birth: 9/07/44 prior to 1/1/2003, Chief Investment Officer) of DFA Australia Ltd. Director of Dimensional Funds PLC and Dimensional Fund Advisors Canada Inc. Trustee, St.Louis University. Life Trustee and Member of Investment Committee, DePaul University. Director, The German St.Vincent Orphan Home. Member of Investment Committee, Archdiocese of St.Louis.
(1) Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. (2) Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. ** Interested Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors Inc. OFFICERS The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401, unless otherwise indicated.
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------- ----------------- ------------------------------------------------------------------- OFFICERS Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Formerly, Vice President Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd. Date of Birth: 11/7/55 Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, Vice President and Assistant DFA Australia Limited, Dimensional Fund Advisors Ltd., and since Secretary June 2003, Dimensional Fund Advisors Canada Inc. Prior to April Date of Birth: 1/24/67 2001, legal counsel for Dimensional (since March 2000). Associate, Jones, Day, Reavis & Pogue from October 1991 to February 2000. Stephen A. Clark Since 2004 Vice President of all the DFA Entities. April 2001 to April 2004, Vice President Portfolio Manager of Dimensional. Formerly, Graduate Student at Date of Birth: 8/20/72 the University of Chicago (Septempter 2000 to March 2001); and Associate of US Bancorp Piper Jaffrey (September 1999 to Spetember 2000). Truman A. Clark Since 1996 Vice President of all the DFA Entities. Formerly, Vice President Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd. Date of Birth: 4/8/41 Christopher S. Crossan Since 2004 Vice President of all the DFA Entities. Formerly, Senior Vice President Compliance Officer, INVESCO Institutional, Inc. and its affiliates Date of Birth: 12/21/65 (August 2000 to January 2004); Brach Chief, Investment Company and Invesment Advisor Inspections, Securities and Exchange Commission (April 1994 to August 2000).
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TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------- ----------------- ------------------------------------------------------------------- James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice President of Vice President DFA Australia Limited and Dimensional Fund Advisors Ltd. Formerly at Date of Birth: 11/29/56 Kansas State University, Arthur Andersen & Co., and Phillips Petroleum Co. Robert T. Deere Since 1994 Vice President of all the DFA Entities and DFA Australia Limited. Vice President Formerly, Vice President of Dimensional Fund Advisors Ltd. Date of Birth: 10/8/57 Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Formerly, Vice President of Vice President DFA Australia Limited. Prior to April 2001, marketing supervisor and Date of Birth: 3/18/70 marketing coordinator for Dimensional. Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and Vice President and Assistant DFA Australia Limited. Formerly, Vice President of Dimensional Fund Secretary Advisors Ltd. Date of Birth: 8/5/65 Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities. Formerly, Vice President of Vice President DFA Australia Limited and Dimensional Fund Advisors Ltd. Date of Birth: 1/21/61 Robert M. Fezekas Since 2001 Vice President of all the DFA Entities. Prior to December 2001, Vice President Portfolio Manager of Dimensional. Date of Birth: 10/28/70 Damon S. Fisher Since 2004 Vice President of all DFA Entities. Prior to April 2004, Vice President institutional client service representative of Dimensional. Date of Birth: 8/2/68 Gretchen A. Flicker Since 2004 Vice President of all DFA Entities. Prior to April 2004, Vice President institutional client service representative of Dimensional. Date of Birth: 6/9/71 Glenn S. Freed Since 2001 Vice President of all the DFA Entities. Formerly, Professor and Vice President Associate Dean of the Leventhal School of Accounting (September 1998 Date of Birth: 11/24/61 to August 2001) and Academic Director Master of Business Taxation Program (June 1996 to August 2001) at the University of Southern California Marshall School of Business. Henry F. Gray Since 2000 Vice President of all the DFA Entities. Formerly, Vice President of Vice President DFA Australia Limited. Prior to July 2000, Portfolio Manager. Date of Birth: 9/22/67 Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all the DFA Vice President, Controller and Entities, DFA Australia Limited, and Dimensional Fund Advisors Ltd. Assistant Treasurer Formerly, Assistant Secretary of Dimensional Fund Advisors Ltd.. Date of Birth: 1/22/61 Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004, Assistant Vice President Controller of Dimensional. Date of Birth: 11/29/1967 Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to April 2004, counsel of Vice President Dimensional. Formerly, an Associate at Gibson, Dunn & Crutcher LLP Date of Birth: 11/8/73 (September 1997 to August 2001). Patrick Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors Vice President Canada Inc. Formerly, Director, President and Chief Executive Date of Birth: 12/21/54 Officer, Assante Asset Management, Inc. (October 2000 to December 2002); Director, Assante Capital Management (October 2000 to December 2002); President and Chief Executive Officer, Assante Capital Management (October 2000 to April 2001); Executive Vice President, Assante Corporation (May 2001 to December 2002); Director, Assante Asset Management Ltd. (September 1997 to December 2002); President and Chief Executive Officer, Assante Asset Management Ltd. (September 1998 to May 2001); Executive Vice President, Loring Ward (financial services company) (January 1996 to September 1998).
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TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------- ----------------- ------------------------------------------------------------------- Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to April 2004, Vice President Portfolio Manager for Dimensional. Formerly, a trader at Lincoln Capital Date of Birth: 11/7/71 Fixed Income Management (formerly Lincoln Capital Management Company). Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Portfolio Vice President Manager for Dimensional Fund Advisors Inc. Formerly, Graduate Student at Date of Birth: 12/12/69 Harvard University (August 1998 to June 2000). David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client Service Manager Vice President of Dimensional. Formerly, Director of Research, Wurts and Associates Date of Birth: 2/9/60 (investment consulting firm) (December 2000 to June 2002); and President, Kobe Investment Research (August 1999 to November 2000). Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice President and Vice President and Secretary since 1997 Assistant Secretary of DFA Australia Limited (since February 2002, April Date of Birth: 5/7/64 and Secretary 1997 and May 2002, respectively). Vice President and Secretary of since 2000 Dimensional Fund Advisors Canada Inc. (since June 2003). Director, Dimensional Funds plc (since January 2002). Formerly, Assistant Secretary of all DFA Entities and Dimensional Fund Advisors Ltd. David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited and Vice President Dimensional Fund Advisors Ltd.. Date of Birth: 10/26/61 Edwardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research Associate for Vice President Dimensional (June 2000 to April 2002). Formerly, Research Scientist Date of Birth: 1/28/67 (August 1998 to June 2000), California Institute of Technology. Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the DFA Vice President, Chief Financial Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd., and Officer and Treasurer since June 2003, Dimensional Fund Advisors Canada Inc. Director, Date of Birth: 10/12/55 Dimensional Fund Advisors Ltd. (since February 2002) and Dimensional Funds, plc (January 2002). David E. Schneider Since 2001 Vice President of all the DFA Entities. Prior to 2001, Regional Director Vice President of Dimensional. Santa Monica, CA Date of Birth: 1/26/46 John C. Siciliano Since 2001 Vice President of all the DFA Entities. Director of Dimensional Fund Vice President Advisors, LTD. Vice President of DFA Australia Limited. Formerly, Santa Monica, CA Director of Dimensional Funds plc. Formerly, Managing Principal, Payden & Date of Birth: 8/24/54 Rygel Investment Counsel (April 1998 to December 2000). Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA Australia Executive Vice President Limited. Vice President (formerly, Executive Vice President) of Santa Monica, CA Dimensional Fund Advisors Ltd. (since January 2003) and Dimensional Fund Date of Birth: 12/2/46 Advisor Canada Inc. (since June 2003). Grady M. Smith Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Portfolio Vice President Manager of Dimensional. Formerly, Principal of William M. Mercer, Date of Birth: 5/26/56 Incorporated (July 1995 to June 2001). Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to July 2000, Portfolio Vice President Manager of Dimensional. Formerly, Vice President of DFA Australia Santa Monica, CA Limited. Date of Birth: 6/8/63 Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Vice President institutional client service representative of Dimensional. Date of Birth: 11/10/47
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TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------- ----------------- ------------------------------------------------------------------------ Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund Advisors Vice President Canada Inc. (since June 2003). Prior to April 2002, Regional Director of Date of Birth: 3/25/73 Dimensional. Formerly, Vice President and General Manager of Assante Global Advisors (July 2000 to April 2002); Vice President of Assante Asset Management Inc. (March 2000 to July 2000); and Private Client Manager at Loring Ward Investment Counsel Ltd. (June 1997 to February 2002). Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited, Vice President Dimensional Fund Advisors Ltd., and since June 2003, Dimensional Fund Santa Monica, CA Advisors Canada Inc. Date of Birth: 3/10/66 Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Vice President institutional client service representative of Dimensional. Date of Birth: 8/7/58 Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Formerly, Vice President of Vice President Dimensional Fund Advisors Ltd. Santa Monica, CA Date of Birth: 3/1/51 Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001, Director of Vice President Financial Advisors Services of Dimensional. Director of Dimensional Fund Santa Monica, CA Advisors Ltd. (since October 2003) and President of Dimensional Fund Date of Birth: 3/3/45 Advisors Canada Inc. (since June 2003).
(1) Each officer holds office for an indefinite term at the pleasure of the Boards of Trustee/Directors and until his or her successor is elected and qualified. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. 125 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1, 2003 and ending June 30, 2004. 126 DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY ANNUAL REPORT YEAR ENDED NOVEMBER 30, 2004 DFA INVESTMENT DIMENSIONS GROUP INC. ANNUAL REPORT TABLE OF CONTENTS Performance Charts 1 Management's Discussion and Analysis 9 Disclosure of Fund Expenses 21 Disclosure of Portfolio Holdings 24 Schedules of Investments 26 U.S. Large Company Portfolio 26 Enhanced U.S. Large Company Portfolio 26 U.S. Large Cap Value Portfolio 26 U.S. Small XM Value Portfolio 26 U.S. Small Cap Value Portfolio 27 U.S. Small Cap Portfolio 27 U.S. Micro Cap Portfolio 27 DFA Real Estate Securities Portfolio 28 Large Cap International Portfolio 30 International Small Company Portfolio 35 Japanese Small Company Portfolio 35 Pacific Rim Small Company Portfolio 35 United Kingdom Small Company Portfolio 36 Continental Small Company Portfolio 36 DFA International Small Cap Value Portfolio 37 Emerging Markets Portfolio 43 Emerging Markets Small Cap Portfolio 43 DFA One-Year Fixed Income Portfolio 43 DFA Two-Year Global Fixed Income Portfolio 43 DFA Five-Year Government Portfolio 44 DFA Five-Year Global Fixed Income Portfolio 45 DFA Intermediate Government Fixed Income Portfolio 47 DFA Short-Term Municipal Bond Portfolio 48 Statements of Assets and Liabilities 54 Statements of Operations 57 Statements of Changes in Net Assets 63 Financial Highlights 69 Notes to Financial Statements 81 Report of Independent Registered Certified Public Accounting Firm 95
This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO ANNUAL REPORT TABLE OF CONTENTS Performance Charts 96 Management's Discussion and Analysis 97 Disclosure of Fund Expenses 99 Statement of Assets and Liabilities 100 Statement of Operations 101 Statements of Changes in Net Assets 102 Financial Highlights 103 Notes to Financial Statements 104 Report of Independent Registered Certified Public Accounting Firm 107
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. ii THE DFA INVESTMENT TRUST COMPANY ANNUAL REPORT TABLE OF CONTENTS Performance Charts 108 Disclosure of Fund Expenses 114 Disclosure of Portfolio Holdings 117 Schedules of Investments 122 The U.S. Large Company Series 122 The Enhanced U.S. Large Company Series 127 The U.S. Large Cap Value Series 129 The U.S. Small XM Value Series 132 The U.S. Small Cap Value Series 137 The U.S. Small Cap Series 150 The U.S. Micro Cap Series 177 The DFA International Value Series 200 The Japanese Small Company Series 206 The Pacific Rim Small Company Series 217 The United Kingdom Small Company Series 220 The Continental Small Company Series 226 The Emerging Markets Series 231 The Emerging Markets Small Cap Series 235 The DFA One-Year Fixed Income Series 239 The DFA Two-Year Global Fixed Income Series 241 Statements of Assets and Liabilities 243 Statements of Operations 245 Statements of Changes in Net Assets 249 Financial Highlights 253 Notes to Financial Statements 261 Report of Independent Registered Certified Public Accounting Firm 271 Fund Management 272 Voting Proxies on Fund Portfolio Securities 278
This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. iii DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS [CHART] U.S. LARGE COMPANY PORTFOLIO VS. S&P 500 INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
U.S. LARGE COMPANY PORTFOLIO S&P 500 INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,149 $ 10,146 1/31/95 $ 10,408 $ 10,410 2/28/95 $ 10,814 $ 10,814 3/31/95 $ 11,126 $ 11,134 4/30/95 $ 11,444 $ 11,458 5/31/95 $ 11,904 $ 11,910 6/30/95 $ 12,181 $ 12,190 7/31/95 $ 12,583 $ 12,596 8/31/95 $ 12,605 $ 12,630 9/30/95 $ 13,144 $ 13,159 10/31/95 $ 13,091 $ 13,113 11/30/95 $ 13,654 $ 13,690 12/31/95 $ 13,912 $ 13,944 1/31/96 $ 14,389 $ 14,423 2/29/96 $ 14,510 $ 14,562 3/31/96 $ 14,652 $ 14,702 4/30/96 $ 14,865 $ 14,918 5/31/96 $ 15,236 $ 15,302 6/30/96 $ 15,297 $ 15,365 7/31/96 $ 14,616 $ 14,681 8/31/96 $ 14,929 $ 14,993 9/30/96 $ 15,759 $ 15,835 10/31/96 $ 16,188 $ 16,269 11/30/96 $ 17,405 $ 17,504 12/31/96 $ 17,059 $ 17,161 1/31/97 $ 18,122 $ 18,227 2/28/97 $ 18,261 $ 18,374 3/31/97 $ 17,507 $ 17,610 4/30/97 $ 18,551 $ 18,661 5/31/97 $ 19,671 $ 19,807 6/30/97 $ 20,548 $ 20,690 7/31/97 $ 22,182 $ 22,333 8/31/97 $ 20,946 $ 21,092 9/30/97 $ 22,088 $ 22,247 10/31/97 $ 21,350 $ 21,504 11/30/97 $ 22,322 $ 22,500 12/31/97 $ 22,701 $ 22,887 1/31/98 $ 22,962 $ 23,141 2/28/98 $ 24,613 $ 24,809 3/31/98 $ 25,861 $ 26,080 4/30/98 $ 26,122 $ 26,343 5/31/98 $ 25,670 $ 25,890 6/30/98 $ 26,710 $ 26,941 7/31/98 $ 26,424 $ 26,656 8/31/98 $ 22,619 $ 22,801 9/30/98 $ 24,058 $ 24,263 10/31/98 $ 25,994 $ 26,235 11/30/98 $ 27,580 $ 27,825 12/31/98 $ 29,210 $ 29,428 1/31/99 $ 30,399 $ 30,658 2/28/99 $ 29,450 $ 29,704 3/31/99 $ 30,625 $ 30,893 4/30/99 $ 31,792 $ 32,088 5/31/99 $ 31,042 $ 31,331 6/30/99 $ 32,755 $ 33,070 7/31/99 $ 31,727 $ 32,038 8/31/99 $ 31,565 $ 31,878 9/30/99 $ 30,697 $ 31,004 10/31/99 $ 32,643 $ 32,967 11/30/99 $ 33,299 $ 33,636 12/31/99 $ 35,281 $ 35,617 1/31/2000 $ 33,506 $ 33,829 2/29/2000 $ 32,869 $ 33,190 3/31/2000 $ 36,068 $ 36,436 4/30/2000 $ 34,960 $ 35,339 5/31/2000 $ 34,240 $ 34,615 6/30/2000 $ 35,024 $ 35,466 7/31/2000 $ 34,523 $ 34,913 8/31/2000 $ 36,667 $ 37,081 9/30/2000 $ 34,731 $ 35,123 10/31/2000 $ 34,575 $ 34,976 11/30/2000 $ 31,857 $ 32,220 12/31/2000 $ 32,017 $ 32,377 1/31/2001 $ 33,150 $ 33,527 2/28/2001 $ 30,127 $ 30,469 3/31/2001 $ 28,214 $ 28,537 4/30/2001 $ 30,397 $ 30,755 5/31/2001 $ 30,580 $ 30,961 6/30/2001 $ 29,834 $ 30,209 7/31/2001 $ 29,544 $ 29,912 8/31/2001 $ 27,686 $ 28,040 9/30/2001 $ 25,443 $ 25,774 10/31/2001 $ 25,927 $ 26,267 11/30/2001 $ 27,910 $ 28,281 12/31/2001 $ 28,153 $ 28,530 1/31/2002 $ 27,734 $ 28,114 2/28/2002 $ 27,198 $ 27,571 3/31/2002 $ 28,207 $ 28,608 4/30/2002 $ 26,498 $ 26,874 5/31/2002 $ 26,305 $ 26,675 6/30/2002 $ 24,421 $ 24,776 7/31/2002 $ 22,521 $ 22,843 8/31/2002 $ 22,663 $ 22,994 9/30/2002 $ 20,200 $ 20,495 10/31/2002 $ 21,973 $ 22,298 11/30/2002 $ 23,265 $ 23,612 12/31/2002 $ 21,895 $ 22,223 1/31/2003 $ 21,317 $ 21,641 2/28/2003 $ 20,995 $ 21,316 3/31/2003 $ 21,199 $ 21,523 4/30/2003 $ 22,945 $ 23,297 5/31/2003 $ 24,155 $ 24,524 6/30/2003 $ 24,452 $ 24,838 7/31/2003 $ 24,880 $ 25,275 8/31/2003 $ 25,367 $ 25,768 9/30/2003 $ 25,093 $ 25,495 10/31/2003 $ 26,509 $ 26,938 11/30/2003 $ 26,732 $ 27,175 12/31/2003 $ 28,133 $ 28,599 1/31/2004 $ 28,642 $ 29,125 2/29/2004 $ 29,038 $ 29,530 3/31/2004 $ 28,605 $ 29,084 4/30/2004 $ 28,146 $ 28,628 5/31/2004 $ 28,527 $ 29,020 6/30/2004 $ 29,076 $ 29,584 7/31/2004 $ 28,113 $ 28,605 8/31/2004 $ 28,226 $ 28,720 9/30/2004 $ 28,528 $ 29,032 10/31/2004 $ 28,955 $ 29,475 11/30/2004 $ 30,122 $ 30,668
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - --------------------------------------------- 12.68% -1.99% 11.66%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). [CHART] ENHANCED U.S. LARGE COMPANY PORTFOLIO VS. S&P 500 INDEX JULY 2, 1996-NOVEMBER 30, 2004 GROWTH OF $10,000
ENHANCED U.S. LARGE COMPANY PORTFOLIO S&P 500 INDEX 7/2/96 $ 10,000 $ 10,000 7/31/96 $ 9,850 $ 9,500 8/31/96 $ 10,050 $ 9,702 9/30/96 $ 10,640 $ 10,247 10/31/96 $ 11,000 $ 10,528 11/30/96 $ 11,830 $ 11,327 12/31/96 $ 11,533 $ 11,105 1/31/97 $ 12,268 $ 11,794 2/28/97 $ 12,365 $ 11,890 3/31/97 $ 11,767 $ 11,395 4/30/97 $ 12,506 $ 12,076 5/31/97 $ 13,322 $ 12,817 6/30/97 $ 13,893 $ 13,389 7/31/97 $ 15,013 $ 14,452 8/31/97 $ 14,190 $ 13,648 9/30/97 $ 14,928 $ 14,396 10/31/97 $ 14,509 $ 13,915 11/30/97 $ 15,050 $ 14,560 12/31/97 $ 15,307 $ 14,810 1/31/98 $ 15,574 $ 14,974 2/28/98 $ 16,628 $ 16,054 3/31/98 $ 17,469 $ 16,876 4/30/98 $ 17,662 $ 17,046 5/31/98 $ 17,303 $ 16,753 6/30/98 $ 18,037 $ 17,433 7/31/98 $ 17,804 $ 17,249 8/31/98 $ 15,208 $ 14,754 9/30/98 $ 16,271 $ 15,700 10/31/98 $ 17,615 $ 16,977 11/30/98 $ 18,619 $ 18,005 12/31/98 $ 19,830 $ 19,043 1/31/99 $ 20,551 $ 19,839 2/28/99 $ 19,873 $ 19,222 3/31/99 $ 20,710 $ 19,990 4/30/99 $ 21,493 $ 20,764 5/31/99 $ 20,899 $ 20,274 6/30/99 $ 22,114 $ 21,399 7/31/99 $ 21,357 $ 20,732 8/31/99 $ 21,240 $ 20,628 9/30/99 $ 20,728 $ 20,063 10/31/99 $ 22,046 $ 21,333 11/30/99 $ 22,401 $ 21,766 12/31/99 $ 23,672 $ 23,048 1/31/2000 $ 22,424 $ 21,891 2/29/2000 $ 22,079 $ 21,477 3/31/2000 $ 24,196 $ 23,577 4/30/2000 $ 23,429 $ 22,868 5/31/2000 $ 22,888 $ 22,399 6/30/2000 $ 23,396 $ 22,950 7/31/2000 $ 23,043 $ 22,592 8/31/2000 $ 24,510 $ 23,995 9/30/2000 $ 23,219 $ 22,728 10/31/2000 $ 23,112 $ 22,633 11/30/2000 $ 21,321 $ 20,849 12/31/2000 $ 21,387 $ 20,951 1/31/2001 $ 22,144 $ 21,695 2/28/2001 $ 20,116 $ 19,716 3/31/2001 $ 18,814 $ 18,466 4/30/2001 $ 20,259 $ 19,901 5/31/2001 $ 20,383 $ 20,035 6/30/2001 $ 19,842 $ 19,548 7/31/2001 $ 19,696 $ 19,356 8/31/2001 $ 18,486 $ 18,145 9/30/2001 $ 17,094 $ 16,678 10/31/2001 $ 17,474 $ 16,997 11/30/2001 $ 18,781 $ 18,301 12/31/2001 $ 18,950 $ 18,462 1/31/2002 $ 18,675 $ 18,192 2/28/2002 $ 18,337 $ 17,841 3/31/2002 $ 18,913 $ 18,512 4/30/2002 $ 17,852 $ 17,390 5/31/2002 $ 17,747 $ 17,261 6/30/2002 $ 16,542 $ 16,032 7/31/2002 $ 15,347 $ 14,782 8/31/2002 $ 15,475 $ 14,879 9/30/2002 $ 13,806 $ 13,262 10/31/2002 $ 15,050 $ 14,429 11/30/2002 $ 15,887 $ 15,279 12/31/2002 $ 15,007 $ 14,381 1/31/2003 $ 14,618 $ 14,004 2/28/2003 $ 14,424 $ 13,794 3/31/2003 $ 14,554 $ 13,928 4/30/2003 $ 15,766 $ 15,075 5/31/2003 $ 16,632 $ 15,870 6/30/2003 $ 16,828 $ 16,073 7/31/2003 $ 17,045 $ 16,356 8/31/2003 $ 17,371 $ 16,675 9/30/2003 $ 17,261 $ 16,498 10/31/2003 $ 18,175 $ 17,432 11/30/2003 $ 18,328 $ 17,585 12/31/2003 $ 19,334 $ 18,506 1/31/2004 $ 19,683 $ 18,847 2/29/2004 $ 19,989 $ 19,109 3/31/2004 $ 19,707 $ 18,820 4/30/2004 $ 19,269 $ 18,525 5/31/2004 $ 19,510 $ 18,779 6/30/2004 $ 19,855 $ 19,144 7/31/2004 $ 19,219 $ 18,510 8/31/2004 $ 19,351 $ 18,585 9/30/2004 $ 19,544 $ 18,786 10/31/2004 $ 19,852 $ 19,073 11/30/2004 $ 20,578 $ 19,845
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 7/2/1996 - ---------------------------------------------- 12.28% -1.68% 8.96%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). [CHART] U.S. LARGE CAP VALUE PORTFOLIO VS. RUSSELL 1000 VALUE INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
U.S. LARGE CAP RUSSELL 1000 VALUE PORTFOLIO VALUE INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,111 $ 10,115 1/31/95 $ 10,344 $ 10,427 2/28/95 $ 10,930 $ 10,838 3/31/95 $ 11,102 $ 11,076 4/30/95 $ 11,498 $ 11,426 5/31/95 $ 12,097 $ 11,907 6/30/95 $ 12,362 $ 12,069 7/31/95 $ 12,903 $ 12,489 8/31/95 $ 13,281 $ 12,665 9/30/95 $ 13,741 $ 13,123 10/31/95 $ 13,176 $ 12,993 11/30/95 $ 13,898 $ 13,652 12/31/95 $ 13,990 $ 13,995 1/31/96 $ 14,389 $ 14,431 2/29/96 $ 14,599 $ 14,541 3/31/96 $ 15,102 $ 14,788 4/30/96 $ 15,355 $ 14,844 5/31/96 $ 15,607 $ 15,030 6/30/96 $ 15,149 $ 15,042 7/31/96 $ 14,472 $ 14,473 8/31/96 $ 15,054 $ 14,887 9/30/96 $ 15,346 $ 15,480 10/31/96 $ 15,845 $ 16,079 11/30/96 $ 16,992 $ 17,245 12/31/96 $ 16,818 $ 17,024 1/31/97 $ 17,421 $ 17,850 2/28/97 $ 17,760 $ 18,112 3/31/97 $ 16,947 $ 17,460 4/30/97 $ 17,506 $ 18,193 5/31/97 $ 18,856 $ 19,210 6/30/97 $ 19,435 $ 20,034 7/31/97 $ 21,384 $ 21,541 8/31/97 $ 21,065 $ 20,774 9/30/97 $ 22,173 $ 22,029 10/31/97 $ 21,036 $ 21,414 11/30/97 $ 21,257 $ 22,361 12/31/97 $ 21,550 $ 23,014 1/31/98 $ 21,830 $ 22,689 2/28/98 $ 23,738 $ 24,216 3/31/98 $ 25,060 $ 25,698 4/30/98 $ 25,201 $ 25,871 5/31/98 $ 24,979 $ 25,488 6/30/98 $ 24,919 $ 25,814 7/31/98 $ 24,054 $ 25,360 8/31/98 $ 19,667 $ 21,586 9/30/98 $ 20,664 $ 22,825 10/31/98 $ 22,356 $ 24,594 11/30/98 $ 23,742 $ 25,740 12/31/98 $ 24,132 $ 26,615 1/31/99 $ 24,595 $ 26,828 2/28/99 $ 23,961 $ 26,450 3/31/99 $ 24,737 $ 26,997 4/30/99 $ 27,369 $ 29,519 5/31/99 $ 27,333 $ 29,194 6/30/99 $ 27,795 $ 30,041 7/31/99 $ 26,639 $ 29,161 8/31/99 $ 25,680 $ 28,079 9/30/99 $ 24,296 $ 27,099 10/31/99 $ 25,222 $ 28,660 11/30/99 $ 24,813 $ 28,436 12/31/99 $ 25,289 $ 28,573 1/31/2000 $ 23,506 $ 27,641 2/29/2000 $ 21,396 $ 25,588 3/31/2000 $ 24,421 $ 28,709 4/30/2000 $ 25,151 $ 28,376 5/31/2000 $ 25,096 $ 28,674 6/30/2000 $ 23,349 $ 27,364 7/31/2000 $ 24,372 $ 27,706 8/31/2000 $ 25,795 $ 29,246 9/30/2000 $ 25,380 $ 29,515 10/31/2000 $ 26,380 $ 30,241 11/30/2000 $ 25,517 $ 29,119 12/31/2000 $ 27,872 $ 30,578 1/31/2001 $ 29,241 $ 30,694 2/28/2001 $ 29,223 $ 29,841 3/31/2001 $ 28,320 $ 28,788 4/30/2001 $ 30,008 $ 30,198 5/31/2001 $ 30,869 $ 30,878 6/30/2001 $ 30,505 $ 30,192 7/31/2001 $ 30,456 $ 30,129 8/31/2001 $ 29,110 $ 28,921 9/30/2001 $ 25,867 $ 26,885 10/31/2001 $ 25,852 $ 26,654 11/30/2001 $ 28,284 $ 28,202 12/31/2001 $ 28,946 $ 28,868 1/31/2002 $ 29,247 $ 28,645 2/28/2002 $ 29,622 $ 28,691 3/31/2002 $ 30,854 $ 30,048 4/30/2002 $ 30,573 $ 29,018 5/31/2002 $ 30,763 $ 29,163 6/30/2002 $ 28,892 $ 27,489 7/31/2002 $ 25,685 $ 24,932 8/31/2002 $ 26,101 $ 25,119 9/30/2002 $ 23,196 $ 22,326 10/31/2002 $ 24,106 $ 23,980 11/30/2002 $ 25,810 $ 25,491 12/31/2002 $ 24,636 $ 24,385 1/31/2003 $ 24,064 $ 23,795 2/28/2003 $ 23,359 $ 23,159 3/31/2003 $ 23,249 $ 23,199 4/30/2003 $ 25,388 $ 25,240 5/31/2003 $ 27,087 $ 26,871 6/30/2003 $ 27,379 $ 27,207 7/31/2003 $ 28,069 $ 27,612 8/31/2003 $ 29,065 $ 28,043 9/30/2003 $ 28,426 $ 27,768 10/31/2003 $ 30,328 $ 29,467 11/30/2003 $ 31,000 $ 29,868 12/31/2003 $ 33,117 $ 31,708 1/31/2004 $ 33,677 $ 32,266 2/29/2004 $ 34,545 $ 32,957 3/31/2004 $ 34,406 $ 32,667 4/30/2004 $ 33,826 $ 31,870 5/31/2004 $ 34,020 $ 32,195 6/30/2004 $ 35,035 $ 32,954 7/31/2004 $ 33,891 $ 32,490 8/31/2004 $ 33,891 $ 32,951 9/30/2004 $ 34,936 $ 33,462 10/31/2004 $ 35,344 $ 34,017 11/30/2004 $ 37,658 $ 35,739
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ---------------------------------------------- 21.48% 8.69% 14.19%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 1000 Value Index is courtesy of Russell Analytic Services. 1 [CHART] U.S. SMALL XM VALUE PORTFOLIO VS. RUSSELL 2000 VALUE INDEX FEBRUARY 23, 2000-NOVEMBER 30, 2004 GROWTH OF $10,000
U.S. SMALL XM RUSSELL 2000 VALUE PORTFOLIO VALUE INDEX 2/23/2000 $ 10,000 $ 10,000 2/29/2000 $ 10,040 $ 10,376 3/31/2000 $ 11,020 $ 10,424 4/30/2000 $ 11,130 $ 10,486 5/31/2000 $ 10,980 $ 10,325 6/30/2000 $ 10,710 $ 10,627 7/31/2000 $ 10,980 $ 10,981 8/31/2000 $ 11,579 $ 11,472 9/30/2000 $ 11,419 $ 11,406 10/31/2000 $ 11,440 $ 11,365 11/30/2000 $ 11,060 $ 11,133 12/31/2000 $ 12,375 $ 12,329 1/31/2001 $ 13,152 $ 12,669 2/28/2001 $ 13,131 $ 12,652 3/31/2001 $ 12,648 $ 12,449 4/30/2001 $ 13,499 $ 13,026 5/31/2001 $ 13,982 $ 13,360 6/30/2001 $ 14,455 $ 13,897 7/31/2001 $ 14,465 $ 13,586 8/31/2001 $ 14,329 $ 13,539 9/30/2001 $ 12,176 $ 12,044 10/31/2001 $ 12,532 $ 12,358 11/30/2001 $ 13,688 $ 13,247 12/31/2001 $ 14,593 $ 14,057 1/31/2002 $ 14,794 $ 14,244 2/28/2002 $ 15,119 $ 14,331 3/31/2002 $ 16,421 $ 15,405 4/30/2002 $ 16,881 $ 15,947 5/31/2002 $ 16,342 $ 15,419 6/30/2002 $ 15,736 $ 15,078 7/31/2002 $ 13,425 $ 12,838 8/31/2002 $ 13,425 $ 12,781 9/30/2002 $ 12,235 $ 11,869 10/31/2002 $ 12,550 $ 12,047 11/30/2002 $ 13,930 $ 13,008 12/31/2002 $ 13,182 $ 12,453 1/31/2003 $ 12,570 $ 12,101 2/28/2003 $ 12,035 $ 11,695 3/31/2003 $ 11,996 $ 11,820 4/30/2003 $ 13,423 $ 12,943 5/31/2003 $ 14,952 $ 14,264 6/30/2003 $ 15,194 $ 14,505 7/31/2003 $ 16,072 $ 15,229 8/31/2003 $ 17,117 $ 15,808 9/30/2003 $ 16,887 $ 15,626 10/31/2003 $ 18,517 $ 16,900 11/30/2003 $ 19,281 $ 17,549 12/31/2003 $ 20,308 $ 18,184 1/31/2004 $ 21,240 $ 18,813 2/29/2004 $ 21,570 $ 19,178 3/31/2004 $ 21,756 $ 19,443 4/30/2004 $ 21,025 $ 18,438 5/31/2004 $ 21,341 $ 18,661 6/30/2004 $ 22,553 $ 19,609 7/31/2004 $ 21,462 $ 18,707 8/31/2004 $ 21,319 $ 18,890 9/30/2004 $ 22,287 $ 19,638 10/31/2004 $ 22,488 $ 19,942 11/30/2004 $ 24,557 $ 21,711
AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 2/23/2000 - ----------------------------------- 27.36% 20.73%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Value Index is courtesy of Russell Analytic Services. [CHART] U.S. SMALL CAP VALUE PORTFOLIO VS. RUSSELL 2000 VALUE INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
U.S. SMALL CAP RUSSELL 2000 VALUE PORTFOLIO VALUE INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,104 $ 10,300 1/31/95 $ 10,203 $ 10,251 2/28/95 $ 10,563 $ 10,630 3/31/95 $ 10,689 $ 10,682 4/30/95 $ 11,067 $ 10,999 5/31/95 $ 11,373 $ 11,235 6/30/95 $ 11,823 $ 11,619 7/31/95 $ 12,462 $ 12,043 8/31/95 $ 12,858 $ 12,401 9/30/95 $ 13,020 $ 12,585 10/31/95 $ 12,381 $ 12,083 11/30/95 $ 12,841 $ 12,563 12/31/95 $ 13,063 $ 12,952 1/31/96 $ 13,018 $ 13,038 2/29/96 $ 13,303 $ 13,242 3/31/96 $ 13,670 $ 13,521 4/30/96 $ 14,378 $ 13,890 5/31/96 $ 14,939 $ 14,241 6/30/96 $ 14,626 $ 14,073 7/31/96 $ 13,717 $ 13,324 8/31/96 $ 14,342 $ 13,903 9/30/96 $ 14,820 $ 14,282 10/31/96 $ 14,929 $ 14,448 11/30/96 $ 15,637 $ 15,225 12/31/96 $ 15,979 $ 15,720 1/31/97 $ 16,385 $ 15,962 2/28/97 $ 16,385 $ 16,114 3/31/97 $ 15,951 $ 15,682 4/30/97 $ 15,886 $ 15,912 5/31/97 $ 17,389 $ 17,179 6/30/97 $ 18,475 $ 18,048 7/31/97 $ 19,580 $ 18,806 8/31/97 $ 20,269 $ 19,105 9/30/97 $ 21,828 $ 20,376 10/31/97 $ 21,053 $ 19,822 11/30/97 $ 20,874 $ 20,040 12/31/97 $ 20,893 $ 20,719 1/31/98 $ 20,636 $ 20,344 2/28/98 $ 22,192 $ 21,575 3/31/98 $ 23,095 $ 22,451 4/30/98 $ 23,541 $ 22,561 5/31/98 $ 22,639 $ 21,762 6/30/98 $ 22,193 $ 21,638 7/31/98 $ 20,558 $ 19,944 8/31/98 $ 16,769 $ 16,821 9/30/98 $ 17,245 $ 17,771 10/31/98 $ 17,980 $ 18,299 11/30/98 $ 18,933 $ 18,795 12/31/98 $ 19,372 $ 19,385 1/31/99 $ 19,674 $ 18,945 2/28/99 $ 18,053 $ 17,651 3/31/99 $ 17,706 $ 17,506 4/30/99 $ 19,597 $ 19,104 5/31/99 $ 20,517 $ 19,691 6/30/99 $ 21,770 $ 20,404 7/31/99 $ 21,672 $ 19,920 8/31/99 $ 21,078 $ 19,191 9/30/99 $ 20,516 $ 18,807 10/31/99 $ 19,814 $ 18,431 11/30/99 $ 20,711 $ 18,527 12/31/99 $ 21,898 $ 19,096 1/31/2000 $ 21,734 $ 18,597 2/29/2000 $ 23,751 $ 19,734 3/31/2000 $ 23,822 $ 19,826 4/30/2000 $ 22,986 $ 19,943 5/31/2000 $ 22,030 $ 19,638 6/30/2000 $ 23,127 $ 20,212 7/31/2000 $ 23,104 $ 20,885 8/31/2000 $ 24,813 $ 21,818 9/30/2000 $ 24,354 $ 21,694 10/31/2000 $ 23,434 $ 21,616 11/30/2000 $ 22,159 $ 21,175 12/31/2000 $ 23,872 $ 23,449 1/31/2001 $ 26,333 $ 24,096 2/28/2001 $ 25,827 $ 24,062 3/31/2001 $ 25,192 $ 23,677 4/30/2001 $ 26,734 $ 24,774 5/31/2001 $ 28,381 $ 25,410 6/30/2001 $ 29,442 $ 26,432 7/31/2001 $ 28,962 $ 25,840 8/31/2001 $ 28,574 $ 25,749 9/30/2001 $ 24,414 $ 22,907 10/31/2001 $ 25,373 $ 23,505 11/30/2001 $ 27,355 $ 25,194 12/31/2001 $ 29,275 $ 26,736 1/31/2002 $ 29,726 $ 27,092 2/28/2002 $ 29,678 $ 27,257 3/31/2002 $ 32,605 $ 29,299 4/30/2002 $ 34,082 $ 30,330 5/31/2002 $ 33,008 $ 29,326 6/30/2002 $ 32,325 $ 28,678 7/31/2002 $ 27,282 $ 24,417 8/31/2002 $ 26,941 $ 24,309 9/30/2002 $ 24,980 $ 22,573 10/31/2002 $ 25,384 $ 22,912 11/30/2002 $ 27,547 $ 24,740 12/31/2002 $ 26,561 $ 23,684 1/31/2003 $ 25,645 $ 23,016 2/28/2003 $ 24,591 $ 22,243 3/31/2003 $ 24,539 $ 22,481 4/30/2003 $ 27,130 $ 24,616 5/31/2003 $ 30,310 $ 27,130 6/30/2003 $ 31,416 $ 27,588 7/31/2003 $ 33,628 $ 28,965 8/31/2003 $ 35,357 $ 30,066 9/30/2003 $ 35,081 $ 29,720 10/31/2003 $ 38,589 $ 32,142 11/30/2003 $ 40,196 $ 33,376 12/31/2003 $ 42,339 $ 34,584 1/31/2004 $ 44,409 $ 35,781 2/29/2004 $ 45,038 $ 36,475 3/31/2004 $ 45,463 $ 36,979 4/30/2004 $ 44,021 $ 35,067 5/31/2004 $ 44,188 $ 35,491 6/30/2004 $ 47,145 $ 37,294 7/31/2004 $ 44,631 $ 35,579 8/31/2004 $ 43,965 $ 35,927 9/30/2004 $ 46,132 $ 37,350 10/31/2004 $ 46,576 $ 37,929 11/30/2004 $ 51,235 $ 41,293
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ---------------------------------------------- 27.46% 19.86% 17.75%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Value Index is courtesy of Russell Analytic Services. [CHART] U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000 INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
U.S. SMALL RUSSELL 2000 CAP PORTFOLIO INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,127 $ 10,268 1/31/95 $ 10,187 $ 10,139 2/28/95 $ 10,523 $ 10,560 3/31/95 $ 10,721 $ 10,741 4/30/95 $ 11,067 $ 10,979 5/31/95 $ 11,294 $ 11,168 6/30/95 $ 11,866 $ 11,748 7/31/95 $ 12,597 $ 12,425 8/31/95 $ 12,953 $ 12,682 9/30/95 $ 13,190 $ 12,909 10/31/95 $ 12,508 $ 12,332 11/30/95 $ 12,876 $ 12,850 12/31/95 $ 13,183 $ 13,189 1/31/96 $ 13,215 $ 13,174 2/29/96 $ 13,656 $ 13,585 3/31/96 $ 13,951 $ 13,867 4/30/96 $ 14,878 $ 14,609 5/31/96 $ 15,645 $ 15,184 6/30/96 $ 14,930 $ 14,560 7/31/96 $ 13,688 $ 13,289 8/31/96 $ 14,488 $ 14,061 9/30/96 $ 14,940 $ 14,611 10/31/96 $ 14,718 $ 14,386 11/30/96 $ 15,287 $ 14,979 12/31/96 $ 15,513 $ 15,371 1/31/97 $ 16,026 $ 15,678 2/28/97 $ 15,683 $ 15,299 3/31/97 $ 14,942 $ 14,577 4/30/97 $ 14,770 $ 14,618 5/31/97 $ 16,448 $ 16,245 6/30/97 $ 17,293 $ 16,942 7/31/97 $ 18,320 $ 17,729 8/31/97 $ 18,994 $ 18,135 9/30/97 $ 20,455 $ 19,463 10/31/97 $ 19,565 $ 18,608 11/30/97 $ 19,268 $ 18,487 12/31/97 $ 19,272 $ 18,811 1/31/98 $ 19,042 $ 18,514 2/28/98 $ 20,438 $ 19,882 3/31/98 $ 21,288 $ 20,701 4/30/98 $ 21,580 $ 20,815 5/31/98 $ 20,449 $ 19,693 6/30/98 $ 20,169 $ 19,734 7/31/98 $ 18,620 $ 18,136 8/31/98 $ 14,786 $ 14,614 9/30/98 $ 15,713 $ 15,758 10/31/98 $ 16,398 $ 16,401 11/30/98 $ 17,477 $ 17,260 12/31/98 $ 18,204 $ 18,329 1/31/99 $ 18,499 $ 18,573 2/28/99 $ 16,923 $ 17,068 3/31/99 $ 16,768 $ 17,335 4/30/99 $ 18,288 $ 18,888 5/31/99 $ 19,007 $ 19,163 6/30/99 $ 20,119 $ 20,030 7/31/99 $ 19,950 $ 19,481 8/31/99 $ 19,415 $ 18,760 9/30/99 $ 19,316 $ 18,764 10/31/99 $ 19,090 $ 18,841 11/30/99 $ 20,667 $ 19,966 12/31/99 $ 22,831 $ 22,226 1/31/2000 $ 22,801 $ 21,868 2/29/2000 $ 26,611 $ 25,478 3/31/2000 $ 25,459 $ 23,799 4/30/2000 $ 23,461 $ 22,366 5/31/2000 $ 22,217 $ 21,062 6/30/2000 $ 24,492 $ 22,899 7/31/2000 $ 23,816 $ 22,162 8/31/2000 $ 25,767 $ 23,853 9/30/2000 $ 25,259 $ 23,151 10/31/2000 $ 24,138 $ 22,119 11/30/2000 $ 21,924 $ 19,847 12/31/2000 $ 23,391 $ 21,552 1/31/2001 $ 25,428 $ 22,675 2/28/2001 $ 23,732 $ 21,188 3/31/2001 $ 22,652 $ 20,151 4/30/2001 $ 24,417 $ 21,727 5/31/2001 $ 25,565 $ 22,262 6/30/2001 $ 26,848 $ 23,030 7/31/2001 $ 25,839 $ 21,784 8/31/2001 $ 25,069 $ 21,080 9/30/2001 $ 21,506 $ 18,243 10/31/2001 $ 22,928 $ 19,310 11/30/2001 $ 24,709 $ 20,805 12/31/2001 $ 26,358 $ 22,088 1/31/2002 $ 26,170 $ 21,859 2/28/2002 $ 25,474 $ 21,260 3/31/2002 $ 27,642 $ 22,969 4/30/2002 $ 27,717 $ 23,178 5/31/2002 $ 26,550 $ 22,149 6/30/2002 $ 25,193 $ 21,050 7/31/2002 $ 21,575 $ 17,872 8/31/2002 $ 21,595 $ 17,825 9/30/2002 $ 19,956 $ 16,545 10/31/2002 $ 20,710 $ 17,077 11/30/2002 $ 22,557 $ 18,600 12/31/2002 $ 21,317 $ 17,564 1/31/2003 $ 20,743 $ 17,077 2/28/2003 $ 20,075 $ 16,561 3/31/2003 $ 20,266 $ 16,775 4/30/2003 $ 22,309 $ 18,365 5/31/2003 $ 24,812 $ 20,336 6/30/2003 $ 25,480 $ 20,704 7/31/2003 $ 27,085 $ 22,000 8/31/2003 $ 28,442 $ 23,008 9/30/2003 $ 28,004 $ 22,582 10/31/2003 $ 30,449 $ 24,479 11/30/2003 $ 31,557 $ 25,348 12/31/2003 $ 32,295 $ 25,863 1/31/2004 $ 33,734 $ 26,985 2/29/2004 $ 34,021 $ 27,228 3/31/2004 $ 34,194 $ 27,481 4/30/2004 $ 32,793 $ 26,080 5/31/2004 $ 33,139 $ 26,494 6/30/2004 $ 34,587 $ 27,610 7/31/2004 $ 32,108 $ 25,752 8/31/2004 $ 31,647 $ 25,620 9/30/2004 $ 33,195 $ 26,822 10/31/2004 $ 33,829 $ 27,350 11/30/2004 $ 36,791 $ 29,721
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - -------------------------------------------- 16.59% 12.22% 13.91%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Index is courtesy of Russell Analytic Services. 2 [CHART] U.S. MICRO CAP PORTFOLIO VS. RUSSELL 2000 INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
U.S. MICRO CAP PORTFOLIO CRSP 9-10 INDEX RUSSELL 2000 INDEX 11/30/94 $ 10,000 $ 10,000 $ 10,000 12/31/94 $ 10,002 $ 9,889 $ 10,268 1/31/95 $ 10,285 $ 10,170 $ 10,139 2/28/95 $ 10,544 $ 10,503 $ 10,560 3/31/95 $ 10,697 $ 10,696 $ 10,741 4/30/95 $ 11,074 $ 10,990 $ 10,979 5/31/95 $ 11,404 $ 11,230 $ 11,168 6/30/95 $ 12,051 $ 11,919 $ 11,748 7/31/95 $ 12,829 $ 12,670 $ 12,425 8/31/95 $ 13,288 $ 13,193 $ 12,682 9/30/95 $ 13,547 $ 13,510 $ 12,909 10/31/95 $ 12,887 $ 12,807 $ 12,332 11/30/95 $ 13,135 $ 13,015 $ 12,850 12/31/95 $ 13,449 $ 13,183 $ 13,189 1/31/96 $ 13,486 $ 13,383 $ 13,174 2/29/96 $ 13,984 $ 13,795 $ 13,585 3/31/96 $ 14,303 $ 14,185 $ 13,867 4/30/96 $ 15,516 $ 15,396 $ 14,609 5/31/96 $ 16,678 $ 16,495 $ 15,184 6/30/96 $ 15,707 $ 15,515 $ 14,560 7/31/96 $ 14,226 $ 14,165 $ 13,289 8/31/96 $ 14,903 $ 14,866 $ 14,061 9/30/96 $ 15,337 $ 15,372 $ 14,611 10/31/96 $ 15,068 $ 15,038 $ 14,386 11/30/96 $ 15,502 $ 15,390 $ 14,979 12/31/96 $ 15,819 $ 15,695 $ 15,371 1/31/97 $ 16,483 $ 16,541 $ 15,678 2/28/97 $ 16,144 $ 16,263 $ 15,299 3/31/97 $ 15,353 $ 15,342 $ 14,577 4/30/97 $ 14,929 $ 14,712 $ 14,618 5/31/97 $ 16,455 $ 16,333 $ 16,245 6/30/97 $ 17,274 $ 17,171 $ 16,942 7/31/97 $ 18,319 $ 18,146 $ 17,729 8/31/97 $ 19,251 $ 18,966 $ 18,135 9/30/97 $ 20,876 $ 20,766 $ 19,463 10/31/97 $ 20,070 $ 20,170 $ 18,608 11/30/97 $ 19,759 $ 19,771 $ 18,487 12/31/97 $ 19,421 $ 19,474 $ 18,811 1/31/98 $ 19,307 $ 19,434 $ 18,514 2/28/98 $ 20,560 $ 20,677 $ 19,882 3/31/98 $ 21,549 $ 21,728 $ 20,701 4/30/98 $ 21,911 $ 22,323 $ 20,815 5/31/98 $ 20,822 $ 21,133 $ 19,693 6/30/98 $ 20,393 $ 20,440 $ 19,734 7/31/98 $ 19,025 $ 19,181 $ 18,136 8/31/98 $ 15,201 $ 15,032 $ 14,614 9/30/98 $ 15,762 $ 15,567 $ 15,758 10/31/98 $ 16,323 $ 16,167 $ 16,401 11/30/98 $ 17,560 $ 17,533 $ 17,260 12/31/98 $ 18,002 $ 17,929 $ 18,329 1/31/99 $ 18,505 $ 18,940 $ 18,573 2/28/99 $ 17,233 $ 17,715 $ 17,068 3/31/99 $ 16,580 $ 17,229 $ 17,335 4/30/99 $ 18,154 $ 18,799 $ 18,888 5/31/99 $ 18,856 $ 19,416 $ 19,163 6/30/99 $ 19,927 $ 20,149 $ 20,030 7/31/99 $ 20,111 $ 20,500 $ 19,481 8/31/99 $ 19,727 $ 19,975 $ 18,760 9/30/99 $ 19,291 $ 19,674 $ 18,764 10/31/99 $ 19,123 $ 19,268 $ 18,841 11/30/99 $ 20,980 $ 21,295 $ 19,966 12/31/99 $ 23,365 $ 23,700 $ 22,226 1/31/2000 $ 24,755 $ 25,264 $ 21,868 2/29/2000 $ 30,592 $ 29,068 $ 25,478 3/31/2000 $ 28,295 $ 27,624 $ 23,799 4/30/2000 $ 24,755 $ 25,082 $ 22,366 5/31/2000 $ 22,755 $ 23,537 $ 21,062 6/30/2000 $ 25,868 $ 25,044 $ 22,899 7/31/2000 $ 25,035 $ 24,711 $ 22,162 8/31/2000 $ 27,351 $ 26,312 $ 23,853 9/30/2000 $ 26,757 $ 25,509 $ 23,151 10/31/2000 $ 24,868 $ 23,522 $ 22,119 11/30/2000 $ 22,108 $ 20,841 $ 19,847 12/31/2000 $ 22,526 $ 20,532 $ 21,552 1/31/2001 $ 25,634 $ 25,809 $ 22,675 2/28/2001 $ 23,835 $ 23,115 $ 21,188 3/31/2001 $ 22,691 $ 21,693 $ 20,151 4/30/2001 $ 24,349 $ 23,034 $ 21,727 5/31/2001 $ 26,687 $ 25,344 $ 22,262 6/30/2001 $ 27,645 $ 25,965 $ 23,030 7/31/2001 $ 26,943 $ 25,266 $ 21,784 8/31/2001 $ 26,148 $ 24,496 $ 21,080 9/30/2001 $ 22,806 $ 21,399 $ 18,243 10/31/2001 $ 24,277 $ 23,323 $ 19,310 11/30/2001 $ 25,913 $ 25,471 $ 20,805 12/31/2001 $ 27,655 $ 27,557 $ 22,088 1/31/2002 $ 27,959 $ 27,800 $ 21,859 2/28/2002 $ 27,185 $ 26,452 $ 21,260 3/31/2002 $ 29,588 $ 28,872 $ 22,969 4/30/2002 $ 30,307 $ 28,976 $ 23,178 5/31/2002 $ 29,479 $ 28,153 $ 22,149 6/30/2002 $ 28,430 $ 27,148 $ 21,050 7/31/2002 $ 24,313 $ 23,263 $ 17,872 8/31/2002 $ 24,175 $ 22,984 $ 17,825 9/30/2002 $ 22,545 $ 21,152 $ 16,545 10/31/2002 $ 23,125 $ 22,055 $ 17,077 11/30/2002 $ 25,058 $ 25,370 $ 18,600 12/31/2002 $ 23,983 $ 23,670 $ 17,564 1/31/2003 $ 23,448 $ 23,528 $ 17,077 2/28/2003 $ 22,773 $ 22,877 $ 16,561 3/31/2003 $ 23,026 $ 23,254 $ 16,775 4/30/2003 $ 25,162 $ 25,775 $ 18,365 5/31/2003 $ 28,086 $ 29,582 $ 20,336 6/30/2003 $ 29,322 $ 31,170 $ 20,704 7/31/2003 $ 31,486 $ 33,729 $ 22,000 8/31/2003 $ 32,975 $ 35,409 $ 23,008 9/30/2003 $ 33,005 $ 36,105 $ 22,582 10/31/2003 $ 35,957 $ 39,178 $ 24,479 11/30/2003 $ 37,503 $ 40,857 $ 25,348 12/31/2003 $ 38,541 $ 42,228 $ 25,863 1/31/2004 $ 40,769 $ 45,126 $ 26,985 2/29/2004 $ 40,971 $ 45,462 $ 27,228 3/31/2004 $ 41,029 $ 45,265 $ 27,481 4/30/2004 $ 39,351 $ 43,639 $ 26,080 5/31/2004 $ 39,351 $ 43,259 $ 26,494 6/30/2004 $ 41,088 $ 44,636 $ 27,610 7/31/2004 $ 38,019 $ 40,985 $ 25,752 8/31/2004 $ 37,440 $ 40,474 $ 25,620 9/30/2004 $ 39,314 $ 42,346 $ 26,822 10/31/2004 $ 40,038 $ 43,103 $ 27,350 11/30/2004 $ 43,630 $ 46,981 $ 29,721
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - --------------------------------------------- 16.34% 15.77% 15.88%
- - THE RUSSELL 2000 INDEX IS REPLACING THE CRSP 9-10 INDEX FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. CRSP 9-10 Index courtesy of the Center for Research in Security Prices, University of Chicago. Russell 2000 Index courtesy of Russell Analytic Services. [CHART] DFA REAL ESTATE SECURITIES PORTFOLIO VS. S&P 500 INDEX, WILSHIRE REIT INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
DFA REAL ESTATE SECURITIES PORTFOLIO S&P 500 INDEX WILSHIRE REIT INDEX 11/30/94 $ 10,000 $ 10,000 $ 10,000 12/31/94 $ 10,788 $ 10,146 $ 10,862 1/31/95 $ 10,484 $ 10,410 $ 10,489 2/28/95 $ 10,658 $ 10,814 $ 10,660 3/31/95 $ 10,636 $ 11,134 $ 10,645 4/30/95 $ 10,582 $ 11,458 $ 10,573 5/31/95 $ 11,007 $ 11,910 $ 11,011 6/30/95 $ 11,236 $ 12,190 $ 11,232 7/31/95 $ 11,366 $ 12,596 $ 11,387 8/31/95 $ 11,442 $ 12,630 $ 11,492 9/30/95 $ 11,638 $ 13,159 $ 11,717 10/31/95 $ 11,268 $ 13,113 $ 11,357 11/30/95 $ 11,402 $ 13,690 $ 11,491 12/31/95 $ 12,090 $ 13,944 $ 12,191 1/31/96 $ 12,206 $ 14,423 $ 12,341 2/29/96 $ 12,357 $ 14,562 $ 12,515 3/31/96 $ 12,368 $ 14,702 $ 12,520 4/30/96 $ 12,357 $ 14,918 $ 12,491 5/31/96 $ 12,622 $ 15,302 $ 12,790 6/30/96 $ 12,853 $ 15,365 $ 13,033 7/31/96 $ 12,911 $ 14,681 $ 13,051 8/31/96 $ 13,373 $ 14,993 $ 13,577 9/30/96 $ 13,662 $ 15,835 $ 13,911 10/31/96 $ 13,997 $ 16,269 $ 14,280 11/30/96 $ 14,621 $ 17,504 $ 14,962 12/31/96 $ 16,181 $ 17,161 $ 16,707 1/31/97 $ 16,278 $ 18,227 $ 16,807 2/28/97 $ 16,218 $ 18,374 $ 16,748 3/31/97 $ 16,315 $ 17,610 $ 16,876 4/30/97 $ 15,793 $ 18,661 $ 16,258 5/31/97 $ 16,256 $ 19,807 $ 16,744 6/30/97 $ 17,119 $ 20,690 $ 17,665 7/31/97 $ 17,569 $ 22,333 $ 18,144 8/31/97 $ 17,485 $ 21,092 $ 18,040 9/30/97 $ 19,078 $ 22,247 $ 19,781 10/31/97 $ 18,544 $ 21,504 $ 19,150 11/30/97 $ 18,885 $ 22,500 $ 19,545 12/31/97 $ 19,316 $ 22,887 $ 19,992 1/31/98 $ 19,086 $ 23,141 $ 19,755 2/28/98 $ 18,767 $ 24,809 $ 19,352 3/31/98 $ 19,266 $ 26,080 $ 19,793 4/30/98 $ 18,652 $ 26,343 $ 19,114 5/31/98 $ 18,536 $ 25,890 $ 18,972 6/30/98 $ 18,549 $ 26,941 $ 18,969 7/31/98 $ 17,321 $ 26,656 $ 17,629 8/31/98 $ 15,736 $ 22,801 $ 15,974 9/30/98 $ 16,734 $ 24,263 $ 16,950 10/31/98 $ 16,376 $ 26,235 $ 16,623 11/30/98 $ 16,618 $ 27,825 $ 16,896 12/31/98 $ 16,346 $ 29,428 $ 16,593 1/31/99 $ 16,022 $ 30,658 $ 16,155 2/28/99 $ 15,915 $ 29,704 $ 15,916 3/31/99 $ 15,806 $ 30,893 $ 15,913 4/30/99 $ 17,302 $ 32,088 $ 17,447 5/31/99 $ 17,760 $ 31,331 $ 17,911 6/30/99 $ 17,463 $ 33,070 $ 17,594 7/31/99 $ 16,912 $ 32,038 $ 16,996 8/31/99 $ 16,763 $ 31,878 $ 16,873 9/30/99 $ 16,035 $ 31,004 $ 16,139 10/31/99 $ 15,711 $ 32,967 $ 15,800 11/30/99 $ 15,496 $ 33,636 $ 15,578 12/31/99 $ 16,021 $ 35,617 $ 16,166 1/31/2000 $ 16,121 $ 33,829 $ 16,268 2/29/2000 $ 15,877 $ 33,190 $ 16,016 3/31/2000 $ 16,449 $ 36,436 $ 16,650 4/30/2000 $ 17,505 $ 35,339 $ 17,831 5/31/2000 $ 17,762 $ 34,615 $ 18,059 6/30/2000 $ 18,276 $ 35,466 $ 18,516 7/31/2000 $ 19,803 $ 34,913 $ 20,258 8/31/2000 $ 19,104 $ 37,081 $ 19,499 9/30/2000 $ 19,790 $ 35,123 $ 20,247 10/31/2000 $ 18,947 $ 34,976 $ 19,381 11/30/2000 $ 19,290 $ 32,220 $ 19,784 12/31/2000 $ 20,569 $ 32,377 $ 21,185 1/31/2001 $ 20,645 $ 33,527 $ 21,180 2/28/2001 $ 20,313 $ 30,469 $ 20,831 3/31/2001 $ 20,479 $ 28,537 $ 20,968 4/30/2001 $ 20,887 $ 30,755 $ 21,430 5/31/2001 $ 21,401 $ 30,961 $ 21,953 6/30/2001 $ 22,672 $ 30,209 $ 23,252 7/31/2001 $ 22,203 $ 29,912 $ 22,785 8/31/2001 $ 23,020 $ 28,040 $ 23,692 9/30/2001 $ 22,295 $ 25,774 $ 22,694 10/31/2001 $ 21,583 $ 26,267 $ 21,886 11/30/2001 $ 22,719 $ 28,281 $ 23,208 12/31/2001 $ 23,277 $ 28,530 $ 23,802 1/31/2002 $ 23,198 $ 28,114 $ 23,709 2/28/2002 $ 23,632 $ 27,571 $ 24,229 3/31/2002 $ 25,109 $ 28,608 $ 25,794 4/30/2002 $ 25,270 $ 26,874 $ 25,938 5/31/2002 $ 25,606 $ 26,675 $ 26,286 6/30/2002 $ 26,297 $ 24,776 $ 26,985 7/31/2002 $ 24,964 $ 22,843 $ 25,525 8/31/2002 $ 25,029 $ 22,994 $ 25,548 9/30/2002 $ 24,130 $ 20,495 $ 24,536 10/31/2002 $ 22,909 $ 22,298 $ 23,219 11/30/2002 $ 23,936 $ 23,612 $ 24,329 12/31/2002 $ 24,249 $ 22,223 $ 24,660 1/31/2003 $ 23,638 $ 21,641 $ 23,942 2/28/2003 $ 24,064 $ 21,316 $ 24,378 3/31/2003 $ 24,641 $ 21,523 $ 24,970 4/30/2003 $ 25,575 $ 23,297 $ 25,931 5/31/2003 $ 26,984 $ 24,524 $ 27,399 6/30/2003 $ 27,546 $ 24,838 $ 27,991 7/31/2003 $ 28,956 $ 25,275 $ 29,480 8/31/2003 $ 29,159 $ 25,768 $ 29,725 9/30/2003 $ 30,162 $ 25,495 $ 30,771 10/31/2003 $ 30,570 $ 26,938 $ 31,227 11/30/2003 $ 31,946 $ 27,175 $ 32,604 12/31/2003 $ 32,879 $ 28,599 $ 33,582 1/31/2004 $ 34,232 $ 29,125 $ 34,925 2/29/2004 $ 34,838 $ 29,530 $ 35,505 3/31/2004 $ 36,831 $ 29,084 $ 37,639 4/30/2004 $ 31,544 $ 28,628 $ 32,128 5/31/2004 $ 33,823 $ 29,020 $ 34,583 6/30/2004 $ 34,800 $ 29,584 $ 35,600 7/31/2004 $ 34,943 $ 28,605 $ 35,781 8/31/2004 $ 37,723 $ 28,720 $ 38,733 9/30/2004 $ 37,597 $ 29,032 $ 38,551 10/31/2004 $ 39,627 $ 29,475 $ 40,691 11/30/2004 $ 41,351 $ 30,668 $ 42,514
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ------------------------------------------- 29.44% 21.69% 15.25%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). Wilshire REIT Index courtesy of Wilshire Associates Incorporated. [CHART] LARGE CAP INTERNATIONAL PORTFOLIO VS. MSCI EAFE INDEX (NET DIVIDENDS) NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
LARGE CAP MSCI EAFE INTERNATIONAL PORTFOLIO INDEX (NET DIVIDENDS) 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,102 $ 10,063 1/31/95 $ 9,811 $ 9,677 2/28/95 $ 9,742 $ 9,649 3/31/95 $ 10,393 $ 10,251 4/30/95 $ 10,761 $ 10,636 5/31/95 $ 10,633 $ 10,510 6/30/95 $ 10,470 $ 10,325 7/31/95 $ 11,062 $ 10,968 8/31/95 $ 10,625 $ 10,550 9/30/95 $ 10,805 $ 10,756 10/31/95 $ 10,650 $ 10,466 11/30/95 $ 10,937 $ 10,757 12/31/95 $ 11,420 $ 11,191 1/31/96 $ 11,394 $ 11,237 2/29/96 $ 11,358 $ 11,275 3/31/96 $ 11,593 $ 11,515 4/30/96 $ 11,906 $ 11,850 5/31/96 $ 11,759 $ 11,632 6/30/96 $ 11,828 $ 11,697 7/31/96 $ 11,489 $ 11,356 8/31/96 $ 11,540 $ 11,381 9/30/96 $ 11,880 $ 11,683 10/31/96 $ 11,775 $ 11,564 11/30/96 $ 12,323 $ 12,024 12/31/96 $ 12,144 $ 11,869 1/31/97 $ 11,602 $ 11,454 2/28/97 $ 11,780 $ 11,642 3/31/97 $ 11,940 $ 11,684 4/30/97 $ 12,038 $ 11,746 5/31/97 $ 12,801 $ 12,510 6/30/97 $ 13,688 $ 13,199 7/31/97 $ 13,928 $ 13,413 8/31/97 $ 12,970 $ 12,411 9/30/97 $ 13,813 $ 13,106 10/31/97 $ 12,676 $ 12,100 11/30/97 $ 12,667 $ 11,976 12/31/97 $ 12,813 $ 12,081 1/31/98 $ 13,283 $ 12,633 2/28/98 $ 14,006 $ 13,444 3/31/98 $ 14,475 $ 13,858 4/30/98 $ 14,565 $ 13,967 5/31/98 $ 14,573 $ 13,899 6/30/98 $ 14,754 $ 14,004 7/31/98 $ 14,853 $ 14,146 8/31/98 $ 13,082 $ 12,393 9/30/98 $ 12,666 $ 12,014 10/31/98 $ 13,932 $ 13,266 11/30/98 $ 14,709 $ 13,945 12/31/98 $ 15,146 $ 14,496 1/31/99 $ 15,054 $ 14,452 2/28/99 $ 14,722 $ 14,108 3/31/99 $ 15,392 $ 14,697 4/30/99 $ 16,016 $ 15,292 5/31/99 $ 15,189 $ 14,504 6/30/99 $ 15,850 $ 15,070 7/31/99 $ 16,300 $ 15,518 8/31/99 $ 16,411 $ 15,575 9/30/99 $ 16,531 $ 15,732 10/31/99 $ 17,164 $ 16,314 11/30/99 $ 17,816 $ 16,881 12/31/99 $ 19,462 $ 18,396 1/31/2000 $ 18,143 $ 17,228 2/29/2000 $ 18,535 $ 17,692 3/31/2000 $ 19,283 $ 18,378 4/30/2000 $ 18,292 $ 17,411 5/31/2000 $ 17,908 $ 16,987 6/30/2000 $ 18,581 $ 17,651 7/31/2000 $ 17,833 $ 16,911 8/31/2000 $ 17,991 $ 17,058 9/30/2000 $ 17,131 $ 16,228 10/31/2000 $ 16,710 $ 15,845 11/30/2000 $ 16,177 $ 15,250 12/31/2000 $ 16,738 $ 15,792 1/31/2001 $ 16,663 $ 15,784 2/28/2001 $ 15,477 $ 14,600 3/31/2001 $ 14,489 $ 13,626 4/30/2001 $ 15,438 $ 14,573 5/31/2001 $ 14,944 $ 14,059 6/30/2001 $ 14,364 $ 13,484 7/31/2001 $ 14,089 $ 13,238 8/31/2001 $ 13,756 $ 12,904 9/30/2001 $ 12,437 $ 11,596 10/31/2001 $ 12,769 $ 11,893 11/30/2001 $ 13,197 $ 12,332 12/31/2001 $ 13,252 $ 12,405 1/31/2002 $ 12,558 $ 11,746 2/28/2002 $ 12,634 $ 11,828 3/31/2002 $ 13,348 $ 12,468 4/30/2002 $ 13,387 $ 12,551 5/31/2002 $ 13,589 $ 12,710 6/30/2002 $ 13,088 $ 12,204 7/31/2002 $ 11,891 $ 11,000 8/31/2002 $ 11,863 $ 10,974 9/30/2002 $ 10,628 $ 9,796 10/31/2002 $ 11,188 $ 10,322 11/30/2002 $ 11,680 $ 10,790 12/31/2002 $ 11,317 $ 10,428 1/31/2003 $ 10,864 $ 9,993 2/28/2003 $ 10,599 $ 9,764 3/31/2003 $ 10,393 $ 9,573 4/30/2003 $ 11,376 $ 10,512 5/31/2003 $ 12,054 $ 11,149 6/30/2003 $ 12,339 $ 11,419 7/31/2003 $ 12,624 $ 11,695 8/31/2003 $ 12,910 $ 11,977 9/30/2003 $ 13,303 $ 12,346 10/31/2003 $ 14,100 $ 13,115 11/30/2003 $ 14,405 $ 13,407 12/31/2003 $ 15,471 $ 14,454 1/31/2004 $ 15,671 $ 14,658 2/29/2004 $ 16,021 $ 14,997 3/31/2004 $ 16,141 $ 15,081 4/30/2004 $ 15,641 $ 14,740 5/31/2004 $ 15,761 $ 14,790 6/30/2004 $ 16,199 $ 15,114 7/31/2004 $ 15,592 $ 14,623 8/31/2004 $ 15,693 $ 14,688 9/30/2004 $ 16,001 $ 15,072 10/31/2004 $ 16,540 $ 15,586 11/30/2004 $ 17,586 $ 16,651
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ------------------------------------------- 22.09% -0.26% 5.81%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International. 3 [CHART] INTERNATIONAL SMALL COMPANY PORTFOLIO VS. MSCI EAFE SMALL CAP INDEX (PRICE-ONLY) SEPTEMBER 30, 1996-NOVEMBER 30, 2004 GROWTH OF $10,000
INTERNATIONAL SMALL S&P/CITIGROUP EXTENDED MSCI EAFE SMALL COMPANY PORTFOLIO MARKET INDEX-EPAC CAP INDEX (PRICE-ONLY) 9/30/96 $ 9,930 $ 10,000 $ 10,000 10/31/96 $ 9,841 $ 9,924 $ 9,822 11/30/96 $ 9,890 $ 10,070 $ 9,948 12/31/96 $ 9,569 $ 9,887 $ 9,605 1/31/97 $ 9,350 $ 9,623 $ 9,411 2/28/97 $ 9,460 $ 9,799 $ 9,586 3/31/97 $ 9,281 $ 9,690 $ 9,345 4/30/97 $ 9,082 $ 9,546 $ 9,034 5/31/97 $ 9,739 $ 10,148 $ 9,718 6/30/97 $ 9,918 $ 10,388 $ 9,893 7/31/97 $ 9,510 $ 10,186 $ 9,545 8/31/97 $ 9,083 $ 9,729 $ 8,936 9/30/97 $ 8,864 $ 9,856 $ 8,748 10/31/97 $ 8,466 $ 9,470 $ 8,263 11/30/97 $ 7,779 $ 9,092 $ 7,687 12/31/97 $ 7,299 $ 8,870 $ 7,239 1/31/98 $ 7,814 $ 9,285 $ 7,691 2/28/98 $ 8,611 $ 9,973 $ 8,381 3/31/98 $ 8,763 $ 10,442 $ 8,566 4/30/98 $ 8,652 $ 10,525 $ 8,549 5/31/98 $ 8,641 $ 10,768 $ 8,578 6/30/98 $ 8,359 $ 10,465 $ 8,236 7/31/98 $ 8,167 $ 10,440 $ 8,123 8/31/98 $ 7,259 $ 9,216 $ 7,042 9/30/98 $ 7,027 $ 8,938 $ 6,718 10/31/98 $ 7,471 $ 9,576 $ 7,256 11/30/98 $ 7,895 $ 9,891 $ 7,603 12/31/98 $ 7,898 $ 10,123 $ 7,632 1/31/99 $ 7,774 $ 10,084 $ 7,537 2/28/99 $ 7,631 $ 9,897 $ 7,442 3/31/99 $ 7,950 $ 10,252 $ 7,845 4/30/99 $ 8,702 $ 10,778 $ 8,428 5/31/99 $ 8,661 $ 10,490 $ 8,122 6/30/99 $ 9,278 $ 10,844 $ 8,553 7/31/99 $ 9,515 $ 11,262 $ 8,815 8/31/99 $ 9,618 $ 11,434 $ 9,002 9/30/99 $ 9,566 $ 11,398 $ 8,974 10/31/99 $ 9,453 $ 11,303 $ 8,851 11/30/99 $ 9,402 $ 11,700 $ 8,899 12/31/99 $ 9,625 $ 12,444 $ 8,981 1/31/2000 $ 9,603 $ 12,123 $ 8,992 2/29/2000 $ 9,719 $ 12,556 $ 9,213 3/31/2000 $ 10,002 $ 12,664 $ 9,431 4/30/2000 $ 9,192 $ 11,867 $ 8,723 5/31/2000 $ 9,223 $ 11,667 $ 8,705 6/30/2000 $ 9,991 $ 12,421 $ 9,471 7/31/2000 $ 9,570 $ 11,985 $ 8,876 8/31/2000 $ 9,823 $ 12,303 $ 9,296 9/30/2000 $ 9,497 $ 11,692 $ 8,761 10/31/2000 $ 8,908 $ 11,058 $ 8,151 11/30/2000 $ 8,929 $ 10,648 $ 8,127 12/31/2000 $ 9,103 $ 11,065 $ 8,153 1/31/2001 $ 9,256 $ 11,165 $ 8,392 2/28/2001 $ 9,180 $ 10,746 $ 8,220 3/31/2001 $ 8,634 $ 9,883 $ 7,562 4/30/2001 $ 9,256 $ 10,568 $ 8,188 5/31/2001 $ 9,322 $ 10,517 $ 8,141 6/30/2001 $ 9,169 $ 10,126 $ 7,886 7/31/2001 $ 8,875 $ 9,861 $ 7,554 8/31/2001 $ 9,038 $ 9,854 $ 7,629 9/30/2001 $ 7,980 $ 8,578 $ 6,586 10/31/2001 $ 8,286 $ 8,939 $ 6,912 11/30/2001 $ 8,362 $ 9,262 $ 7,173 12/31/2001 $ 8,146 $ 9,250 $ 6,987 1/31/2002 $ 8,046 $ 9,016 $ 6,816 2/28/2002 $ 8,324 $ 9,193 $ 6,927 3/31/2002 $ 8,736 $ 9,792 $ 7,347 4/30/2002 $ 9,048 $ 9,997 $ 7,593 5/31/2002 $ 9,571 $ 10,357 $ 7,910 6/30/2002 $ 9,326 $ 9,997 $ 7,601 7/31/2002 $ 8,836 $ 9,136 $ 7,009 8/31/2002 $ 8,758 $ 9,060 $ 6,912 9/30/2002 $ 8,135 $ 8,219 $ 6,354 10/31/2002 $ 8,035 $ 8,371 $ 6,268 11/30/2002 $ 8,246 $ 8,681 $ 6,444 12/31/2002 $ 8,301 $ 8,539 $ 6,317 1/31/2003 $ 8,279 $ 8,324 $ 6,224 2/28/2003 $ 8,324 $ 8,180 $ 6,168 3/31/2003 $ 8,290 $ 8,127 $ 6,092 4/30/2003 $ 8,971 $ 8,937 $ 6,636 5/31/2003 $ 9,799 $ 9,686 $ 7,182 6/30/2003 $ 10,241 $ 10,015 $ 7,553 7/31/2003 $ 10,592 $ 10,355 $ 7,778 8/31/2003 $ 11,137 $ 10,823 $ 8,286 9/30/2003 $ 11,771 $ 11,335 $ 8,761 10/31/2003 $ 12,406 $ 12,140 $ 9,452 11/30/2003 $ 12,474 $ 12,319 $ 9,408 12/31/2003 $ 13,181 $ 13,060 $ 9,967 1/31/2004 $ 13,918 $ 13,553 $ 10,470 2/29/2004 $ 14,333 $ 13,974 $ 10,762 3/31/2004 $ 14,909 $ 14,337 $ 11,144 4/30/2004 $ 14,460 $ 13,970 $ 10,781 5/31/2004 $ 14,298 $ 13,973 $ 10,575 6/30/2004 $ 14,964 $ 14,465 $ 11,124 7/31/2004 $ 14,418 $ 13,886 $ 10,610 8/31/2004 $ 14,546 $ 13,996 $ 10,674 9/30/2004 $ 14,892 $ 14,415 $ 10,897 10/31/2004 $ 15,370 $ 14,864 $ 11,297 11/30/2004 $ 16,479 $ 16,027 $ 12,186
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 9/30/1996 - --------------------------------------------- 32.10% 11.73% 6.31%
- - THE MSCI EAFE SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET INDEX-EPAC FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. Prior to April 2002, the returns shown since April 1998 reflect a reimbursement fee of 0.675% of the net asset value at the time of purchase. Prior to April 1998, the reimbursement fee was 0.7%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P/Citigroup Extended Market Index-EPAC is courtesy of Citigroup Global Markets Inc. MSCI EAFE Small Cap Index courtesy of Morgan Stanley Capital International. [CHART] JAPANESE SMALL COMPANY PORTFOLIO VS. MSCI JAPAN SMALL CAP INDEX (PRICE-ONLY) NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
JAPANESE SMALL S&P/CITIGROUP EXTENDED MARKET MSCI JAPAN SMALL COMPANY PORTFOLIO INDEX-JAPAN CAP INDEX (PRICE-ONLY) 11/30/94 $ 9,900 $ 10,000 $ 10,000 12/31/94 $ 10,207 $ 10,257 $ 10,308 1/31/95 $ 9,859 $ 9,808 $ 9,937 2/28/95 $ 9,204 $ 9,170 $ 9,154 3/31/95 $ 9,733 $ 9,838 $ 9,629 4/30/95 $ 10,081 $ 10,124 $ 9,874 5/31/95 $ 9,035 $ 9,241 $ 8,860 6/30/95 $ 8,554 $ 8,819 $ 8,335 7/31/95 $ 9,254 $ 9,412 $ 9,167 8/31/95 $ 9,262 $ 9,211 $ 9,202 9/30/95 $ 8,942 $ 9,057 $ 9,054 10/31/95 $ 8,627 $ 8,671 $ 8,705 11/30/95 $ 9,252 $ 9,079 $ 9,215 12/31/95 $ 9,842 $ 9,565 $ 9,656 1/31/96 $ 10,053 $ 9,625 $ 9,852 2/29/96 $ 9,867 $ 9,482 $ 9,635 3/31/96 $ 10,213 $ 9,744 $ 9,908 4/30/96 $ 11,282 $ 10,668 $ 10,802 5/31/96 $ 10,820 $ 10,177 $ 10,299 6/30/96 $ 10,700 $ 10,164 $ 10,236 7/31/96 $ 9,863 $ 9,591 $ 9,425 8/31/96 $ 9,587 $ 9,189 $ 9,083 9/30/96 $ 9,625 $ 9,268 $ 9,090 10/31/96 $ 8,948 $ 8,675 $ 8,447 11/30/96 $ 8,672 $ 8,474 $ 8,223 12/31/96 $ 7,600 $ 7,624 $ 7,181 1/31/97 $ 6,863 $ 6,912 $ 6,449 2/28/97 $ 6,805 $ 6,908 $ 6,400 3/31/97 $ 6,311 $ 6,518 $ 5,832 4/30/97 $ 6,205 $ 6,515 $ 5,710 5/31/97 $ 7,233 $ 7,462 $ 6,804 6/30/97 $ 7,348 $ 7,683 $ 6,962 7/31/97 $ 6,510 $ 7,090 $ 6,217 8/31/97 $ 5,808 $ 6,352 $ 5,475 9/30/97 $ 4,930 $ 5,752 $ 4,568 10/31/97 $ 5,058 $ 5,728 $ 4,705 11/30/97 $ 4,171 $ 4,928 $ 3,858 12/31/97 $ 3,437 $ 4,259 $ 3,192 1/31/98 $ 4,385 $ 5,039 $ 4,107 2/28/98 $ 4,734 $ 5,212 $ 4,417 3/31/98 $ 4,309 $ 4,903 $ 3,983 4/30/98 $ 4,086 $ 4,753 $ 3,825 5/31/98 $ 3,911 $ 4,593 $ 3,673 6/30/98 $ 4,001 $ 4,645 $ 3,724 7/31/98 $ 3,960 $ 4,596 $ 3,737 8/31/98 $ 3,535 $ 4,248 $ 3,350 9/30/98 $ 3,343 $ 4,168 $ 3,132 10/31/98 $ 3,759 $ 4,726 $ 3,596 11/30/98 $ 4,072 $ 4,896 $ 3,907 12/31/98 $ 3,989 $ 5,057 $ 3,953 1/31/99 $ 4,083 $ 5,046 $ 4,034 2/28/99 $ 3,926 $ 4,889 $ 3,989 3/31/99 $ 4,381 $ 5,473 $ 4,500 4/30/99 $ 4,832 $ 5,733 $ 4,829 5/31/99 $ 4,615 $ 5,522 $ 4,506 6/30/99 $ 5,053 $ 5,944 $ 5,078 7/31/99 $ 5,292 $ 6,374 $ 5,364 8/31/99 $ 5,390 $ 6,660 $ 5,631 9/30/99 $ 5,400 $ 6,923 $ 5,744 10/31/99 $ 5,309 $ 6,918 $ 5,717 11/30/99 $ 5,007 $ 6,894 $ 5,678 12/31/99 $ 4,577 $ 6,674 $ 5,263 1/31/2000 $ 4,622 $ 6,622 $ 5,343 2/29/2000 $ 4,386 $ 6,385 $ 5,268 3/31/2000 $ 5,013 $ 6,892 $ 5,696 4/30/2000 $ 4,481 $ 6,376 $ 5,088 5/31/2000 $ 4,699 $ 6,447 $ 5,281 6/30/2000 $ 5,380 $ 7,129 $ 6,054 7/31/2000 $ 4,731 $ 6,224 $ 5,184 8/31/2000 $ 5,075 $ 6,725 $ 5,761 9/30/2000 $ 4,862 $ 6,455 $ 5,349 10/31/2000 $ 4,363 $ 5,915 $ 4,816 11/30/2000 $ 4,495 $ 5,899 $ 4,904 12/31/2000 $ 4,130 $ 5,482 $ 4,417 1/31/2001 $ 4,107 $ 5,418 $ 4,372 2/28/2001 $ 4,190 $ 5,336 $ 4,449 3/31/2001 $ 4,139 $ 5,191 $ 4,269 4/30/2001 $ 4,649 $ 5,751 $ 4,844 5/31/2001 $ 4,690 $ 5,789 $ 4,808 6/30/2001 $ 4,658 $ 5,598 $ 4,677 7/31/2001 $ 4,308 $ 5,248 $ 4,277 8/31/2001 $ 4,414 $ 5,255 $ 4,334 9/30/2001 $ 4,028 $ 4,883 $ 3,944 10/31/2001 $ 4,143 $ 4,924 $ 4,035 11/30/2001 $ 3,868 $ 4,703 $ 3,878 12/31/2001 $ 3,431 $ 4,271 $ 3,408 1/31/2002 $ 3,245 $ 3,981 $ 3,177 2/28/2002 $ 3,505 $ 4,191 $ 3,342 3/31/2002 $ 3,682 $ 4,397 $ 3,558 4/30/2002 $ 3,835 $ 4,638 $ 3,792 5/31/2002 $ 4,212 $ 5,100 $ 4,190 6/30/2002 $ 4,021 $ 4,920 $ 4,004 7/31/2002 $ 3,975 $ 4,751 $ 3,877 8/31/2002 $ 3,919 $ 4,667 $ 3,786 9/30/2002 $ 3,807 $ 4,522 $ 3,626 10/31/2002 $ 3,505 $ 4,188 $ 3,250 11/30/2002 $ 3,482 $ 4,212 $ 3,275 12/31/2002 $ 3,455 $ 4,180 $ 3,200 1/31/2003 $ 3,455 $ 4,095 $ 3,181 2/28/2003 $ 3,709 $ 4,273 $ 3,341 3/31/2003 $ 3,737 $ 4,256 $ 3,263 4/30/2003 $ 3,902 $ 4,373 $ 3,365 5/31/2003 $ 4,142 $ 4,552 $ 3,518 6/30/2003 $ 4,462 $ 4,889 $ 3,912 7/31/2003 $ 4,519 $ 4,962 $ 3,958 8/31/2003 $ 4,910 $ 5,439 $ 4,456 9/30/2003 $ 5,221 $ 5,889 $ 4,769 10/31/2003 $ 5,423 $ 6,167 $ 5,122 11/30/2003 $ 5,084 $ 5,848 $ 4,770 12/31/2003 $ 5,383 $ 6,248 $ 5,108 1/31/2004 $ 5,637 $ 6,382 $ 5,294 2/29/2004 $ 5,671 $ 6,371 $ 5,278 3/31/2004 $ 6,811 $ 7,518 $ 6,213 4/30/2004 $ 6,590 $ 7,251 $ 6,012 5/31/2004 $ 6,274 $ 6,969 $ 5,712 6/30/2004 $ 6,868 $ 7,539 $ 6,311 7/31/2004 $ 6,437 $ 7,008 $ 5,793 8/31/2004 $ 6,533 $ 7,050 $ 5,852 9/30/2004 $ 6,375 $ 6,863 $ 5,661 10/31/2004 $ 6,499 $ 6,980 $ 5,765 11/30/2004 $ 6,700 $ 7,263 $ 6,015
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ------------------------------------------ 31.79% 5.89% -3.92%
- - THE MSCI JAPAN SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET INDEX-JAPAN FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. Prior to April 2002, the returns shown since July 1995 reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. Prior to July 1995, the reimbursement fee was 1%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P/Citigroup Extended Market Index-Japan is courtesy of Citigroup Global Markets Inc. MSCI Japan Small Cap Index is courtesy of Morgan Stanley Capital International. [CHART] PACIFIC RIM SMALL COMPANY PORTFOLIO VS. MSCI PACIFIC RIM EX-JAPAN INDEX (PRICE-ONLY) NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
PACIFIC RIM SMALL S&P/CITIGROUP EXTENDED MARKET MSCI PACIFIC RIM COMPANY PORTFOLIO INDEX-PAC RIM EX-JAPAN EX-JAPAN INDEX (PRICE-ONLY) 11/30/94 $ 9,850 $ 10,000 $ 10,000 12/31/94 $ 9,657 $ 9,818 $ 9,794 1/31/95 $ 8,627 $ 8,839 $ 8,721 2/28/95 $ 8,939 $ 9,392 $ 9,545 3/31/95 $ 8,970 $ 9,348 $ 9,458 4/30/95 $ 8,827 $ 9,445 $ 9,340 5/31/95 $ 9,133 $ 9,819 $ 9,858 6/30/95 $ 9,170 $ 9,758 $ 9,845 7/31/95 $ 9,764 $ 10,367 $ 10,376 8/31/95 $ 9,583 $ 10,235 $ 9,951 9/30/95 $ 9,664 $ 10,316 $ 9,795 10/31/95 $ 9,371 $ 10,000 $ 9,258 11/30/95 $ 9,234 $ 10,039 $ 9,302 12/31/95 $ 9,381 $ 10,383 $ 9,627 1/31/96 $ 10,029 $ 11,357 $ 10,451 2/29/96 $ 10,088 $ 11,591 $ 10,707 3/31/96 $ 10,246 $ 11,733 $ 10,907 4/30/96 $ 11,066 $ 12,224 $ 11,450 5/31/96 $ 10,749 $ 12,052 $ 11,050 6/30/96 $ 10,451 $ 12,027 $ 11,057 7/31/96 $ 10,101 $ 11,500 $ 10,483 8/31/96 $ 10,392 $ 12,175 $ 10,977 9/30/96 $ 10,551 $ 12,433 $ 11,102 10/31/96 $ 10,663 $ 12,688 $ 11,264 11/30/96 $ 10,994 $ 13,498 $ 11,851 12/31/96 $ 10,728 $ 13,541 $ 11,901 1/31/97 $ 10,957 $ 13,571 $ 12,128 2/28/97 $ 11,565 $ 14,284 $ 12,950 3/31/97 $ 11,050 $ 13,649 $ 12,314 4/30/97 $ 10,786 $ 13,377 $ 11,657 5/31/97 $ 11,186 $ 13,926 $ 12,151 6/30/97 $ 11,279 $ 14,114 $ 12,118 7/31/97 $ 11,229 $ 14,115 $ 12,013 8/31/97 $ 10,599 $ 13,085 $ 10,480 9/30/97 $ 10,128 $ 12,755 $ 10,138 10/31/97 $ 7,661 $ 9,717 $ 7,679 11/30/97 $ 6,809 $ 8,922 $ 6,962 12/31/97 $ 6,212 $ 8,574 $ 6,323 1/31/98 $ 5,556 $ 7,686 $ 5,595 2/28/98 $ 7,073 $ 9,048 $ 6,861 3/31/98 $ 6,828 $ 8,738 $ 6,604 4/30/98 $ 6,204 $ 8,282 $ 6,072 5/31/98 $ 5,398 $ 7,412 $ 5,338 6/30/98 $ 4,624 $ 6,628 $ 4,685 7/31/98 $ 4,315 $ 6,447 $ 4,549 8/31/98 $ 3,643 $ 5,406 $ 3,780 9/30/98 $ 3,888 $ 6,070 $ 4,160 10/31/98 $ 4,560 $ 7,029 $ 4,895 11/30/98 $ 5,176 $ 7,560 $ 5,345 12/31/98 $ 5,027 $ 7,353 $ 5,196 1/31/99 $ 5,019 $ 7,266 $ 5,276 2/28/99 $ 4,806 $ 7,237 $ 5,142 3/31/99 $ 4,986 $ 7,727 $ 5,452 4/30/99 $ 6,280 $ 8,875 $ 6,380 5/31/99 $ 6,681 $ 8,533 $ 6,196 6/30/99 $ 8,016 $ 9,300 $ 6,852 7/31/99 $ 7,795 $ 9,281 $ 6,854 8/31/99 $ 7,704 $ 9,126 $ 6,724 9/30/99 $ 7,573 $ 9,028 $ 6,500 10/31/99 $ 7,582 $ 8,850 $ 6,388 11/30/99 $ 7,991 $ 9,370 $ 6,682 12/31/99 $ 8,560 $ 9,963 $ 7,012 1/31/2000 $ 8,380 $ 9,343 $ 6,425 2/29/2000 $ 8,508 $ 9,038 $ 6,346 3/31/2000 $ 8,440 $ 9,226 $ 6,369 4/30/2000 $ 7,552 $ 8,582 $ 6,316 5/31/2000 $ 6,979 $ 8,068 $ 5,701 6/30/2000 $ 7,586 $ 9,142 $ 6,285 7/31/2000 $ 7,543 $ 9,118 $ 6,303 8/31/2000 $ 7,654 $ 9,378 $ 6,303 9/30/2000 $ 6,962 $ 8,553 $ 5,684 10/31/2000 $ 6,646 $ 8,126 $ 5,434 11/30/2000 $ 6,740 $ 8,178 $ 5,428 12/31/2000 $ 6,976 $ 8,641 $ 5,653 1/31/2001 $ 7,156 $ 8,857 $ 5,761 2/28/2001 $ 7,102 $ 8,760 $ 5,633 3/31/2001 $ 6,368 $ 7,808 $ 4,969 4/30/2001 $ 6,717 $ 8,378 $ 5,307 5/31/2001 $ 7,013 $ 8,629 $ 5,347 6/30/2001 $ 7,156 $ 8,972 $ 5,515 7/31/2001 $ 6,914 $ 8,509 $ 5,360 8/31/2001 $ 6,968 $ 8,546 $ 5,427 9/30/2001 $ 6,082 $ 7,601 $ 4,772 10/31/2001 $ 6,538 $ 8,234 $ 5,090 11/30/2001 $ 6,897 $ 8,951 $ 5,356 12/31/2001 $ 7,001 $ 9,129 $ 5,420 1/31/2002 $ 7,327 $ 9,590 $ 5,595 2/28/2002 $ 7,402 $ 9,847 $ 5,622 3/31/2002 $ 7,718 $ 10,464 $ 5,852 4/30/2002 $ 7,765 $ 10,222 $ 5,851 5/31/2002 $ 8,203 $ 10,621 $ 6,279 6/30/2002 $ 7,942 $ 10,218 $ 6,048 7/31/2002 $ 7,467 $ 9,667 $ 5,657 8/31/2002 $ 7,598 $ 9,831 $ 5,778 9/30/2002 $ 7,085 $ 8,951 $ 5,413 10/31/2002 $ 7,299 $ 9,168 $ 5,529 11/30/2002 $ 7,374 $ 9,548 $ 5,642 12/31/2002 $ 7,466 $ 9,371 $ 5,721 1/31/2003 $ 7,711 $ 9,686 $ 5,932 2/28/2003 $ 7,750 $ 9,619 $ 5,820 3/31/2003 $ 7,594 $ 9,411 $ 5,766 4/30/2003 $ 7,809 $ 10,116 $ 6,067 5/31/2003 $ 8,602 $ 11,075 $ 6,490 6/30/2003 $ 9,003 $ 11,690 $ 6,811 7/31/2003 $ 9,610 $ 12,115 $ 6,964 8/31/2003 $ 10,285 $ 12,800 $ 7,289 9/30/2003 $ 11,107 $ 13,392 $ 7,827 10/31/2003 $ 11,753 $ 14,455 $ 8,455 11/30/2003 $ 11,841 $ 14,630 $ 8,409 12/31/2003 $ 12,364 $ 15,506 $ 8,931 1/31/2004 $ 13,137 $ 15,967 $ 9,294 2/29/2004 $ 13,524 $ 16,542 $ 9,559 3/31/2004 $ 13,097 $ 16,570 $ 9,517 4/30/2004 $ 12,140 $ 15,567 $ 8,957 5/31/2004 $ 12,049 $ 15,463 $ 8,892 6/30/2004 $ 12,090 $ 15,528 $ 8,879 7/31/2004 $ 12,305 $ 15,654 $ 9,203 8/31/2004 $ 12,593 $ 16,446 $ 9,470 9/30/2004 $ 13,366 $ 17,429 $ 9,970 10/31/2004 $ 13,995 $ 18,585 $ 10,587 11/30/2004 $ 15,007 $ 20,176 $ 11,379
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - -------------------------------------------- 26.73% 13.20% 4.14%
- - THE MSCI PACIFIC RIM EX-JAPAN SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET INDEX-PACIFIC RIM EX-JAPAN FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. Prior to April 2002, the returns shown since July 1995 reflect a reimbursement fee of 1% of the net asset value at the time of purchase. Prior to July 1995, the reimbursement fee was 1.5%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P/Citigroup Extended Market Index-Pacific Rim ex-Japan is courtesy of Citigroup Global Markets Inc. MSCI Pacific Rim ex-Japan Small Cap Index is courtesy of Morgan Stanley Capital International. 4 [CHART] UNITED KINGDOM SMALL COMPANY PORTFOLIO VS. MSCI UK SMALL CAP INDEX (PRICE-ONLY) NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
UNITED KINGDOM SMALL MSCI UK SMALL S&P/CITIGROUP EXTENDED MARKET COMPANY PORTFOLIO CAP INDEX (PRICE-ONLY) INDEX-UNITED KINGDOM 11/30/94 $ 9,850 $ 10,000 $ 10,000 12/31/94 $ 9,765 $ 9,897 $ 10,071 1/31/95 $ 9,736 $ 9,673 $ 9,956 2/28/95 $ 9,583 $ 9,570 $ 9,904 3/31/95 $ 9,983 $ 10,300 $ 10,366 4/30/95 $ 10,238 $ 10,549 $ 10,613 5/31/95 $ 10,592 $ 10,670 $ 10,947 6/30/95 $ 10,562 $ 10,447 $ 10,854 7/31/95 $ 11,017 $ 11,057 $ 11,686 8/31/95 $ 11,004 $ 10,790 $ 11,641 9/30/95 $ 11,225 $ 11,048 $ 12,048 10/31/95 $ 11,072 $ 10,859 $ 11,895 11/30/95 $ 10,677 $ 10,644 $ 11,709 12/31/95 $ 10,815 $ 10,798 $ 12,047 1/31/96 $ 10,862 $ 10,910 $ 12,083 2/29/96 $ 11,247 $ 11,245 $ 12,583 3/31/96 $ 11,584 $ 11,400 $ 13,014 4/30/96 $ 12,136 $ 11,924 $ 13,614 5/31/96 $ 12,582 $ 12,002 $ 13,906 6/30/96 $ 12,468 $ 11,804 $ 13,635 7/31/96 $ 12,050 $ 11,314 $ 13,260 8/31/96 $ 12,464 $ 11,761 $ 13,898 9/30/96 $ 12,553 $ 11,778 $ 13,922 10/31/96 $ 13,157 $ 12,320 $ 14,629 11/30/96 $ 13,532 $ 12,543 $ 15,097 12/31/96 $ 14,037 $ 12,904 $ 15,615 1/31/97 $ 13,863 $ 12,444 $ 15,240 2/28/97 $ 14,323 $ 12,899 $ 15,779 3/31/97 $ 14,420 $ 12,956 $ 15,677 4/30/97 $ 14,180 $ 12,760 $ 15,379 5/31/97 $ 14,107 $ 12,735 $ 15,428 6/30/97 $ 13,953 $ 12,871 $ 15,501 7/31/97 $ 13,493 $ 12,558 $ 15,388 8/31/97 $ 13,841 $ 12,857 $ 15,780 9/30/97 $ 14,342 $ 13,506 $ 16,548 10/31/97 $ 14,848 $ 13,790 $ 16,732 11/30/97 $ 14,675 $ 13,688 $ 16,827 12/31/97 $ 14,532 $ 13,658 $ 16,871 1/31/98 $ 14,608 $ 13,449 $ 17,112 2/28/98 $ 15,159 $ 14,206 $ 18,211 3/31/98 $ 16,408 $ 15,668 $ 19,877 4/30/98 $ 16,460 $ 15,912 $ 20,235 5/31/98 $ 17,071 $ 16,476 $ 20,816 6/30/98 $ 16,450 $ 15,902 $ 19,948 7/31/98 $ 15,229 $ 14,859 $ 19,302 8/31/98 $ 13,705 $ 12,973 $ 17,325 9/30/98 $ 13,077 $ 12,304 $ 16,774 10/31/98 $ 12,784 $ 12,481 $ 17,266 11/30/98 $ 12,684 $ 12,572 $ 17,516 12/31/98 $ 12,906 $ 12,704 $ 17,616 1/31/99 $ 13,121 $ 12,558 $ 18,134 2/28/99 $ 13,555 $ 12,873 $ 18,518 3/31/99 $ 14,353 $ 13,844 $ 19,279 4/30/99 $ 15,300 $ 15,047 $ 20,477 5/31/99 $ 15,215 $ 14,576 $ 19,887 6/30/99 $ 15,592 $ 14,764 $ 20,185 7/31/99 $ 16,596 $ 15,372 $ 21,178 8/31/99 $ 17,124 $ 15,815 $ 21,182 9/30/99 $ 16,811 $ 15,100 $ 20,570 10/31/99 $ 16,590 $ 14,637 $ 20,204 11/30/99 $ 17,261 $ 15,822 $ 21,897 12/31/99 $ 18,305 $ 17,063 $ 23,467 1/31/2000 $ 18,839 $ 16,757 $ 22,705 2/29/2000 $ 18,431 $ 17,661 $ 23,327 3/31/2000 $ 18,154 $ 17,362 $ 23,133 4/30/2000 $ 16,609 $ 15,888 $ 21,949 5/31/2000 $ 15,908 $ 14,957 $ 20,698 6/30/2000 $ 17,227 $ 16,068 $ 22,134 7/31/2000 $ 17,344 $ 16,126 $ 22,291 8/31/2000 $ 17,679 $ 16,452 $ 22,684 9/30/2000 $ 17,704 $ 15,733 $ 21,647 10/31/2000 $ 16,886 $ 15,005 $ 20,959 11/30/2000 $ 16,126 $ 14,454 $ 19,485 12/31/2000 $ 17,434 $ 15,447 $ 21,206 1/31/2001 $ 17,772 $ 16,196 $ 21,280 2/28/2001 $ 17,001 $ 15,607 $ 20,552 3/31/2001 $ 15,675 $ 14,233 $ 18,820 4/30/2001 $ 16,484 $ 15,469 $ 19,915 5/31/2001 $ 16,719 $ 15,814 $ 20,275 6/30/2001 $ 16,089 $ 15,170 $ 19,497 7/31/2001 $ 15,629 $ 14,659 $ 19,105 8/31/2001 $ 16,127 $ 15,260 $ 19,451 9/30/2001 $ 13,702 $ 12,121 $ 16,654 10/31/2001 $ 14,313 $ 12,820 $ 17,285 11/30/2001 $ 15,263 $ 13,996 $ 18,255 12/31/2001 $ 15,884 $ 14,445 $ 19,083 1/31/2002 $ 15,448 $ 13,649 $ 18,413 2/28/2002 $ 15,601 $ 13,645 $ 18,577 3/31/2002 $ 16,384 $ 14,617 $ 19,919 4/30/2002 $ 17,096 $ 15,112 $ 20,325 5/31/2002 $ 17,279 $ 14,881 $ 20,483 6/30/2002 $ 16,588 $ 13,949 $ 19,539 7/31/2002 $ 15,389 $ 12,377 $ 17,798 8/31/2002 $ 15,400 $ 12,449 $ 17,796 9/30/2002 $ 14,088 $ 11,545 $ 16,225 10/31/2002 $ 14,027 $ 11,519 $ 16,673 11/30/2002 $ 14,484 $ 11,706 $ 17,016 12/31/2002 $ 14,448 $ 11,345 $ 16,705 1/31/2003 $ 14,091 $ 10,470 $ 15,860 2/28/2003 $ 13,625 $ 10,148 $ 15,325 3/31/2003 $ 13,495 $ 10,094 $ 15,219 4/30/2003 $ 14,763 $ 11,362 $ 17,072 5/31/2003 $ 16,528 $ 12,981 $ 18,984 6/30/2003 $ 17,460 $ 13,383 $ 19,426 7/31/2003 $ 18,164 $ 14,189 $ 20,215 8/31/2003 $ 18,921 $ 14,836 $ 20,744 9/30/2003 $ 19,648 $ 15,183 $ 21,352 10/31/2003 $ 20,764 $ 16,377 $ 23,223 11/30/2003 $ 20,861 $ 16,485 $ 23,522 12/31/2003 $ 22,014 $ 17,379 $ 24,889 1/31/2004 $ 23,651 $ 18,833 $ 26,290 2/29/2004 $ 25,006 $ 20,099 $ 27,902 3/31/2004 $ 24,667 $ 19,938 $ 27,723 4/30/2004 $ 23,764 $ 19,202 $ 26,753 5/31/2004 $ 23,798 $ 19,118 $ 27,197 6/30/2004 $ 24,602 $ 19,716 $ 27,820 7/31/2004 $ 23,679 $ 18,768 $ 26,877 8/31/2004 $ 23,508 $ 18,475 $ 26,850 9/30/2004 $ 24,168 $ 19,011 $ 27,905 10/31/2004 $ 24,926 $ 19,702 $ 28,600 11/30/2004 $ 26,921 $ 21,271 $ 31,034
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ----------------------------------------- 29.05% 9.29% 10.41%
- - THE MSCI UK SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET INDEX-UNITED KINGDOM FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. The returns shown prior to July 1995 reflect a reimbursement fee of 1.5% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P/Citigroup Extended Market Index-United Kingdom is courtesy of Citigroup Global Markets Inc. MSCI UK Small Cap Index is courtesy of Morgan Stanley Capital International. [CHART] CONTINENTAL SMALL COMPANY PORTFOLIO VS. MSCI EUROPE EX-UK SMALL CAP INDEX (PRICE-ONLY) NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
CONTINENTAL SMALL MSCI EUROPE EX-UK S&P/CITIGROUP EXTENDED MARKET COMPANY PORTFOLIO SMALL CAP INDEX (PRICE-ONLY) INDEX-EUROPE EX-UNITED KINGDOM 11/30/94 $ 9,850 $ 10,000 $ 10,000 12/31/94 $ 9,877 $ 10,060 $ 10,087 1/31/95 $ 9,809 $ 10,020 $ 10,018 2/28/95 $ 9,991 $ 10,093 $ 10,311 3/31/95 $ 10,139 $ 9,954 $ 10,412 4/30/95 $ 10,341 $ 10,319 $ 10,849 5/31/95 $ 10,509 $ 10,565 $ 11,162 6/30/95 $ 10,651 $ 10,611 $ 11,436 7/31/95 $ 10,914 $ 10,963 $ 11,838 8/31/95 $ 10,383 $ 10,372 $ 11,207 9/30/95 $ 10,389 $ 10,492 $ 11,433 10/31/95 $ 10,052 $ 10,080 $ 11,192 11/30/95 $ 9,719 $ 9,788 $ 10,977 12/31/95 $ 9,879 $ 9,988 $ 11,273 1/31/96 $ 10,082 $ 10,101 $ 11,484 2/29/96 $ 10,518 $ 10,392 $ 11,902 3/31/96 $ 10,685 $ 10,432 $ 12,053 4/30/96 $ 10,685 $ 10,511 $ 12,098 5/31/96 $ 10,932 $ 10,697 $ 12,427 6/30/96 $ 11,026 $ 10,810 $ 12,730 7/31/96 $ 10,787 $ 10,471 $ 12,474 8/31/96 $ 10,830 $ 10,617 $ 12,745 9/30/96 $ 10,685 $ 10,643 $ 12,716 10/31/96 $ 10,874 $ 10,736 $ 12,786 11/30/96 $ 11,077 $ 11,055 $ 13,100 12/31/96 $ 11,294 $ 11,347 $ 13,332 1/31/97 $ 11,561 $ 11,804 $ 13,583 2/28/97 $ 11,584 $ 11,790 $ 13,717 3/31/97 $ 11,993 $ 12,194 $ 14,151 4/30/97 $ 11,663 $ 11,743 $ 13,858 5/31/97 $ 12,134 $ 12,248 $ 14,555 6/30/97 $ 12,550 $ 12,623 $ 15,048 7/31/97 $ 12,519 $ 12,696 $ 15,236 8/31/97 $ 12,315 $ 12,536 $ 14,641 9/30/97 $ 13,187 $ 13,322 $ 15,709 10/31/97 $ 12,810 $ 12,772 $ 15,092 11/30/97 $ 12,519 $ 12,518 $ 15,020 12/31/97 $ 12,615 $ 12,578 $ 15,267 1/31/98 $ 13,071 $ 13,039 $ 15,852 2/28/98 $ 14,041 $ 13,976 $ 17,190 3/31/98 $ 15,380 $ 15,233 $ 18,603 4/30/98 $ 15,989 $ 15,771 $ 19,100 5/31/98 $ 16,830 $ 16,492 $ 20,244 6/30/98 $ 16,393 $ 15,695 $ 19,752 7/31/98 $ 16,453 $ 15,738 $ 20,169 8/31/98 $ 14,727 $ 13,486 $ 17,430 9/30/98 $ 14,032 $ 12,593 $ 16,558 10/31/98 $ 14,435 $ 13,152 $ 17,534 11/30/98 $ 14,950 $ 13,500 $ 18,160 12/31/98 $ 15,083 $ 13,571 $ 18,810 1/31/99 $ 14,308 $ 13,013 $ 18,428 2/28/99 $ 14,033 $ 12,712 $ 17,768 3/31/99 $ 13,817 $ 12,647 $ 17,619 4/30/99 $ 14,219 $ 13,198 $ 18,197 5/31/99 $ 14,063 $ 12,989 $ 17,860 6/30/99 $ 14,152 $ 12,949 $ 18,124 7/31/99 $ 14,466 $ 13,094 $ 18,498 8/31/99 $ 14,554 $ 13,184 $ 18,783 9/30/99 $ 14,603 $ 13,130 $ 18,646 10/31/99 $ 14,387 $ 12,896 $ 18,556 11/30/99 $ 14,015 $ 12,592 $ 18,966 12/31/99 $ 14,680 $ 13,442 $ 21,083 1/31/2000 $ 14,413 $ 13,730 $ 20,549 2/29/2000 $ 15,366 $ 14,617 $ 22,292 3/31/2000 $ 15,389 $ 14,431 $ 21,996 4/30/2000 $ 14,610 $ 13,662 $ 20,601 5/31/2000 $ 15,040 $ 13,753 $ 20,591 6/30/2000 $ 15,632 $ 14,008 $ 21,311 7/31/2000 $ 15,295 $ 13,928 $ 21,100 8/31/2000 $ 15,307 $ 13,941 $ 21,181 9/30/2000 $ 14,993 $ 13,631 $ 20,066 10/31/2000 $ 14,318 $ 12,932 $ 19,035 11/30/2000 $ 14,330 $ 12,698 $ 18,257 12/31/2000 $ 15,307 $ 13,339 $ 19,547 1/31/2001 $ 15,713 $ 14,066 $ 19,946 2/28/2001 $ 15,455 $ 13,492 $ 18,889 3/31/2001 $ 14,236 $ 12,204 $ 16,991 4/30/2001 $ 14,764 $ 12,722 $ 17,927 5/31/2001 $ 14,575 $ 12,442 $ 17,414 6/30/2001 $ 14,127 $ 11,782 $ 16,561 7/31/2001 $ 14,317 $ 11,667 $ 16,475 8/31/2001 $ 14,411 $ 11,562 $ 16,251 9/30/2001 $ 12,570 $ 9,815 $ 13,722 10/31/2001 $ 12,949 $ 10,445 $ 14,501 11/30/2001 $ 13,490 $ 11,230 $ 15,371 12/31/2001 $ 13,592 $ 11,321 $ 15,557 1/31/2002 $ 13,607 $ 11,324 $ 15,319 2/28/2002 $ 13,808 $ 11,377 $ 15,477 3/31/2002 $ 14,507 $ 12,066 $ 16,537 4/30/2002 $ 15,081 $ 12,346 $ 16,800 5/31/2002 $ 15,686 $ 12,512 $ 17,195 6/30/2002 $ 15,686 $ 12,196 $ 16,734 7/31/2002 $ 14,445 $ 10,891 $ 14,770 8/31/2002 $ 14,243 $ 10,606 $ 14,564 9/30/2002 $ 12,753 $ 9,254 $ 12,656 10/31/2002 $ 13,141 $ 9,807 $ 13,518 11/30/2002 $ 13,854 $ 10,343 $ 14,373 12/31/2002 $ 14,115 $ 10,095 $ 14,097 1/31/2003 $ 13,998 $ 9,957 $ 13,725 2/28/2003 $ 13,596 $ 9,519 $ 13,143 3/31/2003 $ 13,495 $ 9,452 $ 13,098 4/30/2003 $ 15,185 $ 10,768 $ 14,862 5/31/2003 $ 16,706 $ 11,762 $ 16,155 6/30/2003 $ 16,990 $ 11,915 $ 16,385 7/31/2003 $ 17,575 $ 12,318 $ 17,025 8/31/2003 $ 17,960 $ 12,672 $ 17,521 9/30/2003 $ 18,879 $ 13,382 $ 18,223 10/31/2003 $ 20,033 $ 14,496 $ 19,530 11/30/2003 $ 21,070 $ 15,262 $ 20,550 12/31/2003 $ 22,363 $ 16,050 $ 21,731 1/31/2004 $ 23,450 $ 16,852 $ 22,527 2/29/2004 $ 24,214 $ 17,419 $ 23,144 3/31/2004 $ 23,711 $ 16,757 $ 22,683 4/30/2004 $ 23,429 $ 16,432 $ 22,563 5/31/2004 $ 23,671 $ 16,398 $ 22,870 6/30/2004 $ 24,386 $ 16,947 $ 23,448 7/31/2004 $ 23,579 $ 16,252 $ 22,574 8/31/2004 $ 23,720 $ 16,298 $ 22,651 9/30/2004 $ 24,944 $ 17,201 $ 23,749 10/31/2004 $ 25,877 $ 17,923 $ 24,530 11/30/2004 $ 28,635 $ 19,897 $ 26,777
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ------------------------------------------ 35.91% 15.15% 11.10%
- - THE MSCI EUROPE EX-UK SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET INDEX-EUROPE EX-UNITED KINGDOM FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. Prior to April 2002, the returns shown since July 1995 reflect a reimbursement fee of 1% of the net asset value at the time of purchase. Prior to July 1995, the reimbursement fee was 1.5%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P/Citigroup Extended Market Index-Europe ex-United Kingdom is courtesy of Citigroup Global Markets Inc. MSCI Europe ex-UK Small Cap Index is courtesy of Morgan Stanley Capital International. [CHART] DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS. MSCI EAFE SMALL CAP INDEX (PRICE-ONLY) DECEMBER 29, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
DFA INTERNATIONAL S&P/CITIGROUP EXTENDED MSCI EAFE SMALL SMALL CAP VALUE PORTFOLIO MARKET INDEX-EPAC CAP INDEX (PRICE-ONLY) 12/29/94 $ 10,000 $ 10,000 12/31/94 $ 9,900 $ 10,000 $ 10,000 1/31/95 $ 9,831 $ 9,680 $ 9,616 2/28/95 $ 9,682 $ 9,522 $ 9,488 3/31/95 $ 9,999 $ 9,925 $ 9,684 4/30/95 $ 10,256 $ 10,223 $ 9,899 5/31/95 $ 10,068 $ 10,028 $ 9,670 6/30/95 $ 9,880 $ 9,894 $ 9,454 7/31/95 $ 10,266 $ 10,481 $ 10,060 8/31/95 $ 10,009 $ 10,209 $ 9,778 9/30/95 $ 9,860 $ 10,288 $ 9,750 10/31/95 $ 9,544 $ 9,995 $ 9,360 11/30/95 $ 9,632 $ 10,088 $ 9,474 12/31/95 $ 10,015 $ 10,478 $ 9,797 1/31/96 $ 10,214 $ 10,663 $ 10,093 2/29/96 $ 10,324 $ 10,823 $ 10,187 3/31/96 $ 10,463 $ 11,074 $ 10,389 4/30/96 $ 11,010 $ 11,661 $ 10,934 5/31/96 $ 11,070 $ 11,559 $ 10,712 6/30/96 $ 10,920 $ 11,581 $ 10,698 7/31/96 $ 10,472 $ 11,146 $ 10,106 8/31/96 $ 10,422 $ 11,229 $ 10,139 9/30/96 $ 10,422 $ 11,285 $ 10,187 10/31/96 $ 10,293 $ 11,200 $ 10,005 11/30/96 $ 10,402 $ 11,364 $ 10,133 12/31/96 $ 10,109 $ 11,157 $ 9,784 1/31/97 $ 9,859 $ 10,859 $ 9,586 2/28/97 $ 9,942 $ 11,058 $ 9,766 3/31/97 $ 9,858 $ 10,935 $ 9,519 4/30/97 $ 9,630 $ 10,772 $ 9,202 5/31/97 $ 10,274 $ 11,452 $ 9,900 6/30/97 $ 10,430 $ 11,724 $ 10,078 7/31/97 $ 10,025 $ 11,495 $ 9,723 8/31/97 $ 9,568 $ 10,979 $ 9,103 9/30/97 $ 9,391 $ 11,123 $ 8,911 10/31/97 $ 9,017 $ 10,687 $ 8,417 11/30/97 $ 8,259 $ 10,260 $ 7,831 12/31/97 $ 7,812 $ 10,010 $ 7,374 1/31/98 $ 8,372 $ 10,478 $ 7,835 2/28/98 $ 9,205 $ 11,255 $ 8,537 3/31/98 $ 9,392 $ 11,784 $ 8,726 4/30/98 $ 9,228 $ 11,878 $ 8,709 5/31/98 $ 9,140 $ 12,153 $ 8,738 6/30/98 $ 8,877 $ 11,810 $ 8,390 7/31/98 $ 8,603 $ 11,781 $ 8,275 8/31/98 $ 7,659 $ 10,401 $ 7,174 9/30/98 $ 7,461 $ 10,087 $ 6,844 10/31/98 $ 7,923 $ 10,807 $ 7,392 11/30/98 $ 8,273 $ 11,162 $ 7,745 12/31/98 $ 8,225 $ 11,425 $ 7,775 1/31/99 $ 8,053 $ 11,380 $ 7,677 2/28/99 $ 7,950 $ 11,170 $ 7,581 3/31/99 $ 8,420 $ 11,569 $ 7,992 4/30/99 $ 9,290 $ 12,163 $ 8,585 5/31/99 $ 9,210 $ 11,838 $ 8,274 6/30/99 $ 9,817 $ 12,238 $ 8,713 7/31/99 $ 10,138 $ 12,709 $ 8,980 8/31/99 $ 10,184 $ 12,904 $ 9,170 9/30/99 $ 10,127 $ 12,863 $ 9,142 10/31/99 $ 9,943 $ 12,756 $ 9,016 11/30/99 $ 9,726 $ 13,204 $ 9,065 12/31/99 $ 9,791 $ 14,043 $ 9,148 1/31/2000 $ 9,638 $ 13,681 $ 9,159 2/29/2000 $ 9,403 $ 14,169 $ 9,385 3/31/2000 $ 9,767 $ 14,291 $ 9,607 4/30/2000 $ 9,156 $ 13,392 $ 8,886 5/31/2000 $ 9,297 $ 13,166 $ 8,868 6/30/2000 $ 10,107 $ 14,018 $ 9,648 7/31/2000 $ 9,731 $ 13,526 $ 9,041 8/31/2000 $ 9,907 $ 13,884 $ 9,469 9/30/2000 $ 9,590 $ 13,194 $ 8,925 10/31/2000 $ 9,086 $ 12,479 $ 8,303 11/30/2000 $ 9,203 $ 12,016 $ 8,279 12/31/2000 $ 9,487 $ 12,487 $ 8,305 1/31/2001 $ 9,748 $ 12,600 $ 8,549 2/28/2001 $ 9,848 $ 12,127 $ 8,373 3/31/2001 $ 9,338 $ 11,153 $ 7,703 4/30/2001 $ 10,034 $ 11,926 $ 8,341 5/31/2001 $ 10,084 $ 11,869 $ 8,293 6/30/2001 $ 9,998 $ 11,427 $ 8,033 7/31/2001 $ 9,774 $ 11,128 $ 7,695 8/31/2001 $ 9,985 $ 11,120 $ 7,771 9/30/2001 $ 8,891 $ 9,680 $ 6,709 10/31/2001 $ 9,139 $ 10,088 $ 7,042 11/30/2001 $ 9,189 $ 10,453 $ 7,307 12/31/2001 $ 9,051 $ 10,439 $ 7,117 1/31/2002 $ 8,961 $ 10,175 $ 6,943 2/28/2002 $ 9,318 $ 10,375 $ 7,056 3/31/2002 $ 9,764 $ 11,050 $ 7,484 4/30/2002 $ 10,147 $ 11,282 $ 7,735 5/31/2002 $ 10,784 $ 11,688 $ 8,058 6/30/2002 $ 10,594 $ 11,281 $ 7,743 7/31/2002 $ 10,033 $ 10,310 $ 7,140 8/31/2002 $ 10,008 $ 10,224 $ 7,041 9/30/2002 $ 9,346 $ 9,276 $ 6,472 10/31/2002 $ 9,257 $ 9,446 $ 6,385 11/30/2002 $ 9,460 $ 9,797 $ 6,565 12/31/2002 $ 9,577 $ 9,636 $ 6,435 1/31/2003 $ 9,603 $ 9,393 $ 6,341 2/28/2003 $ 9,654 $ 9,231 $ 6,284 3/31/2003 $ 9,564 $ 9,172 $ 6,206 4/30/2003 $ 10,474 $ 10,086 $ 6,760 5/31/2003 $ 11,528 $ 10,931 $ 7,316 6/30/2003 $ 12,178 $ 11,302 $ 7,694 7/31/2003 $ 12,672 $ 11,686 $ 7,924 8/31/2003 $ 13,375 $ 12,214 $ 8,441 9/30/2003 $ 14,129 $ 12,792 $ 8,924 10/31/2003 $ 14,935 $ 13,700 $ 9,629 11/30/2003 $ 15,000 $ 13,902 $ 9,583 12/31/2003 $ 15,941 $ 14,739 $ 10,153 1/31/2004 $ 16,913 $ 15,294 $ 10,665 2/29/2004 $ 17,433 $ 15,770 $ 10,963 3/31/2004 $ 18,165 $ 16,180 $ 11,352 4/30/2004 $ 17,526 $ 15,766 $ 10,983 5/31/2004 $ 17,353 $ 15,769 $ 10,772 6/30/2004 $ 18,142 $ 16,324 $ 11,332 7/31/2004 $ 17,511 $ 15,671 $ 10,809 8/31/2004 $ 17,726 $ 15,795 $ 10,873 9/30/2004 $ 18,197 $ 16,267 $ 11,101 10/31/2004 $ 18,790 $ 16,775 $ 11,508 11/30/2004 $ 20,434 $ 18,086 $ 12,414
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 12/29/1994 - -------------------------------------------- 36.34% 15.85% 7.47%
- - THE MSCI EAFE SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET INDEX-EPAC FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. Prior to April 2002, the returns shown since April 1998 reflect a reimbursement fee of 0.675% of the net asset value at the time of purchase. From July 1995 to March 1998, the reimbursement fee was 0.7%. Prior to July 1995, the reimbursement fee was 1%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P/Citigroup Extended Market Index-EPAC is courtesy of Citigroup Global Markets Inc. MSCI EAFE Small Cap Index courtesy of Morgan Stanley Capital International. 5 [CHART] EMERGING MARKETS PORTFOLIO VS. MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY) NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
EMERGING MSCI EMERGING MARKETS MARKETS PORTFOLIO FREE INDEX (PRICE-ONLY) 11/30/94 $ 9,850 $ 10,000 12/31/94 $ 9,135 $ 9,190 1/31/95 $ 8,289 $ 8,207 2/28/95 $ 8,237 $ 7,988 3/31/95 $ 8,594 $ 8,020 4/30/95 $ 9,013 $ 8,364 5/31/95 $ 9,649 $ 8,787 6/30/95 $ 9,701 $ 8,795 7/31/95 $ 10,084 $ 8,978 8/31/95 $ 9,701 $ 8,755 9/30/95 $ 9,518 $ 8,702 10/31/95 $ 9,187 $ 8,360 11/30/95 $ 9,064 $ 8,204 12/31/95 $ 9,331 $ 8,552 1/31/96 $ 10,329 $ 9,151 2/29/96 $ 10,110 $ 8,991 3/31/96 $ 10,189 $ 9,044 4/30/96 $ 10,479 $ 9,374 5/31/96 $ 10,479 $ 9,309 6/30/96 $ 10,557 $ 9,347 7/31/96 $ 9,655 $ 8,692 8/31/96 $ 9,926 $ 8,901 9/30/96 $ 10,136 $ 8,966 10/31/96 $ 9,908 $ 8,721 11/30/96 $ 10,259 $ 8,856 12/31/96 $ 10,394 $ 8,885 1/31/97 $ 11,445 $ 9,483 2/28/97 $ 11,586 $ 9,882 3/31/97 $ 11,259 $ 9,599 4/30/97 $ 10,827 $ 9,582 5/31/97 $ 11,356 $ 9,830 6/30/97 $ 11,824 $ 10,336 7/31/97 $ 11,833 $ 10,469 8/31/97 $ 10,111 $ 9,125 9/30/97 $ 10,525 $ 9,363 10/31/97 $ 8,962 $ 7,819 11/30/97 $ 8,486 $ 7,529 12/31/97 $ 8,428 $ 7,693 1/31/98 $ 8,264 $ 7,084 2/28/98 $ 9,073 $ 7,819 3/31/98 $ 9,392 $ 8,132 4/30/98 $ 9,237 $ 8,028 5/31/98 $ 8,173 $ 6,903 6/30/98 $ 7,437 $ 6,165 7/31/98 $ 7,746 $ 6,338 8/31/98 $ 5,782 $ 4,482 9/30/98 $ 5,800 $ 4,754 10/31/98 $ 6,736 $ 5,249 11/30/98 $ 7,418 $ 5,679 12/31/98 $ 7,632 $ 5,576 1/31/99 $ 7,449 $ 5,482 2/28/99 $ 7,522 $ 5,531 3/31/99 $ 8,203 $ 6,243 4/30/99 $ 9,666 $ 7,006 5/31/99 $ 9,647 $ 6,944 6/30/99 $ 10,595 $ 7,717 7/31/99 $ 10,429 $ 7,496 8/31/99 $ 10,383 $ 7,559 9/30/99 $ 10,043 $ 7,293 10/31/99 $ 10,430 $ 7,442 11/30/99 $ 11,377 $ 8,107 12/31/99 $ 13,106 $ 9,127 1/31/2000 $ 12,903 $ 9,164 2/29/2000 $ 12,559 $ 9,282 3/31/2000 $ 12,634 $ 9,313 4/30/2000 $ 11,819 $ 8,417 5/31/2000 $ 11,162 $ 8,051 6/30/2000 $ 11,384 $ 8,308 7/31/2000 $ 10,717 $ 7,871 8/31/2000 $ 10,828 $ 7,899 9/30/2000 $ 10,050 $ 7,199 10/31/2000 $ 9,410 $ 6,673 11/30/2000 $ 8,818 $ 6,086 12/31/2000 $ 9,286 $ 6,225 1/31/2001 $ 10,245 $ 7,068 2/28/2001 $ 9,314 $ 6,509 3/31/2001 $ 8,392 $ 5,840 4/30/2001 $ 8,755 $ 6,112 5/31/2001 $ 8,820 $ 6,165 6/30/2001 $ 8,634 $ 6,022 7/31/2001 $ 8,326 $ 5,626 8/31/2001 $ 8,400 $ 5,561 9/30/2001 $ 7,031 $ 4,688 10/31/2001 $ 7,236 $ 4,977 11/30/2001 $ 8,027 $ 5,491 12/31/2001 $ 8,655 $ 5,919 1/31/2002 $ 9,136 $ 6,112 2/28/2002 $ 9,014 $ 6,206 3/31/2002 $ 9,392 $ 6,554 4/30/2002 $ 9,486 $ 6,580 5/31/2002 $ 9,250 $ 6,458 6/30/2002 $ 8,543 $ 5,963 7/31/2002 $ 8,127 $ 5,494 8/31/2002 $ 8,156 $ 5,574 9/30/2002 $ 7,297 $ 4,962 10/31/2002 $ 7,599 $ 5,281 11/30/2002 $ 8,165 $ 5,639 12/31/2002 $ 7,839 $ 5,447 1/31/2003 $ 7,829 $ 5,416 2/28/2003 $ 7,705 $ 5,245 3/31/2003 $ 7,581 $ 5,077 4/30/2003 $ 8,595 $ 5,504 5/31/2003 $ 9,227 $ 5,882 6/30/2003 $ 9,581 $ 6,204 7/31/2003 $ 9,773 $ 6,575 8/31/2003 $ 10,213 $ 7,002 9/30/2003 $ 10,663 $ 7,041 10/31/2003 $ 11,476 $ 7,628 11/30/2003 $ 11,362 $ 7,707 12/31/2003 $ 12,556 $ 8,256 1/31/2004 $ 12,788 $ 8,525 2/29/2004 $ 13,350 $ 8,908 3/31/2004 $ 13,437 $ 8,989 4/30/2004 $ 12,585 $ 8,229 5/31/2004 $ 12,430 $ 8,041 6/30/2004 $ 12,654 $ 8,059 7/31/2004 $ 12,644 $ 7,890 8/31/2004 $ 12,996 $ 8,200 9/30/2004 $ 13,722 $ 8,655 10/31/2004 $ 14,105 $ 8,843 11/30/2004 $ 15,333 $ 9,658
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ----------------------------------------- 34.95% 6.05% 4.37%
Past performance is not predictive of future performance. Prior to April 2002, the returns shown since July 1995 reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. Prior to July 1995, the reimbursement fee was 1.5%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital International. [CHART] EMERGING MARKETS SMALL CAP PORTFOLIO VS. MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY) MARCH 5, 1998-NOVEMBER 30, 2004 GROWTH OF $10,000
EMERGING MARKETS MSCI EMERGING MARKETS SMALL CAP PORTFOLIO FREE INDEX (PRICE-ONLY) 3/5/98 $ 10,000 $ 10,000 3/30/98 $ 10,385 $ 10,000 4/30/98 $ 10,643 $ 9,872 5/31/98 $ 9,959 $ 8,489 6/30/98 $ 9,326 $ 7,581 7/31/98 $ 9,554 $ 7,795 8/31/98 $ 7,366 $ 5,512 9/30/98 $ 7,079 $ 5,846 10/31/98 $ 7,970 $ 6,454 11/30/98 $ 8,999 $ 6,984 12/31/98 $ 9,301 $ 6,857 1/31/99 $ 8,899 $ 6,741 2/28/99 $ 8,888 $ 6,802 3/31/99 $ 9,743 $ 7,677 4/30/99 $ 11,824 $ 8,615 5/31/99 $ 12,235 $ 8,539 6/30/99 $ 13,749 $ 9,490 7/31/99 $ 13,666 $ 9,218 8/31/99 $ 13,923 $ 9,295 9/30/99 $ 13,748 $ 8,969 10/31/99 $ 14,201 $ 9,152 11/30/99 $ 15,323 $ 9,969 12/31/99 $ 17,239 $ 11,224 1/31/2000 $ 17,568 $ 11,269 2/29/2000 $ 17,343 $ 11,414 3/31/2000 $ 17,291 $ 11,452 4/30/2000 $ 16,029 $ 10,350 5/31/2000 $ 15,147 $ 9,900 6/30/2000 $ 15,112 $ 10,217 7/31/2000 $ 14,611 $ 9,680 8/31/2000 $ 14,558 $ 9,713 9/30/2000 $ 13,642 $ 8,853 10/31/2000 $ 12,554 $ 8,207 11/30/2000 $ 11,741 $ 7,484 12/31/2000 $ 11,751 $ 7,655 1/31/2001 $ 12,409 $ 8,692 2/28/2001 $ 11,631 $ 8,005 3/31/2001 $ 10,674 $ 7,182 4/30/2001 $ 10,953 $ 7,516 5/31/2001 $ 11,073 $ 7,581 6/30/2001 $ 11,093 $ 7,405 7/31/2001 $ 10,893 $ 6,919 8/31/2001 $ 10,813 $ 6,838 9/30/2001 $ 9,158 $ 5,766 10/31/2001 $ 9,617 $ 6,120 11/30/2001 $ 10,634 $ 6,752 12/31/2001 $ 11,447 $ 7,279 1/31/2002 $ 12,330 $ 7,516 2/28/2002 $ 12,209 $ 7,631 3/31/2002 $ 12,972 $ 8,059 4/30/2002 $ 13,334 $ 8,092 5/31/2002 $ 13,214 $ 7,941 6/30/2002 $ 12,351 $ 7,333 7/31/2002 $ 11,768 $ 6,756 8/31/2002 $ 11,908 $ 6,854 9/30/2002 $ 10,543 $ 6,103 10/31/2002 $ 10,984 $ 6,494 11/30/2002 $ 11,828 $ 6,934 12/31/2002 $ 11,426 $ 6,698 1/31/2003 $ 11,631 $ 6,660 2/28/2003 $ 11,508 $ 6,450 3/31/2003 $ 11,406 $ 6,243 4/30/2003 $ 12,885 $ 6,768 5/31/2003 $ 13,851 $ 7,233 6/30/2003 $ 14,447 $ 7,629 7/31/2003 $ 14,735 $ 8,086 8/31/2003 $ 15,619 $ 8,611 9/30/2003 $ 16,215 $ 8,659 10/31/2003 $ 17,613 $ 9,381 11/30/2003 $ 17,962 $ 9,478 12/31/2003 $ 19,746 $ 10,153 1/31/2004 $ 20,331 $ 10,483 2/29/2004 $ 21,189 $ 10,954 3/31/2004 $ 21,544 $ 11,054 4/30/2004 $ 20,331 $ 10,119 5/31/2004 $ 19,474 $ 9,889 6/30/2004 $ 19,635 $ 9,910 7/31/2004 $ 19,761 $ 9,703 8/31/2004 $ 20,413 $ 10,083 9/30/2004 $ 21,549 $ 10,643 10/31/2004 $ 22,077 $ 10,875 11/30/2004 $ 24,169 $ 11,877
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 3/5/1998 - ------------------------------------------- 34.55% 9.32% 13.99%
Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital International. [CHART] DFA ONE-YEAR FIXED INCOME PORTFOLIO VS. MERRILL LYNCH SIX-MONTH US TREASURY BILL INDEX, MERRILL LYNCH ONE-YEAR US TREASURY NOTE INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
DFA ONE-YEAR FIXED MERRILL LYNCH SIX-MONTH MERRILL LYNCH ONE-YEAR MERRILL LYNCH THREE-MONTH INCOME PORTFOLIO US TREASURY BILL INDEX US TREASURY NOTE INDEX US TREASURY BILL INDEX 11/30/94 $ 10,000 $ 10,000 $ 10,000 $ 10,000 12/31/94 $ 10,030 $ 10,043 $ 10,034 $ 10,050 1/31/95 $ 10,124 $ 10,108 $ 10,134 $ 10,100 2/28/95 $ 10,220 $ 10,168 $ 10,224 $ 10,149 3/31/95 $ 10,283 $ 10,220 $ 10,283 $ 10,200 4/30/95 $ 10,350 $ 10,274 $ 10,342 $ 10,248 5/31/95 $ 10,459 $ 10,336 $ 10,435 $ 10,302 6/30/95 $ 10,518 $ 10,390 $ 10,495 $ 10,354 7/31/95 $ 10,573 $ 10,443 $ 10,546 $ 10,404 8/31/95 $ 10,625 $ 10,495 $ 10,597 $ 10,456 9/30/95 $ 10,672 $ 10,539 $ 10,642 $ 10,502 10/31/95 $ 10,729 $ 10,590 $ 10,705 $ 10,551 11/30/95 $ 10,779 $ 10,642 $ 10,769 $ 10,599 12/31/95 $ 10,830 $ 10,702 $ 10,829 $ 10,657 1/31/96 $ 10,876 $ 10,755 $ 10,897 $ 10,706 2/29/96 $ 10,919 $ 10,794 $ 10,910 $ 10,749 3/31/96 $ 10,967 $ 10,831 $ 10,940 $ 10,789 4/30/96 $ 11,004 $ 10,875 $ 10,978 $ 10,835 5/31/96 $ 11,041 $ 10,920 $ 11,017 $ 10,883 6/30/96 $ 11,099 $ 10,967 $ 11,076 $ 10,927 7/31/96 $ 11,150 $ 11,015 $ 11,118 $ 10,977 8/31/96 $ 11,204 $ 11,063 $ 11,170 $ 11,026 9/30/96 $ 11,270 $ 11,121 $ 11,246 $ 11,078 10/31/96 $ 11,351 $ 11,174 $ 11,329 $ 11,125 11/30/96 $ 11,417 $ 11,223 $ 11,385 $ 11,173 12/31/96 $ 11,455 $ 11,271 $ 11,424 $ 11,222 1/31/97 $ 11,512 $ 11,320 $ 11,480 $ 11,274 2/28/97 $ 11,559 $ 11,372 $ 11,522 $ 11,318 3/31/97 $ 11,578 $ 11,417 $ 11,551 $ 11,366 4/30/97 $ 11,655 $ 11,470 $ 11,619 $ 11,420 5/31/97 $ 11,711 $ 11,532 $ 11,691 $ 11,478 6/30/97 $ 11,780 $ 11,588 $ 11,760 $ 11,521 7/31/97 $ 11,860 $ 11,641 $ 11,845 $ 11,573 8/31/97 $ 11,894 $ 11,689 $ 11,881 $ 11,622 9/30/97 $ 11,965 $ 11,748 $ 11,944 $ 11,676 10/31/97 $ 12,034 $ 11,801 $ 12,010 $ 11,726 11/30/97 $ 12,070 $ 11,844 $ 12,045 $ 11,772 12/31/97 $ 12,141 $ 11,898 $ 12,102 $ 11,822 1/31/98 $ 12,213 $ 11,959 $ 12,180 $ 11,878 2/28/98 $ 12,253 $ 12,003 $ 12,212 $ 11,921 3/31/98 $ 12,314 $ 12,062 $ 12,274 $ 11,977 4/30/98 $ 12,360 $ 12,115 $ 12,332 $ 12,031 5/31/98 $ 12,428 $ 12,168 $ 12,382 $ 12,081 6/30/98 $ 12,475 $ 12,227 $ 12,442 $ 12,132 7/31/98 $ 12,546 $ 12,285 $ 12,500 $ 12,185 8/31/98 $ 12,603 $ 12,348 $ 12,602 $ 12,241 9/30/98 $ 12,661 $ 12,422 $ 12,705 $ 12,304 10/31/98 $ 12,705 $ 12,474 $ 12,771 $ 12,352 11/30/98 $ 12,761 $ 12,508 $ 12,772 $ 12,393 12/31/98 $ 12,831 $ 12,560 $ 12,817 $ 12,442 1/31/99 $ 12,881 $ 12,608 $ 12,863 $ 12,487 2/28/99 $ 12,912 $ 12,642 $ 12,869 $ 12,523 3/31/99 $ 12,977 $ 12,700 $ 12,948 $ 12,574 4/30/99 $ 13,033 $ 12,743 $ 12,995 $ 12,620 5/31/99 $ 13,060 $ 12,787 $ 13,030 $ 12,669 6/30/99 $ 13,115 $ 12,833 $ 13,084 $ 12,722 7/31/99 $ 13,157 $ 12,889 $ 13,138 $ 12,774 8/31/99 $ 13,176 $ 12,928 $ 13,179 $ 12,825 9/30/99 $ 13,248 $ 12,991 $ 13,247 $ 12,883 10/31/99 $ 13,307 $ 13,039 $ 13,279 $ 12,933 11/30/99 $ 13,371 $ 13,084 $ 13,307 $ 12,985 12/31/99 $ 13,421 $ 13,143 $ 13,335 $ 13,044 1/31/2000 $ 13,447 $ 13,199 $ 13,370 $ 13,100 2/29/2000 $ 13,532 $ 13,264 $ 13,438 $ 13,157 3/31/2000 $ 13,600 $ 13,331 $ 13,506 $ 13,226 4/30/2000 $ 13,649 $ 13,394 $ 13,577 $ 13,288 5/31/2000 $ 13,703 $ 13,465 $ 13,650 $ 13,369 6/30/2000 $ 13,802 $ 13,542 $ 13,754 $ 13,426 7/31/2000 $ 13,893 $ 13,608 $ 13,836 $ 13,487 8/31/2000 $ 13,978 $ 13,682 $ 13,923 $ 13,557 9/30/2000 $ 14,083 $ 13,755 $ 14,007 $ 13,629 10/31/2000 $ 14,152 $ 13,830 $ 14,077 $ 13,700 11/30/2000 $ 14,238 $ 13,910 $ 14,177 $ 13,775 12/31/2000 $ 14,322 $ 13,998 $ 14,313 $ 13,851 1/31/2001 $ 14,421 $ 14,112 $ 14,476 $ 13,942 2/28/2001 $ 14,494 $ 14,170 $ 14,553 $ 13,995 3/31/2001 $ 14,549 $ 14,251 $ 14,661 $ 14,060 4/30/2001 $ 14,621 $ 14,309 $ 14,728 $ 14,121 5/31/2001 $ 14,670 $ 14,378 $ 14,816 $ 14,176 6/30/2001 $ 14,716 $ 14,416 $ 14,859 $ 14,218 7/31/2001 $ 14,800 $ 14,473 $ 14,966 $ 14,265 8/31/2001 $ 14,866 $ 14,525 $ 15,025 $ 14,312 9/30/2001 $ 15,018 $ 14,617 $ 15,188 $ 14,373 10/31/2001 $ 15,107 $ 14,669 $ 15,292 $ 14,411 11/30/2001 $ 15,120 $ 14,706 $ 15,309 $ 14,442 12/31/2001 $ 15,146 $ 14,727 $ 15,354 $ 14,465 1/31/2002 $ 15,175 $ 14,749 $ 15,379 $ 14,487 2/28/2002 $ 15,232 $ 14,775 $ 15,427 $ 14,506 3/31/2002 $ 15,179 $ 14,793 $ 15,393 $ 14,528 4/30/2002 $ 15,272 $ 14,834 $ 15,500 $ 14,551 5/31/2002 $ 15,334 $ 14,864 $ 15,544 $ 14,574 6/30/2002 $ 15,412 $ 14,897 $ 15,628 $ 14,596 7/31/2002 $ 15,519 $ 14,924 $ 15,698 $ 14,618 8/31/2002 $ 15,565 $ 14,946 $ 15,715 $ 14,638 9/30/2002 $ 15,612 $ 14,979 $ 15,778 $ 14,662 10/31/2002 $ 15,657 $ 15,003 $ 15,811 $ 14,684 11/30/2002 $ 15,640 $ 15,030 $ 15,815 $ 14,707 12/31/2002 $ 15,737 $ 15,052 $ 15,875 $ 14,725 1/31/2003 $ 15,753 $ 15,071 $ 15,887 $ 14,740 2/28/2003 $ 15,799 $ 15,084 $ 15,916 $ 14,753 3/31/2003 $ 15,822 $ 15,105 $ 15,945 $ 14,771 4/30/2003 $ 15,855 $ 15,117 $ 15,962 $ 14,784 5/31/2003 $ 15,890 $ 15,135 $ 15,983 $ 14,799 6/30/2003 $ 15,908 $ 15,158 $ 16,015 $ 14,819 7/31/2003 $ 15,865 $ 15,167 $ 16,007 $ 14,830 8/31/2003 $ 15,879 $ 15,181 $ 16,023 $ 14,842 9/30/2003 $ 15,957 $ 15,199 $ 16,066 $ 14,856 10/31/2003 $ 15,928 $ 15,213 $ 16,061 $ 14,868 11/30/2003 $ 15,930 $ 15,226 $ 16,058 $ 14,880 12/31/2003 $ 15,993 $ 15,248 $ 16,108 $ 14,895 1/31/2004 $ 16,008 $ 15,263 $ 16,132 $ 14,907 2/29/2004 $ 16,050 $ 15,275 $ 16,166 $ 14,917 3/31/2004 $ 16,080 $ 15,289 $ 16,180 $ 14,929 4/30/2004 $ 16,021 $ 15,297 $ 16,139 $ 14,941 5/31/2004 $ 16,008 $ 15,304 $ 16,137 $ 14,955 6/30/2004 $ 15,994 $ 15,310 $ 16,133 $ 14,965 7/31/2004 $ 16,044 $ 15,336 $ 16,170 $ 14,983 8/31/2004 $ 16,112 $ 15,362 $ 16,217 $ 15,001 9/30/2004 $ 16,101 $ 15,378 $ 16,212 $ 15,021 10/31/2004 $ 16,140 $ 15,398 $ 16,239 $ 15,040 11/30/2004 $ 16,102 $ 15,412 $ 16,215 $ 15,061
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ----------------------------------------- 1.08% 3.79% 4.89%
- - THE SIX-MONTH US TREASURY BILL INDEX AND THE ONE-YEAR US TREASURY NOTE INDEX ARE REPLACING THE THREE-MONTH US TREASURY BILL INDEX FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. US Treasury instrument indices courtesy of Merrill Lynch. 6 [CHART] DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS. MERRILL LYNCH 1-3 YEAR GOVERNMENT/CORPORATE INDEX FEBRUARY 9, 1996-NOVEMBER 30, 2004 GROWTH OF $10,000
DFA TWO-YEAR GLOBAL MERRILL LYNCH 1-3 YEAR FIXED INCOME PORTFOLIO GOVERNMENT/CORPORATE INDEX 2/9/96 $ 10,000 2/29/96 $ 10,000 $ 10,000 3/31/96 $ 10,046 $ 9,993 4/30/96 $ 10,096 $ 10,002 5/31/96 $ 10,147 $ 10,023 6/30/96 $ 10,184 $ 10,096 7/31/96 $ 10,256 $ 10,137 8/31/96 $ 10,357 $ 10,172 9/30/96 $ 10,429 $ 10,265 10/31/96 $ 10,520 $ 10,381 11/30/96 $ 10,592 $ 10,461 12/31/96 $ 10,635 $ 10,462 1/31/97 $ 10,709 $ 10,511 2/28/97 $ 10,750 $ 10,536 3/31/97 $ 10,747 $ 10,534 4/30/97 $ 10,811 $ 10,620 5/31/97 $ 10,884 $ 10,694 6/30/97 $ 10,962 $ 10,767 7/31/97 $ 11,016 $ 10,887 8/31/97 $ 11,059 $ 10,898 9/30/97 $ 11,128 $ 10,981 10/31/97 $ 11,171 $ 11,061 11/30/97 $ 11,204 $ 11,087 12/31/97 $ 11,260 $ 11,163 1/31/98 $ 11,351 $ 11,271 2/28/98 $ 11,396 $ 11,282 3/31/98 $ 11,458 $ 11,331 4/30/98 $ 11,492 $ 11,385 5/31/98 $ 11,561 $ 11,448 6/30/98 $ 11,603 $ 11,507 7/31/98 $ 11,661 $ 11,562 8/31/98 $ 11,741 $ 11,698 9/30/98 $ 11,814 $ 11,850 10/31/98 $ 11,872 $ 11,902 11/30/98 $ 11,918 $ 11,890 12/31/98 $ 11,988 $ 11,936 1/31/99 $ 12,047 $ 11,987 2/28/99 $ 12,094 $ 11,935 3/31/99 $ 12,149 $ 12,022 4/30/99 $ 12,196 $ 12,064 5/31/99 $ 12,219 $ 12,057 6/30/99 $ 12,269 $ 12,094 7/31/99 $ 12,294 $ 12,127 8/31/99 $ 12,342 $ 12,159 9/30/99 $ 12,405 $ 12,241 10/31/99 $ 12,429 $ 12,277 11/30/99 $ 12,478 $ 12,304 12/31/99 $ 12,537 $ 12,326 1/31/2000 $ 12,562 $ 12,323 2/29/2000 $ 12,638 $ 12,406 3/31/2000 $ 12,693 $ 12,479 4/30/2000 $ 12,745 $ 12,508 5/31/2000 $ 12,783 $ 12,553 6/30/2000 $ 12,860 $ 12,690 7/31/2000 $ 12,925 $ 12,776 8/31/2000 $ 13,003 $ 12,874 9/30/2000 $ 13,091 $ 12,975 10/31/2000 $ 13,157 $ 13,036 11/30/2000 $ 13,249 $ 13,164 12/31/2000 $ 13,347 $ 13,322 1/31/2001 $ 13,444 $ 13,500 2/28/2001 $ 13,499 $ 13,589 3/31/2001 $ 13,560 $ 13,709 4/30/2001 $ 13,616 $ 13,747 5/31/2001 $ 13,658 $ 13,835 6/30/2001 $ 13,708 $ 13,888 7/31/2001 $ 13,793 $ 14,057 8/31/2001 $ 13,864 $ 14,146 9/30/2001 $ 14,043 $ 14,369 10/31/2001 $ 14,156 $ 14,511 11/30/2001 $ 14,142 $ 14,474 12/31/2001 $ 14,156 $ 14,482 1/31/2002 $ 14,199 $ 14,513 2/28/2002 $ 14,256 $ 14,577 3/31/2002 $ 14,173 $ 14,485 4/30/2002 $ 14,302 $ 14,644 5/31/2002 $ 14,373 $ 14,720 6/30/2002 $ 14,472 $ 14,834 7/31/2002 $ 14,630 $ 14,989 8/31/2002 $ 14,687 $ 15,061 9/30/2002 $ 14,753 $ 15,185 10/31/2002 $ 14,811 $ 15,214 11/30/2002 $ 14,781 $ 15,209 12/31/2002 $ 14,903 $ 15,364 1/31/2003 $ 14,917 $ 15,386 2/28/2003 $ 14,977 $ 15,464 3/31/2003 $ 15,003 $ 15,498 4/30/2003 $ 15,048 $ 15,552 5/31/2003 $ 15,108 $ 15,636 6/30/2003 $ 15,126 $ 15,669 7/31/2003 $ 15,037 $ 15,575 8/31/2003 $ 15,037 $ 15,589 9/30/2003 $ 15,178 $ 15,748 10/31/2003 $ 15,118 $ 15,690 11/30/2003 $ 15,118 $ 15,690 12/31/2003 $ 15,189 $ 15,789 1/31/2004 $ 15,219 $ 15,828 2/29/2004 $ 15,295 $ 15,909 3/31/2004 $ 15,333 $ 15,965 4/30/2004 $ 15,196 $ 15,811 5/31/2004 $ 15,165 $ 15,785 6/30/2004 $ 15,149 $ 15,785 7/31/2004 $ 15,210 $ 15,855 8/31/2004 $ 15,302 $ 15,974 9/30/2004 $ 15,294 $ 15,964 10/31/2004 $ 15,325 $ 16,017 11/30/2004 $ 15,279 $ 15,940
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 2/9/1996 - ------------------------------------------ 1.08% 4.14% 4.93%
Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Merrill Lynch 1-3 Year Government/Corporate Index courtesy of Merrill Lynch. [CHART] DFA FIVE-YEAR GOVERNMENT PORTFOLIO VS. LEHMAN INTERMEDIATE GOVERNMENT INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
DFA FIVE-YEAR LEHMAN INTERMEDIATE GOVERNMENT PORTFOLIO GOVERNMENT INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,029 $ 10,033 1/31/95 $ 10,143 $ 10,197 2/28/95 $ 10,251 $ 10,393 3/31/95 $ 10,302 $ 10,450 4/30/95 $ 10,377 $ 10,572 5/31/95 $ 10,570 $ 10,870 6/30/95 $ 10,631 $ 10,939 7/31/95 $ 10,673 $ 10,945 8/31/95 $ 10,752 $ 11,035 9/30/95 $ 10,805 $ 11,109 10/31/95 $ 10,880 $ 11,231 11/30/95 $ 10,935 $ 11,368 12/31/95 $ 10,987 $ 11,480 1/31/96 $ 11,040 $ 11,577 2/29/96 $ 11,084 $ 11,454 3/31/96 $ 11,117 $ 11,401 4/30/96 $ 11,140 $ 11,368 5/31/96 $ 11,172 $ 11,363 6/30/96 $ 11,273 $ 11,478 7/31/96 $ 11,306 $ 11,514 8/31/96 $ 11,329 $ 11,527 9/30/96 $ 11,465 $ 11,675 10/31/96 $ 11,635 $ 11,867 11/30/96 $ 11,759 $ 12,011 12/31/96 $ 11,713 $ 11,946 1/31/97 $ 11,760 $ 11,991 2/28/97 $ 11,772 $ 12,010 3/31/97 $ 11,737 $ 11,942 4/30/97 $ 11,842 $ 12,077 5/31/97 $ 11,924 $ 12,171 6/30/97 $ 12,011 $ 12,276 7/31/97 $ 12,166 $ 12,501 8/31/97 $ 12,166 $ 12,454 9/30/97 $ 12,262 $ 12,590 10/31/97 $ 12,358 $ 12,737 11/30/97 $ 12,393 $ 12,765 12/31/97 $ 12,462 $ 12,868 1/31/98 $ 12,536 $ 13,036 2/28/98 $ 12,585 $ 13,021 3/31/98 $ 12,647 $ 13,062 4/30/98 $ 12,696 $ 13,124 5/31/98 $ 12,758 $ 13,215 6/30/98 $ 12,804 $ 13,304 7/31/98 $ 12,867 $ 13,354 8/31/98 $ 12,917 $ 13,606 9/30/98 $ 12,981 $ 13,924 10/31/98 $ 13,031 $ 13,947 11/30/98 $ 13,082 $ 13,904 12/31/98 $ 13,138 $ 13,958 1/31/99 $ 13,191 $ 14,021 2/28/99 $ 13,230 $ 13,829 3/31/99 $ 13,295 $ 13,920 4/30/99 $ 13,347 $ 13,958 5/31/99 $ 13,347 $ 13,873 6/30/99 $ 13,394 $ 13,893 7/31/99 $ 13,421 $ 13,895 8/31/99 $ 13,447 $ 13,914 9/30/99 $ 13,540 $ 14,034 10/31/99 $ 13,579 $ 14,062 11/30/99 $ 13,619 $ 14,072 12/31/99 $ 13,635 $ 14,028 1/31/2000 $ 13,649 $ 13,980 2/29/2000 $ 13,744 $ 14,097 3/31/2000 $ 13,786 $ 14,257 4/30/2000 $ 13,841 $ 14,252 5/31/2000 $ 13,882 $ 14,290 6/30/2000 $ 14,024 $ 14,517 7/31/2000 $ 14,108 $ 14,613 8/31/2000 $ 14,207 $ 14,777 9/30/2000 $ 14,319 $ 14,905 10/31/2000 $ 14,375 $ 15,008 11/30/2000 $ 14,458 $ 15,229 12/31/2000 $ 14,558 $ 15,497 1/31/2001 $ 14,674 $ 15,703 2/28/2001 $ 14,733 $ 15,847 3/31/2001 $ 14,805 $ 15,961 4/30/2001 $ 14,848 $ 15,910 5/31/2001 $ 14,921 $ 15,976 6/30/2001 $ 14,902 $ 16,027 7/31/2001 $ 15,153 $ 16,326 8/31/2001 $ 15,302 $ 16,472 9/30/2001 $ 15,643 $ 16,824 10/31/2001 $ 15,881 $ 17,087 11/30/2001 $ 15,644 $ 16,883 12/31/2001 $ 15,585 $ 16,802 1/31/2002 $ 15,630 $ 16,875 2/28/2002 $ 15,797 $ 17,015 3/31/2002 $ 15,524 $ 16,758 4/30/2002 $ 15,873 $ 17,071 5/31/2002 $ 16,026 $ 17,191 6/30/2002 $ 16,289 $ 17,405 7/31/2002 $ 16,644 $ 17,733 8/31/2002 $ 16,890 $ 17,935 9/30/2002 $ 17,184 $ 18,243 10/31/2002 $ 17,215 $ 18,231 11/30/2002 $ 17,060 $ 18,086 12/31/2002 $ 17,421 $ 18,421 1/31/2003 $ 17,390 $ 18,381 2/28/2003 $ 17,689 $ 18,588 3/31/2003 $ 17,673 $ 18,592 4/30/2003 $ 17,785 $ 18,644 5/31/2003 $ 18,195 $ 18,937 6/30/2003 $ 18,161 $ 18,906 7/31/2003 $ 17,522 $ 18,447 8/31/2003 $ 17,474 $ 18,480 9/30/2003 $ 18,034 $ 18,881 10/31/2003 $ 17,762 $ 18,696 11/30/2003 $ 17,746 $ 18,698 12/31/2003 $ 17,890 $ 18,844 1/31/2004 $ 18,008 $ 18,946 2/29/2004 $ 18,226 $ 19,126 3/31/2004 $ 18,428 $ 19,259 4/30/2004 $ 17,873 $ 18,829 5/31/2004 $ 17,738 $ 18,768 6/30/2004 $ 17,835 $ 18,816 7/31/2004 $ 17,954 $ 18,952 8/31/2004 $ 18,295 $ 19,233 9/30/2004 $ 18,334 $ 19,241 10/31/2004 $ 18,472 $ 19,358 11/30/2004 $ 18,283 $ 19,178
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - --------------------------------------- 3.02% 6.06% 6.21%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Lehman Intermediate Government Index courtesy of Lehman Brothers, Inc. 7 [CHART] DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS. LEHMAN AGGREGATE INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
DFA FIVE-YEAR GLOBAL LEHMAN FIXED INCOME PORTFOLIO AGGREGATE INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 9,987 $ 10,069 1/31/95 $ 10,068 $ 10,268 2/28/95 $ 10,216 $ 10,513 3/31/95 $ 10,419 $ 10,577 4/30/95 $ 10,561 $ 10,725 5/31/95 $ 10,820 $ 11,140 6/30/95 $ 10,840 $ 11,221 7/31/95 $ 10,934 $ 11,197 8/31/95 $ 11,012 $ 11,332 9/30/95 $ 11,167 $ 11,442 10/31/95 $ 11,281 $ 11,591 11/30/95 $ 11,525 $ 11,765 12/31/95 $ 11,591 $ 11,929 1/31/96 $ 11,687 $ 12,008 2/29/96 $ 11,564 $ 11,799 3/31/96 $ 11,650 $ 11,717 4/30/96 $ 11,717 $ 11,651 5/31/96 $ 11,831 $ 11,628 6/30/96 $ 11,875 $ 11,783 7/31/96 $ 11,978 $ 11,815 8/31/96 $ 12,161 $ 11,795 9/30/96 $ 12,379 $ 12,000 10/31/96 $ 12,610 $ 12,267 11/30/96 $ 12,807 $ 12,477 12/31/96 $ 12,839 $ 12,361 1/31/97 $ 12,950 $ 12,399 2/28/97 $ 13,073 $ 12,430 3/31/97 $ 12,984 $ 12,292 4/30/97 $ 13,084 $ 12,476 5/31/97 $ 13,183 $ 12,595 6/30/97 $ 13,386 $ 12,745 7/31/97 $ 13,550 $ 13,089 8/31/97 $ 13,575 $ 12,978 9/30/97 $ 13,702 $ 13,170 10/31/97 $ 13,752 $ 13,361 11/30/97 $ 13,815 $ 13,422 12/31/97 $ 13,907 $ 13,558 1/31/98 $ 14,044 $ 13,731 2/28/98 $ 14,141 $ 13,720 3/31/98 $ 14,230 $ 13,767 4/30/98 $ 14,286 $ 13,838 5/31/98 $ 14,397 $ 13,970 6/30/98 $ 14,461 $ 14,089 7/31/98 $ 14,559 $ 14,118 8/31/98 $ 14,684 $ 14,348 9/30/98 $ 14,862 $ 14,684 10/31/98 $ 14,960 $ 14,606 11/30/98 $ 15,030 $ 14,690 12/31/98 $ 15,071 $ 14,734 1/31/99 $ 15,200 $ 14,838 2/28/99 $ 15,245 $ 14,579 3/31/99 $ 15,357 $ 14,659 4/30/99 $ 15,459 $ 14,706 5/31/99 $ 15,459 $ 14,576 6/30/99 $ 15,392 $ 14,530 7/31/99 $ 15,408 $ 14,469 8/31/99 $ 15,452 $ 14,461 9/30/99 $ 15,517 $ 14,629 10/31/99 $ 15,517 $ 14,683 11/30/99 $ 15,576 $ 14,682 12/31/99 $ 15,631 $ 14,611 1/31/2000 $ 15,662 $ 14,563 2/29/2000 $ 15,739 $ 14,739 3/31/2000 $ 15,836 $ 14,934 4/30/2000 $ 15,914 $ 14,891 5/31/2000 $ 15,944 $ 14,883 6/30/2000 $ 16,041 $ 15,193 7/31/2000 $ 16,134 $ 15,331 8/31/2000 $ 16,212 $ 15,553 9/30/2000 $ 16,320 $ 15,651 10/31/2000 $ 16,431 $ 15,754 11/30/2000 $ 16,525 $ 16,013 12/31/2000 $ 16,670 $ 16,311 1/31/2001 $ 16,802 $ 16,577 2/28/2001 $ 16,885 $ 16,721 3/31/2001 $ 16,974 $ 16,804 4/30/2001 $ 17,023 $ 16,734 5/31/2001 $ 17,090 $ 16,834 6/30/2001 $ 17,102 $ 16,898 7/31/2001 $ 17,235 $ 17,277 8/31/2001 $ 17,369 $ 17,475 9/30/2001 $ 17,635 $ 17,678 10/31/2001 $ 17,854 $ 18,048 11/30/2001 $ 17,718 $ 17,798 12/31/2001 $ 17,658 $ 17,685 1/31/2002 $ 17,709 $ 17,828 2/28/2002 $ 17,863 $ 18,001 3/31/2002 $ 17,579 $ 17,702 4/30/2002 $ 17,890 $ 18,045 5/31/2002 $ 18,046 $ 18,199 6/30/2002 $ 18,272 $ 18,357 7/31/2002 $ 18,635 $ 18,579 8/31/2002 $ 18,877 $ 18,893 9/30/2002 $ 19,247 $ 19,199 10/31/2002 $ 19,230 $ 19,111 11/30/2002 $ 19,055 $ 19,105 12/31/2002 $ 19,490 $ 19,501 1/31/2003 $ 19,417 $ 19,518 2/28/2003 $ 19,703 $ 19,788 3/31/2003 $ 19,715 $ 19,772 4/30/2003 $ 19,786 $ 19,936 5/31/2003 $ 20,233 $ 20,307 6/30/2003 $ 20,211 $ 20,266 7/31/2003 $ 19,653 $ 19,585 8/31/2003 $ 19,617 $ 19,714 9/30/2003 $ 20,157 $ 20,237 10/31/2003 $ 19,902 $ 20,049 11/30/2003 $ 19,902 $ 20,097 12/31/2003 $ 20,068 $ 20,302 1/31/2004 $ 20,221 $ 20,464 2/29/2004 $ 20,431 $ 20,686 3/31/2004 $ 20,655 $ 20,841 4/30/2004 $ 20,021 $ 20,298 5/31/2004 $ 19,925 $ 20,217 6/30/2004 $ 19,981 $ 20,331 7/31/2004 $ 20,137 $ 20,533 8/31/2004 $ 20,524 $ 20,925 9/30/2004 $ 20,565 $ 20,981 10/31/2004 $ 20,702 $ 21,157 11/30/2004 $ 20,507 $ 20,989
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ----------------------------------------- 3.04% 5.66% 7.45%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Lehman Aggregate Index courtesy of Lehman Brothers, Inc. [CHART] DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS. LEHMAN GOVERNMENT INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
DFA INTERMEDIATE GOVERNMENT LEHMAN GOVERNMENT FIXED INCOME PORTFOLIO INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,044 $ 10,061 1/31/95 $ 10,228 $ 10,248 2/28/95 $ 10,498 $ 10,468 3/31/95 $ 10,552 $ 10,534 4/30/95 $ 10,717 $ 10,672 5/31/95 $ 11,185 $ 11,103 6/30/95 $ 11,277 $ 11,188 7/31/95 $ 11,221 $ 11,147 8/31/95 $ 11,351 $ 11,277 9/30/95 $ 11,447 $ 11,385 10/31/95 $ 11,608 $ 11,558 11/30/95 $ 11,806 $ 11,739 12/31/95 $ 11,961 $ 11,905 1/31/96 $ 12,056 $ 11,978 2/29/96 $ 11,833 $ 11,734 3/31/96 $ 11,693 $ 11,636 4/30/96 $ 11,585 $ 11,562 5/31/96 $ 11,542 $ 11,542 6/30/96 $ 11,698 $ 11,691 7/31/96 $ 11,720 $ 11,720 8/31/96 $ 11,687 $ 11,694 9/30/96 $ 11,898 $ 11,889 10/31/96 $ 12,174 $ 12,150 11/30/96 $ 12,394 $ 12,362 12/31/96 $ 12,244 $ 12,235 1/31/97 $ 12,266 $ 12,249 2/28/97 $ 12,277 $ 12,266 3/31/97 $ 12,126 $ 12,136 4/30/97 $ 12,297 $ 12,311 5/31/97 $ 12,412 $ 12,417 6/30/97 $ 12,546 $ 12,556 7/31/97 $ 12,927 $ 12,912 8/31/97 $ 12,765 $ 12,784 9/30/97 $ 12,973 $ 12,976 10/31/97 $ 13,208 $ 13,201 11/30/97 $ 13,232 $ 13,268 12/31/97 $ 13,366 $ 13,407 1/31/98 $ 13,594 $ 13,608 2/28/98 $ 13,570 $ 13,572 3/31/98 $ 13,590 $ 13,610 4/30/98 $ 13,651 $ 13,671 5/31/98 $ 13,797 $ 13,812 6/30/98 $ 13,915 $ 13,969 7/31/98 $ 13,940 $ 13,990 8/31/98 $ 14,297 $ 14,354 9/30/98 $ 14,860 $ 14,741 10/31/98 $ 14,735 $ 14,691 11/30/98 $ 14,698 $ 14,696 12/31/98 $ 14,773 $ 14,728 1/31/99 $ 14,825 $ 14,814 2/28/99 $ 14,391 $ 14,461 3/31/99 $ 14,497 $ 14,517 4/30/99 $ 14,510 $ 14,551 5/31/99 $ 14,304 $ 14,423 6/30/99 $ 14,247 $ 14,394 7/31/99 $ 14,208 $ 14,372 8/31/99 $ 14,183 $ 14,372 9/30/99 $ 14,332 $ 14,489 10/31/99 $ 14,345 $ 14,512 11/30/99 $ 14,345 $ 14,492 12/31/99 $ 14,246 $ 14,397 1/31/2000 $ 14,152 $ 14,418 2/29/2000 $ 14,287 $ 14,622 3/31/2000 $ 14,470 $ 14,880 4/30/2000 $ 14,388 $ 14,838 5/31/2000 $ 14,360 $ 14,847 6/30/2000 $ 14,732 $ 15,111 7/31/2000 $ 14,843 $ 15,258 8/31/2000 $ 15,107 $ 15,484 9/30/2000 $ 15,252 $ 15,527 10/31/2000 $ 15,408 $ 15,676 11/30/2000 $ 15,745 $ 15,985 12/31/2000 $ 16,175 $ 16,303 1/31/2001 $ 16,376 $ 16,467 2/28/2001 $ 16,620 $ 16,655 3/31/2001 $ 16,699 $ 16,714 4/30/2001 $ 16,482 $ 16,543 5/31/2001 $ 16,525 $ 16,598 6/30/2001 $ 16,588 $ 16,674 7/31/2001 $ 17,057 $ 17,074 8/31/2001 $ 17,293 $ 17,286 9/30/2001 $ 17,723 $ 17,587 10/31/2001 $ 18,200 $ 18,040 11/30/2001 $ 17,723 $ 17,636 12/31/2001 $ 17,503 $ 17,483 1/31/2002 $ 17,594 $ 17,596 2/28/2002 $ 17,821 $ 17,758 3/31/2002 $ 17,355 $ 17,373 4/30/2002 $ 17,814 $ 17,786 5/31/2002 $ 18,044 $ 17,893 6/30/2002 $ 18,398 $ 18,144 7/31/2002 $ 18,895 $ 18,543 8/31/2002 $ 19,344 $ 18,910 9/30/2002 $ 19,958 $ 19,353 10/31/2002 $ 19,738 $ 19,198 11/30/2002 $ 19,487 $ 19,033 12/31/2002 $ 20,132 $ 19,493 1/31/2003 $ 19,985 $ 19,444 2/28/2003 $ 20,473 $ 19,758 3/31/2003 $ 20,403 $ 19,700 4/30/2003 $ 20,550 $ 19,791 5/31/2003 $ 21,255 $ 20,305 6/30/2003 $ 21,113 $ 20,200 7/31/2003 $ 19,933 $ 19,366 8/31/2003 $ 19,982 $ 19,474 9/30/2003 $ 20,752 $ 20,041 10/31/2003 $ 20,398 $ 19,756 11/30/2003 $ 20,432 $ 19,780 12/31/2003 $ 20,625 $ 19,956 1/31/2004 $ 20,818 $ 20,121 2/29/2004 $ 21,115 $ 20,362 3/31/2004 $ 21,404 $ 20,542 4/30/2004 $ 20,558 $ 19,924 5/31/2004 $ 20,416 $ 19,850 6/30/2004 $ 20,562 $ 19,930 7/31/2004 $ 20,777 $ 20,116 8/31/2004 $ 21,312 $ 20,508 9/30/2004 $ 21,382 $ 20,549 10/31/2004 $ 21,581 $ 20,713 11/30/2004 $ 21,292 $ 20,467
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ----------------------------------------- 4.21% 8.22% 7.85%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Lehman Government Index courtesy of Lehman Brothers, Inc. [CHART] DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS. LEHMAN MUNICIPAL THREE-YEAR BOND INDEX AUGUST 20, 2002-NOVEMBER 30, 2004 GROWTH OF $10,000
DFA SHORT-TERM LEHMAN MUNICIPAL MUNICIPAL BOND PORTFOLIO THREE-YEAR BOND INDEX 8/20/2002 $ 10,000 $ 10,000 8/30/2002 $ 9,990 $ 10,017 9/30/2002 $ 10,063 $ 10,096 10/31/2002 $ 10,005 $ 10,041 11/30/2002 $ 9,997 $ 10,044 12/31/2002 $ 10,115 $ 10,188 1/31/2003 $ 10,135 $ 10,221 2/28/2003 $ 10,199 $ 10,286 3/31/2003 $ 10,182 $ 10,274 4/30/2003 $ 10,216 $ 10,302 5/31/2003 $ 10,300 $ 10,381 6/30/2003 $ 10,292 $ 10,364 7/31/2003 $ 10,164 $ 10,271 8/31/2003 $ 10,206 $ 10,323 9/30/2003 $ 10,351 $ 10,478 10/31/2003 $ 10,313 $ 10,429 11/30/2003 $ 10,315 $ 10,439 12/31/2003 $ 10,344 $ 10,461 1/31/2004 $ 10,365 $ 10,498 2/29/2004 $ 10,444 $ 10,587 3/31/2004 $ 10,419 $ 10,559 4/30/2004 $ 10,291 $ 10,452 5/31/2004 $ 10,263 $ 10,411 6/30/2004 $ 10,278 $ 10,430 7/31/2004 $ 10,333 $ 10,506 8/31/2004 $ 10,430 $ 10,616 9/30/2004 $ 10,444 $ 10,628 10/31/2004 $ 10,480 $ 10,657 11/30/2004 $ 10,445 $ 10,607
AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 8/20/2002 - ------------------------------------- 1.27% 1.93%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Lehman Municipal Three-Year Bond Index courtesy of Lehman Brothers, Inc. 8 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004 The performance for the U.S. equity market for the year under review was attributable primarily to two factors: the behavior of large company stocks relative to small company stocks and the behavior of growth stocks relative to value stocks. Company size is measured by market capitalization, and "value" classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks sell for low prices relative to their earnings, dividends, and book values. Of the two factors, the growth/value distinction was the more significant during the year ended November 30, 2004: value stocks outperformed growth stocks by a significant margin. Results were also a function of differences in size characteristics, but this effect was less pronounced. % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004 Russell 3000 Value Index(R) 20.00% Russell 3000 Growth Index(R) 6.24% CRSP 9-10 Index (micro cap companies) 14.99% Russell 2000 Index(R)(small companies) 17.25% Russell 1000 Index(R)(large companies) 12.64%
When the size sectors are further segmented by value and growth characteristics, the distinction in performance between sectors is more pronounced. The superior performance of small value stocks relative to large growth stocks was particularly strong. % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004 Russell 2000 Value Index(R)(small value companies) 23.72% Russell 2000 Growth Index(R)(small growth companies) 10.84% Russell 1000 Value Index(R)(large value companies) 19.65% Russell 1000 Growth Index(R)(large growth companies) 5.83%
- ---------- Source: Frank Russell Co.; Center for Research in Security Prices, University of Chicago; Standard & Poor's Differences in returns for the various Dimensional U.S. equity funds over the year ended November 30, 2004 were attributable primarily to differences in value/growth and size characteristics. Moreover, the portfolio construction approach used by Dimensional Fund Advisors Inc. (the "Advisor") generally results in portfolios with greater emphasis on value or small company characteristics relative to widely-used index benchmarks. As a result, in years when value or small company index benchmarks have outperformed growth or large company index benchmarks, it should not be surprising to find investment strategies with a greater exposure to small company or value characteristics outperform growth and large company benchmarks. MASTER-FEEDER STRUCTURE Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called "Master Funds." Master Funds, in turn, purchase stocks, bonds, and/or other securities. DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW U.S. LARGE COMPANY PORTFOLIO The U.S. Large Company Portfolio seeks to produce returns similar to those of the S&P 500 Index(R) by purchasing shares of a Master Fund that invests in S&P 500 Index(R) stocks in approximately the same proportions as they are represented in the S&P 500 Index(R). The Master Fund essentially was fully invested in equities throughout the year: cash 9 equivalents averaged less than 1.90% of the Master Fund's assets. For the year ended November 30, 2004, total returns were 12.68% for the U.S. Large Company Portfolio, and 12.85% for the S&P 500 Index(R). The securities in the Master Fund closely tracked the investment results of the S&P 500 Index(R). Underperformance of the Portfolio relative to the Index was primarily due to differences in expenses between the Portfolio and the Index. Results for the S&P 500 Index(R) are not diminished by management and administrative expenses associated with running a live portfolio. ENHANCED U.S. LARGE COMPANY PORTFOLIO The Enhanced U.S. Large Company Portfolio seeks to achieve a total return that exceeds the total return performance of the S&P 500 Index(R) by purchasing shares of a Master Fund that uses an "enhanced cash" strategy. This strategy combines investment in high grade, short-term fixed income instruments with an overlay of S&P 500 Index(R) futures contracts or swaps. For the year ended November 30, 2004, approximately 87% of the overlay instruments consisted of S&P 500 Index(R) futures contracts, and the remaining 13% were swap contracts. The behavior of S&P 500 Index(R) futures contracts is determined principally by the performance of the S&P 500 Index(R). For the year ended November 30, 2004, total return was 12.28% for the Enhanced U.S. Large Company Portfolio, and 12.85% for the S&P 500 Index(R). Relative to the S&P 500 Index(R), underperformance was due to returns of the fixed income securities in the Master Fund as well as differences in costs between the Portfolio and the Index. An important component of the pricing of futures contracts is the short-term interest rate such as the London Interbank Offered Rate (LIBOR). To the extent the fixed income assets in the Master Fund underperform the returns associated with LIBOR-based instruments, the investment results of the Master Fund as a whole will generally underperform the S&P 500 Index(R). For the year ending November 30, 2004, fixed income securities with very short duration such as LIBOR-based instruments outperformed the fixed income component of the Master Fund. The average duration for LIBOR-type instruments was 0.13 years compared to 0.90 years for the Portfolio. U.S. LARGE CAP VALUE PORTFOLIO The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S. large company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to track closely a specific equity index. The Master Fund held 223 stocks as of November 30, 2004, and essentially was fully invested in equities throughout the year: cash equivalents averaged less than 1.10% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than by the behavior of a limited number of stocks. For the year ended November 30, 2004, small company stocks generally outperformed large company stocks, and value stocks generally outperformed growth stocks. Total returns were 12.85% for the S&P 500 Index(R), 19.65% for the Russell 1000 Value Index(R) and 21.48% for the U.S. Large Cap Value Portfolio. Relative to the Russell 1000 Value Index(R), superior performance of the Portfolio was primarily due to greater exposure to stocks with more pronounced value characteristics as measured by book-to-market ratio. Stocks falling in the top quartile when ranked by book-to-market ratio outperformed other stocks in the Russell 1000 Value Index(R) and average weight allocated to this sector was 39% of the Portfolio compared to 25% of the Index. U.S. SMALL XM VALUE PORTFOLIO The U.S. Small XM Value Portfolio seeks to capture the returns of U.S. small company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company value stocks, but does not attempt to track closely a specific equity index. The Master Fund refrains from purchasing the very smallest ("micro cap") stocks. As of November 30, 2004, the Master Fund held 464 stocks, and was essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.40% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, small company stocks generally outperformed large company stocks, and value stocks generally outperformed growth stocks. Total returns were 12.85% for the S&P 500 Index(R), 23.72% for the 10 Russell 2000 Value Index(R), and 27.36% for the U.S. Small XM Value Portfolio. Relative to the Russell 2000 Value Index(R), superior performance of the Portfolio was primarily due to greater exposure to stocks with more pronounced value characteristics as measured by book-to-market ratio. Stocks falling into the top quartile when ranked by book-to-market ratio outperformed other stocks in the #Russell 2000 Value Index(R) and average weight allocated to this sector was 81% for the Portfolio compared to 51% for the Index. U.S. SMALL CAP VALUE PORTFOLIO The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S. small company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company value stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 1,428 stocks and was essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.60% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, small company stocks generally outperformed large company stocks, and value stocks generally outperformed growth stocks. Total returns were 12.85% for the S&P 500 Index(R), 23.72% for the Russell 2000 Value Index(R), and 27.36% for the U.S. Small XM Value Portfolio. Relative to the Russell 2000 Value Index(R), superior performance of the Portfolio was primarily due to greater exposure to stocks with more pronounced value characteristics as measured by book-to-market ratio. Stocks falling into the top quartile when ranked by book-to-market ratio outperformed other stocks in the Russell 2000 Value Index(R) and average weight allocated to this sector was 81% for the Portfolio compared to 51% for the Index. U.S. SMALL CAP VALUE PORTFOLIO The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S. small company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company value stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 1,428 stocks and was essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.60% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, small company stocks generally outperformed large company stocks, and value stocks generally outperformed growth stocks. Total returns were 12.85% for the S&P 500 Index(R), 23.72% for the Russell 2000 Value Index(R), and 27.46% for the U.S. Small Cap Value Portfolio. Relative to the Russell 2000 Value Index(R), superior performance of the Portfolio was primarily due to greater exposure to stocks with more pronounced value characteristics as measured by book-to-market ratio. Small company stocks falling in the top quartile when ranked by book-to-market ratio outperformed other stocks in the Russell 2000 Value Index(R) and average weight allocated to this sector was 71% for the Portfolio compared to 41% or the Index. U.S. SMALL CAP PORTFOLIO The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 3,104 stocks, and was essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.10% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, small company stocks generally outperformed large company stocks, and value stocks generally outperformed growth stocks For the year ended November 30, 2004, total returns were 17.25% for the Russell 2000 Index(R) and 16.59% for the U.S. Small Cap Portfolio. Relative to the Russell 2000 Index(R), the underperformance of the Portfolio was primarily due to lesser exposure to REIT securities. Total return for the Wilshire REIT Index was 30.40%, outperforming other stocks in the Russell 2000 Index(R) by a significant margin. The average weight allocated to REITs was 0% for the Portfolio compared to 6% for the Russell 2000 Index(R).To a lesser extent, underperformance was due to greater exposure to very small company stocks. Stocks falling in the bottom 2.5% of the US equity universe when ranked by market capitalization underperformed the Russell 2000 Index(R), and average weight allocated to this sector was 22% for the Portfolio compared to 17% for the Index. U.S. MICRO CAP PORTFOLIO The U.S. Micro Cap Portfolio seeks to capture the returns of very small U.S. company stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to very small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 2,566 stocks, and was essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.10% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than by the behavior of a limited number of stocks. For the year ended November 30, 2004, small company stocks generally outperformed large company stocks. Total returns 11 were 12.85% for the S&P 500 Index(R), 17.25% for the Russell 2000 Index(R), 14.99 for the CRSP 9-10 Index, and 16.34% for the U.S. Micro Cap Portfolio. Relative to the Russell 2000 Index(R), the underperformance of the Portfolio was primarily due to to lesser exposure to REIT securities. Total return for the Wilshire REIT Index was 30.40%, outperforming other stocks in the Russell 2000 Index(R) by a significant margin. The average weight allocated to REITs was 0% for the Portfolio compared to 6% for the Russell 2000 Index(R).To a lesser extent, underperformance was due to greater exposure to very small company stocks. Stocks falling in the bottom 2.5% of the US equity universe when ranked by market capitalization underperformed the Russell 2000 Index(R), and average weight allocated to this sector was 56% for the Portfolio compared to 17% for the Index. Note: The Russell 2000 Index(R) replaces the CRSP 9-10 Index used previously for performance analysis since data on the investment performance and index characteristics of the Russell 2000 Index(R) is available on a more timely basis following the end of each reporting year. The Russell 2000 Index(R) is also more familiar to many investors since information on the index is widely reported in the financial press. DFA REAL ESTATE SECURITIES PORTFOLIO DFA Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate investment trust ("REIT") securities, but does not attempt to track closely a specific index. As of November 30, 2004, the Portfolio held 124 stocks, and essentially was fully invested in equities throughout the year: cash equivalents averaged less than 1.10% of the Portfolio's assets. As a result of the Portfolio's diversified approach, performance was determined principally by structural trends in the real estate securities market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, the REIT sector performed relatively well, outperforming broad U.S. equity market indices. Total returns were 12.85% for the S&P 500 Index(R), 30.40% for the Wilshire REIT Index, and 29.44% for the DFA Real Estate Securities Portfolio. Relative to the S&P 500 Index(R), superior performance of the Portfolio was due to the concentration in real estate securities. REITs were the second best-performing industry sector for the year ended November 30, 2004. INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004 International equity markets had generally positive returns for the year under review. When expressed in local currencies, prices rose in all of the largest country constituents of the MSCI EAFE Index. Net returns were enhanced considerably by appreciation in the euro, Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona relative to the U.S. dollar. The overall effect of currency exchange rate changes was a material improvement in returns for U.S. dollar-based investors: total return for the MSCI EAFE Index (net dividends) was 13.08% in local currency and 24.19% in U.S. dollars. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
LOCAL CURRENCY U.S. DOLLAR TEN LARGEST DEVELOPED MARKETS RETURN RETURN - ----------------------------- ---------- ----------- United Kingdom (net dividends) 12.03% 24.51% Japan (net dividends) 10.69% 17.86% France 12.62% 24.86% Switzerland 5.03% 19.32% Germany 11.22% 23.29% Netherlands 6.65% 18.21% Australia 28.04% 37.29% Italy 17.28% 30.03% Spain 23.45% 36.88% Sweden 29.85% 45.79%
- ---------- Gross returns unless otherwise noted. Source: Morgan Stanley Capital International 12 Mirroring the U.S. experience, large company growth stocks were the poorest-performing asset class in international markets, while small company stocks had the best relative results. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004 (U.S. DOLLARS) MSCI EAFE Small Cap Index (net dividends) 32.17% S&P / Citigroup Extended Market Index EPAC (small companies) 30.10% MSCI EAFE Value Index (net dividends) 29.32% MSCI EAFE Index (net dividends) 24.19% MSCI EAFE Growth Index (net dividends) 19.07%
Returns in emerging markets were higher, on average, than in developed country markets, although results varied widely among individual countries. For the year under review, total returns were 25.32% for the MSCI Emerging Markets Free Index (net dividends), and 24.19% for the MSCI EAFE Index (net dividends). % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
TOTAL RETURNS COUNTRY (U.S. $) - ------- ---------- Brazil 34.91% Argentina 25.55% Thailand 2.99% Chile 31.00% Indonesia 49.70% Hungary 84.84% Israel 14.51% Poland 63.81% Taiwan 7.55% Mexico 43.28% Malaysia 17.71% Philippines 38.36% Turkey 57.65% South Korea 26.73%
- ---------- Source: DataStream International MASTER-FEEDER STRUCTURE Certain portfolios described below, called "Feeder Funds", do not buy individual securities directly; instead, these portfolios invest in corresponding funds called a "Master Fund". The Master Funds, in turn, purchase stocks, bonds, and/or other securities. INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW LARGE CAP INTERNATIONAL PORTFOLIO The Large Cap International Portfolio seeks to capture the returns of international large company stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap stocks, but does not attempt to track closely a specific equity index. The Portfolio held 1,413 stocks in twenty-one developed country markets as of November 30, 2004, and was essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.10% of the Portfolio's assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, international stocks generally outperformed U.S. stocks, in both local currency and 13 U.S. dollar terms. Total returns were 24.19% for the MSCI EAFE Index (net dividends), 12.85% for the S&P 500 Index(R) of U.S. stocks, and 22.09% for the Large Cap International Portfolio. Relative to the MSCI EAFE Index (net dividends), underperformance of the Portfolio was primarily due to differences in security weights between Portfolio holdings and MSCI EAFE Index constituents. These differences were most noticeable among stocks with the most pronounced growth characteristics as measured by book-to-market ratio. To a lesser extent, underperformance was also attributable to differences in security weights between the Portfolio and the Index in the communication, non-durables, and transportation sectors. INTERNATIONAL SMALL COMPANY PORTFOLIO The International Small Company Portfolio seeks to capture the returns of international small company stocks by purchasing shares of four Master Funds that individually invest in United Kingdom, European, Japanese and Pacific Rim small company stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Funds held 4,236 stocks in 22 developed country markets, and essentially were fully invested in equities throughout the year: cash equivalents averaged less than 1.0% of the Master Funds' assets. As a result of the Master Funds' diversified investment approach, performance was determined principally by broad structural trends in international equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, international small company stocks outperformed large company stocks. Total returns were 24.19% for the large company MSCI EAFE Index (net dividends), 30.10% for the S&P / Citigroup Extended Market Index EPAC -- EPAC, 29.55% for the MSCI EAFE Small Company Index, and 32.10% for the International Small Company Portfolio. Relative to the MSCI EAFE Small Company Index, the superior performance of the Portfolio was primarily due to greater exposure to small company stocks with market capitalization in the $100 to $500 million range. Stocks with these size characteristics outperformed the MSCI EAFE Small Company Index, and the average weight allocated to this sector was 45% of the Portfolio compared to 14% for the Index. Note: The MSCI Small Company Index replaces the S&P / Citigroup Extended Market Index EPAC used previously for performance analysis since the characteristics of the MSCI index with respect to average market capitalization more closely resemble the strategy pursued by the Portfolio. JAPANESE SMALL COMPANY PORTFOLIO The Japanese Small Company Portfolio seeks to capture the returns of Japanese small company stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 1,217 stocks, and essentially was fully invested in equities throughout the year: cash equivalents averaged less than 1.0% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the Japanese equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004 Japanese small company stocks outperformed Japanese large company stocks. Total returns were 24.08% for the large company MSCI Japan Index, and 24.19% for the small company S&P / Citigroup Extended Market Index EPAC -- Japan, 26.12% for the MSCI Japan Small Company Index and 31.79% for the Japanese Small Company Portfolio. Relative to the MSCI Japan Small Company Index, superior performance of the Portfolio was primarily due to greater exposure to small company stocks with market capitalization between $100 and $500 million. Stocks with these characteristics outperformed larger stocks in the Japanese small company universe, and average weight allocated to this sector was 62% for the Portfolio compared to 19% for the MSCI Japan Small Company Index. Note: The MSCI Japan Small Company Index replaces the S&P / Citigroup Extended Market Index(R) -- Japan used previously for performance analysis since the characteristics of the MSCI index with respect to average market capitalization more closely resemble the strategy pursued by the Portfolio. 14 PACIFIC RIM SMALL COMPANY PORTFOLIO The Pacific Rim Small Company Portfolio seeks to capture the returns of small company stocks in developed Pacific Rim markets, excluding Japan, by purchasing shares of a Master Fund that invests in such stocks. The investments strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 950 stocks, and assets were allocated among five countries: Australia (47.11%), Hong Kong (26.27%), Singapore (18.96%), New Zealand (7.65%) and Canada (0.01%). Country allocations are determined by utilizing the approximate weights of individual countries, subject to a weight cap for each country, within the universe of Pacific Rim small company stocks constructed by the Advisor, and do not represent a forecast of future performance. The Master Fund was essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.20% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the Pacific Rim equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, Pacific Rim small company stocks outperformed Pacific Rim large company stocks. Total returns were 32.09% for the MSCI Pacific Rim ex-Japan Large Company Index, and 37.91% for the S&P / Citigroup Extended Market Index EPAC -- Pacific Rim ex-Japan. Total returns were 35.32% for the MSCI Pacific Rim ex-Japan Small Company Index and 26.73% for the Pacific Rim Small Company Portfolio. Relative to the MSCI Pacific Rim ex-Japan Small Company Index, Portfolio underperformance was primarily due to greater exposure to small company stocks with market capitalization under $100 million. Stocks with these characteristics underperformed the Index and the average weight allocated to this sector was 20% for the Portfolio compared to 0% for the Index. Note: The MSCI Pacific Rim Small Company ex-Japan Index replaces the S&P / Citigroup Extended Market Index EPAC -- Pacific Rim ex-Japan used previously for performance analysis since the characteristics of the MSCI index with respect to average market capitalization more closely resemble the strategy pursued by the Master Fund. UNITED KINGDOM SMALL COMPANY PORTFOLIO The United Kingdom Small Company Portfolio seeks to capture the returns of U.K. small company stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 651 stocks, and was essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.20% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, U.K. small company stocks outperformed U.K. large company stocks. Total returns were 24.51% for the MSCI United Kingdom Large Company Index, and 31.93% for the S&P / Citigroup Extended Market Index EPAC -- United Kingdom. Total returns were 29.01% for the MSCI UK Small Company Index and 29.05% for the United Kingdom Small Company Portfolio. Relative to the MSCI UK Small Company Index, superior performance of the Portfolio was primarily due to greater exposure to energy stocks. Stocks in this industry sector out performed the Index, and average weight allocated to this sector was 4% for the Portfolio compared to 2% for the Index. Note: The MSCI UK Small Company Index replaces the S&P / Citigroup Extended Market Index EPAC -- United Kingdom used previously for performance analysis since the characteristics of the MSCI index with respect to average market capitalization more closely resemble the strategy pursued by the Portfolio. CONTINENTAL SMALL COMPANY PORTFOLIO The Continental Small Company Portfolio seeks to capture the returns of small company stocks in developed markets of continental Europe by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 1,416 stocks in 15 countries. Country allocations reflect the approximate weights of individual countries 15 within the universe of continental European small company stocks constructed by the Advisor, and do not represent a forecast of future performance. The Master Fund was essentially fully invested in equities throughout the year: cash equivalents averaged less than 1.0% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the continental European equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, European small company stocks outperformed large company stocks. Total returns were 26.10% for the MSCI Europe ex-United Kingdom Large Company Index, 30.39% for the MSCI Small Cap Index -- Europe ex-U.K, 30.31% for the S&P / Citigroup Extended Market Index EPAC -- Europe ex-United Kingdom, and 35.91% for the Continental Small Company Portfolio. Relative to the MSCI Small Cap Index -- Europe ex-UK, superior Portfolio performance was due primarily to different security weights relative to the Index, particularly among stocks with market capitalization in excess of $1 billion. Among stocks with these size characteristics, total returns were 40.71% for Portfolio holdings compared to 29.22% for constituents of the Index. Note: The MSCI Europe ex-UK Small Company Index replaces the S&P / Citigroup Extended Market Index EPAC -- Europe ex-United Kingdom used previously for performance analysis since the characteristics of the MSCI index with respect to average market capitalization more closely resemble the strategy pursued by the Portfolio. DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO The DFA International Small Cap Value Portfolio seeks to capture the returns of international small company value stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company value stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Portfolio held 2,458 stocks in 21 developed country markets, and essentially was fully invested in equities throughout the year: cash equivalents averaged less than 1.60% of the Portfolio's assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in international equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, international small company stocks outperformed large company stocks. Total returns were 30.10% for the S&P / Citigroup Extended Market Index EPAC -- EPAC, 24.19% for the large company MSCI EAFE Index (net dividends); 29.55% for the MSCI EAFE Small Cap Index, and 36.34% for the DFA International Small Cap Value Portfolio. Relative to the MSCI EAFE Small Cap Index, the superior performance of the Portfolio was primarily due to greater exposure to small company stocks with pronounced value characteristics. Small company stocks falling in the top quartile when ranked by book-to-market ratio outperformed the MSCI EAFE Small Company Index, and the average weight allocated to this sector was 64% of the Portfolio compared to 23% for the Index. Note: The MSCI Small Company Index replaces the S&P / Citigroup Extended Market Index EPAC used previously for performance analysis since the characteristics of the MSCI index with respect to average market capitalization more closely resemble the strategy pursued by the Portfolio. EMERGING MARKETS PORTFOLIO The Emerging Markets Portfolio seeks to capture the returns of large company stocks in selected emerging markets by purchasing shares of a Master Fund investing in such firms. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large company emerging markets stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 537 stocks in 16 countries. The Master Fund was fully invested in equities throughout the year: cash equivalents averaged less than 1.10% of the Master Fund's assets. Through March 2004, country allocations reflected a weighting scheme targeting fixed country weights. Argentina, Chile, Hungary, the Philippines, and Poland receive a half-weight due to their small size and low liquidity relative to other emerging markets. Since April 2004, target country weights in the Master Fund were determined by the relative free-float adjusted market capitalization of eligible securities within each country. Target country weights are also capped at a ceiling set by the manager to improve portfolio diversification and limit single-country exposure risk. Free-float adjustment excludes the share capital of a company that is not freely available for trading in the public equity markets by international investors. As a result of the Master Fund's diversified approach, performance was 16 determined principally by broad structural trends in emerging country stock markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, emerging markets outperformed developed country stocks. Total returns were 24.19% for the MSCI EAFE Index (net dividends), 25.32% for the MSCI Emerging Markets Free Index (net dividends), and 34.95% for the Emerging Markets Portfolio. Relative to the MSCI Emerging Markets Free Index, superior performance of the Portfolio was primarily due to differences in country weights. The Portfolio had greater exposure to certain countries outperforming the MSCI Emerging Markets Free Index -- Hungary, Indonesia, Poland, and Turkey -- and lesser or zero exposure to countries underperforming the Index -- China, Russia, South Korea, and Taiwan. As an example, compounded return for the Turkish component of the MSCI Emerging Markets Free Index was 63.6% for the year ended November 30, 2004, and average weight was 8% for the Portfolio compared to 2% for the Index. EMERGING MARKETS SMALL CAP PORTFOLIO The Emerging Markets Small Cap Portfolio seeks to capture the returns of small company stocks in selected emerging markets by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to emerging markets small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 1,306 stocks in 14 countries. Through March 2004, allocations reflected a weighting scheme targeting fixed country weights. Argentina, Hungary, the Philippines, and Poland receive a half-weight, due to their small size and low liquidity relative to other emerging markets. Since April 2004, target country weights in the Master Fund were determined by the relative free-float adjusted market capitalization of eligible securities within each country. Target country weights are also capped at a ceiling set by the manager to improve portfolio diversification and limit single-country exposure risk. Free-float adjustment excludes the share capital of a company that is not freely available for trading in the public equity markets by international investors. The Master Fund essentially was fully invested in equities throughout the year: cash equivalents averaged less than 1.50% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in emerging country stock markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, emerging markets small company stocks outperformed developed country stocks, as well as core emerging markets strategies. Total returns were 24.19% for the MSCI EAFE Index (net dividends), 25.32% for the MSCI Emerging Markets Free Index (net dividends), and 34.55% for the Emerging Markets Small Cap Portfolio. Relative to the MSCI Emerging Markets Free Index (net dividends), superior performance of the Portfolio was primarily due to greater exposure to stocks with the most pronounced value characteristics (measured by book-to-market ratio). Emerging markets stocks falling in the top quartile when ranked by book-to-market ratio outperformed the MSCI Emerging Markets Free Index and average weight allocated to this quartile was 49% for the Portfolio compared to 18% for the Index. FIXED INCOME MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004 For the year ended November 30, 2004, short-term interest rates rose while longer-term rates were little changed. From a peak of 6.5% in 2001, the Federal Reserve had reduced the target rate for federal funds to 1.00% by November 30, 2003. The target rate was raised four times over the subsequent twelve months from 1.00% to 2.00%. The three-month London Interbank Offered Rate ("LIBOR"), a widely-used benchmark of short-term interest rates, rose 124 basis points during the year ended November 30, 2004, while the yield on 10-year U.S. Treasury notes rose only 2 basis points. The shape of the yield curve flattened during the year under review but it remained upwardly-sloped, with yields on long term instruments exceeding yields on short-term instruments. 11/30/03 11/30/04 CHANGE ---------- ---------- ---------- Three-month LIBOR 1.17% 2.41% 105.98% 10-Year U.S. Treasury note yield 4.34% 4.36% 0.46%
- ---------- Source: The Wall Street Journal 17 There is generally an inverse relationship between interest rates and bond prices, such that bond prices fall when interest rates rise. For the year under review, changes in interest rates and bond prices were more pronounced in some parts of the yield curve than others. As a result, total return for fixed income strategies was primarily a function of maturity, with longer maturity instruments providing higher total returns due to higher coupon interest. Intermediate-term instruments outperformed short-term securities but returns were slightly "u-shaped" for shorter term maturities: returns were lower for one-year instruments than for three month or two year instruments. For the year ended November 30, 2004, total returns were 1.22% for three-month U.S. Treasury bills, 0.97% for one-year U.S. Treasury notes, 1.59% for the Merrill Lynch 1-3 Year Government/Corporate Index, and 2.55% for the Lehman Intermediate Government Index. (Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman Brothers. All rights reserved). - ---------- Source: SBBI, Ibbotson & Sinquefield The Advisor's fixed income approach is based on a shifting-maturity strategy that identifies the maturity range with the highest risk-adjusted expected return. When the yield curve is flat or inverted, short-term securities are believed to offer the most attractive opportunity on a risk-adjusted basis. When the yield curve is upwardly sloped, maturities are lengthened to achieve higher yields associated with the longer maturities. As yield curves in both the United States and major international bond markets were generally upwardly-sloped during the year under review, the weighted average maturity of the Portfolios generally favored the longer end of their respective maturity ranges. FIXED INCOME PORTFOLIO PERFORMANCE OVERVIEW DFA ONE-YEAR FIXED INCOME PORTFOLIO The DFA One-Year Fixed Income Portfolio seeks to maximize risk-adjusted total returns from a universe of high quality fixed-income securities with an average maturity of one year or less by purchasing shares of a Master Fund that invests in these securities. The investment strategy shifts maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies, and identifies the maturity range for the highest risk-adjusted expected returns. Maturities are shifted if premiums can be documented. The average maturity of the Master Fund changed only slightly during the year under review, increasing from 344 days on November 30, 2003, to 346 days, on November 30, 2004. For the year ended November 30, 2004, total returns were 1.08% for the DFA One-Year Fixed Income Portfolio, 1.22% for the Three-Month U.S. Treasury Bill Index, 1.22% for the for the Six-Month US Treasury Index and 0.97% for the One-Year US Treasury Index. . The Master Fund essentially was fully invested in fixed income securities throughout the year under review: cash equivalents averaged less than 0.8% of the Master Fund's assets. Relative to the Six-Month US Treasury Index, Portfolio underperformance was primarily due to differences in duration between the Portfolio and the Index. For the year ended November 30, 2004, the pattern of fixed income returns was U-shaped with respect to the yield curve. Instruments in the one-year maturity range generally underperformed securities with maturities less than one year or greater than one year. For the year ended November 30, 2004, the average duration of the One-Year Fixed Income Portfolio was 0.91 years compared to 0.46 years for the Six-Month US Treasury Index. The Portfolio outperformed the One-Year US Treasury Index even though the duration of the Portfolio and the Index are similar. The superior performance of the Portfolio was a function of the "credit spread": corporate issues which comprise a portion of the Portfolio generally have higher yields than US government-backed issues of similar maturity. Note: The Six-Month US Treasury Index and One-Year US Treasury Index replace the Three-Month US Treasury Bill Index used previously for performance analysis since the replacement indices more closely approximate the weighted average maturity of the Portfolio over the most recent ten-year period. DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO The DFA Two-Year Global Fixed Income Portfolio seeks to maximize risk-adjusted total returns from a universe of U.S. government securities, high quality corporate securities, and currency-hedged global fixed income instruments, maturing in two years or less by purchasing shares of a Master Fund that invests in these securities. Eligible countries include but are not limited to the United States, Canada, the United Kingdom, Germany, Japan, France, 18 Australia, the Netherlands, Sweden and Denmark. The investment strategy shifts maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies, and identifies the maturity range for the highest risk adjusted expected returns. Maturities are shifted if premiums can be documented. The average maturity of the Master Fund changed only slightly from 1.62 years on November 30, 2003 to 1.58 years on November 30, 2004. For the year ended November 30, 2004, total returns were 1.08% for the DFA Two-Year Global Fixed Income Portfolio and 1.59% for the Merrill Lynch 1-3 Year Government/Corporate Index. The Master Fund essentially was fully invested in fixed income securities throughout the year under review: cash equivalents averaged less than 0.80% of the Master Fund's assets. Relative to the Merrill Lynch 1-3 year Government/Corporate Index, the underperformance of the Portfolio was due primarily to differences with respect to types of issues and credit quality. Securities with credit ratings less than AA or equivalent are ineligible for purchase by the Master Fund but comprise a portion of the Index. For the year ended November 30, 2004, lower grade bonds generally outperformed high grade bonds, enhancing returns for strategies which included issues of lower credit quality. DFA FIVE-YEAR GOVERNMENT PORTFOLIO The DFA Five-Year Government Portfolio seeks to maximize risk-adjusted total returns from a universe of U.S. government securities maturing in five years or less. The investment strategy shifts maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies, and identifies the maturity range for the highest risk-adjusted expected returns. Maturities are shifted if premiums can be documented. The average maturity of the Portfolio decreased from 4.67 years on November 30, 2003 to 4.16 years on November 30, 2004. For the year ended November 30, 2004, total returns were 3.02% for the DFA Five-Year Government Portfolio, and 2.55% for the Lehman Intermediate Government Index. Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman Brothers. All rights reserved. The Portfolio essentially was fully invested in fixed income securities throughout the year under review: cash equivalents averaged less than 0.90% of the Portfolio's assets. Relative to the Lehman Intermediate Government Index the superior performance of the Portfolio was primarily due to differences in duration between the Portfolio and the Index. For the year ended November 30, 2004, average duration was 3.98 years for the Portfolio and 3.37 years for the Index. DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO The DFA Five-Year Global Fixed Income Portfolio seeks to maximize risk adjusted total returns from a universe of U.S. government securities, high quality corporate securities, and currency-hedged global fixed income instruments maturing in five years or less. Eligible countries include but are not limited to the United States, Canada, the United Kingdom, Germany, Japan, France, Australia, the Netherlands, Sweden and Denmark. The investment strategy shifts maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies, and identifies the maturity range for the highest risk-adjusted expected returns. Maturities are shifted if premiums can be documented. The average maturity of the Portfolio fell slightly, from 4.42 years on November 30, 2003 to 4.30 years on November 30, 2004. For the year ended November 30, 2004, total returns were 3.04% for the DFA Five-Year Global Fixed Income Portfolio, and 4.44% for the Lehman Aggregate Index. Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman Brothers. All rights reserved. The Portfolio essentially was fully invested in fixed income securities throughout the year under review: cash equivalents averaged less than 0.70% of Portfolio assets. Relative to the Lehman Aggregate Index, the underperformance of the Portfolio was primarily due to differences in types of fixed income instruments eligible for inclusion in the Portfolio and the Index. Mortgage-backed securities and corporate issues with credit ratings below AA or equivalent are included in the Lehman Aggregate Index but are not eligible for purchase by the Portfolio, and for the year ended November 30, 2004 such securities generally outperformed high-grade government or corporate issues. DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO DFA Intermediate Government Fixed Income Portfolio seeks to provide a market rate of return and current income from investing generally U.S. Treasury and government agency issues with maturities of between five and fifteen years. The investment strategy maintains a relatively constant average maturity. The average maturity of the Portfolio fell slightly, from 7.28 years on November 30, 2003 to 6.83 years on November 30, 2004. For the year ended 19 November 30, 2004, total returns were 4.21% for the DFA Intermediate Government Fixed Income Portfolio and 3.48% for the Lehman Government Index. Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman Brothers. All rights reserved. The Portfolio essentially was fully invested in fixed income securities throughout the year under review: cash equivalents averaged less than 0.80% of Portfolio assets. Relative to the Lehman Government Index, the superior performance of the Portfolio was primarily due to differences in portfolio weights among different sections of the yield curve between the Portfolio and the Index. DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO DFA Short-Term Municipal Bond Portfolio seeks to provide a market rate of return from a universe of high quality municipal securities providing current income exempt from federal personal income tax. The weighted average maturity of the Portfolio generally will not exceed three years. During the year, the average maturity of the Portfolio fell slightly, from 2.75 years on November 30, 2003 to 2.38 years on November 30, 2004. For the year ended November 30, 2004, total returns were 1.60% for the Lehman Municipal Three-Year Bond Index, Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman Brothers. All rights reserved. and 1.27% for the Portfolio. The Portfolio essentially was fully invested in fixed income securities throughout the year under review: cash equivalents averaged less than 2.0% of Portfolio assets. Relative to the Lehman Municipal Three-Year Bond Index, underperformance of the Portfolio was primarily due to differences in expenses between the Portfolio and the Index. Returns for the Index are not diminished by management and administrative expenses associated with running a live portfolio. 20 DISCLOSURE OF FUND EXPENSES The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholders reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated and may be different from the expense ratio in the Financial Highlights which is for the year ended November 30, 2004. FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/04 11/30/04 RATIO PERIOD* ---------- ---------- ---------- ---------- U. S. LARGE COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,055.90 0.15% $ 0.77 Hypothetical 5% Return $ 1,000.00 $ 1,024.25 0.15% $ 0.76 ENHANCED U.S. LARGE COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,054.80 0.37% $ 1.90 Hypothetical 5% Return $ 1,000.00 $ 1,023.15 0.37% $ 1.87 U.S. LARGE CAP VALUE PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,106.90 0.31% $ 1.63 Hypothetical 5% Return $ 1,000.00 $ 1,023.45 0.31% $ 1.57
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BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/01/04 11/30/04 RATIO PERIOD* ------------ ------------ ------------ ------------ U.S. SMALL XM VALUE PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,150.70 0.49% $ 2.63 Hypothetical 5% Return $ 1,000.00 $ 1,022.55 0.49% $ 2.48 U.S. SMALL CAP VALUE PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,159.50 0.56% $ 3.02 Hypothetical 5% Return $ 1,000.00 $ 1,022.20 0.56% $ 2.83 U.S. SMALL CAP PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,110.20 0.41% $ 2.16 Hypothetical 5% Return $ 1,000.00 $ 1,022.95 0.41% $ 2.07 U.S. MICRO CAP PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,108.80 0.56% $ 2.95 Hypothetical 5% Return $ 1,000.00 $ 1,022.20 0.56% $ 2.83 DFA REAL ESTATE SECURITIES PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,222.60 0.39% $ 2.17 Hypothetical 5% Return $ 1,000.00 $ 1,023.05 0.39% $ 1.97 LARGE CAP INTERNATIONAL PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,115.80 0.42% $ 2.22 Hypothetical 5% Return $ 1,000.00 $ 1,022.90 0.42% $ 2.12 INTERNATIONAL SMALL COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,152.50 0.69% $ 3.71 Hypothetical 5% Return $ 1,000.00 $ 1,021.55 0.69% $ 3.49 JAPANESE SMALL COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,067.90 0.73% $ 3.77 Hypothetical 5% Return $ 1,000.00 $ 1,021.35 0.73% $ 3.69 PACIFIC RIM SMALL COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,245.50 0.77% $ 4.32 Hypothetical 5% Return $ 1,000.00 $ 1,021.15 0.77% $ 3.89 UNITED KINGDOM SMALL COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,131.30 0.73% $ 3.89 Hypothetical 5% Return $ 1,000.00 $ 1,021.35 0.73% $ 3.69 CONTINENTAL SMALL COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,209.70 0.72% $ 3.98 Hypothetical 5% Return $ 1,000.00 $ 1,021.40 0.72% $ 3.64 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,177.60 0.81% $ 4.41 Hypothetical 5% Return $ 1,000.00 $ 1,020.95 0.81% $ 4.09
22
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/01/04 11/30/04 RATIO PERIOD* ------------ ------------ ------------ ------------ EMERGING MARKETS PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,232.70 0.74% $ 4.13 Hypothetical 5% Return $ 1,000.00 $ 1,021.30 0.74% $ 3.74 EMERGING MARKETS SMALL CAP PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,241.10 1.01% $ 5.66 Hypothetical 5% Return $ 1,000.00 $ 1,019.95 1.01% $ 5.10 DFA ONE-YEAR FIXED INCOME PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,005.90 0.20% $ 1.00 Hypothetical 5% Return $ 1,000.00 $ 1,024.00 0.20% $ 1.01 DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,007.50 0.23% $ 1.15 Hypothetical 5% Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16 DFA FIVE-YEAR GOVERNMENT PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,030.70 0.28% $ 1.42 Hypothetical 5% Return $ 1,000.00 $ 1,023.60 0.28% $ 1.42 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,029.20 0.35% $ 1.78 Hypothetical 5% Return $ 1,000.00 $ 1,023.25 0.35% $ 1.77 DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,042.90 0.18% $ 0.92 Hypothetical 5% Return $ 1,000.00 $ 1,024.10 0.18% $ 0.91 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,017.80 0.30% $ 1.51 Hypothetical 5% Return $ 1,000.00 $ 1,023.50 0.30% $ 1.52
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 23 DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete schedule of investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its first Form N-Q with the SEC on October 28, 2004. It is available upon request, without charge, by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a schedule of investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DFA REAL ESTATE SECURITIES PORTFOLIO REITS 99.6% Other 0.3 Financials 0.1 ----- 100.0% =====
LARGE CAP INTERNATIONAL PORTFOLIO Financials 24.3% Consumer Discretionary 13.7 Telecommunication Service 10.7 Industrials 9.9 Consumer Staples 9.2 Health Care 7.9 Energy 7.6 Materials 6.2 Information Technology 5.8 Utilities 4.7 ----------- 100.0% ===========
24 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Industrials 27.7% Financials 23.1 Consumer Discretionary 18.6 Materials 12.3 Information Technology 6.3 Consumer Staples 6.0 Energy 2.8 Health Care 2.2 Telecommunication Service 0.5 Utilities 0.5 ----------- 100.0% ===========
DFA FIVE-YEAR GOVERNMENT PORTFOLIO Government 100.0% ----------- 100.0% ===========
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO Foreign Government 27.3% Foreign Corporate 27.0 Corporate 23.8 Supranational 19.2 Government 2.7 ----------- 100.0% ===========
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO Government 100.0% ----------- 100.0% ===========
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO Muni G.O. Local 15.0% Muni G.O. State 11.5 Muni Insured 34.6 Muni Revenue 38.9 ----------- 100.0% ===========
25 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS U.S. LARGE COMPANY PORTFOLIO NOVEMBER 30, 2004
VALUE+ ------ Investment in The U.S. Large Company Series of The DFA Investment Trust Company $ 1,440,961,960 ---------------- Total Investments (100%) (Cost $1,173,764,202) $ 1,440,961,960 ================
ENHANCED U.S. LARGE COMPANY PORTFOLIO NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ Investment in The Enhanced U.S. Large Company Series of The DFA Investment Trust Company 25,116,592 $ 221,779,507 ---------------- Total Investments (100%) (Cost $195,854,537) $ 221,779,507 ================
U.S. LARGE CAP VALUE PORTFOLIO NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company 141,822,014 $ 2,630,798,360 ---------------- Total Investments (100%) (Cost $1,978,677,050) $ 2,630,798,360 ================
U.S. SMALL XM VALUE PORTFOLIO NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ Investment in The U.S. Small XM Value Series of The DFA Investment Trust Company 12,440,831 $ 159,367,045 ---------------- Total Investments (100%) (Cost $118,613,298) $ 159,367,045 ================
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 26 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS U.S. SMALL CAP VALUE PORTFOLIO NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ Investment in The U.S. Small Cap Value Series of The DFA Investment Trust Company 243,766,209 $ 5,796,760,450 ---------------- Total Investments (100%) (Cost $3,633,655,130) $ 5,796,760,450 ================
U.S. SMALL CAP PORTFOLIO NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ Investment in The U.S. Small Cap Series of The DFA Investment Trust Company 132,916,079 $ 2,138,619,711 ---------------- Total Investments (100%) (Cost $1,650,891,054) $ 2,138,619,711 ================
U.S. MICRO CAP PORTFOLIO NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ Investment in The U.S. Micro Cap Series of The DFA Investment Trust Company 269,769,040 $ 3,215,646,957 ---------------- Total Investments (100%) (Cost $1,979,268,417) $ 3,215,646,957 ================
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 27 DFA REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ COMMON STOCKS -- (97.2%) Acadia Realty Trust 166,800 $ 2,527,020 Affordable Residential Communities 222,300 2,867,670 Agree Realty Corp. 35,600 1,071,560 * Alexander's, Inc. 13,000 2,743,000 # Alexandria Real Estate Equities, Inc. 110,600 7,941,080 AMB Property Corp. 471,200 18,824,440 American Land Lease, Inc. 40,100 856,135 AmeriVest Properties, Inc. 134,000 838,840 AMLI Residential Properties Trust 144,800 4,704,552 # Apartment Investment & Management Co. Class A 476,400 17,326,668 Archstone-Smith Trust 1,115,355 40,710,458 Arden Realty Group, Inc. 373,400 13,442,400 Associated Estates Realty Corp. 112,000 1,099,840 AvalonBay Communities, Inc. 410,100 29,158,110 Bedford Property Investors, Inc. 93,000 2,594,700 BNP Residential Properties, Inc. 27,500 404,250 Boston Properties, Inc. 621,200 37,383,816 * Boykin Lodging Co. 99,400 870,744 Brandywine Realty Trust 305,300 8,685,785 BRE Properties, Inc. Class A 286,300 11,635,232 * Burnham Pacific Properties, Inc. 12,500 1,519 Camden Property Trust 227,700 11,164,131 Capital Automotive 218,231 7,356,567 CarrAmerica Realty Corp. 309,800 10,034,422 CBL & Associates Properties, Inc. 175,900 12,891,711 CenterPoint Properties Trust 275,100 12,888,435 Colonial Properties Trust 155,100 6,141,960 Commercial Net Lease Realty 295,575 6,009,040 Cornerstone Realty Income Trust, Inc. 306,300 3,066,063 Corporate Office Properties Trust 193,600 5,378,208 Cousins Properties, Inc. 280,200 9,190,560 Crescent Real Estate Equities, Inc. 566,600 10,255,460 CRT Properties, Inc. 153,100 3,757,074 Developers Diversified Realty Corp. 582,999 25,098,107 Duke Realty Corp. 810,600 28,006,230 EastGroup Properties, Inc. 119,900 4,510,638 Entertainment Properties Trust 142,100 6,097,511 Equity Inns, Inc. 259,100 2,673,912 Equity Lifestyle Properties, Inc. 130,400 4,730,912 Equity Office Properties Trust 2,296,663 63,043,399 Equity One, Inc. 390,276 8,874,876 Equity Residential 1,591,000 53,632,610 Essex Property Trust, Inc. 130,800 10,533,324 Federal Realty Investment Trust 295,200 14,804,280 * FelCor Lodging Trust, Inc. 340,100 4,400,894 First Industrial Realty Trust, Inc. 235,000 9,353,000 * First Union Real Estate Equity & Mortgage Investments 145,200 535,788 Gables Residential Trust 166,900 5,953,323 General Growth Properties 1,246,500 42,767,415 Glenborough Realty Trust, Inc. 182,000 3,974,880 Glimcher Realty Trust 202,700 5,462,765 * Global Signal, Inc. 69,400 2,016,070 * Golf Trust America, Inc. 40,300 77,779 Heritage Property Investment Trust 266,400 8,551,440 Hersha Hospitality Trust 92,600 $ 917,666 Highwood Properties, Inc. 305,700 7,908,459 * HMG Courtland Properties, Inc. 2,400 35,760 Home Properties of New York, Inc. 189,690 7,811,434 Hospitality Properties Trust 383,000 17,212,020 # Host Marriott Corp. 1,960,400 30,699,864 HRPT Properties Trust 1,010,500 12,216,945 Humphrey Hospitality Trust 59,300 234,235 Inland Real Estate Corp. 342,100 5,302,550 Innkeepers USA Trust 214,700 2,894,156 Kilroy Realty Corp. 159,600 6,451,032 Kimco Realty Corp. 638,650 36,326,412 Kramont Realty Trust 137,600 2,768,512 Lasalle Hotel Properties 160,300 4,921,210 Lexington Corporate Properties Trust 275,400 6,188,238 Liberty Property Trust 485,400 19,901,400 Macerich Co. 329,100 19,989,534 Mack-Cali Realty Corp. 345,600 15,116,544 Maguire Properties, Inc. 243,900 6,417,009 * Malan Realty Investors, Inc. 19,100 99,129 Maxus Realty Trust, Inc. 1,700 27,200 * Meristar Hospitality Corp. 379,200 2,578,560 Mid-America Apartment Communities, Inc. 116,300 4,589,198 # Mills Corp. 309,300 18,360,048 Mission West Properties, Inc. 103,000 1,055,750 Monmouth Real Estate Investment Corp. Class A 95,138 786,791 New Plan Excel Realty Trust 584,400 15,474,912 One Liberty Properties, Inc. 54,900 1,056,276 Pan Pacific Retail Properties, Inc. 230,631 13,676,418 * Paragon Real Estate Equity & Investment Trust 10,700 1,445 Parkway Properties, Inc. 64,300 3,221,430 Pennsylvania Real Estate Investment Trust 205,481 8,373,351 * Philips International Realty Corp. 14,400 1,872 Post Properties, Inc. 227,600 7,761,160 Prentiss Properties Trust 256,100 9,575,579 Presidential Realty Corp. Class B 2,100 20,370 Price Legacy Corp. 47,992 916,647 * Prime Group Realty Trust 127,900 805,770 # ProLogis 1,036,300 41,690,349 PS Business Parks, Inc. 124,300 5,574,855 # Public Storage, Inc. 733,500 39,154,230 Ramco-Gershenson Properties Trust 95,900 2,918,237 Realty Income Corp. 225,900 11,256,597 Reckson Associates Realty Corp. 398,701 12,909,938 Regency Centers Corp. 298,600 15,527,200 Roberts Realty Investors, Inc. 14,400 102,816 Saul Centers, Inc. 92,700 3,378,915 Senior Housing Properties Trust 361,900 7,122,192 # Shurgard Storage Centers, Inc. Class A 262,100 10,845,698 Simon Property Group, Inc. 1,264,297 78,487,558 Simon Property Group, L.P. 66,210 3,782,577 Sizeler Property Investors, Inc. 72,000 738,000 # SL Green Realty Corp. 231,100 13,318,293
28
SHARES VALUE+ ------ ------ Sovran Self Storage, Inc. 84,900 $ 3,586,176 Summit Properties, Inc. 179,400 5,713,890 Sun Communities, Inc. 106,300 4,191,409 Tanger Factory Outlet Centers, Inc. 78,200 3,918,602 *# Tarragon Corp. 73,475 1,057,305 Taubman Centers, Inc. 268,900 7,905,660 Town & Country Trust 97,500 2,749,500 Trizec Properties, Inc. 850,000 13,999,500 U.S. Restaurant Properties, Inc. 126,300 2,292,345 United Dominion Realty Trust, Inc. 716,700 16,476,933 United Mobile Homes, Inc. 47,800 711,742 Urstadt Biddle Properties, Inc. 19,800 309,672 Urstadt Biddle Properties, Inc. Class A 104,400 1,759,140 Vornado Realty Trust 705,300 51,839,550 Washington Real Estate Investment Trust 234,000 7,705,620 # Weingarten Realty Investors 479,400 19,535,550 Winston Hotels, Inc. 147,500 1,678,550 --------------- TOTAL COMMON STOCKS (Cost $920,128,059) 1,292,854,088 ---------------
FACE AMOUNT VALUE+ ------ ------ (000) TEMPORARY CASH INVESTMENTS -- (2.8%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $22,990,000 U.S. Treasury Note 4.75%, 05/14/14, valued at $23,789,310) to be repurchased at $23,326,282 (Cost $23,325,025)^ $ 23,325 $ 23,325,025 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $14,678,000 FHLMC Notes 4.20%, 10/20/09, valued at $14,740,969) to be repurchased at $14,587,762 (Cost $14,587,000) 14,587 14,587,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $37,912,025) 37,912,025 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $958,040,084) $ 1,330,766,113 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 29 LARGE CAP INTERNATIONAL PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ UNITED KINGDOM -- (25.0%) COMMON STOCKS -- (25.0%) 3I Group P.L.C. 46,952 $ 585,773 Aegis Group P.L.C. 93,242 182,719 Aggregate Industries P.L.C. 104,720 196,555 Aggreko P.L.C. 20,000 58,673 Alliance & Leicester P.L.C. 44,559 723,967 Alliance Unichem P.L.C. 43,529 597,341 Allied Domecq P.L.C. 99,591 982,477 Amec P.L.C. 25,720 145,549 Amvescap P.L.C. 76,167 466,752 Antofagasta P.L.C. 36,129 790,851 Arm Holdings P.L.C. 81,867 160,577 Arriva P.L.C. 14,532 136,103 Associated British Foods P.L.C. 146,022 2,086,545 Associated British Ports Holdings P.L.C. 25,743 231,285 Aviva P.L.C. 203,133 2,248,264 * AWG P.L.C. 11,429 164,322 BAA P.L.C. 96,397 1,072,142 BAE Systems P.L.C. 272,359 1,276,172 Balfour Beatty P.L.C. 37,925 218,392 * Banco Santander Central Hispano SA 123,926 1,476,973 Barclays P.L.C 578,648 5,973,195 Barratt Developments P.L.C. 21,581 212,006 BBA Group P.L.C. 37,724 208,672 Bellway P.L.C. 8,267 112,517 BG Group P.L.C. 314,523 2,182,913 BHP Billiton P.L.C. 219,665 2,568,553 BOC Group P.L.C. 37,915 678,021 Boots Group P.L.C. 66,631 803,308 Bovis Homes Group P.L.C. 9,923 95,634 BP Amoco P.L.C. 1,939,401 19,801,387 BPB P.L.C. 41,658 350,445 Bradford & Bingley P.L.C. 54,153 284,693 Brambles Industries P.L.C. 61,231 305,695 Britannic P.L.C. 16,713 132,632 * British Airways P.L.C. 172,376 727,955 British American Tobacco P.L.C. 255,395 4,271,985 British Land Co. P.L.C. 46,116 721,399 British Sky Broadcasting Group P.L.C. 262,879 2,797,272 Brixton P.L.C. 23,087 142,474 BT Group P.L.C. 769,136 2,851,302 * BTG P.L.C. 5,600 10,107 Bunzl P.L.C. 40,446 345,037 Cable and Wireless P.L.C. 214,979 465,650 Cadbury Schweppes P.L.C. 186,386 1,667,473
1 * Cairn Energy P.L.C. 13,970 400,420 Capita Group P.L.C. 56,097 382,506 Carnival P.L.C. 17,177 958,242 Carpetright P.L.C. 7,321 152,541 Carphone Warehouse Group P.L.C. 165,286 522,258 Cattles P.L.C. 24,078 170,796 Centrica P.L.C. 341,394 1,617,935 Close Brothers Group P.L.C. 12,926 176,271 Cobham P.L.C. 10,041 276,883 Collins Stewart Tullett P.L.C. 17,814 128,037 # * Colt Telecom Group P.L.C. 192,155 162,678 Compass Group P.L.C. 193,981 849,849 Computacenter P.L.C. 15,015 77,778 * Cookson Group P.L.C. 130,539 84,174 * Corus Group P.L.C. 416,523 437,442 Davis Service Group P.L.C. 15,000 113,027 De La Rue P.L.C. 12,250 78,779 Diageo P.L.C. 274,275 3,839,808 Dixons Group P.L.C. 163,689 455,391 * DX Services P.L.C. 7,451 43,013 * Easyjet P.L.C. 36,683 130,419 * Egg P.L.C. 85,213 151,434 Electrocomponents P.L.C. 39,172 219,538 Emap P.L.C. 21,906 334,421 EMI Group P.L.C. 66,242 306,101 Enterprise Inns P.L.C. 29,332 382,435 First Choice Holidays P.L.C. 47,135 124,248 Firstgroup P.L.C. 32,236 208,492 FKI P.L.C. 52,392 132,803 Friends Provident P.L.C. 174,880 511,884 Galen Holdings P.L.C. 19,774 322,169 Gallaher Group P.L.C. 58,907 817,044 General Electric Co. 22,898 812,884 GKN P.L.C. 59,254 255,179 Glaxosmithkline P.L.C. 529,804 11,187,938 Great Portland Estates P.L.C. 11,008 67,384 Great Universal Stores P.L.C. 90,428 1,510,004 Greene King P.L.C. 6,207 141,558 Group 4 Securicor P.L.C. 35,700 86,324 Hammerson P.L.C. 23,689 360,600 Hanson P.L.C. 65,755 526,641 Hays P.L.C. 149,028 344,694 HBOS P.L.C. 353,018 4,941,130 * HHG P.L.C. 284,569 263,690 Hilton Group P.L.C. 137,265 677,685 HMV Group P.L.C. 37,627 171,742 HSBC Holdings P.L.C. 1,004,745 17,100,587 ICAP P.L.C. 64,402 294,656 IMI P.L.C. 28,268 204,686 Imperial Chemical Industries P.L.C. 102,443 463,256 Imperial Tobacco Group P.L.C. 65,628 1,708,726 Inchcape P.L.C. 6,503 203,225 Intercontinental Hotels Group P.L.C. 62,907 800,104 * International Power P.L.C. 124,618 361,057
2 Intertek Group P.L.C. 12,740 171,655 * Invensys P.L.C. 477,720 159,418 ISIS Asset Management P.L.C. 13,005 59,032 Isoft Group P.L.C. 19,129 140,866 ITV P.L.C. 285,888 599,345 * ITV P.L.C. Convertible Shares 7,428 5,719 Jardine Lloyd Thompson Group P.L.C. 21,550 148,274 Johnson Matthey P.L.C. 18,527 358,590 Johnston Press P.L.C. 31,946 317,163 Kelda Group P.L.C. 31,723 326,878 Kesa Electricals P.L.C. 42,893 221,610 Kidde P.L.C. 70,354 203,953 Kingfisher P.L.C. 206,486 1,136,264 Land Securities Group P.L.C. 42,028 1,031,812 Legal and General Group P.L.C. 585,408 1,187,760 Liberty International P.L.C. 35,763 605,652 Lloyds TSB Group P.L.C. 503,639 4,052,436 Logicacmg P.L.C. 33,214 116,733 Lonmin P.L.C. 12,745 226,698 Man Group P.L.C. 30,486 868,673 Manchester United P.L.C. 24,899 131,113 * Marconi Corp. P.L.C. 15,946 173,958 Marks & Spencer Group P.L.C. 204,766 1,284,078 Matalan P.L.C. 45,690 188,110 Meggitt P.L.C. 38,514 188,079 MFI Furniture Group P.L.C. 52,153 115,547 Millennium and Copthorne Hotels P.L.C. 34,678 239,311 Misys P.L.C. 43,945 177,943 Mitchells & Butlers P.L.C. 47,001 271,761 * MM02 P.L.C. 613,859 1,341,919 Morrison (Wm.) Supermarkets P.L.C. 260,564 1,120,658 # * My Travel Group P.L.C. 22,000 2,179 National Express Group P.L.C. 11,282 162,562 National Grid Group P.L.C. 274,854 2,507,261 Next P.L.C. 23,652 724,776 Northern Foods P.L.C. 37,322 120,022 Northern Rock P.L.C. 37,910 525,216 Novar P.L.C. 31,464 97,616 Ocean Group P.L.C. 25,388 358,548 Pearson P.L.C. 70,072 820,943 Peninsular & Oriental Steam Navigation P.L.C. 61,993 356,817 Pennon Group P.L.C. 11,263 190,858 Persimmon P.L.C. 25,202 298,121 Pilkington P.L.C. 135,509 277,415 Premier Farnell P.L.C. 30,487 119,069 Provident Financial P.L.C. 17,113 200,851 Prudential Corp. P.L.C. 205,649 1,639,824 Punch Taverns, Ltd. 22,497 258,722 RAC P.L.C. 8,737 101,852 Rank Group P.L.C. 50,895 294,870 Reckitt Benckiser P.L.C. 76,646 2,260,446 Reed International P.L.C. 113,329 1,038,785 * Regus Group P.L.C. 81,196 135,303 Rentokill Initial P.L.C. 155,669 422,320
3 Reuters Holdings Group P.L.C. 129,002 944,752 Rexam P.L.C. 47,152 408,161 Rio Tinto P.L.C. 96,107 2,808,220 RMC Group P.L.C. 20,763 332,762 * Rolls Royce Group P.L.C. 168,596 847,458 Rolls Royce Group P.L.C. 5,115,570 10,394 Royal & Sun Alliance Insurance Group P.L.C. 247,136 348,127 Royal Bank of Scotland Group P.L.C. 298,894 9,185,180 Sabmiller P.L.C. 110,237 1,855,163 Sage Group P.L.C. 109,811 404,796 Sainsbury (J.) P.L.C. 184,397 919,498 Schroders P.L.C. 29,776 389,521 Scottish & Newcastle P.L.C. 86,628 709,872 Scottish Hydro-Electric P.L.C. 76,173 1,198,194 Scottish Power P.L.C. 167,716 1,239,234 Serco Group P.L.C. 32,875 140,220 Severn Trent P.L.C. 31,121 528,888 Shell Transport & Trading Co., P.L.C. 866,241 7,303,870 Shire Pharmaceuticals Group P.L.C. 43,525 436,266 Signet Group P.L.C. 147,808 295,836 Slough Estates P.L.C. 37,702 347,469 Smith & Nephew P.L.C. 84,200 858,158 Smith (WH) P.L.C. 13,348 76,058 Smiths Industries P.L.C. 48,645 711,667 Somerfield P.L.C. 37,078 108,189 * Spirent P.L.C. 72,279 98,447 SSL International P.L.C. 12,000 64,780 Stagecoach Group P.L.C. 108,619 198,613 Standard Chartered P.L.C. 116,062 2,220,679 T&F Informa Group P.L.C. 24,165 175,833 Tate & Lyle P.L.C. 49,954 469,338 Taylor Nelson AGB P.L.C. 36,013 158,258 Taylor Woodrow P.L.C. 50,079 222,231 Tesco P.L.C. 695,328 4,005,309 * The Berkeley Group Holdings P.L.C. 10,535 239,839 * TI Automotive P.L.C. Series A 18,000 0 Tomkins P.L.C. 65,951 311,535 Travis Perkins P.L.C. 9,938 266,893 Trinity Mirror P.L.C. 25,136 299,260 Tullow Oil P.L.C. 54,536 152,878 Unilever P.L.C. 275,469 2,526,698 United Business Media P.L.C. 28,216 259,298 United Utilities P.L.C. 69,034 741,630 Viridian Group P.L.C. 10,986 149,932 Vodafone Group P.L.C. 5,950,041 16,161,689 Whitbread P.L.C. 25,553 389,641 William Hill P.L.C. 33,441 332,575 Wilson Bowden P.L.C. 11,416 217,207 Wimpey (George) P.L.C. 35,083 239,175 Wolseley P.L.C. 52,657 905,048 WPP Group P.L.C. 111,318 1,225,698 Xstrata P.L.C. 90,088 1,600,289 Yell Group P.L.C. 59,917 495,429 Zeneca Group P.L.C. 149,327 5,859,854 ------------------ TOTAL COMMON STOCKS (Cost $182,697,365) 221,045,716 ------------------
4 INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 298,947 ------------------ (Cost $291,096) TOTAL -- UNITED KINGDOM (Cost $182,988,461) 221,344,663 ------------------ JAPAN -- (21.5%) COMMON STOCKS -- (21.5%) Acom Co., Ltd. 7,500 562,687 Aderans Co., Ltd. 1,900 41,831 Advantest Corp. 6,970 516,912 AEON Co., Ltd. 46,800 788,032 Aeon Credit Service, Ltd. 2,700 193,470 Aiful Corp. 6,600 746,473 AIOI Insurance Co., Ltd. 54,000 238,331 Air Water, Inc. 5,000 34,157 Aisin Seiki Co., Ltd. 25,600 550,173 Ajinomoto Co., Inc. 36,000 407,327 Alfresa Holdings Corp. 1,800 62,002 # All Nippon Airways Co., Ltd. 173,000 601,096 # Alps Electric Co., Ltd. 9,000 130,977 Amada Co., Ltd. 22,000 110,745 Amano Corp. 3,000 27,318 Anritsu Corp. 6,000 43,838 Aoyama Trading Co., Ltd. 3,400 83,908 Ariake Japan Co., Ltd. 1,210 29,267 Arisawa Manufacturing Co., Ltd. 1,400 58,397 Asahi Breweries, Ltd. 33,200 392,032 Asahi Denka Kogyo KK 2,000 19,278 Asahi Glass Co., Ltd. 91,000 995,636 Asahi Kasei Corp. 83,000 408,507 Asatsu-Dk, Inc. 2,600 75,854 * Ashikaga Financial Group, Inc. 41,000 399 Autobacs Seven Co., Ltd. 1,800 52,537 Avex, Inc. 1,000 10,504 Awa Bank, Ltd. 10,000 60,859 Bandai Co., Ltd. 5,000 101,828 Bank of Ikeda, Ltd. 600 30,872 Bank of Iwate, Ltd. 600 27,802 Bank of Kyoto, Ltd. 20,000 167,276 Bank of Nagoya, Ltd. 6,000 30,959 Bank of Yokohama, Ltd. 84,000 529,470 Benesse Corp. 7,700 246,066 Bosch Automotive Systems Corp. 25,000 117,601 Bridgestone Corp. 59,000 1,066,852 Brother Industries, Ltd. 13,000 104,028 Calsonic Corp. 11,000 75,484 Canon, Inc. 50,000 2,499,484
5 Capcom Co., Ltd. 2,000 18,982 Casio Computer Co., Ltd. 18,000 246,546 Central Glass Co., Ltd. 10,000 68,201 Central Japan Railway Co. 246 2,009,321 Chiba Bank, Ltd. 49,000 311,008 * Chiyoda Corp. 8,000 56,280 Chubu Electric Power Co., Ltd. 42,900 1,000,800 Chudenko Corp. 1,300 18,810 Chugai Pharmaceutical Co., Ltd. 52,600 825,318 Chugoku Bank, Ltd. 13,000 141,899 Chugoku Electric Power Co., Ltd. 24,100 440,432 * Circle K Sunkus Co., Ltd. 5,100 116,591 Citizen Watch Co., Ltd. 18,000 162,919 Coca-Cola West Japan Co., Ltd. 4,600 114,503 Comsys Holdings Corp. 5,000 42,957 Cosmo Oil Co., Ltd. 37,000 107,400 * Cosmo Securities Co., Ltd. 13,000 23,530 Credit Saison Co., Ltd. 10,600 355,961 CSK Corp. 4,200 175,076 Dai Nippon Ink & Chemicals, Inc. 37,000 83,615 Dai Nippon Pharmaceutical Co., Ltd. 7,000 67,321 Dai Nippon Printing Co., Ltd. 46,000 686,403 # Dai Nippon Screen Mfg. Co., Ltd. 11,000 59,974 Daicel Chemical Industries, Ltd. 19,000 105,143 Daido Steel Co., Ltd. 20,000 54,720 * Daiei OMC, Inc. 6,000 69,979 # * Daiei, Inc. 20,000 39,743 Daifuku Co., Ltd. 3,000 17,740 Daihatsu Motor Co., Ltd. 28,000 215,131 Dai-Ichi Pharmaceutical Co., Ltd. 16,400 325,944 Daikin Industries, Ltd. 17,000 448,601 Daimaru, Inc. 16,000 133,972 Daio Paper Corp. 5,000 45,167 Daishi Bank, Ltd. 16,000 61,062 Daito Trust Construction Co., Ltd. 9,800 442,737 Daiwa House Industry Co., Ltd. 30,000 321,951 Daiwa Securities Co., Ltd. 74,000 503,512 Denki Kagaku Kogyo KK 22,000 71,179 Denso Corp. 76,400 1,826,391 Dentsu, Inc. 242 661,871 * Diamond City Co., Ltd. 300 7,765 Disco Corp. 1,100 44,655 Don Quijote Co., Ltd. 900 56,372 Dowa Mining Co., Ltd. 16,000 103,997 East Japan Railway Co. 247 1,356,397 Ebara Corp. 13,000 57,839 Edion Corp. 2,300 20,577 Elsai Co., Ltd. 18,600 553,771 Eneserve Corp. 700 26,063 Exedy Corp. 1,700 29,824 Ezaki Glico Co., Ltd. 6,000 42,224 Familymart Co., Ltd. 6,000 167,384 Fanuc, Ltd. 20,200 1,257,558 Fast Retailing Co., Ltd. 9,800 736,459
6 Fuji Electric Co., Ltd. 40,000 103,254 Fuji Heavy Industries 50,000 230,935 Fuji Oil Co., Ltd. 3,900 45,854 Fuji Photo Film Co., Ltd. 30,000 1,053,515 Fuji Soft ABC, Inc. 1,800 56,424 Fuji Television Network, Inc. 252 532,869 Fujikura, Ltd. 17,000 76,211 Fujisawa Pharmaceutical Co., Ltd. 20,500 529,391 Fujitsu, Ltd. 127,440 798,387 Fukui Bank, Ltd. 7,000 28,428 Fukuoka Bank, Ltd. 35,000 221,708 Fukuyama Transporting Co., Ltd. 11,000 43,458 Funai Electric Co., Ltd. 2,500 311,137 * Furukawa Electric Co., Ltd. 30,000 148,123 Futaba Industrial Co., Ltd. 2,900 47,037 Glory, Ltd. 3,200 50,043 Goldcrest Co., Ltd. 300 20,411 Gunma Bank, Ltd. 31,000 162,134 Gunze, Ltd. 8,000 34,873 Hachijuni Bank, Ltd. 30,000 197,892 Hamamatsu Photonics K.K. 2,900 55,536 * Hankyu Corp. 52,000 200,870 Hankyu Department Stores, Inc. 10,000 76,361 Hanshin Electric Railway Co., Ltd. 14,000 46,089 Heiwa Corp. 5,200 77,809 Higo Bank, Ltd. 14,000 88,256 Hikari Tsushin, Inc. 3,800 323,065 # Hino Motors, Ltd. 53,000 351,034 Hirose Electric Co., Ltd. 2,400 253,270 Hiroshima Bank, Ltd. 34,000 167,125 * Hisamitsu Pharmaceutical Co., Inc. 4,000 72,874 Hitachi Cable, Ltd. 18,000 75,955 Hitachi Chemical Co., Ltd. 16,200 279,275 # Hitachi Construction Machinery Co., Ltd. 10,000 123,688 Hitachi High-Technologies Corp. 8,300 115,071 Hitachi Information Systems, Ltd. 1,800 48,121 Hitachi Maxell, Ltd. 3,700 50,229 Hitachi Metals, Ltd. 21,000 119,090 Hitachi Software Engineering Co., Ltd. 3,000 61,693 Hitachi Transport System, Ltd. 1,000 8,407 * Hitachi Zosen Corp. 20,000 29,495 Hitachi, Ltd. 198,000 1,271,915 Hokkaido Electric Power Co., Inc. 13,700 260,562 Hokkoku Bank, Ltd. 16,000 71,001 Hokuetsu Paper Mills, Ltd. 4,000 21,650 Hokugin Financial Group, Inc. 74,000 190,217 Hokuriku Electric Power Co., Inc. 14,100 252,158 Honda Motor Co., Ltd. 62,300 2,980,713 Hosiden Corp. 1,900 19,593 House Foods Corp. 5,600 79,708 Hoya Corp. 6,500 675,548 Hyakugo Bank, Ltd. 11,000 62,899 Hyakujishi Bank, Ltd. 19,000 111,618 # Ibiden Co., Ltd. 6,200 105,677
7 Isetan Co., Ltd. 12,300 143,045 Ishihara Sangyo Kaisha, Ltd. 12,000 26,881 * Ishikawajima-Harima Heavy Industries Co., Ltd. 58,000 78,915 # * Isuzu Motors, Ltd. 58,000 172,330 ITO EN, Ltd. 2,800 138,396 * Itochu Corp. 96,000 434,542 Itochu Techno-Science Corp. 4,200 169,981 Itoham Foods, Inc. 6,000 29,024 Ito-Yokado Co., Ltd. 27,000 1,066,481 Iyo Bank, Ltd. 18,000 131,344 Izumi Co., Ltd. 2,500 53,296 # * Japan Airlines System Corp. 242,000 686,043 Japan Airport Terminal Co., Ltd. 3,000 28,172 Japan Aviation Electronics Industry, Ltd. 4,000 36,737 JFE Holdings, Inc. 35,200 1,010,055 * JFE Shoji Holdings, Inc. 9,000 49,292 JGC Corp. 15,000 128,546 Joyo Bank, Ltd. 50,000 233,936 Jsr Corp., Tokyo 17,100 353,831 Juroku Bank, Ltd. 18,000 77,394 Kadokawa Holdings, Inc. 800 30,559 Kagoshima Bank, Ltd. 9,000 54,232 Kajima Corp. 59,000 255,007 # Kaken Pharmaceutical Co., Ltd. 3,000 18,857 Kamigumi Co., Ltd. 14,000 108,505 Kandenko Co., Ltd. 4,000 21,188 * Kanebo, Ltd. 1,900 22,605 Kaneka Corp. 21,000 230,135 # * Kankaku Securities Co., Ltd. 86,000 163,832 Kansai Electric Power Co., Inc. 66,700 1,295,111 Kansai Paint Co., Ltd., Osaka 16,000 96,491 Kao Corp. 33,000 793,724 Katokichi Co., Ltd. 2,000 37,690 Kawasaki Heavy Industries, Ltd. 67,000 100,861 Kawasaki Kisen Kaisha, Ltd. 35,000 233,855 KDDI Corp. 334 1,644,823 Keihin Corp. 2,600 36,331 # Keihin Electric Express Railway Co., Ltd. 29,000 171,251 Keio Electric Railway Co., Ltd. 34,000 190,778 Keisei Electric Railway Co., Ltd. 14,000 54,819 Keiyo Bank, Ltd. 2,000 7,105 Keyence Corp. 3,200 721,838 Kikkoman Corp. 9,000 82,042 Kinden Corp. 14,000 103,101 Kinki Nippon Railway Co., Ltd. 95,280 315,446 * Kirin Beverage Corp. 900 20,753 Kirin Brewery Co., Ltd. 70,000 670,302 Kissei Pharmaceutical Co., Ltd. 2,000 41,897 * Kobayashi Pharmaceutical Co., Ltd. 1,800 47,565 Kobe Steel, Ltd. 185,000 281,524 Koei Co., Ltd. 2,800 69,109 Koito Manufacturing Co., Ltd. 7,000 57,728 Kokuyo Co., Ltd. 6,000 68,848 Komatsu, Ltd. 55,000 373,371
8 Komeri Co., Ltd. 2,300 59,132 Komori Corp. 4,000 55,196 Konami Co., Ltd. 8,600 186,988 Konica Corp. 34,000 435,449 Kose Corp. 2,450 96,181 # Koyo Seiko Co. 13,000 164,775 Kubota Corp. 88,000 434,559 Kuraray Co., Ltd. 20,000 164,591 # Kuraya Sanseido, Inc. 11,300 104,884 Kurita Water Industries, Ltd. 7,000 97,115 Kyocera Corp. 11,500 806,354 KYORIN Pharmaceutical Co., Ltd. 4,000 57,104 Kyowa Exeo Corp. 5,000 44,031 Kyowa Hakko Kogyo Co., Ltd. 24,000 171,288 Kyushu Electric Power Co., Inc. 28,300 560,949 Lawson Inc. 8,100 291,510 # Lion Corp. 14,000 77,736 # Lopro Corp. 2,100 15,487 Mabuchi Motor Co., Ltd. 3,400 233,461 Makita Corp. 8,000 123,568 Marubeni Corp. 83,000 234,902 Marui Co., Ltd. 21,500 284,075 Maruichi Steel Tube, Ltd. 4,000 70,144 Matsumotokiyoshi Co., Ltd. 2,400 66,578 Matsushita Electric Industrial Co., Ltd. 145,188 2,155,397 Matsushita Electric Works, Ltd. 72,000 616,191 # Mazda Motor Corp. 89,000 273,017 Meiji Dairies Corp. 16,000 89,834 Meiji Seika Kaisha, Ltd. Tokyo 17,000 74,752 Meitec Corp. 1,800 63,268 Millea Holdings, Inc. 117 1,647,452 Minebea Co., Ltd. 18,000 72,238 Misumi Corp. 1,900 54,707 Mitsubishi Chemical Corp. 142,000 422,477 Mitsubishi Corp. 114,500 1,446,586 Mitsubishi Electric Corp. 136,000 665,279 Mitsubishi Estate Co., Ltd. 88,000 991,545 Mitsubishi Gas Chemical Co., Inc. 27,000 127,696 Mitsubishi Heavy Industries, Ltd. 201,000 575,209 Mitsubishi Logistics Corp. 7,000 65,040 Mitsubishi Materials Corp. 60,000 124,367 # * Mitsubishi Motors Corp. 168,000 180,831 # Mitsubishi Paper Mills, Ltd. 13,000 20,052 Mitsubishi Pharma Corp. 43,000 396,364 Mitsubishi Rayon Co., Ltd. 30,000 101,693 # Mitsubishi Securities Co., Ltd. 48,000 513,121 Mitsubishi Tokyo Financial Group, Inc. 491 4,643,233 Mitsui & Co., Ltd. 103,000 890,741 Mitsui Chemicals, Inc. 50,000 261,649 Mitsui Engineering and Shipbuilding Co., Ltd. 36,000 60,018 Mitsui Fudosan Co., Ltd. 41,000 477,474 Mitsui Marine & Fire Insurance Co., Ltd. 90,790 797,991 Mitsui Mining and Smelting Co., Ltd. 26,000 108,253 Mitsui O.S.K. Lines, Ltd. 79,000 489,076
9 Mitsui Trust Holdings 59,000 448,456 Mitsukoshi, Ltd. 23,000 110,067 Mitsumi Electric Co., Ltd. 3,700 40,854 Mizuho Holdings, Inc. 964 4,184,053 Mori Seiki Co., Ltd. 4,000 34,848 Morinaga Milk Industry Co., Ltd. 8,000 32,229 Murata Manufacturing Co., Ltd. 12,700 665,278 Musashino Bank, Ltd. 1,300 52,004 Nagase & Co., Ltd. 4,000 31,613 # Nagoya Railroad Co., Ltd. 40,000 138,724 Namco, Ltd. 4,400 54,011 Nanto Bank, Ltd. 15,000 72,509 NEC Corp. 116,000 638,833 NEC Fielding, Ltd. 2,700 51,482 NEC Soft, Ltd. 1,300 33,096 Net One Systems Co., Ltd. 26 105,973 NGK Insulators, Ltd. 22,000 182,513 NGK Spark Plug Co., Ltd. 14,000 136,256 NHK Spring Co., Ltd. 14,000 92,358 Nichicon Corp. 3,700 45,788 Nichii Gakkan Co. 1,760 59,941 Nichirei Corp. 13,000 48,448 Nidec Corp. 5,200 605,914 Nifco, Inc. 2,000 30,685 Nikko Cordial Corp. 130,000 646,268 Nikon Corp. 22,000 242,810 Nintendo Co., Ltd., Kyoto 10,400 1,255,949 Nippon Electric Glass Co., Ltd. 10,000 259,307 Nippon Express Co., Ltd. 70,000 329,336 Nippon Kayaku Co., Ltd. 9,000 49,174 Nippon Light Metal Co., Ltd. 24,000 62,546 Nippon Meat Packers, Inc., Osaka 14,000 180,909 Nippon Mining Holdings, Inc. 56,000 279,373 Nippon Mitsubishi Oil Corp. 90,000 590,662 Nippon Paint Co., Ltd. 8,000 32,130 Nippon Sanso Corp. 22,000 122,151 Nippon Sheet Glass Co., Ltd. 20,000 76,886 * Nippon Shinpan Co., Ltd. 13,000 45,973 Nippon Shokubai Co., Ltd. 9,000 73,880 Nippon Steel Corp. 414,000 1,018,376 Nippon Suisan Kaisha, Ltd. 13,000 42,393 Nippon System Development Co., Ltd. 900 16,181 Nippon Telegraph & Telephone Corp. 2,009 9,001,153 Nippon Television Network Corp. 2,070 299,228 Nippon Unipac Holding, Tokyo 68 306,740 Nippon Yusen KK 82,000 436,170 Nipponkoa Insurance Co., Ltd. 47,000 283,383 Nishimatsu Construction Co., Ltd. 10,000 31,361 Nishimatsuya Chain Co., Ltd. 800 29,367 Nishi-Nippon Bank, Ltd. 39,000 168,203 Nishi-Nippon Railroad Co., Ltd. 17,000 52,989 Nissan Chemical Industries, Ltd. 10,000 78,033 Nissan Motor Co., Ltd. 427,500 4,489,876 Nissan Shatai Co., Ltd. 3,000 23,487
10 Nissay Dowa General Insurance Co., Ltd. 25,000 116,599 Nisshin Seifun Group, Inc. 12,000 131,526 Nisshin Steel Co., Ltd. 52,000 123,920 Nisshinbo Industries, Inc. 9,000 61,514 * Nissho Iwai-Nichmen Holdings Corp. 10,000 42,018 Nissin Food Products Co., Ltd. 8,400 209,046 Nitto Denko Corp. 9,400 487,689 NOK Corp. 14,000 404,948 Nomura Research Institute, Ltd. 3,600 318,736 Nomura Securities Co., Ltd. 110,000 1,532,266 Noritake Co., Ltd. 4,000 16,382 NSK, Ltd. 28,000 130,019 NTN Corp. 22,000 121,892 NTT Data Corp. 293 867,745 NTT Docomo, Inc. 5,561 9,647,784 Obayashi Corp. 43,000 266,762 Obic Co., Ltd. 500 99,839 Odakyu Electric Railway Co., Ltd. 41,000 229,222 Ogaki Kyoritsu Bank, Ltd. 13,000 69,043 Oji Paper Co., Ltd. 69,000 392,622 Okamura Corp. 1,000 8,331 * Okasan Securities Co., Ltd. 8,000 42,558 * Oki Electric Industry Co., Ltd. 30,000 118,102 Okumura Corp. 11,000 60,598 Olympus Optical Co., Ltd. 15,000 288,771 Omron Corp. 14,600 333,021 Ono Pharmaceutical Co., Ltd. 7,800 412,609 Onward Kashiyama Co., Ltd. 10,000 135,784 Oracle Corp. Japan 16,200 808,569 * Orient Corp. 31,000 80,997 Oriental Land Co., Ltd. 9,400 606,853 Orix Corp. 4,260 541,418 Osaka Gas Co., Ltd. 143,000 436,380 OSG Corp. 4,000 46,239 * Otsuka Corp. 1,600 85,601 Paris Miki, Inc. 1,900 40,927 Park24 Co., Ltd. 1,500 28,068 * Park24 Co., Ltd. 1,500 27,112 Pioneer Electronic Corp. 10,100 188,836 Promise Co., Ltd. 6,500 453,464 Q.P. Corp. 6,000 52,584 Rengo Co., Ltd. 12,000 54,997 * Resona Holdings, Inc. 1,333,000 2,354,192 Ricoh Co., Ltd., Tokyo 43,000 759,915 Rinnai Corp. 3,000 75,606 Rohm Co., Ltd. 6,900 652,479 Round One Corp. 25 55,237 Ryoshoku, Ltd. 1,700 53,391 Sagami Railway Co., Ltd. 19,000 62,157 Saizeriya Co., Ltd. 1,300 22,534 San In Godo Bank, Ltd. 8,000 64,159 Sanden Corp. 7,000 41,371 Sanken Electric Co., Ltd. 6,000 75,647 Sankyo Co, Ltd. 8,100 364,462
11 Sankyo Co., Ltd. 26,300 514,345 * Sankyo Seiki Manufacturing Co., Ltd. 5,000 43,958 # Sanrio Co., Ltd. 3,000 27,079 Santen Pharmaceutical Co., Ltd. 4,100 79,827 Sanwa Shutter Corp. 10,000 55,804 Sanyo Electric Co., Ltd. 114,000 374,380 # Sapporo Breweries, Ltd. 19,000 82,043 Sapporo Hokuyo Holdings, Inc. 17 118,844 Secom Co., Ltd. 13,000 512,280 * Sega Sammy Holdings, Inc. 3,024 160,327 Seibu Railway Co., Ltd. 38,000 125,349 # Seiko Corp. 3,000 15,522 Seino Transportation Co., Ltd. 10,000 90,773 * Seiyu, Ltd. 28,000 66,647 Sekisui Chemical Co., Ltd. 35,000 229,164 Sekisui House, Ltd. 50,000 550,862 Seven-Eleven Japan Co., Ltd. 89,200 2,713,857 Seventy-seven (77) Bank, Ltd. 20,000 130,120 SFCG Co., Ltd. 870 214,135 Sharp Corp. Osaka 68,000 1,088,794 Shiga Bank, Ltd. 11,000 60,039 Shikoku Bank, Ltd. 9,000 51,607 Shikoku Electric Power Co., Inc. 16,200 307,208 Shima Seiki Manufacturing Co., Ltd. 1,500 49,365 Shimachu Co., Ltd. 2,200 52,194 Shimadzu Corp. 12,000 67,254 Shimamura Co., Ltd. 2,400 178,675 Shimano, Inc. 7,700 204,413 Shimizu Corp. 52,000 266,130 Shin-Etsu Chemical Co., Ltd. 26,200 1,012,355 Shinko Electric Industries Co., Ltd. 1,600 42,985 Shinko Securities Co., Ltd. 47,000 141,817 Shionogi & Co., Ltd. 21,000 282,357 Shiseido Co., Ltd. 27,000 371,811 Shizuoka Bank, Ltd. 45,000 395,292 Showa Corp. 2,300 26,877 Showa Denko KK 59,000 143,547 Showa Shell Sekiyu KK 35,100 315,579 Skylark Co., Ltd. 6,500 110,057 SMBC Friend Securities Co., Ltd. 16,500 114,249 SMC Corp. 4,700 516,437 * Snow Brand Milk Products Co., Ltd. 12,000 36,847 # Softbank Corp. 27,900 1,368,580 * Sohgo Security Services Co.,Ltd. 4,400 62,595 Sony Corp. 51,800 1,881,415 Square Enix Co., Ltd. 9,500 276,277 Stanley Electric Co., Ltd. 10,300 166,164 Sumisho Computer Systems Corp. 1,600 33,610 Sumitomo Bakelite Co., Ltd. 12,000 69,722 Sumitomo Chemical Co., Ltd. 106,000 527,156 Sumitomo Corp. 80,000 673,327 Sumitomo Corporation's Leasing, Ltd. 2,000 77,088 Sumitomo Electric Industries, Ltd. 44,000 460,008 Sumitomo Forestry Co., Ltd. 8,000 70,065
12 * Sumitomo Heavy Industries, Ltd. 31,000 101,181 Sumitomo Metal Industries, Ltd. Osaka 314,000 417,442 Sumitomo Metal Mining Co., Ltd. 30,000 224,287 # Sumitomo Mitsui Financial Group, Inc. 250 1,736,739 Sumitomo Osaka Cement Co., Ltd. 14,000 30,791 Sumitomo Real Estate Sales Co., Ltd. 1,200 52,792 Sumitomo Realty & Development Co., Ltd. 29,000 355,600 Sumitomo Rubber 16,000 134,637 Sumitomo Special Metals Co., Ltd. 3,000 51,030 Sumitomo Trust & Banking Co., Ltd. 113,000 752,809 Sundrug Co., Ltd. 200 6,226 Suruga Bank, Ltd. 12,000 92,681 Suzuken Co., Ltd. 6,980 164,067 Suzuki Motor Corp. 44,800 807,806 Sysmex Corp. 800 31,862 * T&D Holdings, Inc. 5,900 275,500 Taiheiyo Cement Corp. 45,000 112,452 Taisei Corp. 59,000 232,607 Taisho Pharmaceutical Co., Ltd. 30,000 576,708 Taiyo Yuden Co., Ltd. 5,000 50,828 Takara Shuzo Co., Ltd. 10,000 67,285 Takara Standard Co., Ltd. 5,000 29,512 Takashimaya Co., Ltd. 16,000 151,280 Takeda Chemical Industries, Ltd. 49,000 2,405,611 Takefuji Corp. 10,350 674,376 Takuma Co., Ltd. 2,000 14,512 # * TC Properties Co., Ltd. 61,900 165,064 TDK Corp. 7,500 535,713 Teijin, Ltd. 50,000 214,428 Teikoku Oil Co., Ltd. 16,000 86,847 Terumo Corp. 13,000 332,791 THK Co., Ltd. 5,800 105,635 TIS, Inc. 2,000 84,512 Tobu Railway Co., Ltd. 43,000 159,720 Toda Corp. 14,000 62,497 Toho Co., Ltd. 11,200 179,495 Toho Gas Co., Ltd. 29,000 93,558 Tohuku Electric Power Co., Inc. 30,600 543,206 Tokai Rika Co., Ltd. 4,000 62,655 Tokai Rubber Industries, Ltd. 4,000 52,054 Tokuyama Corp. 11,000 62,868 Tokyo Broadcasting System, Inc. 11,200 177,289 Tokyo Electric Power Co., Ltd 83,900 2,005,500 Tokyo Electron, Ltd. 10,100 552,672 Tokyo Gas Co., Ltd. 159,000 637,906 Tokyo Seimitsu Co., Ltd. 1,600 48,966 Tokyo Steel Manufacturing Co., Ltd. 10,100 164,687 Tokyo Style Co., Ltd. 4,000 44,712 Tokyo Tatemono Co., Ltd. 12,000 77,284 Tokyo Tomin Bank, Ltd. 1,300 27,175 # Tokyu Corp. 66,000 335,375 * Tokyu Land Corp. 20,000 70,580 * Tomen Corp. 35,000 49,853 TonenGeneral Sekiyu KK 24,000 222,738
13 Toppan Forms Co., Ltd. 3,500 41,754 Toppan Printing Co., Ltd. 43,000 446,257 Toray Industries, Inc. 85,000 373,404 Toshiba Corp. 187,000 792,413 Toshiba TEC Corp. 11,000 48,907 Tosoh Corp. 37,000 161,932 Tostem Inax Holding Corp. 20,740 365,944 Toto, Ltd. 22,000 196,114 Toyo Ink Manufacturing Co., Ltd. 7,000 24,752 Toyo Seikan Kaisha, Ltd. 13,300 216,780 Toyo Suisan Kaisha, Ltd. 5,000 64,509 Toyobo Co., Ltd. 37,000 83,336 Toyoda Gosei Co., Ltd. 10,100 189,925 Toyota Auto Body Co., Ltd. 3,700 60,839 Toyota Industries Corp. 15,300 351,715 Toyota Motor Credit Corp. 240,500 8,969,225 Toyota Tsusho Corp. 18,000 270,823 Trans Cosmos, Inc. 1,000 34,192 Trend Micro Inc. 9,500 495,626 Tsumura & Co. 2,000 30,486 * Ube Industries, Ltd. 37,000 60,279 UFJ Holdings, Inc. 356 1,879,090 UFJ Tsubasa Securities Co. Ltd. 36,000 153,023 Uni-Charm Corp. 4,600 212,914 Uniden Corp. 3,000 62,805 Union Tool Co. 800 26,845 UNY Co., Ltd. 9,000 97,235 Ushio Inc. 7,000 128,035 USS Co., Ltd. 1,720 153,326 Victor Co. of Japan, Ltd. 16,000 110,089 Vodafone Holdings KK 94 259,216 Wacoal Corp. 7,000 78,608 World Co., Ltd. 2,000 68,976 Xebio Co., Ltd. 800 24,247 # * Yahoo Japan Corp. 535 2,456,711 Yakult Honsha Co., Ltd. 10,000 171,013 Yamada Denki Co., Ltd. 5,300 227,098 Yamaguchi Bank, Ltd. 10,000 101,468 Yamaha Corp. 12,700 178,689 Yamaha Motor Co., Ltd. 21,000 307,571 Yamanashi Chuo Bank, Ltd. 6,000 35,333 Yamanouchi Pharmaceutical Co., Ltd. 22,200 808,699 Yamato Transport Co., Ltd. 28,000 398,634 Yamazaki Baking Co., Ltd. 12,000 108,592 Yaskawa Electric Corp. 8,000 39,714 Yasuda Fire & Marine Insurance Co., Ltd. 66,000 631,052 Yasuda Trust & Banking Co., Ltd. 537,000 951,270 Yokogawa Electric Corp. 14,000 194,013 Yokohama Rubber Co., Ltd. 14,000 48,984 York-Benimaru Co., Ltd. 1,800 49,655 Zeon Corp. 11,000 88,269 ------------------ TOTAL COMMON STOCKS (Cost $192,887,012) 190,076,399 ------------------
14 INVESTMENT IN CURRENCY -- (0.0%) * Japanese Yen 199,927 ------------------ (Cost $199,536) TOTAL -- JAPAN (Cost $193,086,548) 190,276,326 ------------------ FRANCE -- (8.7%) COMMON STOCKS -- (8.7%) Accor SA 10,940 466,156 AGF (Assurances Generales de France SA) 13,925 957,165 Air France 22,821 432,120 Air Liquide SA 6,105 1,056,072 Air Liquide SA 11,393 1,939,666 * Alcatel SA 71,900 1,118,493 * Alstom SA 281,136 213,160 Arcelor SA 29,800 656,589 * Atos Origin 4,218 279,835 AXA 115,395 2,702,655 BNP Paribas SA 50,518 3,512,574 Bollore Technologies SA 203 83,479 # Bouygues 24,950 1,073,481 * Business Objects SA 5,500 128,402 * Cap Gemini SA 7,550 243,677 Carrefour 41,362 1,964,957 Casino Guichard Perrachon 9,368 720,456 Cie Generale D'Optique Essilor Intenational SA 5,570 380,889 Clarins SA 872 48,315 Compagnie de Saint-Gobain 19,436 1,105,765 Compagnie Francaise d'Etudes et de Construction Technip SA 1,790 299,780 Dassault Systemes SA 9,108 471,763 Dior (Christian) SA 15,908 1,000,977 Eiffage SA 1,860 185,575 Euler-Hermes SA 2,605 170,654 Faurecia SA 941 70,378 Fimalac SA 560 25,382 France Telecom SA 231,887 7,272,608 Gecina SA 4,698 443,851 Generale des Establissements Michelin SA Series B 8,009 462,976 Groupe Danone 15,284 1,363,887 Havas SA 17,517 96,799 Hermes International SA 3,784 695,523 Imerys SA 5,009 382,887 * JC Decaux SA 16,613 441,515 Klepierre SA 1,862 159,498 LaFarge SA 10,032 942,360 LaFarge SA Prime Fidelity 8,912 837,995 Lagardere S.C.A. SA 7,700 550,216 L'Oreal 61,197 4,426,234 # LVMH (Louis Vuitton Moet Hennessy) 42,323 3,010,993 Metropole Television SA 8,968 232,603 Neopost SA 1,118 80,550
15 NRJ Group 972 21,136 Pernod-Ricard SA 4,212 629,755 Peugeot SA 15,625 954,764 Pinault Printemps Redoute SA 9,480 985,080 Publicis Groupe 14,334 473,012 Remy Cointreau SA 1,518 56,188 Renault SA 19,269 1,577,550 Rexel SA 4,797 242,838 SA Des Galeries Lafayette 847 190,554 # Sagem SA 2,355 216,883 Sanofi Synthelabo 98,257 7,397,727 Schneider SA 12,889 896,130 * Scor SA 28,551 53,069 SEB SA Prime Fidelite 2002 953 96,356 SEB SA Prime Fidelity 990 100,655 Societe BIC SA 3,600 175,020 Societe des Ciments de Francais 737 64,710 Societe Generale d'Enterprise SA 4,640 575,035 Societe Generale Paris 27,434 2,649,448 Societe Television Francaise 1 16,369 521,540 Sodexho Alliance SA 10,509 319,761 Somfy Interational SA 134 28,293 Ste des Autoroutes du Sud de la France 24,266 1,194,017 Stmicroelectronics NV 53,696 1,076,875 Suez (ex Suez Lyonnaise des Eaux) 58,019 1,364,101 Thales SA 15,382 658,888 Thomson Multimedia 15,000 360,286 # Total SA 35,906 7,860,972 Unibail SA 2,500 355,705 Valeo SA 5,000 197,968 Veolia Environnement SA 27,698 872,989 * Vivendi Universal SA 59,936 1,766,224 Wendel Investissement 3,661 234,693 Zodiac SA 4,460 183,972 ------------------ TOTAL COMMON STOCKS (Cost $65,281,183) 77,061,104 ------------------ RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 2,377 2,654 * Havas SA Rights 10/06/04 3 1 ------------------ TOTAL RIGHTS/WARRANTS (Cost $4,469) 2,655 ------------------ TOTAL -- FRANCE (Cost $65,285,652) 77,063,759 ------------------ GERMANY -- (6.5%) COMMON STOCKS -- (6.5%) Aachener und Muenchener Beteiligungs AG 4,481 338,637 Adidas-Salomon AG 2,400 376,376 # * Aixtron AG 2,400 10,739
16 Allianz AG 24,396 3,049,948 Altana AG 12,941 706,887 BASF AG 31,350 2,116,598 Bayer AG 41,798 1,326,335 Bayerische Motorenwerke AG 55,474 2,351,213 * Bayerische Vereinsbank AG 46,769 1,042,687 # Beiersdorf AG 11,217 1,211,198 * Commerzbank AG 38,604 771,714 Continental AG 7,400 451,691 * D. Logistics AG 1,200 2,156 DaimlerChrysler AG 60,804 2,721,154 Deutsche Bank AG 33,308 2,821,021 Deutsche Boerse AG 5,900 349,419 * Deutsche Lufthansa AG 40,705 577,101 Deutsche Post AG 125,745 2,657,116 * Deutsche Telekom AG 345,063 7,314,158 Douglas Holding AG 1,500 49,631 E.ON AG 39,605 3,335,162 * Epcos AG 2,800 44,462 Fraport AG 7,360 286,738 * Freenet.De AG 2,562 55,350 Fresenius Medical Care AG 6,183 483,956 Gehe AG 8,880 680,189 Hannover Rueckversicherungs AG 11,051 399,244 * Heidelberger Druckmaschinen AG 5,055 172,796 Heidelberger Zement AG 7,569 429,523 Hochtief AG 3,334 99,017 * Hypo Real Estate Holding AG 6,387 247,354 * Infineon Technologies AG 43,704 482,220 K & S Aktiengesellschaft AG 1,904 96,985 # Karstadt Quelle AG 7,555 77,608 Linde AG 9,032 554,943 MAN AG 9,287 352,782 Medion AG 2,850 57,797 Merck KGAA 2,700 155,468 Metro AG 34,133 1,721,613 * MG Technologies AG 11,945 141,075 Munchener Rueckversicherungs-Gesellschaft AG 15,448 1,753,465 Oldenburgische Landesbank AG 969 83,710 Preussag AG 11,487 256,051 Puma AG 800 221,410 Rwe AG (Neu) 800 36,333 Rwe AG (NEU) Series A 34,998 1,860,654 SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 24,232 4,318,997 Schering AG 11,250 800,567 Schwarz Pharma AG 793 32,910 * SGL Carbon AG 1,750 23,004 Siemens AG 49,807 3,982,772 Stada Arzneimittel AG 2,242 59,057 Suedzucker AG 14,706 297,085 ThyssenKrupp AG 40,548 881,054 # * T-Online International AG 143,382 1,787,714 United Internet AG 1,321 34,588
17 Volkswagen AG 22,746 1,023,261 * WCM Beteiligungs AG 11,608 20,215 ------------------ TOTAL COMMON STOCKS (Cost $55,106,838) 57,592,908 ------------------ RIGHTS/WARRANTS -- (0.0%) * D. Logistics AG Rights 12/06/04 1,200 0 * Karstadt Quelle AG Rights 12/09/04 7,555 17,973 ------------------ TOTAL RIGHTS/WARRANTS (Cost $45,433) 17,973 ------------------ TOTAL -- GERMANY (Cost $55,152,271) 57,610,881 ------------------ SWITZERLAND -- (6.4%) COMMON STOCKS -- (6.4%) * ABB, Ltd. 157,197 971,992 * Actelion, Ltd. 1,600 147,516 Adecco SA 17,501 872,001 Baloise-Holding 3,300 138,723 BKW FMB Energie AG 366 221,983 * Ciba Spezialitaetenchemie Holding AG 4,921 356,150 Cie Financiere Richemont AG Series A 46,023 1,400,674 Clariant AG 15,571 242,380 * Credit Swisse Group 85,965 3,356,007 * Fischer (Georg) AG, Schaffhausen 145 37,434 * Forbo Holding AG, Eglisau 102 28,506 Geberit AG 314 221,563 # Givaudan SA 573 378,739 Holcim, Ltd. 19,499 1,116,719 Julius Baer Holding AG 610 180,171 * Kudelski SA 3,084 115,812 Kuehne & Nagel International AG 2,432 502,031 Kuoni Reisen Holding AG 180 76,391 * Lindt & Spruengli AG 10 138,681 * Logitech International SA 3,319 195,481 Lonza Group AG 2,970 160,546 Nestle SA, Cham und Vevey 27,965 7,172,044 Nobel Biocare Holding AG 1,832 329,027 Novartis AG 224,186 10,739,760 Phonak Holding AG 4,487 141,590 Publicitas Holding SA, Lausanne 104 30,346 Roche Holding AG Bearer 22,718 2,731,796 Roche Holding AG Genusschein 48,507 5,099,484 Schindler Holding AG 210 74,488 Schindler Holding AG 1,545 573,409 Serono SA 1,342 862,666 Societe Generale de Surveillance Holding SA 853 569,579 Straumann Holding AG 1,706 371,643 Sulzer AG, Winterthur 165 62,676 Swatch Group AG 2,692 370,743
18 * Swiss Life AG 2,440 320,491 Swiss Reinsurance Co., Zurich 22,251 1,486,284 Swisscom AG 9,343 3,665,909 * Syngenta AG 8,013 848,999 # Synthes, Inc. 10,130 1,096,571 Tecan Group AG 627 17,101 The Swatch Group AG 18,164 511,285 UBS AG 82,427 6,671,650 Unaxis Holding AG 912 96,360 Valora Holding AG 209 50,654 * Zurich Financial SVCS AG 9,902 1,523,599 ------------------ TOTAL COMMON STOCKS (Cost $43,337,301) 56,277,654 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs 5,297 ------------------ (Cost $4,989) TOTAL -- SWITZERLAND (Cost $43,342,290) 56,282,951 ------------------ AUSTRALIA -- (4.9%) COMMON STOCKS -- (4.9%) Amcor, Ltd. 62,654 359,118 AMP, Ltd. 133,761 710,464 Ansell, Ltd. 12,403 87,916 APN News & Media, Ltd. 41,988 161,982 Aristocrat Leisure, Ltd. 46,013 313,576 # Australand Property Group 52,535 73,923 Australia & New Zealand Banking Group, Ltd. 129,724 2,015,012 Australian Gas Light Co. 31,475 315,349 Australian Stock Exchange, Ltd. 5,600 81,069 AWB, Ltd. 24,478 89,984 AXA Asia Pacific Holdings, Ltd. 209,778 648,845 Bendigo Bank, Ltd. 9,782 74,530 BHP Billiton, Ltd. 270,644 3,220,842 Billabong International, Ltd. 17,806 156,788 Bluescope Steel, Ltd. 51,941 337,441 Boral, Ltd. 37,282 198,459 # Brambles Industries, Ltd. 66,718 362,947 Brickworks, Ltd. 9,442 83,880 * Burns, Philp & Co., Ltd. 147,539 101,408 Caltex Australia, Ltd. 26,353 186,803 Coca-Cola Amatil, Ltd. 36,194 208,355 Cochlear, Ltd. 3,100 56,436 Coles Myer, Ltd. 97,052 751,829 Commonwealth Bank of Australia 91,033 2,211,119 Computershare, Ltd. 43,658 180,523 CSL, Ltd. 14,077 289,251 CSR, Ltd. 55,115 109,577 Davids Limited 40,676 95,044 * DB RREEF Trust 41,649 42,333
19 DCA Group, Ltd. 31,921 82,888 Flight Centre, Ltd. 6,023 88,254 Foodland Associates, Ltd. 8,315 123,624 Foster's Group, Ltd. 154,407 644,649 Futuris Corp., Ltd. 43,199 70,492 General Property Trust 75,385 212,503 Gunns, Ltd. 19,636 63,791 * Hardman Resources NL 33,188 46,001 Harvey Norman Holdings, Ltd. 117,677 291,746 Iluka Resources, Ltd. 15,365 69,447 Insurance Australiz Group, Ltd. 122,975 554,475 James Hardies Industries NL 30,184 135,464 John Fairfax Holdings, Ltd. 66,952 220,276 Leighton Holdings, Ltd. 27,547 233,226 Lend Lease Corp., Ltd. 31,264 293,926 Lion Nathan, Ltd. 59,221 363,929 Macquarie Bank, Ltd. 14,837 503,780 Macquarie Infrastructure Group 70,403 215,469 Mayne Group, Ltd. 50,338 165,803 Mirvac, Ltd. 48,721 178,017 National Australia Bank, Ltd. 111,633 2,427,068 National Foods, Ltd. 17,881 79,073 Newcrest Mining, Ltd. 21,650 290,343 # * News Corp., Ltd. Series A Non-Voting 166,691 2,929,441 # * News Corp., Ltd. Series B Non-Voting 94,644 1,705,873 Onesteel, Ltd. 37,637 71,782 Orica, Ltd. 17,929 271,126 Origin Energy, Ltd. 46,773 254,342 * Oxiana, Ltd. 52,556 42,322 Paperlinx, Ltd. 29,331 105,400 Patrick Corp., Ltd. 43,910 212,941 Perpetual Trustees Australia, Ltd. 2,758 118,269 Publishing and Broadcasting, Ltd. 102,917 1,242,657 QBE Insurance Group, Ltd. 51,938 559,533 Quantas Airways, Ltd. 300,059 829,343 Rinker Group, Ltd. 67,094 497,752 Rio Tinto, Ltd. 35,766 1,085,002 Rural Press, Ltd. 5,203 40,488 Santos, Ltd. 38,543 264,022 * Scigen 11,443 530 Sigma Co., Ltd. 7,216 52,017 Sims Group, Ltd. 4,645 64,077 Sonic Healthcare, Ltd. 20,706 179,131 * Sons of Gwalia, Ltd. 7,201 7,263 * Southcorp, Ltd. 49,137 138,537 St. George Bank, Ltd. 36,194 676,745 Stockland Trust Group 32,130 146,057 * Stockland Trust Group 1,139 5,161 Suncorp-Metway, Ltd. 37,690 502,373 Tab Queensland, Ltd. 8,003 69,627 Tabcorp Holdings, Ltd. 35,912 468,796 Telstra Corp., Ltd. 938,916 3,582,619 Ten Network Holdings, Ltd. 28,370 93,273 Toll Holdings, Ltd. 27,580 256,429
20 Transurban Group 33,115 164,335 Washington H. Soul Pattinson & Co., Ltd. 15,297 119,395 Wesfarmers, Ltd. 26,721 787,987 West Australian Newspapers Holdings, Ltd. 10,881 71,473 * Westfield Group Stapled 37,972 464,033 Westpac Banking Corp. 129,564 1,855,796 WMC Resources, Ltd. 77,964 432,230 WMC, Ltd. 83,592 375,193 Woodside Petroleum, Ltd. 66,316 1,067,904 Woolworths, Ltd. 72,922 845,423 ------------------ TOTAL COMMON STOCKS (Cost $28,774,410) 43,535,744 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar 7,111 ------------------ (Cost $7,110) TOTAL -- AUSTRALIA (Cost $28,781,520) 43,542,855 ------------------ NETHERLANDS -- (4.5%) COMMON STOCKS -- (4.5%) ABN AMRO Holding NV 141,230 3,467,723 Aegon NV 135,467 1,674,909 AKZO Nobel NV 23,694 979,752 Buhrmann NV 6,020 53,780 DSM NV 9,841 592,748 Elsevier NV 61,185 819,835 * Getronics NV 27,590 58,276 * Hagemeyer NV 21,897 44,556 Heineken Holding NV Series A 38,238 1,098,557 Heineken NV 73,316 2,319,932 Hunter Douglas NV 4,740 238,937 IHC Caland NV 2,636 161,209 ING Groep NV 200,241 5,496,054 * Koninklijke Ahold NV 145,070 1,066,003 Koninklijke KPN NV 236,971 2,055,891 Koninklijke Nedlloyd NV 3,487 176,939 Koninklijke Philips Electronics NV 103,969 2,679,376 * Norit NV 36,752 561,845 * Nutricia (Verenigde Bedrijven) NV 13,862 493,704 Oce NV 4,991 74,612 Randstad Holdings NV 18,661 717,312 Royal Dutch Petroleum Co., Den Haag 164,596 9,420,112 TNT Post Groep NV 55,843 1,464,227 Unilever NV 45,154 2,840,075 Vedior NV 15,338 257,545 VNU NV 20,878 629,916 Wolters Kluwer NV 24,566 471,201 ------------------ TOTAL -- NETHERLANDS (Cost $38,150,496) 39,915,026 ------------------
21
SHARES VALUE+ ------------ ------------------ ITALY -- (3.7%) COMMON STOCKS -- (3.7%) Acea SpA 4,000 40,850 AEM SpA 80,507 176,067 * Alitalia Linee Aeree Italiane SpA Series A 50,000 17,156 Alleanza Assicurazioni SpA 43,804 540,175 Assicurazioni Generali SpA, Trieste 58,514 1,803,191 * Autogrill SpA, Novara 11,752 183,476 * Autostade SpA 34,491 840,703 * Banca Antoniana Popolare Veneta SpA 10,835 259,153 Banca Fideuram SpA 55,773 275,113 Banca Monte Dei Paschi di Siena SpA 144,464 472,212 * Banca Nazionale del Lavoro SpA 137,108 335,442 Banca Popolare di Lodi Scarl 9,804 109,448 Banca Popolare di Milano 14,520 118,145 * Banco Popolare Bergamo SpA 10,779 212,361 Banco Popolare di Verona e Novara SpA 16,000 305,979 Benetton Group SpA 6,950 83,563 Bulgari SpA 13,000 148,680 Buzzi Unicem SpA 1,230 17,243 Capitalia SpA 100,360 393,726 Cassa di Risparmio di Firenze SpA 21,455 46,631 CIR SpA (Cie Industriale Riunite), Torino 11,019 27,634 Compagnia Assicuratrice Unipol SpA 19,148 84,745 Credito Emiliano SpA 8,048 71,155 Credito Italiano 327,819 1,808,423 Davide Campari - Milano SpA 450 27,261 # * E.Biscom SpA 1,997 120,309 # * Edison SpA 314,055 645,002 Eni SpA 198,578 4,884,948 # Ente Nazionale per L'Energia Elettrica SpA 452,621 4,039,039 # * Fiat SpA 39,286 290,987 * Finecogroup SpA 14,490 107,805 Finmeccanica SpA 385,000 329,489 # Gruppo Editoriale L'espresso SpA 16,000 88,835 * Hera SpA 22,062 60,711 Intesabci SpA 336,230 1,487,705 Italcementi SpA 6,680 101,025 * Lottomatica SpA 825 25,887 Luxottica Group SpA 35,496 691,482 Mediaset SpA 69,650 842,876 # Mediobanca SpA 34,000 492,230 Mediolanum SpA 37,338 258,985 Mondadori (Arnoldo) Editore SpA 10,500 112,684 Pirelli & Co. SpA 93,332 118,766 RAS SpA (Riunione Adriatica di Sicurta) 43,666 945,925 SAI SpA (Sta Assicuratrice Industriale), Torino 3,906 95,013 Saipem SpA 19,566 232,039 San Paolo-IMI SpA 73,708 1,011,720 Seat Pagine Gialle SpA 317,888 128,768 * Seat Pagine Gialle SpA, Torino 3,591 1,369
22 SNAM Rete Gas SpA 118,692 636,254 * SNIA SpA 9,248 3,128 Societe Cattolica di Assicurazoni Scarl SpA 1,523 67,055 * Sorin SpA 13,872 41,583 Telecom Italia Mobile SpA 571,039 3,787,601 Telecom Italia SpA 701,433 2,689,836 # * Tiscali SpA 13,000 52,659 ------------------ TOTAL COMMON STOCKS (Cost $26,329,229) 32,790,247 ------------------ PREFERRED STOCKS -- (0.0%) * Fiat SpA 3,000 14,931 ------------------ (Cost $43,047) RIGHTS/WARRANTS -- (0.0%) * Banca Nazionale del Lavoro SpA Rights 12/13/04 2 0 * Fiat SpA Warrants 01/31/07 1,677 267 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 267 ------------------ TOTAL -- ITALY (Cost $26,372,276) 32,805,445 ------------------ SPAIN -- (3.1%) COMMON STOCKS -- (3.1%) Acciona SA 4,613 361,956 Acerinox SA 14,000 205,479 Actividades de Construccion y Servicios SA 22,866 480,705 * Antena 3 Television 1,604 105,552 Autopistas Concesionaria Espanola SA 39,788 826,064 Banco Bilbao Vizcaya SA 182,100 2,989,787 Banco de Andalucia 655 61,439 Banco de Sabadell SA 13,811 310,080 Banco de Valencia SA 4,264 114,190 # Banco Pastor SA 1,281 41,817 Banco Popular Espanol SA, Madrid 14,722 929,280 # Banco Santander Central Hispanoamerica SA 271,784 3,260,357 # Bankinter SA 3,867 195,423 Cementos Portland SA 1,338 74,838 Cia Espanola de Petroleous SA 11,771 474,305 Compania de Distribucion Integral Logista SA 1,457 67,637 Coporacion Financiera Reunida SA 6,070 75,959 # Corporacion Mapfre Compania Internacional de Reaseguros SA 12,760 179,136 Ebro Puleva SA 5,728 73,749 Enagas SA 11,325 155,417 Endesa SA, Madrid 60,300 1,299,077 Fomento de Construcciones y Contratas SA 10,323 422,844 Gamesa Corporacion Tecnologica SA 9,072 119,773 Gas Natural SA, Buenos Aires 38,147 1,091,979 Grupo Ferrovial SA 10,223 493,626 Iberdrola SA 51,300 1,207,943
23 Iberia Lineas Aereas de Espana SA 57,296 186,824 Indra Sistemas SA 7,600 119,400 Industria de Diseno Textil SA 54,030 1,581,089 Metrovacesa SA 3,794 180,734 Promotora de Informaciones SA 15,383 316,607 Red Electrica de Espana SA 6,151 119,190 Repsol SA 75,700 1,844,536 Sociedad General de Aguas de Barcelona SA 6,253 117,046 # * Sogecable SA 6,528 277,344 Sol Melia SA 8,400 78,787 Tabacalera SA 15,900 649,349 Tele Pizza SA 7,000 13,786 Telefonica de Espana SA 282,457 4,958,032 Telefonica Publicidad e Informacion SA 23,179 189,323 Union Fenosa SA 19,200 494,672 Vallehermoso SA 18,082 276,754 # Zardoya Otis SA 12,720 319,969 Zeltia SA 10,500 76,809 ------------------ TOTAL COMMON STOCKS (Cost $18,449,606) 27,418,663 ------------------ RIGHTS/WARRANTS -- (0.0%) * Sociedad General de Aguas de Barcelona SA Rights 12/15/04 6,253 1,163 ------------------ (Cost $0) TOTAL -- SPAIN (Cost $18,449,606) 27,419,826 ------------------ SWEDEN -- (2.3%) COMMON STOCKS -- (2.3%) # * Ainax AB 1,922 76,260 Alfa Laval AB 7,600 119,338 Assa Abloy AB Series B 22,300 346,414 Atlas Copco AB Series A 9,300 409,381 Atlas Copco AB Series B 3,600 146,167 Axfood AB 3,550 112,988 Billerud AB 3,200 53,583 Castellum AB 2,200 76,424 Electrolux AB Series B 18,500 407,070 Eniro AB 8,200 80,418 Gambro AB Series A 17,800 230,682 Gambro AB Series B 5,200 65,278 Getinge AB 11,600 144,037 Hennes & Mauritz AB Series B 63,450 2,034,350 Hoganas AB Series B 1,300 33,660 Holmen AB Series B 5,100 178,120 * Lundin Petroleum AB 14,500 98,246 * Modern Times Group AB Series B 1,800 45,741 # Netcom AB Series B 9,250 363,510 Nordic Baltic Holdings AB 223,048 2,189,496 * OMHEX AB 6,500 82,107 Sandvik AB 17,400 703,858
24 # Scania AB 4,000 157,970 Scania AB Series B 5,400 212,960 Securitas AB Series B 22,300 353,317 Skandia Insurance AB 63,500 263,176 Skandinaviska Enskilda Banken Series A 56,300 1,071,570 Skanska AB Series B 22,500 264,525 SSAB Swedish Steel Series A 3,500 84,430 SSAB Swedish Steel Series B 1,400 33,167 Svenska Cellulosa AB Series B 13,300 554,257 Svenska Handelsbanken Series A 47,200 1,151,992 Svenska Kullagerfabriken AB Series A 2,300 98,006 Svenska Kullagerfabriken AB Series B 5,200 221,005 Swedish Match AB (Frueher Svenska Taendsticks AB) 20,400 230,753 Tele2 AB Series A 800 31,269 * Telefon AB L.M. Ericsson Series B 993,800 3,305,547 Telia AB 485,400 2,957,711 Tietoenator Corp. AB 3,400 104,752 Trelleborg AB Series B 4,200 69,538 Volvo AB Series A 10,100 397,646 Volvo AB Series B 22,800 929,285 Whilborg Fastigheter AB Class B 4,935 98,065 WM-Data AB Series B 8,500 19,347 ------------------ TOTAL -- SWEDEN (Cost $15,116,606) 20,607,416 ------------------ HONG KONG -- (1.7%) COMMON STOCKS -- (1.7%) ASM Pacific Technology, Ltd. 12,000 42,788 Bank of East Asia, Ltd. 65,749 206,373 Cathay Pacific Airways, Ltd. 207,000 366,121 Cheung Kong Holdings, Ltd. 110,600 1,063,470 Cheung Kong Infrastructure Holdings, Ltd. 109,000 312,758 China Merchants Holdings (International) Co., Ltd. 74,000 117,609 China Unicom, Ltd. 508,000 391,052 CLP Holdings, Ltd. 110,400 634,041 CNOOC, Ltd. 1,693,500 961,481 Dah Sing Banking Group, Ltd. 720 1,500 Dah Sing Financial Holdings, Ltd. 3,659 28,596 Esprit Holdings, Ltd. 54,541 299,505 Giordano International, Ltd. 40,000 25,155 Hang Lung Development Co., Ltd. 42,000 78,748 Hang Lung Properties, Ltd. 113,500 177,013 Hang Seng Bank, Ltd. 121,100 1,679,731 Henderson Investment, Ltd. 119,000 176,978 Henderson Land Development Co., Ltd. 105,000 545,157 Hong Kong and China Gas Co., Ltd. 230,000 473,342 Hong Kong Electric Holdings, Ltd. 99,707 446,753 Hong Kong Exchanges & Clearing, Ltd. 48,000 120,736 Hopewell Holdings, Ltd. 38,000 98,507 Hutchison Whampoa, Ltd. 241,500 2,151,542 Hysan Development Co., Ltd. 42,462 86,174
25 I-Cable Communications, Ltd. 9,854 3,893 Johnson Electric Holdings, Ltd. 168,000 162,844 Kerry Properties, Ltd. 18,255 39,093 Kingboard Chemical Holdings, Ltd. 12,000 26,118 Kowloon Motor Bus Holdings, Ltd. 7,200 35,349 Legend Group, Ltd. 248,000 85,795 Li & Fung, Ltd. 126,000 210,564 MTR Corp., Ltd. 154,985 246,735 New World Development Co., Ltd. 128,860 144,586 NWS Holdings Ltd. 27,000 39,503 PCCW, Ltd. 235,265 145,066 SCMP Group, Ltd. 39,198 16,348 # Shangri-La Asia, Ltd. 100,913 129,065 Sino Land Co., Ltd. 180,644 172,745 Smartone Telecommunications Holdings, Ltd. 23,000 23,927 Sung Hungkai Properties, Ltd. 129,706 1,284,068 Swire Pacific, Ltd. Series A 42,500 340,679 Techtronic Industries Co., Ltd. 56,000 112,029 Television Broadcasts, Ltd. 20,000 94,080 Texwinca Holdings, Ltd. 60,000 55,843 Wharf Holdings, Ltd. 128,542 457,140 Wheelock and Co., Ltd. 70,000 115,625 Wing Hang Bank, Ltd. 8,500 60,325 # Yue Yuen Industrial (Holdings), Ltd. 69,000 178,799 ------------------ TOTAL COMMON STOCKS (Cost $13,216,529) 14,665,349 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 9,402 ------------------ (Cost $9,405) TOTAL -- HONG KONG (Cost $13,225,934) 14,674,751 ------------------ FINLAND -- (1.4%) COMMON STOCKS -- (1.4%) Amer-Yhtymae Oyj Series A 1,500 79,568 * Elisa Communications Corp. 10,063 167,104 Fortum Oyj 98,888 1,713,455 KCI Konecranes International Oyj 700 32,423 * Kemira GrowHow Oyj 1,275 9,320 Kemira Oyj 6,000 83,048 Kesko Oyj 6,400 148,839 Kone Corp. 5,140 379,204 Metso Oyj 10,444 167,236 M-real Oyj Series B 9,000 58,663 Nokia Oyj 342,121 5,537,787 Nokian Renkaat Oyj 500 71,882 Orion-Yhtyma Oyj Series A 2,600 41,096 Orion-Yhtyma Oyj Series B 4,000 63,512 Outokumpu Oyj Series A 15,900 295,708 # Pohjola Group P.L.C. Series D 9,600 106,669
26 Rautaruukki Oyj Series K 8,700 104,976 Sampo Insurance Co., Ltd. 58,700 757,640 Sanoma-Wsoy Oyj Series A 1,391 31,137 Sanoma-Wsoy Oyj Series B 13,063 292,947 Stora Enso Oyj Series R 67,900 1,082,619 Tietoenator Corp. 4,300 132,928 Upm-Kymmene Oyj 45,800 1,033,004 Uponor Oyj Series A 4,600 84,169 Wartsila Corp. Oyj Series B 2,900 100,662 ------------------ TOTAL -- FINLAND (Cost $10,180,827) 12,575,596 ------------------ BELGIUM -- (1.1%) COMMON STOCKS -- (1.1%) AGFA-Gevaert NV, Mortsel 7,300 233,592 Algemene Mij Voor Nijverheidskredit Almanij 9,452 848,176 Barco (New) NV 400 36,858 Bekaert SA 700 54,764 Cie Martime Belge SA 300 86,933 Cofinimmo SA 200 32,026 Colruyt SA Halle 1,700 270,391 Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 3,600 278,565 Dexia SA 55,596 1,186,154 D'Ieteren SA 290 54,885 Electrabel SA 2,998 1,210,508 Exmar NV 300 17,436 Fortis AG 53,679 1,420,566 Groupe Bruxelles Lambert 2,500 195,343 Interbrew SA 29,842 1,097,263 KBC Bancassurance Holding SA 15,700 1,169,749 * Mobistar SA 2,500 209,595 Omega Pharma SA 500 25,594 Solvay SA 4,400 486,423 UCB SA 7,600 392,945 Union Miniere SA 1,155 104,582 ------------------ TOTAL COMMON STOCKS (Cost $6,793,631) 9,412,348 ------------------ RIGHTS/WARRANTS -- (0.0%) * Colruyt SA Halle Rights 03/31/05 1,700 2,756 * Umicore-Strip VVPR Rights 55 7 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 2,763 ------------------ TOTAL -- BELGIUM (Cost $6,793,631) 9,415,111 ------------------
27 IRELAND -- (0.8%) COMMON STOCKS -- (0.8%) Allied Irish Banks P.L.C. 73,614 1,428,849 Anglo Irish Bank Corp. P.L.C. 28,419 643,932 Bank of Ireland P.L.C. 80,793 1,231,705 CRH P.L.C. 44,403 1,119,829 DCC P.L.C. 6,914 144,866 * Elan Corp. P.L.C. 32,549 848,003 Fyffes P.L.C. 17,987 49,739 Grafton Group P.L.C. 15,596 158,153 Greencore Group P.L.C. 13,520 52,109 IAWS Group P.L.C. 11,551 169,598 Independent News & Media P.L.C. 77,963 231,128 Irish Permanent P.L.C. 21,828 377,413 Kerry Group P.L.C. 20,355 467,741 * Ryanair Holdings P.L.C. 32,702 221,206 * Waterford Wedgwood P.L.C. 57,541 6,045 ------------------ TOTAL -- IRELAND (Cost $5,210,713) 7,150,316 ------------------ DENMARK -- (0.8%) COMMON STOCKS -- (0.8%) Bang & Olufsen Holding A.S. Series B 290 18,381 Carlsberg A.S. Series B 3,475 162,142 Codan A.S. 500 25,611 Coloplast A.S. Series B 970 104,784 Dampskibsselskabet Svendborg A.S. 308 2,521,873 Danisco A.S. 2,450 149,440 Danske Bank A.S. 39,356 1,176,676 DSV, De Sammensluttede Vognmaend A.S. 880 57,083 East Asiatic Co., Ltd. 900 45,945 * Falck A.S. 3,480 37,197 * FLS Industries 890 14,321 GN Great Nordic A.S. 9,620 99,419 * Group 4 Securicor A.S. 28,536 68,916 H. Lundbeck A.S. 16,602 312,334 ISS A.S. 1,763 97,944 * Jyske Bank A.S. 2,660 95,545 Koebenhavns Lufthavne 280 51,391 NKT Holding A.S. 1,100 28,777 Novo-Nordisk A.S. Series B 14,150 750,214 Novozymes A.S. Series B 2,830 133,888 Sydbank A.S. 240 45,569 Tele Danmark A.S. 12,110 496,480 * TK Development 614 1,597 * Topdanmark A.S. 1,300 98,178 * Vestas Wind Systems A.S. 5,866 67,970 * William Demant Holding 3,260 144,879 ------------------ TOTAL COMMON STOCKS (Cost $4,921,288) 6,806,554 ------------------
28 INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 1,502 ------------------ (Cost $1,501) TOTAL -- DENMARK (Cost $4,922,789) 6,808,056 ------------------ SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) Allgreen Properties, Ltd. 41,000 26,021 * Capitacommercial Trust 23,100 17,501 Capitaland, Ltd. 115,500 145,774 * Chartered Semiconductor Manufacturing, Ltd. 112,000 69,662 City Developments, Ltd. 32,000 136,253 Comfortdelgro Corp., Ltd. 81,000 70,685 Creative Technology Co., Ltd. 3,000 37,488 Cycle & Carriage, Ltd. 6,097 36,801 DBS Group Holdings, Ltd. 78,000 751,827 Fraser & Neave, Ltd. 11,100 98,820 Great Eastern Holdings, Ltd. 21,000 153,989 Haw Par Brothers International, Ltd. 2,248 6,722 Keppel Corp., Ltd. 37,000 181,565 Keppel Land, Ltd. 22,000 27,786 MobileOne, Ltd. 23,000 25,265 Neptune Orient Lines, Ltd. 47,000 84,538 Overseas Chinese Banking Corp., Ltd. 63,300 517,645 Overseas Union Enterprise, Ltd. 6,000 27,294 Parkway Holdings, Ltd. 20,000 17,093 Sembcorp Industries, Ltd. 78,000 69,055 Sembcorp Logistics, Ltd. 39,000 53,331 Sembcorp Marine, Ltd. 55,000 38,190 Singapore Airlines, Ltd. 85,000 564,950 Singapore Land, Ltd. 11,000 30,064 Singapore Press Holdings, Ltd. 68,000 195,860 Singapore Technologies Engineering, Ltd. 174,000 225,078 Singapore Telecommunications, Ltd. 1,367,000 1,977,235 Smrt Corporation, Ltd. 59,000 29,910 * St Assembly test Services, Ltd. 38,000 21,434 United Overseas Bank, Ltd. 81,000 672,400 United Overseas Land, Ltd. 22,000 31,194 Venture Manufacturing (Singapore), Ltd. 10,000 96,220 Wing Tai Holdings, Ltd. 22,166 13,518 ------------------ TOTAL COMMON STOCKS (Cost $6,748,222) 6,451,168 ------------------ RIGHTS/WARRANTS -- (0.0%) * City Developments, Ltd. Warrants 05/10/06 3,200 8,798 ------------------ (Cost $0) INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 5,261 ------------------ (Cost $5,211)
29 TOTAL -- SINGAPORE (Cost $6,753,433) 6,465,227 ------------------ NORWAY -- (0.6%) COMMON STOCKS -- (0.6%) * Aker Kvaerner OGEP ASA 467 11,941 * Aker Yards AS 288 5,929 Den Norske Bank ASA Series A 51,800 488,868 * Merkantildata ASA 6,800 2,773 Nera ASA 6,300 16,793 Norsk Hydro ASA 16,900 1,384,945 Norske Skogindustrier ASA Series A 5,000 106,373 * Opticom ASA 600 5,068 Orkla ASA Series A 11,471 353,481 Schibsted ASA 2,700 75,071 Smedvig ASA Series A 3,800 57,275 Statoil Den Norske Stats Oljeselskap ASA 81,601 1,288,663 Storebrand ASA 14,500 129,114 Tandberg ASA Series A 5,600 63,497 Telenor ASA 76,741 677,950 Tomra Systems ASA 9,200 49,516 * Yara International ASA 16,900 217,437 ------------------ TOTAL COMMON STOCKS (Cost $3,091,562) 4,934,694 ------------------ RIGHTS/WARRANTS -- (0.0%) * Ementor ASA Rights 12/01/04 6,800 700 ------------------ (Cost $14,311) TOTAL -- NORWAY (Cost $3,105,873) 4,935,394 ------------------ GREECE -- (0.4%) COMMON STOCKS -- (0.4%) Alpha Credit Bank 10,164 319,325 Athens Water Supply & Sewage Co. S.A. 4,100 28,271 Attica Enterprises S.A. Holdings 3,130 12,149 Bank of Piraeus S.A. 6,510 102,281 Commercial Bank of Greece 3,700 112,817 Cosmote Mobile Telecommunications S.A. 19,300 349,419 EFG Eurobank Ergasias S.A. 17,470 509,086 Hellenic Bottling Co. S.A. 15,530 382,972 Hellenic Duty Free Shops S.A. 2,000 35,152 Hellenic Petroleum S.A. 13,100 137,198 Hellenic Technodomiki S.A. 4,680 20,785 Hellenic Tellecommunication Organization Co. S.A. 32,460 533,649 Intracom S.A. 3,310 17,411 * Mailis (M.J.) S.A. 2,800 12,970 National Bank of Greece 17,270 533,124 Public Power Corp. of Greece 14,860 404,839
30 Titan Cement Co. 2,280 63,304 Viohalco S.A. 2,800 24,425 ------------------ TOTAL -- GREECE (Cost $2,550,657) 3,599,177 ------------------ PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 181,382 453,634 Banco Espirito Santo e Comercial de Lisboa 19,360 342,562 BPI SGPS SA 44,098 179,557 # Brisa Auto Estradas de Portugal SA 27,775 243,944 Cimpor Cimentos de Portugal SA 34,848 193,350 # Electricidade de Portugal SA 153,781 455,852 * Energias de Portugal SA 33,825 100,249 * Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) 7,355 93,575 Portugal Telecom SA 62,730 742,544 PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 6,410 152,569 Sonae SGPS SA 108,923 143,334 ------------------ TOTAL COMMON STOCKS (Cost $2,838,442) 3,101,170 ------------------ RIGHTS/WARRANTS -- (0.0%) * Energias de Portugal SA Rights 11/25/04 31 4 ------------------ (Cost $0) TOTAL -- PORTUGAL (Cost $2,838,442) 3,101,174 ------------------ AUSTRIA -- (0.3%) COMMON STOCKS -- (0.3%) * Bank Austria Creditanstalt AG 1,216 103,539 Bohler Uddeholm AG 480 56,891 BWT AG 880 30,473 Erste Bank der Oesterreichischen Sparkassen AG 10,924 556,036 EVN AG 674 39,064 Flughafen Wien AG 579 41,581 * Immofinanz Immobilien Anlagen AG 8,273 76,215 Mayr-Melnhof Karton AG 472 75,500 Oesterreichische Elektrizitaetswirtschafts AG 810 164,463 OMV AG 1,728 456,458 * RHI AG, Wien 778 20,896 Telekom Austria AG 20,547 350,265 * VA Technologie AG 805 62,764 Voestalpine AG 1,479 105,798 Wienerberger AG 4,007 178,254 ------------------ TOTAL -- AUSTRIA (Cost $1,249,277) 2,318,197 ------------------
31 NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 18,875 105,006 Carter Holt Harvey, Ltd. 124,305 197,579 Contact Energy, Ltd. 47,343 213,742 Fisher & Paykel Apppliances Holdings, Ltd. 14,080 43,141 Fisher & Paykel Healthcare Corp. 31,395 64,899 Fletcher Building, Ltd. 28,975 127,851 Independent Newspapers, Ltd. (Auckland) 21,417 82,088 Sky City Entertainment Group, Ltd. 28,614 101,690 * Sky Network Television, Ltd. 17,139 71,192 Telecom Corporation of New Zealand, Ltd. 138,616 600,851 * Tower, Ltd. 25,408 38,898 Warehouse Group, Ltd. 14,200 37,117 ------------------ TOTAL COMMON STOCKS (Cost $968,862) 1,684,054 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 6,410 ------------------ (Cost $6,119) TOTAL -- NEW ZEALAND (Cost $974,981) 1,690,464 ------------------
VALUE+ ------------------ EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency 426,220 ------------------ (Cost $415,564) FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (5.0%) Repurchase Agreement, Deutsche Bank Securitites 1.95%, 12/01/04 (Collateralized by $41,528,148 U.S. Treasury Note 1.625%, 03/31/05, valued at $40,741,605) to be repurchased at $40,743,811 (Cost $40,741,604) ^ 40,742 40,741,604 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $3,451,000 FNMA Notes 2.95%, 11/14/07, valued at $3,455,842) to be repurchased at $3,408,178 (Cost 3,408,000) 3,408 3,408,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $44,149,604) 44,149,604 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $769,097,451) $ 884,178,435 ------------------
32 ---------- + Securities have been fair valued. See Note B to Financial Statements. # Total or Partial Securities on Loan. * Non-Income Producing Securities. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 33 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS INTERNATIONAL SMALL COMPANY PORTFOLIO NOVEMBER 30, 2004
VALUE+ ---------------- Investment in The Japanese Small Company Series of The DFA Investment Trust Company (30.3%) (Cost $424,182,096) $ 503,017,711 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (14.4%) (Cost $192,894,178) 238,927,047 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (20.3%) (Cost $253,045,900) 337,127,513 Investment in The Continental Small Company Series of The DFA Investment Trust Company (34.9%) (Cost $351,028,439) 578,465,526 Temporary Cash Investments (0.1%) Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $2,135,000 FNMA Notes 2.95%, 11/14/07, valued at $2,137,995 to be repurchased at $2,108,110) (Cost $2,108,000) 2,108,000 ---------------- Total Investments (100%) (Cost $1,223,258,613) $ 1,659,645,797 ================
JAPANESE SMALL COMPANY PORTFOLIO NOVEMBER 30, 2004
VALUE+ ---------------- Investment in The Japanese Small Company Series of The DFA Investment Trust Company $ 65,894,247 ---------------- Total Investments (100%) (Cost $181,529,065) $ 65,894,247 ================
PACIFIC RIM SMALL COMPANY PORTFOLIO NOVEMBER 30, 2004
VALUE+ ---------------- Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company $ 26,732,424 ---------------- Total Investments (100%) (Cost $52,909,893) $ 26,732,424 ================
- ----------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 35 UNITED KINGDOM SMALL COMPANY PORTFOLIO NOVEMBER 30, 2004
VALUE+ ---------------- Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company $ 15,812,545 ---------------- Total Investments (100%) (Cost $9,165,619) $ 15,812,545 ================
CONTINENTAL SMALL COMPANY PORTFOLIO NOVEMBER 30, 2004
VALUE+ ---------------- Investment in The Continental Small Company Series of The DFA Investment Trust Company $ 33,842,764 ---------------- Total Investments (100%) (Cost $19,158,748) $ 33,842,764 ================
- ----------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 36 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ JAPAN -- (23.6%) COMMON STOCKS -- (23.2%) * # A&A Material Corp. 168,000 $ 233,193 * ABILIT Corp. 68,300 596,443 Achilles Corp. 422,000 707,831 Agro-Kanesho Co., Ltd. 7,000 47,034 Aichi Bank, Ltd. 51,400 4,001,105 * Aichi Machine Industry Co., Ltd. 473,000 1,614,347 Aida Engineering, Ltd. 209,000 865,813 # Aigan Co., Ltd. 75,200 652,742 Airport Facilities Co., Ltd. 178,000 931,654 * Akai Electric Co., Ltd. 490,000 4,767 Akita Bank, Ltd. 844,000 3,308,954 # Aloka Co., Ltd. 138,000 894,714 Alpha Systems, Inc. 16,000 277,048 Altech Co., Ltd. 37,200 166,254 Amada Co., Ltd. 178,079 896,428 Ando Corp. 304,000 758,044 Anest Iwata Corp. 63,000 171,656 Anritsu Corp. 113,000 825,613 AOI Advertising Promotion, Inc. 11,500 85,331 AOI Electronics Co., Ltd. 10,600 155,405 Aoki International Co., Ltd. 143,900 1,813,549 * Apic Yamada Corp. 49,000 176,881 Arakawa Chemical Industries, Ltd. 63,700 842,978 # Araya Industrial Co., Ltd. 254,000 582,041 * Argo 21 Corp. 43,200 305,758 Aronkasei Co., Ltd. 143,000 672,879 Asahi Kogyosha Co., Ltd. 137,000 449,811 Asahi Organic Chemicals Industry Co., Ltd. 474,000 1,446,290 * Asahi Tec Corp. 182,000 390,679 Asanuma Corp. 312,000 596,604 Ashimori Industry Co., Ltd. 235,000 574,294 Asia Air Survey Co., Ltd. 59,000 136,317 # Asia Securities Printing Co., Ltd. 43,000 371,027 Asics Corp. 274,000 876,568 Asti Corp. 16,000 134,610 Atsugi Co., Ltd. 1,152,000 1,450,065 Autobacs Seven Co., Ltd. 80,400 2,346,640 * Azel Corp., Tokyo 448,000 527,147 Bank of Iwate, Ltd. 50,000 2,316,859 Bank of Okinawa, Ltd. 102,800 2,510,017 Bank of Saga, Ltd. 418,000 1,512,310 # Best Denki Co., Ltd. 602,000 2,446,724 Biken Techno Corp. 21,600 153,963 Bull Dog Sauce Co., Ltd. 12,000 140,340
1 Bunka Shutter Co., Ltd. 129,000 601,028 Cabin Co., Ltd. 202,000 661,858 * Catena Corp. 12,000 27,907 Central Finance Co., Ltd. 350,000 1,216,445 Chiyoda Co., Ltd. 83,000 1,237,536 Chodai Co. Ltd. 12,000 40,837 Chofu Seisakusho Co., Ltd. 95,200 1,729,292 Chudenko Corp. 179,460 2,596,695 # Chuetsu Pulp and Paper Co., Ltd. 608,000 1,529,164 * Chugai Mining Co., Ltd. 848,100 519,553 Chuo Gyorui Co., Ltd. 184,000 345,001 Chuo Spring Co., Ltd., Nagoya 279,000 1,121,818 Chuo Woollen Mills, Ltd. 30,000 108,336 Cleanup Corp. 80,200 728,798 Coca-Cola Central Japan Co., Ltd. 369 2,798,877 Comsys Holdings Corp. 187,000 1,606,578 Corona Corp. 131,600 2,108,015 Credia Co., Ltd. 25,700 500,293 Cresco, Ltd. 29,700 311,282 CTI Engineering Co., Ltd. 48,100 314,744 Daibiru Corp. 13,000 88,894 # Dai-Dan Co., Ltd. 187,000 1,153,195 Daido Kogyo Co., Ltd. 71,000 147,808 Daido Steel Co., Ltd. 1,150,000 3,146,377 # Daidoh, Ltd. 91,000 936,665 # Daihen Corp. 264,000 519,088 Daiho Corp. 264,000 563,798 Dai-Ichi Jitsugyo Co., Ltd. 70,000 202,438 # Dai-Ichi Kogyo Seiyaku Co., Ltd. 120,000 360,847 Daiko Clearing Services Corp. 57,000 399,307 Daiko Denshi Tsushin, Ltd. 14,000 31,987 * Daikyo, Inc. 391,000 633,597 Daimei Telecom Engineering Corp. 123,000 861,413 Dainichi Co., Ltd. 80,000 464,368 Daisyo Corp. 12,100 131,187 * Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 67,000 74,809 # Daiwa Industries, Ltd. 174,000 547,444 Daiwa Kosho Lease Co., Ltd. 359,000 1,911,871 Daiwabo Co., Ltd. 574,000 796,172 # Daiwabo Information System Co., Ltd. 66,500 793,770 # Danto Corp. 121,000 532,547 DC Co., Ltd. 128,000 330,649 # Denki Kogyo Co., Ltd. 135,000 688,608 Denyo Co., Ltd. 109,000 760,076 Descente, Ltd. 260,000 935,606 * Dia Kensetsu Co., Ltd. 117,000 146,217 Diamond Computer Service Co., Ltd. 58,200 740,503 * Dijet Industrial Co., Ltd. 53,000 112,387 DMW Corp. 5,800 249,629 * DyDo Drinco, Inc. 33,000 1,006,645 Edion Corp. 343,375 3,071,985 Edosawa Co., Ltd. 6,000 35,281 # Eighteenth Bank, Ltd. 901,000 3,956,140 Eikoh, Inc. 27,000 220,461
2 Fine Sinter Co., Ltd. 61,000 192,863 * # First Baking Co., Ltd. 369,000 860,763 Foster Electric Co., Ltd. 60,000 494,824 * Fuji Electric Construction Co., Ltd. 40,000 55,127 Fuji Kiko Co., Ltd. 1,000 4,165 * Fuji Titanium Industry Co., Ltd. 41,000 96,618 Fujicco Co., Ltd. 73,000 941,590 Fujikura Rubber, Ltd. 30,000 187,913 * Fujitsu Access, Ltd. 88,300 459,645 Fujitsu Business Systems, Ltd. 118,700 1,518,985 Fujitsu Fronttec, Ltd. 88,000 743,278 # Fukuda Corp. 146,000 884,493 * Furukawa Co., Ltd. 455,000 512,413 Fuso Dentsu Co., Ltd. 17,000 75,093 Fuso Lexel Inc. 60,100 333,055 Fuso Pharmaceutical Industries, Ltd. 258,000 826,931 Futaba Industrial Co., Ltd. 101,000 1,638,190 # Gakken Co., Ltd. 476,000 1,017,098 * Generas Corp. 121,000 1,177 * Gigas K's Denki Corp. 2,520 68,092 Global-Dining, Inc. 14,100 98,347 Godo Steel, Ltd. 434,000 1,626,964 * Goldwin, Inc. 203,000 463,560 Gourmet Kineya Co., Ltd. 78,000 653,949 * Graphtec Corp. 72,000 104,985 Gro-BeLS Co., Ltd. 246,000 298,275 * GSI Creoss Corp. 32,000 70,605 Gun-Ei Chemical Industry Co., Ltd. 353,000 1,161,062 Gunze, Ltd. 80,000 348,727 Haltec Corp. 77,000 133,358 Happinet Corp. 39,900 451,038 Harima Chemicals, Inc. 102,000 641,132 Haruyama Trading Co., Ltd. 53,200 676,020 Heiwado Co., Ltd. 92,000 1,268,975 Hibiya Engineering, Ltd. 209,000 1,621,092 Higashi-Nippon Bank, Ltd. 526,000 1,410,137 Himaraya Co., Ltd. 15,000 55,433 # Hisaka Works, Ltd. 88,000 868,667 Hitachi Cable, Ltd. 275,000 1,160,423 Hitachi Kiden Kogyo, Ltd. 69,000 269,582 Hitachi Koki Co., Ltd. 265,000 2,100,106 # Hitachi Kokusai Electric, Inc. 216,000 1,724,742 Hitachi Medical Corp. 213,000 2,951,974 Hitachi Metals Techno, Ltd. 44,000 132,879 # Hitachi Plant Engineering & Construction Co., Ltd. 595,000 2,573,433 Hitachi Transport System, Ltd. 355,000 2,984,463 Hochiki Corp. 38,000 150,681 Hokkai Can Co., Ltd., Tokyo 251,000 631,595 Hokkaido Coca Cola Bottling Co., Ltd. 126,000 808,212 Hokko Chemical Industry Co., Ltd. 114,000 408,604 Hokuetsu Bank, Ltd. 498,000 1,019,211 Hokuriku Electrical Construction Co., Ltd. 91,000 262,620 # Homac Corp. 216,800 1,517,624 Horipro, Inc. 54,200 440,923
3 * Howa Machinery, Ltd. 139,000 176,553 Ichikawa Co., Ltd. 122,000 473,027 # Ichikoh Industries, Ltd. 133,000 312,007 Ichiyoshi Securities Co., Ltd. 108,000 928,263 Idec Izumi Corp. 91,000 875,997 # Ihara Chemical Industry Co., Ltd. 209,000 589,317 i-Logistics Corp. 135,000 282,177 * Impress Corp. 211 242,350 Inaba Denki Sangyo Co., Ltd. 55,000 1,215,734 Inabata and Co., Ltd., Osaka 155,000 1,354,083 Ines Corp. 95,200 855,356 ISE Chemicals Corp. 99,000 404,184 Ishikawajima Construction Materials Co., Ltd. 76,000 219,253 Ishikawajima Transport Machinery Co., Ltd. 74,000 202,111 Ishizuka Glass Co., Ltd. 152,000 310,874 Itochu Enex Co., Ltd. 376,000 2,417,920 Itoham Foods, Inc. 557,000 2,694,357 Itoki Crebio Corp. 162,000 524,404 Iwaki & Co., Ltd. 106,000 275,248 Iwasaki Electric Co., Ltd. 88,000 289,832 * Iwatsu Electric Co., Ltd. 50,000 102,917 Izumiya Co., Ltd. 470,000 3,056,472 Jac Holdings Co., Ltd. 32,200 233,399 Jaccs Co., Ltd. 311,000 1,653,749 Jamco Corp. 17,000 85,930 Japan Airport Terminal Co., Ltd. 174,000 1,634,001 * Japan Bridge Corp. 31,000 40,105 Japan Digital Laboratory Co., Ltd. 120,700 1,280,939 # Japan Foundation Engineering Co., Ltd. 124,400 661,783 Japan Maintenance Co., Ltd. 52,300 507,778 Japan Oil Transportation Co., Ltd. 123,000 287,830 # Japan Pulp and Paper Co., Ltd. 712,000 2,336,680 * # Japan Radio Co., Ltd. 200,000 699,268 Japan Steel Tower Co., Ltd. 81,000 267,947 # Japan Steel Works, Ltd. 594,000 885,792 Japan Storage Battery Co., Ltd. 181,000 375,047 # Japan Transcity Corp. 227,000 779,162 Japan Vilene Co., Ltd. 162,000 789,036 Japan Wool Textile Co., Ltd. 338,000 1,976,444 Jeans Mate Corp. 5,590 58,924 JMS Co., Ltd. 180,000 553,488 Joban Kosan Co., Ltd. 105,000 172,231 J-Oil Mills, Inc. 367,000 1,293,555 Joint Corp. 9,400 218,020 # Joshin Denki Co., Ltd. 227,000 687,289 Jsp Corp. 25,300 283,922 Juel Verite Ohkubo Co., Ltd 39,000 102,332 * Jujiya Co., Ltd. 265,000 274,810 Juntendo Co., Ltd. 45,000 79,566 K.R.S. Corp. 7,000 102,483 Kagawa Bank, Ltd. 558,000 2,755,612 Kagoshima Bank, Ltd. 559,000 3,368,397 # Kahma Co., Ltd. 162,200 1,776,504 Kameda Seika Co., Ltd. 38,000 337,090
4 Kamei Corp. 186,000 1,696,507 Kanaden Corp. 140,000 715,315 Kanamoto Co., Ltd. 114,000 605,515 # Kandenko Co., Ltd. 519,000 2,749,193 Kanto Natural Gas Development Co., Ltd. 212,000 1,166,365 * Kanto Tsukuba Bank, Ltd. 58,500 337,820 Kasai Kogyo Co., Ltd. 118,000 391,937 Kasei (C.I.) Co., Ltd. 136,000 534,980 Katakura Chikkarin Co., Ltd. 78,000 233,400 Kato Sangyo Co., Ltd. 55,000 717,256 Kato Works Co., Ltd. 237,000 571,137 * Katsumura Construction Co., Ltd. 117,000 150,160 Kawada Industries, Inc. 213,000 576,754 * # Kawai Musical Instruments Manufacturing Co., Ltd. 104,000 154,323 * Kawasaki Kasei Chemicals, Ltd. 149,000 202,177 # Kawashima Textile Manufacturers, Ltd. 215,000 285,947 Kawasho Gecoss Corp. 126,400 598,577 # Kawasumi Laboratories, Inc. 74,000 509,018 Keihanshin Real Estate Co., Ltd. 165,000 788,751 Keihin Co., Ltd. 101,000 203,991 Keiiyu Co., Ltd. 37,200 469,023 Keiyo Co., Ltd. 200,900 832,560 Kinki Coca-Cola Bottling Co., Ltd. 287,000 2,574,361 Kioritz Corp. 279,000 749,856 Kishu Paper Co., Ltd. 346,000 585,122 Kitagawa Iron Works Co., Ltd. 123,000 256,620 Kita-Nippon Bank, Ltd. 36,600 1,728,880 Kitano Construction Corp. 284,000 638,888 Kitazawa Sangyo Co., Ltd. 77,500 182,134 Koa Corp. 254,700 1,805,238 Kodensha Co., Ltd. 43,000 132,627 Koekisha Co., Ltd. 23,700 510,268 Koike Sanso Kogyo Co., Ltd. 177,000 388,992 Koito Industries, Ltd. 156,000 675,039 # Kojima Co., Ltd. 157,800 1,653,448 * Kokune Corp. 99,000 963 * Kokusai Kogyo Co., Ltd. 150,000 455,323 Komai Tekko, Inc. 147,000 422,000 # Komatsu Seiren Co., Ltd. 109,000 624,621 Komatsu Wall Industry Co., Ltd. 21,200 379,301 Komori Corp. 153,000 2,111,232 Konaka Co., Ltd. 116,390 1,416,407 Kondotec, Inc. 35,000 265,434 Konishi Co., Ltd. 79,500 757,100 Kosaido Co., Ltd. 86,300 644,745 Kosei Securities Co., Ltd. 138,000 254,896 # Kumiai Chemical Industry Co., Ltd., Tokyo 351,000 902,528 Kurabo Industries, Ltd. 1,457,000 3,183,027 Kurimoto, Ltd. 620,000 1,523,209 Kuroganeya Co., Ltd. 41,000 172,659 Kurosaki Harima Corp. 245,000 728,364 Kyodo Printing Co., Ltd. 465,000 1,761,784 Kyoei Sangyo Co., Ltd. 65,000 214,623 Kyokuto Boeki Kaisha, Ltd. 104,000 301,860
5 Kyokuto Kaihatsu Kogyo Co., Ltd. 148,100 1,695,548 Kyosan Electric Manufacturing Co., Ltd. 247,000 759,475 Kyowa Exeo Corp. 89,000 783,756 Kyowa Leather Cloth Co., Ltd. 102,900 574,038 Kyudenko Corp. 336,000 1,648,771 * Kyushu-Shinwa Holdings, Inc. 1,222,000 2,189,138 # Laox Co., Ltd. 128,000 299,596 * Lonseal Corp. 159,000 176,188 * Look, Inc. 137,000 558,407 Maeda Corp. 886,000 3,963,801 Maeda Road Construction Co., Ltd. 442,000 3,256,254 Maezawa Industries, Inc. 86,400 509,530 Maezawa Kaisei Industries Co., Ltd. 39,800 740,997 Maezawa Kyuso Industries Co., Ltd. 57,600 797,658 Makino Milling Machine Co., Ltd. 76,000 409,130 Marubeni Construction Material Lease Co., Ltd. 30,000 62,969 Marubeni Infotec Corp. 14,000 41,794 Marubun Corp. 113,900 833,388 Marudai Food Co., Ltd. 841,000 1,682,388 * Maruei Department Store Co., Ltd. 191,000 440,841 Marusan Securities Co., Ltd. 146,000 879,479 Maruwa Co., Ltd. 33,100 504,928 Maruwn Corp. 105,000 280,763 # Maruyama Manufacturing Co., Inc. 180,000 857,283 Maruzen Co., Ltd. - General Commercial Kitchen Appliances & Equipment 20,000 110,932 Maruzen Showa Unyu Co., Ltd. 421,000 1,421,493 Maspro Denkoh Corp. 76,100 811,275 Matsui Construction Co., Ltd. 102,000 400,043 * # Matsuo Bridge Co., Ltd. 100,000 219,800 Matsuzakaya Co., Ltd. 268,000 1,029,105 * Meiji Machine Co., Ltd. 126,000 212,704 # Meiwa Estate Co., Ltd. 181,500 1,951,150 Meiwa Industry Co., Ltd. 46,000 146,922 # Mercian Corp. 1,019,000 2,508,404 * Mesco, Inc. 11,000 36,186 Mikuni Coca-Cola Bottling Co., Ltd. 215,000 2,039,592 Mirai Group Co., Ltd. 109,000 213,306 * Misawa Homes Holdings, Inc. 120,000 327,913 Mito Securities Co., Ltd. 219,000 656,189 Mitsuba Corp. 238,000 1,738,705 * # Mitsubishi Cable Industries, Ltd. 726,000 844,925 # Mitsubishi Paper Mills, Ltd. 1,547,000 2,386,140 Mitsubishi Pencil Co., Ltd. 111,000 951,257 Mitsubishi Shindoh Co., Ltd. 53,000 117,961 Mitsubishi Steel Manufacturing Co., Ltd. 209,000 313,588 Mitsuboshi Belting, Ltd. 111,000 421,470 Mitsui Home Co., Ltd. 104,000 508,432 * Mitsui Mining Co., Ltd. 156,000 615,047 Mitsui Sugar Co., Ltd. 506,000 1,272,464 Mitsui-Soko Co., Ltd. 294,000 939,885 Mitsuuroko Co., Ltd. 68,000 431,640 Miyaji Engineering Group 249,175 634,209 Miyazaki Bank, Ltd. 757,260 2,958,966
6 # Miyuki Keori Co., Ltd. 153,000 603,765 # Mizuno Corp. 611,000 2,555,578 Mori Seiki Co., Ltd. 210,000 1,829,497 Morita Corp. 130,000 771,813 Morozoff, Ltd., Osaka 110,000 218,160 Mory Industries, Inc. 136,000 420,142 # Mos Food Services, Inc. 80,000 1,071,691 # MR Max Corp. 153,800 502,079 * Mutoh Industries, Ltd. 176,000 470,264 Mutow Co., Ltd. 111,100 548,524 Myojo Foods Co., Ltd. 67,000 475,145 Nagano Bank, Ltd. 471,000 1,408,495 Nagase & Co., Ltd. 284,000 2,244,532 * Naigai Co., Ltd. 329,000 427,718 Nakabayashi Co., Ltd. 228,000 805,875 * Nakamichi Corp. 96,000 934 Nakamuraya Co., Ltd. 4,000 13,332 * Nakano Corp. 78,500 179,964 # Nakayama Steel Works, Ltd. 351,000 1,340,437 Nakayo Telecommunications, Inc. 46,000 228,149 Nanto Bank, Ltd. 225,000 1,087,641 NEC System Integration & Construction, Ltd. 240,600 1,990,220 # Neturen Co., Ltd., Tokyo 216,000 1,435,325 # Nichia Steel Works, Ltd. 170,200 724,994 Nichiban Co., Ltd. 135,000 514,130 # Nichimo Co., Ltd. 159,000 487,816 * Nichimo Corp. 182,000 146,466 Nichireki Co., Ltd. 128,000 465,394 Nihon Dempa Kogyo Co., Ltd. 35,500 760,579 Nihon Kagaku Sangyo Co., Ltd. 82,000 396,812 Nihon Matai Co., Ltd. 147,000 328,378 Nihon Nohyaku Co., Ltd. 255,000 492,645 Nihon Parkerizing Co., Ltd. 142,000 1,216,374 Nihon Shokuh Kako Co., Ltd. 166,000 472,115 Nihon Tokushu Toryo Co., Ltd. 60,000 426,250 # Nikko Co., Ltd., Akashi 171,000 553,992 Nikko Travel Co., Ltd. 12,600 70,595 * Nippei Toyama Corp. 161,000 331,095 Nippo Corp. 496,000 2,947,766 Nippon Beet Sugar Manufacturing Co., Ltd. 940,000 1,964,426 Nippon Broadcasting System, Inc. 59,600 2,817,992 Nippon Carbon Co., Ltd. 172,000 315,417 Nippon Chemical Industrial Co., Ltd. 104,000 352,017 Nippon Chemi-Con Corp. 131,000 673,271 Nippon Chutetsukan KK 141,000 281,866 Nippon Concrete Industries Co., Ltd. 188,000 748,591 * # Nippon Conveyor Co., Ltd. 129,000 160,064 Nippon Densetsu Kogyo Co., Ltd. 340,000 1,766,421 Nippon Denwa Shisetu Co., Ltd. 221,000 786,170 # Nippon Felt Co., Ltd. 63,000 324,149 Nippon Fine Chemical Co., Ltd. 109,000 460,852 Nippon Formula Feed Manufacturing Co., Ltd. 35,000 57,008 Nippon Hume Corp. 119,000 433,566 * # Nippon Kinzoku Co., Ltd. 57,000 112,307
7 # Nippon Koei Co., Ltd., Tokyo 350,000 937,788 Nippon Konpo Unyu Soko Co., Ltd. 196,000 1,923,299 * # Nippon Koshuha Steel Co., Ltd. 204,000 287,043 * Nippon Metal Industry Co., Ltd. 181,000 331,540 Nippon Pigment Co., Ltd. 35,000 122,271 Nippon Piston Ring Co., Ltd. 151,000 322,115 Nippon Road Co., Ltd. 394,000 801,605 Nippon Seiki Co., Ltd. 44,000 389,907 Nippon Seisen Co., Ltd. 60,000 234,400 # Nippon Sharyo, Ltd. 870,000 2,038,681 * Nippon Shinpan Co., Ltd. 591,000 2,090,011 Nippon Shinyaku Co., Ltd. 372,000 2,685,441 Nippon Signal Co., Ltd. 69,000 349,201 Nippon Soda Co., Ltd. 891,000 2,629,687 Nippon Synthetic Chemical Industry Co., Ltd. 386,000 920,852 Nippon Systemware Co., Ltd. 51,200 363,054 Nippon Tungsten Co., Ltd. 109,000 236,303 Nippon Valqua Industries, Ltd. 153,000 374,386 * Nippon Yakin Kogyo Co., Ltd. 180,500 848,702 Nishimatsu Construction Co., Ltd. 387,000 1,213,684 Nishishiba Electric Co., Ltd. 38,000 70,174 Nissei Plastic Industrial Co., Ltd. 87,000 571,445 * Nisseki House Industry Co., Ltd. 180,000 1,751 Nisshin Fire & Marine Insurance Co., Ltd. 72,000 258,780 Nisshin Fudosan Co., Ltd. 21,800 221,153 Nisshin Steel Co., Ltd. 2,041,000 4,863,859 Nisshinbo Industries, Inc. 227,000 1,551,528 Nissho Electronics Corp. 98,400 756,253 * Nissho Iwai-Nichmen Holdings Corp. 1,051,400 4,417,781 Nissin Corp. 213,000 534,724 # Nissin Electric Co., Ltd. 371,000 1,167,915 Nissin Sugar Manufacturing Co., Ltd. 305,000 592,792 # Nissui Pharmaceutical Co., Ltd. 61,000 370,106 Nittan Co., Ltd. 42,000 118,198 Nittan Valve Co., Ltd. 70,000 431,920 Nittetsu Mining Co., Ltd. 435,000 1,702,016 Nitto Boseki Co., Ltd. 1,348,000 2,675,831 Nitto Electric Works, Ltd. 54,200 516,282 Nitto FC Co., Ltd. 109,000 608,357 Nitto Flour Milling Co., Ltd. 161,000 445,883 Nitto Seiko Co., Ltd. 54,000 138,534 * Nittoc Construction Co., Ltd. 106,000 214,257 Noda Corp. 52,800 373,513 Nohmi Bosai, Ltd. 172,000 872,928 Nomura Co., Ltd. 70,000 455,719 # Noritsu Koki Co., Ltd. 92,800 1,911,944 # Noritz Corp. 73,000 1,063,696 Obayashi Road Corp. 189,000 425,971 Odakyu Construction Co., Ltd. 40,000 110,332 * Ohki Corp. 128,000 1,245 Oita Bank, Ltd. 747,000 3,766,766 Okabe Co., Ltd. 95,000 419,507 Oki Electric Cable Co., Ltd. 125,000 279,269 * OKK Corp. 149,000 348,859
8 * Okuma and Howa Machinery, Ltd. 164,000 370,538 * Okuma Corp. 125,000 494,015 Okumura Corp. 479,000 2,638,765 Okura Industrial Co., Ltd. 164,000 1,056,248 O-M, Ltd. 36,000 79,636 * Omikenshi Co., Ltd. 237,000 246,900 Oriental Construction Co., Ltd. 112,700 562,188 Original Engineering Consultants Co., Ltd. 15,500 88,782 Osaka Securities Finance Co., Ltd. 85,000 250,224 # Osaka Steel Co., Ltd. 195,700 2,432,232 Oyo Corp. 129,800 1,233,514 P.S. Mitsubishi Construction Co., Ltd. 129,200 563,177 Pacific Industrial Co., Ltd. 166,000 815,181 # PanaHome Corp. 364,000 1,867,459 Parco Co., Ltd. 121,000 702,953 * Penta-Ocean Construction Co., Ltd. 369,000 589,585 Piolax, Inc. 55,600 1,030,679 Pocket Card Co., Ltd. 11,600 179,520 Pokka Corp. 158,000 707,060 Posful Corp. 13,300 80,865 # Raito Kogyo Co., Ltd. 247,300 1,015,927 Rengo Co., Ltd. 135,000 618,719 * Renown D'urban Holdings, Inc. 83,960 785,013 Rheon Automatic Machinery Co., Ltd. 115,000 361,750 Rhythm Watch Co., Ltd. 208,000 436,336 Ricoh Elemex Corp. 101,000 590,572 Rikei Corp. 53,500 163,741 Riken Electric Wire Co., Ltd. 25,000 43,999 Riken Technos Corp. 210,000 916,150 Riken Vitamin Co., Ltd. 51,000 1,086,546 Roland Corp. 59,200 992,165 Royal Co., Ltd. 68,000 886,311 Ryoden Trading Co., Ltd. 237,000 1,387,484 Ryosan Co., Ltd. 209,500 4,728,512 Ryoyo Electro Corp. 176,700 2,569,049 S Foods, Inc. 56,500 414,392 Sagami Co., Ltd. 125,000 437,459 Sakai Chemical Industry Co., Ltd. 333,000 1,394,458 Sakai Heavy Industries, Ltd. 167,000 409,732 # Sakata Seed Corp. 270,300 3,286,854 * Sakurada Co., Ltd. 36,000 52,401 Sala Corp. 121,000 573,139 San In Godo Bank, Ltd. 347,000 2,782,881 San-Ai Oil Co., Ltd. 386,000 1,496,238 # Sanix, Inc. 151,500 1,221,189 Sankei Building Co., Ltd. 289,000 1,734,441 Sanki Engineering Co., Ltd. 428,000 2,958,961 Sanko Co., Ltd. 40,000 263,472 Sanko Metal Industrial Co., Ltd., Tokyo 85,000 170,542 Sankyo Seiko Co., Ltd. 104,000 446,237 Sanoh Industrial Co., Ltd. 110,000 727,341 Sanritsu Corp. 15,800 125,064 Sanshin Electronics Co., Ltd. 161,000 1,177,952 * Sansui Electric Co., Ltd. 522,000 152,726
9 Sanyo Denki Co., Ltd. 189,000 864,010 Sanyo Engineering & Construction, Inc. 86,000 323,533 Sanyo Industries, Ltd., Tokyo 128,000 317,846 Sanyo Special Steel Co., Ltd. 870,000 1,754,368 * Sasebo Heavy Industries Co., Ltd., Tokyo 301,000 397,820 * Sata Construction Co., Ltd., Gumma 106,000 113,893 Sato Shoji Corp. 83,000 585,812 Satori Electric Co., Ltd. 31,560 398,228 Seibu Electric Industry Co., Ltd. 91,000 421,181 Seika Corp. 75,000 179,085 * Seikitokyu Kogyo Co., Ltd. 184,000 269,529 Seiren Co., Ltd. 61,000 439,390 Sekisui Jushi Co., Ltd. 247,000 1,449,792 Sekisui Plastics Co., Ltd. 531,000 1,761,011 Sekonic Corp. 43,000 97,948 Senko Co., Ltd. 180,000 682,540 Senshukai Co., Ltd. 88,000 691,148 SFCG Co., Ltd. 17,020 4,189,164 Shaddy Co., Ltd. 76,500 759,042 Shibusawa Warehouse Co., Ltd. 297,000 727,031 Shibuya Kogyo Co., Ltd. 60,100 507,834 Shiga Bank, Ltd. 246,000 1,342,692 * Shikibo, Ltd. 444,000 550,633 Shikoku Coca-Cola Bottling Co., Ltd. 146,800 1,804,534 Shimizu Bank, Ltd. 39,800 1,824,124 Shin Nippon Air Technologies Co., Ltd. 101,920 705,455 Shinagawa Refractories Co., Ltd. 266,000 720,901 * Shindengen Electric Manufacturing Co., Ltd. 357,000 1,140,085 Shinki Co., Ltd. 313,000 3,071,114 Shinko Shoji Co., Ltd. 91,000 608,673 # Shinmaywa Industries, Ltd. 624,000 2,632,173 Shiraishi Corp. 36,000 59,812 Shizuki Electric Co., Inc. 62,000 169,212 * # Sho-Bond Corp. 123,900 991,352 Shobunsha Publications, Inc. 71,900 931,697 Shoei Foods Corp. 73,000 424,655 Showa Aircraft Industry Co., Ltd. 88,000 504,445 # Showa Electric Wire & Cable Co., Ltd., Kawasaki 986,000 1,290,452 # Showa Highpolymer Co., Ltd. 220,000 641,222 Showa Sangyo Co., Ltd. 146,000 341,646 Showa Tansan Co., Ltd. 75,000 246,984 Silver Ox Inc. 49,000 110,563 Simree Co., Ltd. 33,900 157,900 Sinanen Co., Ltd. 90,000 450,803 Sintokogio, Ltd., Nagoya 295,000 1,701,423 Snow Brand Seed Co., Ltd. 48,000 189,319 SNT Corp. 94,000 521,831 Soda Nikka Co., Ltd. 97,000 299,800 * Sofmap Co., Ltd. 48,400 205,090 Software Research Associates, Inc. 15,500 225,528 * # Sokkisha Co., Ltd. 90,000 228,268 Somar Corp. 59,000 182,917 Sonton Food Industry Co., Ltd. 55,000 590,498 Sotoh Co., Ltd. 26,000 418,279
10 Space Co., Ltd. 31,440 291,563 SRL, Inc. 114,000 1,313,640 Starzen Corp. 122,000 294,089 Subaru Enterprise Co., Ltd. 77,000 251,319 Sugimoto & Co., Ltd. 40,900 505,100 Suminoe Textile Co., Ltd. 309,000 584,197 Sumitomo Densetsu Co., Ltd. 143,700 600,268 Sumitomo Osaka Cement Co., Ltd. 845,000 1,858,475 Sumitomo Pipe & Tube Co., Ltd. 136,000 519,322 Sumitomo Precision Products Co., Ltd., Amagasaki City 212,000 686,739 Sumitomo Seika Chemicals Co., Ltd. 10,000 28,009 # Sumitomo Warehouse Co., Ltd. 679,000 3,075,367 Sun Wave Corp. 204,000 768,947 SunTelephone Co., Ltd. 131,000 756,464 * Suzutan Co., Ltd. 11,200 88,854 SXL Corp. 379,000 684,499 Tabai Espec Corp. 22,000 193,853 Tachikawa Corp. 71,800 450,725 Tachi-S Co., Ltd. 99,700 1,358,155 Tadano, Ltd. 281,000 1,334,358 Taihei Dengyo Kaisha, Ltd. 179,000 904,379 * Taihei Kogyo Co., Ltd. 151,000 564,476 * # Taiheiyo Kouhatsu, Inc. 168,000 224,091 Taiho Kogyo Co., Ltd. 122,300 1,241,523 Taikisha, Ltd. 60,000 811,649 Taisei Rotec Corp. 357,000 702,271 Takada Kiko Co., Ltd. 91,000 530,963 Takagi Securities Co., Ltd. 243,000 636,987 Takano Co., Ltd. 13,900 211,791 * Takaoka Electric Manufacturing Co., Ltd., Tokyo 117,000 185,008 * Taka-Q Co., Ltd. 96,000 202,876 Takara Standard Co., Ltd. 319,000 1,882,851 Takasago Thermal Engineering Co., Ltd. 430,000 2,758,136 Takigami Steel Construction Co., Ltd. 98,000 737,446 Takiron Co., Ltd. 199,000 900,354 # Takuma Co., Ltd. 173,000 1,255,276 Tamura Corp. 123,000 485,696 Tanseisha Co., Ltd. 15,000 58,643 # Tasaki Shinju Co., Ltd. 159,000 629,736 Tatsuta Electric Wire & Cable Co., Ltd. 296,000 577,834 Tayca Corp. 128,000 359,811 * # Teac Corp. 348,000 438,687 Techno Ryowa, Ltd. 57,700 324,786 # Teikoku Hormone Manufacturing Co., Ltd. 149,000 1,497,549 Teikoku Tsushin Kogyo Co., Ltd. 142,000 578,715 Tekken Corp. 548,000 913,844 Ten Allied Co., Ltd. 67,900 262,662 Tenma Corp. 163,400 2,679,182 Teraoka Seisakusho Co., Ltd. 59,000 509,094 Tetra Co., Ltd., Tokyo 116,000 331,803 * The Daito Bank, Ltd. 58,000 93,437 # The Nisshin Oillio Group, Ltd. 520,000 2,324,346 Tigers Polymer Corp. 85,000 447,185 * # Titan Kogyo KK 103,000 225,421
11 Toa Corp. 1,027,000 1,664,760 Toa Doro Kogyo Co., Ltd. 211,000 502,295 * Toabo Corp. 134,000 140,705 # Toagosei Co., Ltd. 419,693 1,333,755 TOC Co., Ltd. 117,000 995,284 Tochigi Bank, Ltd. 581,000 3,202,445 Tochigi Fuji Industrial Co., Ltd. 146,000 469,131 Toda Corp. 976,000 4,356,935 Toda Kogyo Corp. 175,000 686,327 Todentu Corp. 163,000 464,761 Toenec Corp. 503,000 2,047,537 Tohcello Co., Ltd. 92,000 383,231 Toho Bank, Ltd. 103,000 378,996 Toho Real Estate Co., Ltd. 223,000 849,196 Toho Zinc Co., Ltd. 111,000 284,912 Tohoku Bank, Ltd. 68,000 141,532 Tohoku Misawa Homes Co., Ltd. 62,900 227,212 Tohoku Pioneer Corp. 103,900 1,941,331 Tohoku Telecommunications Construction Co., Ltd. 55,000 427,792 Tohto Suisan Co., Ltd. 117,000 215,829 # Tokai Carbon Co., Ltd. 301,000 1,075,942 * Tokai Kanko Co., Ltd. 141,000 38,451 Tokai Konetsu Kogyo Co., Ltd. 29,000 105,167 * Tokai Lease Co., Ltd. 76,000 148,232 Tokai Senko KK, Nagoya 118,000 234,650 Tokai Tokyo Securities Co., Ltd. 436,000 1,238,153 Toko Electric Corp. 105,000 337,109 Toko, Inc. 470,000 1,333,228 # Tokushu Paper Manufacturing Co., Ltd. 209,000 1,004,211 Tokyo Biso Kogyo Corp. 46,000 307,233 Tokyo Denpa Co., Ltd. 3,500 39,508 Tokyo Dome Corp. 822,000 3,901,953 Tokyo Energy & Systems, Inc. 159,000 719,611 * # Tokyo Rope Manufacturing Co., Ltd. 736,000 1,363,792 Tokyo Sangyo Co., Ltd. 115,000 347,383 Tokyo Soir Co., Ltd. 85,000 258,086 Tokyo Style Co., Ltd. 30,000 335,337 Tokyo Theatres Co., Inc., Tokyo 11,000 15,520 # Tokyotokeiba Co., Ltd. 319,000 521,286 Tokyu Store Chain Corp. 110,000 531,799 Toli Corp. 279,000 674,023 Tomato Bank, Ltd. 174,000 383,203 # Tomoe Corp. 113,000 460,160 Tomoku Co., Ltd. 213,000 495,633 # Tonami Transportation Co., Ltd. 438,000 1,324,100 Topre Corp. 110,000 819,287 Torigoe Co., Ltd. 78,000 413,074 # Torishima Pump Manufacturing Co., Ltd., Osaka 121,000 674,775 Toshiba Plant Kensetsu Co., Ltd. 152,000 699,355 Tosho Printing Co., Ltd. 263,000 859,390 * Totenko Co., Ltd. 97,000 192,251 Totetsu Kogyo Co., Ltd. 146,000 589,850 * # Totoku Electric Co., Ltd., Tokyo 166,000 297,205 * # Towa Real Estate Development Co., Ltd. 123,500 296,763
12 Toyo Bussan Co., Ltd. 51,100 455,063 * # Toyo Communication Equipment Co., Ltd. 77,000 352,862 Toyo Electric Co., Ltd. 41,000 114,633 Toyo Ink Manufacturing Co., Ltd. 221,000 781,444 * Toyo Kanetsu KK 240,000 389,110 Toyo Kohan Co., Ltd. 525,000 2,038,507 Toyo Wharf & Warehouse Co., Ltd. 316,000 607,634 Toyoda Machine Works, Ltd. 351,000 2,858,212 Tsubakimoto Kogyo Co., Ltd. 15,000 34,913 # Tsudakoma Corp. 275,000 837,207 Tsugami Corp. 222,000 652,203 Tsukamoto Co., Ltd. 49,000 97,486 Tsukishima Kikai Co., Ltd. 238,000 1,691,274 Tsurumi Manufacturing Co., Ltd. 113,000 867,879 Tsutsunaka Plastic Industry Co., Ltd. 187,958 818,138 Tsuzuki Denki Co., Ltd. 90,000 331,562 Tsuzuki Densan Co., Ltd. 29,900 126,493 TYK Corp. 185,000 502,433 U.Store Co., Ltd. 31,900 325,561 Ube Material Industries, Ltd. 198,000 474,400 Uchida Yoko Co., Ltd. 230,000 929,349 Ueki Corp. 139,000 379,300 U-Shin, Ltd. 79,000 548,815 Wakachiku Construction Co., Ltd. 459,000 1,143,203 Wakodo Co., Ltd. 1,200 44,804 Warabeya Nichiyo Co., Ltd. 11,160 205,638 Yahagi Construction Co., Ltd. 41,000 154,753 Yamagata Bank, Ltd. 495,000 2,318,689 Yamaichi Electronics Co., Ltd. 56,600 665,452 # Yamamura Glass Co., Ltd. 600,000 1,362,353 Yamanashi Chuo Bank, Ltd. 361,000 2,125,899 # Yamatake Corp. 265,400 2,788,376 * Yamatane Corp. 132,000 190,408 Yamato Corp. 58,000 252,603 Yamato International, Inc. 72,000 454,979 Yamato Kogyo Co., Ltd. 96,000 1,289,876 Yamaura Corp. 76,500 197,228 Yasuda Warehouse Co., Ltd. 115,500 688,222 Ye Data, Inc. 34,000 94,133 Yellow Hat, Ltd., Tokyo 92,600 777,030 # Yodogawa Steel Works, Ltd. 869,000 4,117,524 Yokogawa Bridge Corp. 216,000 1,346,612 # Yokohama Reito Co., Ltd. 234,000 1,522,136 Yondenko Corp. 164,650 788,203 Yonex Co., Ltd. 99,000 860,791 Yorozu Corp. 54,200 442,005 Yuasa Funashoku Co., Ltd. 173,000 381,445 * Yuken Kogyo Co., Ltd. 55,000 152,150 Yuki Gosei Kogyo Co., Ltd. 80,000 268,076 Yuraku Real Estate Co., Ltd. 210,000 768,487 Yurtec Corp. 399,000 1,944,587 Yushiro Chemical Industry Co., Ltd. 31,000 483,975 ------------------ TOTAL COMMON STOCKS (Cost $489,563,477) 582,761,758 ------------------
13 INVESTMENT IN CURRENCY -- (0.4%) * Japanese Yen 11,508,901 ------------------ (Cost $11,505,386) TOTAL -- JAPAN (Cost $501,068,863) 594,270,659 ------------------ UNITED KINGDOM -- (19.6%) COMMON STOCKS -- (19.5%) 4imprint P.L.C. 194,691 533,756 600 Group P.L.C. 377,511 489,536 Abbeycrest P.L.C. 114,547 141,709 Aberdeen Asset Management P.L.C. 1,633,598 3,185,350 * Advanced Medical Solutions P.L.C. 787,802 116,906 AGA Food Service Group P.L.C. 1,617,973 7,913,440 * Airflow Streamlines P.L.C. 19,305 21,587 Airsprung Furniture Group P.L.C. 80,900 75,000 Alexandra P.L.C. 214,197 408,119 Alphameric P.L.C. 747,761 1,049,694 Alumasc Group P.L.C. 169,081 524,530 * Amberley Group P.L.C. 71,000 15,367 Anglo Eastern Plantations P.L.C. 214,043 683,353 Anglo Pacific Group P.L.C. 497,334 932,573 * Anite Group P.L.C. 656,160 668,329 * API Group P.L.C. 209,296 393,021 * Applied Optical Technologies P.L.C. 422,337 189,350 * ARC International P.L.C. 913,911 567,222 * Arena Leisure P.L.C. 645,000 456,263 * Argonaut Games, Ltd. 493,000 29,449 * Armour Group P.L.C. 225,000 290,684 Arriva P.L.C. 112,920 1,057,579 * Ashtead Group P.L.C. 2,183,506 3,350,107 Ashtenne Holdings P.L.C. 213,611 1,572,206 * Aston Villa P.L.C. 15,100 95,662 Atrium Underwriting P.L.C. 130,650 483,097 Austin Reed Group P.L.C. 178,581 440,321 Autologic Holdings P.L.C. 264,452 1,493,191 Avesco P.L.C. 56,789 102,901 Avon Rubber P.L.C. 179,746 703,179 Baggeridge Brick P.L.C. 302,294 833,882 * Baltimore Technologies P.L.C. 351,800 70,713 Beale P.L.C. 96,298 126,073 Beattie (James) P.L.C. 235,173 579,532 * Bede P.L.C. 283,000 212,283 Belhaven Brewery Group P.L.C. 33,181 277,316 Bellway P.L.C. 150,000 2,041,551 * Berkeley Technology, Ltd. 222,520 48,915 * Biocompatibles International P.L.C. 79,763 369,404 Bizspace P.L.C. 34,782 28,572 Black Arrow Group P.L.C. 35,000 40,476 Blacks Leisure Group P.L.C. 5,018 46,433
14 Body Shop International P.L.C. 4,923 16,422 Bodycote International P.L.C. 2,389,796 7,258,246 Boot (Henry) P.L.C. 173,704 1,457,267 Bovis Homes Group P.L.C. 764,415 7,367,168 Brammer P.L.C. 242,432 766,810 Brewin Dolphin Holdings P.L.C. 272,000 494,979 Bristol Water Group P.L.C. 148,168 1,459,898 Britannic P.L.C. 1,034,026 8,205,859 British Polythene Industries P.L.C. 192,265 1,179,813 British Vita P.L.C. 1,553,188 7,952,949 Brown (N) Group P.L.C. 2,342,303 5,992,434 BSS Group P.L.C. 83,203 1,308,921 * BTG P.L.C. 239,400 432,058 Burtonwood Brewery P.L.C. 128,780 1,160,702 Caffyns P.L.C. 18,165 237,552 * Cambridge Antibody Technology Group P.L.C. 122,700 1,403,445 * Cape P.L.C. 237,482 649,567 Capital & Regional P.L.C. 569,224 6,855,599 * Carbo P.L.C. 34,200 6,566 Carclo P.L.C. 314,404 278,774 Carr's Milling Industries P.L.C. 61,937 553,175 Castings P.L.C. 279,599 916,262 * Cenes Pharmaceuticals P.L.C. 250,000 34,711 Chapelthorpe P.L.C. 1,143,947 443,869 * Che Group P.L.C. 134,162 110,274 * Chorion P.L.C. 2,920 14,297 Churchill China P.L.C. 53,181 251,823 City North Group P.L.C. 139,996 593,557 * City of London Group P.L.C. 34,000 39,078 Clinton Cards P.L.C. 292,245 525,473 * CLS Holdings P.L.C. 605,920 4,481,550 Colefax Group P.L.C. 96,000 179,834 * # Colt Telecom Group P.L.C. 1,276,598 1,080,766 Communisis P.L.C. 849,814 1,813,465 Compel Group P.L.C. 73,000 128,961 * Cookson Group P.L.C. 4,545,789 2,931,211 Coral Products P.L.C. 102,000 75,358 * Corporate Services Group P.L.C. 1,423,456 184,491 Cosalt P.L.C. 46,973 302,519 Countryside Property P.L.C. 552,428 3,010,363 Courts P.L.C. 381,726 98,987 Cox Insurance Holdings P.L.C. 1,245,190 2,040,444 * Cradley Group Holdings P.L.C. 38,466 7,396 * Creightons P.L.C. 250,000 28,646 Crest Nicholson P.L.C. 650,741 4,209,827 Creston P.L.C. 40,400 114,884 Cropper (James) P.L.C. 29,000 88,757 Daejan Holdings P.L.C. 95,839 4,994,095 * Dana Petroleum P.L.C. 448,349 3,501,373 Dart Group P.L.C. 229,376 1,457,206 * Dawson International P.L.C. 502,194 91,145 Delta P.L.C. 1,150,757 2,124,964 Derwent Valley Holdings P.L.C. 475,329 8,929,523 Development Securities P.L.C. 181,942 1,387,736
15 DeVere Group P.L.C. 485,392 4,066,157 * Dimension Data Holdings P.L.C. 2,992,147 1,913,748 Diploma P.L.C. 70,000 795,421 * Dowding & Mills P.L.C. 862,770 177,106 DRS Data Research Services P.L.C. 51,000 33,862 DTZ Holdings P.L.C. 113,023 413,454 Dyson Group P.L.C. 150,000 988,864 East Surrey Holdings P.L.C. 309,446 2,214,043 * # Easyjet P.L.C. 2,217,691 7,884,540 * Easynet Group P.L.C. 71,000 98,997 Eleco P.L.C. 68,900 37,285 Electronic Data Processing P.L.C. 158,802 218,394 * Elementis P.L.C. 2,564,704 1,584,313 * Emerald Energy P.L.C. 74,090 188,200 * Emess P.L.C. 1,873,168 299,871 Ennstone P.L.C. 1,590,697 1,079,289 * Enodis P.L.C. 718,000 1,379,490 * Entertainment Rights P.L.C. 2,797,560 791,571 * Erinaceous Group P.L.C. 371,424 1,188,893 * Eurodis Electron P.L.C. 2,531,550 90,522 * European Colour P.L.C. 185,000 64,537 European Motor Holdings P.L.C. 271,675 1,046,186 Fenner P.L.C. 272,000 676,171 * Ferguson International Holdings P.L.C. 88,836 40,754 Ferraris Group P.L.C. 318,428 676,441 * Fibernet Group P.L.C. 403,764 605,419 * FII Group P.L.C. 104,900 13,535 Filtronic P.L.C. 388,560 1,453,479 * Financial Objects P.L.C. 139,000 151,342 First Technology P.L.C. 413,120 2,807,206 Fisher (James) & Sons P.L.C. 255,000 1,382,571 FKI P.L.C. 667,689 1,692,457 Fortress Holdings P.L.C. 200,000 109,911 Freeport P.L.C. 225,161 1,688,088 Fuller, Smith & Turner P.L.C. Series A 90,790 1,239,763 Fulmar P.L.C. 107,500 169,255 Future Network P.L.C. 669,770 812,548 Galliford Try P.L.C. 646,740 648,948 Game Group P.L.C. 2,463,197 3,208,738 * Garton Engineering P.L.C. 6,000 0 * Gaskell P.L.C. 40,000 7,248 GB Group P.L.C. 607,131 257,728 * Georgica P.L.C. 124,719 158,609 * Gladstone P.L.C. 158,000 65,161 Gleeson (M.J.) Group P.L.C. 303,626 1,176,120 * Global Natural Energy P.L.C. 40,317 146,319 Goodwin P.L.C. 5,000 26,646 Gowrings P.L.C. 15,000 29,106 Great Portland Estates P.L.C. 1,131,734 6,927,729 Greene King P.L.C. 161,379 3,680,445 * Greenwich Resources P.L.C. 312,000 17,146 Guiness Peat Group P.L.C. 530,152 801,698 * Gyrus Group P.L.C. 548,083 2,321,834 Halstead (James) Group P.L.C. 79,267 938,865
16 * Hampson Industries P.L.C. 481,250 200,282 * Hampton Trust P.L.C. 200,491 5,269 Hardy Underwriting Group P.L.C. 11,401 51,777 Hardys & Hansons P.L.C. 131,585 1,391,817 * Harvey Nash Group P.L.C. 100,000 152,612 * Hawtin P.L.C. 150,000 35,182 Haynes Publishing Group P.L.C. 25,591 171,291 Headway P.L.C. 101,967 221,947 Helical Bar P.L.C. 156,440 3,186,507 * Heywood Williams Group P.L.C. 688,840 1,160,470 Highbury House Communications P.L.C. 2,726,216 468,777 Highway Insurance Holdings P.L.C. 1,189,311 733,021 Hill & Smith Holdings P.L.C. 74,890 171,728 Hiscox P.L.C. 1,873,464 5,692,277 Hit Entertainment P.L.C. 12,647 62,831 Hitachi Capital (UK) P.L.C. 150,432 685,856 * Homestyle Group P.L.C. 431,208 1,058,202 House of Fraser P.L.C. 1,396,407 2,818,528 Hunting P.L.C. 805,904 2,797,029 * IAF Group P.L.C. 66,500 21,609 IFX Group P.L.C. 172,779 323,622 Incepta Group P.L.C. 1,182,916 1,537,268 Infast Group P.L.C. 841,899 301,870 * Intec Telecom Systems P.L.C. 462,054 595,238 Intelek P.L.C. 555,250 92,583 Intserve P.L.C. 145,032 872,479 Inveresk P.L.C. 756,409 137,756 * IQE P.L.C. 125,500 24,531 * Jarvis Porter Group P.L.C. 101,000 19,306 JJB Sports P.L.C. 595,749 2,312,425 JKX Oil and Gas P.L.C. 581,306 1,350,620 John David Group P.L.C. 45,672 172,287 Johnson Service Group P.L.C. 37,000 280,183 * Kalamazoo Computer Group P.L.C. 12,200 408 KBC Advanced Technologies P.L.C. 335,668 236,855 * Kewill Systems P.L.C. 60,000 74,429 Kiln P.L.C. 35,777 55,060 * Kingston Communications P.L.C. 2,984,965 3,516,545 * Knowledge Support Systems Group P.L.C. 136,000 2,080 Laing (John) P.L.C. 226,209 1,024,783 Laird Group P.L.C. 216,800 1,514,194 Lambert Howarth Group P.L.C. 118,489 643,759 * Lamont Holdings P.L.C. 100,000 1,195 * Laura Ashley Holdings P.L.C. 375,000 98,484 Lavendon Group P.L.C. 244,915 686,634 * Leeds Group P.L.C. 241,639 62,059 Linton Park P.L.C. 40,500 286,249 Litho Supplies P.L.C. 107,000 99,292 London Industrial P.L.C. 128,461 4,985,472 London Merchant Securities P.L.C. 2,443,313 9,355,307 Lookers P.L.C. 203,811 1,176,677 Low & Bonar P.L.C. 626,981 1,429,934 Luminar P.L.C. 900,284 8,616,945 Lupus Capital P.L.C. 1,125,000 354,219
17 Macfarlane Group P.L.C. 823,481 488,556 Macro 4 P.L.C. 44,820 158,811 Mallett P.L.C. 69,900 382,649 Management Consulting Group P.L.C. 1,273,000 1,066,770 # Manganese Bronze Holdings P.L.C. 105,064 383,051 Marlborough Stirling P.L.C. 404,000 320,826 * Marylebone Warwick Balfour Group P.L.C. 790,303 1,006,605 Mayborn Group P.L.C. 50,000 253,314 * Mayflower Corp. P.L.C. 1,809,000 233,408 McAlpine (Alfred) P.L.C. 766,927 4,233,945 McKay Securities P.L.C. 178,773 870,815 * Medical Solutions P.L.C. 61,000 7,871 * Medisys P.L.C. 800,000 112,745 Merrydown P.L.C. 94,172 227,679 Mersey Docks & Harbour Co. P.L.C. 575,409 9,823,326 Metalrax Group P.L.C. 200,000 296,523 Mice Group P.L.C. 510,721 496,932 * Microgen P.L.C. 662,208 695,548 * Mid-States P.L.C. 50,000 15,292 Minerva P.L.C. 1,381,242 7,656,439 Molins P.L.C. 101,360 295,771 Montpellier Group P.L.C. 14,000 4,594 * Morgan Crucible Company P.L.C. 1,758,048 5,567,765 Morse P.L.C. 101,664 193,942 Moss Brothers Group P.L.C. 450,000 909,085 Mothercare P.L.C. 119,766 665,651 Mowlem (John) & Co. P.L.C. 632,218 2,260,254 MS International P.L.C. 49,000 70,255 MSB International P.L.C. 125,552 197,000 Mtl Instruments Group P.L.C. 11,100 54,231 Mucklow (A & J) Group P.L.C. 324,211 2,098,518 * Music Choice Europe P.L.C. 191,633 63,127 * # My Travel Group P.L.C. 3,336,000 330,494 * Ncipher P.L.C. 170,097 710,451 Nestor Healthcare Group P.L.C. 487,994 1,259,960 * Nettec P.L.C. 220,000 7,359 * New Avesco P.L.C. 56,789 80,332 NHP P.L.C. 1,926,517 9,465,097 Nichols P.L.C. 48,000 156,675 * Noble Investments (UK) P.L.C. 300 301 Northamber P.L.C. 98,276 176,583 * NSB Retail P.L.C. 1,895,000 1,024,205 * NXT P.L.C. 48,000 45,811 Owen (H.R.) P.L.C. 79,333 307,135 Oxford Instruments P.L.C. 269,240 997,197 * Pace Micro Technology P.L.C. 616,176 647,799 Panther Securities P.L.C. 45,000 247,300 Parity Group P.L.C. 420,000 80,262 Partridge Fine Arts P.L.C. 33,000 36,586 Pendragon P.L.C. 237,500 1,206,142 Penna Consulting P.L.C. 89,000 226,308 * Pharmagene P.L.C. 387,527 300,292 PHS Group P.L.C. 2,604,909 3,462,840 * Pilkingtons Tiles Group P.L.C. 170,000 13,406
18 * Pillar Property P.L.C. 601,021 8,098,558 Pittards P.L.C. 39,000 18,286 * Plantation & General P.L.C. 64,601 22,845 Portmeirion Group P.L.C. 56,335 196,524 Porvair P.L.C. 245,971 487,851 * Premier Oil P.L.C. 396,934 4,246,607 * Pressac P.L.C. 429,000 41,791 Primary Health Properties P.L.C. 102,890 534,251 * Probus Estates P.L.C. 416,666 6,571 * Provalis P.L.C. 2,427,440 396,079 Psion P.L.C. 2,637,694 2,767,634 * QA P.L.C. 80,000 4,402 * Quays Group P.L.C. 71,000 8,143 Quintain Estates & Development P.L.C. 458,696 4,147,535 RAC P.L.C. 215,033 2,506,759 Radamec Group P.L.C. 71,000 37,422 Ransom (William) & Son P.L.C. 115,000 113,216 Raven Mount P.L.C. 125,337 161,864 * Redbus Imterhouse P.L.C. 692,230 188,251 * Redstone P.L.C. 2,527,827 381,570 Reg Vardy P.L.C. 240,559 2,058,279 Regent Inns P.L.C. 754,549 727,767 Renold P.L.C. 434,470 614,995 Ricardo P.L.C. 228,464 957,754 Rowe Evans Investments P.L.C. 95,900 292,254 Roxboro Group P.L.C. 60,000 425,568 * Royal Doulton P.L.C. 588,000 123,653 RPC Group P.L.C. 355,740 1,434,298 Rugby Estates P.L.C. 68,065 367,378 Rutland Trust P.L.C. 182,210 128,869 S & U P.L.C. 7,000 73,389 * Safeland P.L.C. 100,000 109,045 # Sanctuary Group P.L.C. 2,860,079 2,527,827 Savills P.L.C. 90,000 717,755 Scapa Group P.L.C. 813,287 436,620 * SDL P.L.C. 166,480 383,489 Senior P.L.C. 2,068,718 1,503,921 * SFI Group P.L.C. 79,000 46,813 Shaftesbury P.L.C. 1,180,236 6,858,002 * Sherwood Group P.L.C. 424,000 76,995 Shiloh P.L.C. 25,000 60,445 * ShopRite Group P.L.C. 196,000 45,895 * Simon Group P.L.C. 962,861 792,966 Sinclair (William) Holdings P.L.C. 81,940 87,598 Singer & Friedlander Group P.L.C. 1,541,615 8,264,166 Sirdar P.L.C. 280,105 173,320 Smart (J.) & Co. (Contractors) P.L.C. 18,263 204,222 Smith (David S.) Holdings P.L.C. 2,885,802 8,215,555 Smith (James) Estates P.L.C. 101,632 791,647 Smith (WH) P.L.C. 259,297 1,477,504 * Soco International P.L.C. 5,000 28,431 Somerfield P.L.C. 1,959,426 5,717,342 Speedy Hire P.L.C. 15,000 138,272 * Spirent P.L.C. 2,120,832 2,888,659
19 Spring Group P.L.C. 200,000 369,060 St. Ives P.L.C. 272,175 2,014,714 St. Modwen Properties P.L.C. 214,000 1,255,520 Stanley (Charles) Group P.L.C. 150,000 734,015 Stanley Leisure P.L.C. 1,140,394 9,735,064 * Sterling Publishing Group P.L.C. 300,000 77,416 Stylo P.L.C. 5,293 6,172 Swallowfield P.L.C. 60,849 101,564 * Tadpole Technology P.L.C. 296,000 59,466 * Tandem Group P.L.C. 472,000 0 Taylor Woodrow P.L.C. 76,520 339,566 # TBI P.L.C. 4,253,603 7,467,979 * Telecity P.L.C. 389,352 102,138 Telemetrix P.L.C. 143,000 352,537 * Telspec P.L.C. 205,000 48,938 * Terence Chapman Group P.L.C. 62,500 379 Tex Holdings P.L.C. 11,000 27,077 The Big Food Group P.L.C. 2,166,175 3,832,591 The Cardiff Property P.L.C. 4,000 60,021 * The Innovation Group P.L.C. 889,000 650,707 The Malcolm Group P.L.C. 388,408 724,339 * The Television Corp. P.L.C. 202,247 373,503 Thorpe (F.W.) P.L.C. 19,149 121,737 * Thus Group P.L.C. 9,852,260 2,687,906 Tinsley (Eliza) Group P.L.C. 145,967 71,204 Titon Holdings P.L.C. 36,110 70,562 # Tops Estates P.L.C. 275,064 1,802,442 * Torotrak P.L.C. 167,000 237,172 * Tottenham Hotspur P.L.C. 146,000 76,169 Town Centre Securities (New) P.L.C. 384,986 2,405,069 Trace Computers P.L.C. 33,014 50,792 * Trafficmaster P.L.C. 300,000 438,274 Transport Development Group P.L.C. 470,684 2,034,689 Treatt P.L.C. 28,663 103,004 Trifast P.L.C. 6,000 9,007 TT Electronics P.L.C. 970,082 3,566,405 U.K. Coal P.L.C. 904,171 2,296,041 UCM Group P.L.C. 166,000 222,652 Ultraframe P.L.C. 24,169 39,257 Umeco P.L.C. 96,782 762,798 Uniq P.L.C. 755,514 3,012,882 Unite Group P.L.C. 669,432 3,217,585 Universal Salvage P.L.C. 135,633 198,337 Urbium P.L.C. 1,752 17,037 Vega Group P.L.C. 14,000 46,340 * Vernalis P.L.C. 132,072 218,122 Victoria P.L.C. 52,231 227,562 Vislink P.L.C. 533,047 214,214 * Volex Group P.L.C. 195,418 356,902 VP P.L.C. 315,426 949,442 * Vtr P.L.C. 13,000 22,529 Wagon P.L.C. 333,848 1,047,100 * Walker Greenbank P.L.C. 297,910 51,251 Warner Estate Holdings P.L.C. 297,920 2,796,822
20 * Waterdorm P.L.C. 70,000 0 Waterman P.L.C. 203,969 365,065 Wembley P.L.C. 171,000 2,225,874 Westbury P.L.C. 999,554 7,313,887 Whitehead Mann Group P.L.C. 22,000 66,476 Willliam Jacks P.L.C. 10,000 14,814 Wilmington Group P.L.C. 422,000 1,105,781 * Wilshaw P.L.C. 28,000 4,683 Wolverhampton & Dudley Breweries P.L.C. 648,661 11,345,783 Woolworths Group P.L.C. 11,067,763 9,415,643 WSP Group P.L.C. 366,454 1,618,073 Wyevale Garden Centres P.L.C. 372,593 2,644,140 Wyndeham Press Group P.L.C. 293,019 720,016 XANSA P.L.C. 759,231 1,342,379 * Xenova Group P.L.C. 2,170,484 258,316 * Yorkshire Group P.L.C. 117,096 12,870 Young & Co's Brewery P.L.C. Class A 8,950 224,375 Zotefoams P.L.C. 196,330 253,317 ------------------ TOTAL COMMON STOCKS (Cost $367,969,862) 489,349,711 ------------------ INVESTMENT IN CURRENCY -- (0.1%) * British Pound Sterling 3,737,462 ------------------ (Cost $3,651,554) RIGHTS/WARRANTS -- (0.0%) * Letter of Entitlements - Audemars Piguet 81,758 0 * SFI Holdings Litigation Certificate 79,000 0 * Xenova Group P.L.C. Warrants 12/31/08 125,718 5,107 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 5,107 ------------------ TOTAL -- UNITED KINGDOM (Cost $371,621,416) 493,092,280 ------------------ AUSTRALIA -- (6.2%) COMMON STOCKS -- (6.1%) A.P. Eagers, Ltd. 28,897 159,988 * Adacel Technologies, Ltd. 123,126 28,443 Adelaide Brighton, Ltd. 3,044,414 3,964,170 # Adsteam Marine, Ltd. 2,090,659 2,646,739 Alesco Corp., Ltd. 82,751 520,924 * Altium, Ltd. 279,609 64,844 Amalgamated Holdings, Ltd. 511,945 1,642,702 Amcom Telecommunications, Ltd. 1,845,098 298,052 * Amrad Corp., Ltd. 638,574 255,946 Ansell, Ltd. 318,229 2,255,693 APN News & Media, Ltd. 230,719 890,070 Ariadne Australia, Ltd. 369,295 111,106 * Atlas Pacific, Ltd. 113,450 14,891 AuIron Energy, Ltd. 90,569 157,738
21 Ausdrill, Ltd. 531,573 209,382 Auspine, Ltd. 374,177 1,118,259 * Austal, Ltd. 654,587 984,919 * # Austar United Communications, Ltd. 1,264,310 879,344 # Austereo Group, Ltd. 2,895,433 3,622,909 * Austral Coal, Ltd. 999,323 617,864 Australand Property Group 1,482,355 2,085,856 Australian Agricultural Co., Ltd. 1,083,109 1,248,368 Australian Pharmaceutical Industries, Ltd. 849,117 2,234,683 * Australian Worldwide Exploration, Ltd. 116,990 176,489 Auto Group, Ltd. 64,351 32,878 # AV Jennings Homes, Ltd. 1,345,251 1,686,961 Avatar Industries, Ltd. 114,089 67,888 * Avexa, Ltd. 319,287 64,411 AWB, Ltd. 328,591 1,207,933 * BayCorp Advantage, Ltd. 1,734,835 4,180,839 Beach Petroleum NL 1,636,811 581,047 * Biota Holdings, Ltd. 136,051 60,848 Boral, Ltd. 23,843 126,920 Brickworks, Ltd. 139,350 1,237,944 Bridgestone Australia, Ltd. 69,645 191,345 * Burns, Philp & Co., Ltd. 748,991 514,803 Caltex Australia, Ltd. 402,300 2,851,701 Candle Australia, Ltd. 297,395 474,064 Capral Aluminium, Ltd. 426,268 784,686 Cellnet Telecommunications Group, Ltd. 281,809 372,143 Central Equity, Ltd. 447,284 702,889 * Chiquita Brands South Pacific, Ltd. 684,380 413,107 Circadian Technologies, Ltd. 38,781 65,730 * Climax Mining, Ltd. 352,562 28,353 * # Clough, Ltd. 2,914,860 1,126,308 Coates Hire, Ltd. 275,116 965,222 Collection House, Ltd. 312,600 418,063 Commander Communications, Ltd. 496,380 916,873 * Coplex Resources NL 351,512 24,546 Coventry Group, Ltd. 227,864 1,290,147 * CPI, Ltd. 121,577 76,201 Crane Group, Ltd. 434,966 3,398,069 # Croesus Mining NL 2,282,517 1,051,784 * Cumnock Coal, Ltd. 15,710 5,790 # DCA Group, Ltd. 611,663 1,588,288 Devine, Ltd. 685,010 361,024 * Dominion Mining, Ltd. 116,119 34,877 Downer Group, Ltd. 1,980,116 6,853,909 * Emporer Mines, Ltd. 189,033 92,895 Energy Developments, Ltd. 789,285 2,099,252 Energy Resources of Australia, Ltd. Series A 200,366 984,003 * Energy World Corp., Ltd. 393,461 5,141 Evans & Tate, Ltd. 80,488 65,979 # FKP, Ltd. 409,028 1,141,964 * Forest Enterprises Australia, Ltd. 1,368,992 688,209 # Futuris Corp., Ltd. 4,233,124 6,907,567 Gazal Corp., Ltd. 89,069 255,416 Globe International, Ltd. 3,230,264 1,210,639
22 Gowing Bros., Ltd. 148,979 304,597 * Gowing Retail, Ltd. 5,323 1,151 * Gradipore, Ltd. 43,768 27,071 # Graincorp, Ltd. Series A 54,918 560,457 Grand Hotel Group 1,775,144 1,110,558 GRD NL 130,884 283,637 Great Southern Plantations, Ltd. 375,976 1,099,652 Green's Foods, Ltd. 101,626 73,007 GUD Holdings, Ltd. 96,340 822,988 * Gympie Gold, Ltd. 266,614 115,845 * Haoma Mining NL 440,554 34,036 Healthscope, Ltd. 143,376 445,984 Henry Walker Eltin Group, Ltd. 1,153,772 503,874 HGL, Ltd. 226,059 341,020 Home Building Society, Ltd. 8,851 41,977 Housewares International, Ltd. 140,860 291,866 * Hudson Investment Group, Ltd. 297,500 6,002 * # Hutchison Telecommunications (Australia), Ltd. 3,976,153 1,115,760 Iluka Resources, Ltd. 1,840,798 8,320,098 * Imdex, Ltd. 202,532 29,529 * Intercard Wireless, Ltd. 62,379 2,178 * Intermoco, Ltd. 558,800 32,663 * International All Sports, Ltd. 37,973 9,994 # Investor Group, Ltd. 42,466 129,022 # ION, Ltd. 554,140 422,302 IWL, Ltd. 44,166 77,140 JDV, Ltd. 40,681 24,418 # Jones (David), Ltd. 805,650 1,440,658 K&S Corp., Ltd. 85,482 194,396 Keycorp, Ltd. 124,013 174,460 Lemarne Corp., Ltd. 38,606 75,779 Lighting Corp., Ltd. 599,001 369,326 # MacArthur Coal, Ltd. 634,488 2,081,122 MacMahon Holdings, Ltd. 305,720 114,530 * Macquarie Corporate Telecommunications, Ltd. 303,300 44,605 Magellan Petroleum Australia, Ltd. 29,537 30,228 MaxiTRANS Industries, Ltd. 182,891 151,052 McGuigan Simeon Wines, Ltd. 100,766 410,084 McPherson's, Ltd. 38,186 162,344 # Miller's Retail, Ltd. 1,778,400 1,664,027 * Minara Resources, Ltd. 460,025 772,661 Namoi Cotton Cooperative, Ltd. 152,330 69,156 National Can Industries, Ltd. 18,850 21,954 Nufarm, Ltd. 220,300 1,405,078 Onesteel, Ltd. 1,077,345 2,054,735 * Orbital Engine Corp., Ltd. 165,000 14,830 Pacific Group, Ltd. 959,052 2,710,301 Pacific Hydro, Ltd. 151,273 431,486 * Payce Consolidated, Ltd. 86,666 181,444 * Perilya Mines NL 577,717 382,910 * Petsec Energy, Ltd. 153,726 168,700 * Plantcorp NL 14,403 0 Plaspak Group, Ltd. 471,665 342,529 * PMP, Ltd. 666,000 1,039,875
23 Port Bouvard, Ltd. 473,589 497,523 Portman, Ltd. 1,002,116 2,340,792 * PowerTel, Ltd. Series B 441,788 476,177 * Pracom, Ltd. 122,300 1,328 Prime Television, Ltd. 676,788 1,652,456 * Primelife Corp., Ltd. 272,182 352,565 Queensland Cotton Holdings, Ltd. 151,610 529,403 * Reinsurance Australia Corp., Ltd. 1,605,774 708,655 * Resolute Mining, Ltd. 89,083 104,105 # Ridley Corp., Ltd. 1,815,994 1,910,071 * # Roc Oil Co., Ltd. 933,529 1,323,032 * Senetas Corp., Ltd. 206,798 39,359 Servcorp, Ltd. 28,622 59,278 Seven Network, Ltd. 705,659 3,432,084 Sigma Co., Ltd. 152,700 1,100,741 * Silex System, Ltd. 197,100 191,549 Smorgon Steel Group, Ltd. 5,149,119 4,771,692 SMS Management & Technology, Ltd. 1,239,198 327,191 * # Sons of Gwalia, Ltd. 942,771 950,942 # Southern Cross Broadcasting (Australia), Ltd. 496,987 5,946,418 * Southern Pacific Petroleum NL 424,400 79,030 # SPC Ardmona, Ltd. 1,286,654 2,113,532 Spotless Group, Ltd. 5,600 21,386 * St. Barbara Mines, Ltd. 329,338 18,990 * Straits Resources, Ltd. 577,289 823,870 * Strathfield Group, Ltd. 165,666 28,209 * Tap Oil, Ltd. 838,883 1,192,233 * Television & Media Services, Ltd. 240,000 7,806 # Ten Network Holdings, Ltd. 656,900 2,159,712 Thakral Holdings Group 4,169,239 2,348,864 The Gribbles Group, Ltd. 2,006,458 961,952 Ticor, Ltd. 803,346 931,204 # Timbercorp, Ltd. 1,368,442 2,174,109 * Titan Resources NL 855,700 141,965 Triako Resources, Ltd. 35,100 44,920 Trust Company of Australia, Ltd. 22,214 149,320 United Group, Ltd. 91,667 456,968 UXC, Ltd. 540,867 342,944 Villa World, Ltd. 231,802 276,220 * # Village Roadshow, Ltd. 1,517,302 2,341,563 Vision Systems, Ltd. 1,032,478 969,512 # Volante Group, Ltd. 265,009 311,246 # Wattyl, Ltd. 566,565 1,677,679 * Webster, Ltd. 177,300 117,586 Wide Bay Capricorn Building Society, Ltd. 29,461 152,347 * Xanadu Wines, Ltd. 150,525 9,174 * Yates, Ltd. 144,138 5,789 ------------------ TOTAL COMMON STOCKS (Cost $105,792,021) 152,706,622 ------------------ INVESTMENT IN CURRENCY -- (0.1%) * Australian Dollar 1,312,886 ------------------ (Cost $1,266,921)
24 PREFERRED STOCKS -- (0.0%) Southern Cross Broadcasting (Australia), Ltd. 7,294 84,891 * Village Roadshow, Ltd. 2% Class A 448,305 592,647 ------------------ TOTAL PREFERRED STOCKS (Cost $393,188) 677,538 ------------------ TOTAL -- AUSTRALIA (Cost $107,452,130) 154,697,046 ------------------ FRANCE -- (4.6%) COMMON STOCKS -- (4.6%) * Actielec Technologies 28,700 135,653 Affine 9,997 906,960 * Alain Manoukian SA 9,565 356,836 Ares (Groupe) SA 40,932 267,145 Aubay SA 57,977 303,097 # Bacou-Dalloz 35,939 2,768,380 Bains de Mer et du Cercle des Etrangers a Monaco 7,064 3,724,441 * Bigben Interactive 13,755 53,108 Bongrain SA 68,318 4,636,624 * Bull SA 1,328,747 831,159 Burelle SA 11,325 1,344,243 * Cap Gemini SA 22,766 734,776 * Carbone Lorraine 37,158 1,806,362 CEGID SA 4,108 133,976 CFF Recycling SA 77,680 2,043,039 * CGBI 7,000 3,057 Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux Sa 48,652 2,761,324 * # Club Mediterranee SA 76,303 3,504,750 Compagnie Internationale Andre Trigano Ciat SA 2,100 58,668 * Conflandey SA 1,939 31,044 Consortium International de Diffusion et de Representation Sante 1,300 14,286 Crometal SA 7,844 499,359 * CS Communication et Systemes 13,500 531,232 Delachaux SA 9,672 1,274,526 * Desquenne et Giral SA 4,761 62,762 Deveaux SA 5,487 568,679 Didot-Bottin 1,204 144,175 * Dynaction SA 14,102 307,746 Elior 58,756 600,363 Etam Developpement SA 34,200 724,529 * Euraltech SA 55,173 101,389 * # Euro Disney SCA 5,082,010 1,829,230 Evialis SA 12,253 489,182 * Explosifs et de Produits Chimiques 312 117,354 * Faros SA 14,221 54,701 # Faurecia SA 14,175 1,060,155 Fimalac SA 108,252 4,906,620 Francois Freres (Tonnellerie) SA 7,177 196,444 * Gantois Series A 465 6,551
25 Gascogne SA 10,334 925,505 Gaumont 10,491 761,344 * Generale de Geophysique SA 63,182 4,001,039 * Geodis SA 4,900 511,024 Gevelot 4,129 288,378 GFI Informatique SA 163,600 970,667 Groupe Bourbon SA 5,724 275,139 * Groupe Flo SA 52,020 350,085 * Groupe Focal SA 5,149 32,163 Groupe Guillin SA 480 33,121 Guerbet SA 4,911 444,272 Guyenne et Gascogne SA 13,079 1,444,616 Hbs Technologie SA 405 8,107 IDSUD 2,000 66,639 * Immobiliere et Hoteliere SA 27,700 73,581 * IMS International Metal Service SA 89,627 905,299 Ingenico SA 20,000 326,999 Laurent-Perrier 17,743 740,161 Lisi SA 42,753 2,218,965 * # LVL Medical Groupe SA 27,900 205,517 * Maire (Henri) 1,252 15,069 # Marionnaud Parfumeries Retails Perfumes 86,786 2,564,953 * Matussiere et Forest SA 15,720 60,589 * Metaleurop SA 62,320 44,726 MGI Coutier SA 9,404 436,479 Montupet SA 53,534 1,498,364 Nexans 106,551 4,104,461 Nord Est SA 31,078 1,801,170 * # Oeneo 61,605 83,394 * Otor SA 58,348 286,866 * Paris Orleans et Cie SA 1,336 305,288 * # Penauille Polyservices SA 98,852 1,063,931 # Pinguely-Haulotte SA 174,819 1,296,208 Plastic Omnium SA 51,607 2,755,134 Plastivaloire SA 12,734 372,623 Prosodie SA 22,600 584,248 Provimi SA 71,296 1,500,581 PSB Industries SA 2,952 506,057 * Radiall SA 11,998 989,515 Remy Cointreau SA 84,402 3,124,080 Robertet SA 1,300 174,245 Rougier SA 2,715 213,121 * S.T. Dupont SA 26,155 174,307 SA Fromageries Bel la Vache Qui Rit 3,875 680,556 Sabeton 18,460 273,938 Saint-Etienne 600 21,665 Sasa Industries SA 8,994 261,316 * Saveurs de France-Brossard 5,500 191,905 * # Scor SA 3,171,250 5,894,535 SDR de Bretagne SA 10,437 369,060 Sechilienne-Sidec 1,000 258,619 Securidev SA 16,908 276,535 Selectibail 117,874 4,593,674 Setforge 600 22,897
26 Signaux Girod SA 6,528 456,501 SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 62,165 5,626,699 Skis Rossignol SA 7,216 130,805 Smoby SA 4,911 523,075 Societe Industrielle D'Aviations Latecoere SA 20,648 887,602 Sucriere de Pithiviers-le-Vieil 2,335 1,765,450 * Sylis SA 42,904 314,130 Taittinger SA 1,086 305,665 * Teamlog SA 38,219 97,830 Tivoly SA 1,904 48,968 * # Ubi Soft Entertainment SA 89,883 1,921,684 # Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 43,572 6,024,506 * Valtech, La Defense 251,100 330,600 Vilmorin et Cie SA 16,610 3,237,489 VM Materiaux SA 3,272 338,505 Vranken Monopole 22,961 1,095,757 * Xilam Animation 12,911 25,907 * XRT 82,301 71,933 ------------------ TOTAL COMMON STOCKS (Cost $77,666,269) 114,479,761 ------------------ RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 133,819 149,395 * Groupe Ares SA Warrants 10/03/05 29,000 5,400 * Oeneo Warrants 08/26/06 28,305 1,505 * Prosodie SA Warrants 10/28/06 19,600 9,786 * Ubi Soft Entertainment SA Warrants 05/14/06 66,800 17,746 * Valtech, La Defense Warrants 07/29/05 251,100 10,129 ------------------ TOTAL RIGHTS/WARRANTS (Cost $114,954) 193,961 ------------------ TOTAL -- FRANCE (Cost $77,781,223) 114,673,722 ------------------ GERMANY -- (3.6%) COMMON STOCKS -- (3.6%) * AAP Implantate AG 55,800 106,460 Aareal Bank AG 152,234 4,654,002 * Acg AG Fuer Chipkarten und Informationssysteme 86,130 117,846 Ackermann-Goeggingen AG 3,520 68,336 AC-Service AG 14,400 96,699 * Adva AG Optical Networking 50,600 335,940 * Allbecon AG 6,700 17,835 Andreae-Noris Zahn AG, Anzag 31,491 1,349,289 * Articon Integralis AG 32,400 94,379 * Augusta Technologie AG 56,100 37,242 AWD Holding AG 7,044 264,562 * Baader Wertpapier Handelsbank AG 42,049 292,001 Bechtle AG 73,700 1,545,198 * Berliner Elektro Holding AG 56,000 567,368
27 Beta Systems Software AG 20,850 340,443 Bien-Haus AG 16,900 213,167 # Bilfinger & Berger Bau AG 176,689 6,619,292 * Biolitec AG 36,500 201,519 * Biotest AG 19,623 314,408 * BMP AG 12,980 36,608 * Borussia Dortmund GMBH & Co. KGAA 68,800 230,707 # Bremer Energiekonto AG 54,600 82,114 * Bremer Woll-Kaemmerei AG 50,582 39,161 * Broadnet Mediascape Communications AG 28,400 117,157 * Brueder Mannesmann AG 20,600 56,126 * Caatoosee AG 69,600 40,646 * # Ce Consumer Electrnic AG 46,800 72,800 Cewe Color Holding AG 19,405 452,776 * Cinemaxx AG 3,100 6,713 Comdirect Bank AG 173,200 1,680,362 Computerlinks AG 10,900 185,663 * Concord Effekten AG 4,400 6,428 * Condomi AG 19,900 37,758 * COR AG Insurance Technologies 12,700 20,284 * Cybio AG 11,100 40,578 * D. Logistics AG 174,237 313,038 * DAB Bank AG 61,779 439,363 * DAS Werk AG 10,600 563 * Data Modul AG 5,106 77,346 * DEAG Deutsche Entertainment AG 59,850 121,644 Deutsche Euroshop AG 87,646 4,295,858 * Deutz AG 130,266 526,352 * Dierig Holding AG 8,750 145,954 * Drillisch AG 36,400 170,357 * Duerr Beteiligungs AG 55,310 1,099,920 DVB Bank AG 11,529 1,565,591 * # Dyckerhoff AG DM50 29,750 1,233,984 * Eckert and Ziegler Strahlen - und Medizintechnik AG 12,700 140,878 * # Em.TV AG 36,712 141,009 * Epcos AG 176,709 2,806,026 * Escada AG 64,090 1,365,250 * # Evotec Biosystems AG 160,100 576,788 # FJA AG 16,618 110,332 * Freenet.De AG 98,700 2,132,346 Fuchs Petrolub AG Oel & Chemie 19,440 1,940,474 * Gesco AG 611 15,559 * # Gft Technologies AG 92,927 213,812 * Gontard & Metallbank AG 46,008 1,899 * GPC Biotech AG 72,300 1,135,962 * Herlitz AG 26,031 98,725 * Hoeft & Wessel AG 30,200 120,405 Hucke AG 33,100 137,251 Hutschenreuther AG 8,591 108,615 * I-D Media AG 11,265 18,531 * IM International Media AG 149,500 121,417 Interseroh AG 3,600 81,108 * Intershop Deutschland AG 7,195 6,981 * Intertainment AG 14,082 37,993
28 * IPC Archtec AG 15,800 15,519 * Isra Vision Systems AG 10,086 169,028 IVG Immobilien AG 92,019 1,400,188 # Iwka AG 162,254 3,953,051 * Jenoptik AG 315,096 3,369,626 Kampa-Haus AG 35,200 286,950 * Kaufring AG 5,600 1,422 * Kloeckner-Werke AG 177,348 2,852,430 * Kontron AG 171,520 1,629,611 Krones AG 4,700 481,263 # KSB AG 4,650 815,544 * Leica Camera AG 6,791 38,969 Leifheit AG 16,342 424,206 Leoni AG 16,300 1,084,995 * Loesch Umweltschutz AG 16,000 6,811 * Loewe AG 36,000 298,966 * M & S Elektronik AG 19,600 784 * Mania Technologie AG 12,100 22,565 * Mannheimer Aktiengesellschaft Holding AG 27,000 83,501 * Marbert AG 6,800 9,007 * Maternus-Kliniken AG, Bad Oyenhausen 1,155 766 * Maxdata AG 113,610 424,984 * Mediantis AG 10,950 28,964 * Mediclin AG 17,101 41,137 * Medigene AG 43,900 445,799 * Mosaic Software AG 21,800 27,900 Muehlabauer Holdings AG & Co. KGAA 10,800 399,312 * MVS Miete Vertrieb Service AG 45,052 107,173 * Mwb Wertpapierhandelshaus AG 15,700 51,567 * MWG Biotech AG 127,600 90,117 * Nemetschek AG 20,847 188,606 * # Norddeutsche Affinerie AG 159,129 2,613,021 Norddeutsche Steingutfabrik AG 9,215 77,899 * Nordwest Handel AG 11,313 48,920 * November AG 24,500 183,768 * Pandatel AG 28,300 43,244 * Parsytec AG 46,192 172,132 PC-Ware Information Technologies AG 21,394 216,078 * Personal & Informatik AG 2,150 22,558 * Pfleiderer AG 185,313 1,985,673 * Pironet NDH AG 22,901 123,532 * Pixelpark AG 15,050 24,838 * # Plambeck Neue Energien AG 63,465 68,275 * Plasmaselect AG 94,765 504,372 * Primacom AG 62,300 100,630 * # Produkte und Syteme der Informationstechnologie AG 62,761 271,395 * Qs Communications AG 260,800 1,298,292 * Ravensberg Bau-Beteiligungen AG 29,500 3,921 * Realtech AG 20,200 142,254 REpower Systems AG 26,461 501,093 # Rheinmetall Berlin AG 85,490 4,377,375 * Rinol AG 15,000 28,851 * Roesch Medizintechnik AG 7,300 1,648 * RTV Family Entertainment AG 2,480 4,944
29 * Ruecker AG 25,400 82,706 * Saltus Technology AG 5,900 28,214 Salzgitter AG 329,609 6,663,947 Sartorius AG 20,000 398,685 Schlott Sebaldus AG 23,023 615,039 Sektkellerei Schloss Wachenheim AG 2,900 35,371 * Senator Entertainment AG 10,730 21,534 * Ser Systeme AG 9,400 1,004 * SHS Informationssysteme AG 17,611 49,714 * SinnerSchrader AG 14,498 26,761 Sixt AG 65,300 1,185,147 Stahl (R.) AG 15,700 237,251 * # Steag Hamtech AG 45,600 89,691 * Stoehr & Co. AG 44,310 200,780 * Strabag AG 15,750 982,558 * # Suess Microtec AG 80,159 643,515 Syskoplan AG 16,400 111,218 * Syzygy AG 30,000 176,521 * SZ Testsysteme AG 7,000 289 Technotrans AG 25,800 487,871 * Telegate AG 19,300 347,850 * Textilgruppe Hof AG 22,530 207,735 * TFG Venture Capital AG & Co. KGAA 43,100 118,725 * Tiptel AG 13,600 17,034 * TTL Information Technology AG 22,800 92,616 * TV Loonland AG 22,500 58,687 * Value Management & Research AG 19,800 58,419 * VBH (Vereinigter Baubeschlag-Handel) AG 6,000 29,898 * Vereinigte Deutsche Nickel-Werke AG 43,909 29,148 Vossloh AG 39,200 1,772,377 * Walter Bau AG, Augsburg 89,862 282,657 * WCM Beteiligungs AG 1,202,768 2,094,590 Westag and Getalit AG, Rheda-Wiedenbrueck 10,653 118,309 * Windhoff AG 11,400 1,160 Wuerttembergische Lebensversicherung AG 5,000 101,886 Wuerttembergische Metallwarenfabrik AG 64,620 1,151,863 ------------------ TOTAL COMMON STOCKS (Cost $68,881,534) 91,729,442 ------------------ RIGHTS/WARRANTS -- (0.0%) * BMP AG Rights 12/06/04 12,980 0 * D. Logistics AG Rights 12/06/04 174,237 0 * # Em.TV AG Options 04/18/06 36,712 15,613 * Intershop Holding AG, Zurich Rights 12/14/04 7,195 0 * Medigene AG Rights 11/09/04 43,900 0 * MWG Biotech AG Rights 12/09/04 127,600 0 * November AG Rights 12/07/04 24,500 0 ------------------ TOTAL RIGHTS/WARRANTS (Cost $99,180) 15,613 ------------------ TOTAL -- GERMANY (Cost $68,980,714) 91,745,055 ------------------
30 SWITZERLAND -- (3.4%) COMMON STOCKS -- (3.4%) AFG Arbonia-Forster Holding AG 10,550 1,435,166 Allreal Holding AG 6,242 587,286 * Ascom Holding AG 160,800 2,455,349 Baloise-Holding 43,308 1,820,549 Bank Coop AG 11,560 515,573 * Banque Cantonale de Geneve 8,520 1,371,273 Banque Cantonale du Jura 800 181,076 Banque Cantonale Vaudoise 6,695 1,033,469 Batigroup Holding AG 41,600 501,687 Bobst Group SA 115,400 4,558,295 Bossard Holding AG 5,450 313,747 Bucher Industries AG, Niederweningen 11,225 2,399,164 Caisse d'Epargne Cantonale Vaudoise, Lausanne 1,900 1,858,458 Calida Holding AG 400 103,262 * Card Guard AG 76,000 306,503 Carlo Gavazzi Holding AG 2,530 191,526 Charles Voegele Holding AG 37,400 1,669,035 Cie Financiere Tradition 3,121 287,250 Converium Holding AG 77,200 696,553 Conzzeta Holdings AG 3,340 3,365,219 * COS Computer Systems AG 8,900 256,483 * # Crossair AG, Basel 71,730 534,209 Daetwyler Holding AG, Atldorf 940 2,094,706 * # Feintol International Holding AG 4,290 843,848 * Fischer (Georg) AG, Schaffhausen 22,887 5,908,640 * Flughafen Zuerich AG 49,800 5,680,509 * Forbo Holding AG, Eglisau 9,291 2,596,561 Galenica Holding, Ltd. AG, Bern 20,000 3,647,163 * Golay-Buchel Holding SA, Lausanne 125 85,886 Gurit-Heberlein AG 2,860 2,283,820 Helvetia Patria Holding 31,871 4,442,141 Industrieholding Cham AG, Cham 7,000 1,599,088 Kardex Ag, Zuerich 9,725 275,426 * Leica Geosystems Holdings AG 3,500 1,033,208 * Lem Holdings AG, Lyss 1,880 452,955 * Maag Holding AG, Zuerich 6,137 920,361 * Moevenpick-Holding, Zuerich 1,960 578,417 * Nextrom Holding SA 250 1,471 PSP Swiss Property AG 53,700 2,293,850 Schweizerhall Holding AG, Basel 720 1,125,122 # Schweizerische National Versicherungs Gesellschaft 5,388 2,786,841 * Sihl 750 1,977 * Sika Finanz AG, Baar 870 513,938 # St. Galler Kantonalbank 6,370 1,562,579 Sulzer AG, Winterthur 16,040 6,092,871 * Swiss Prime Site AG 27,230 6,757,944 * Swisslog Holding AG 245,500 204,353 * UMS Schweizerische Metallwerke Holding AG, Bern 3,200 32,270 * Valiant Holding AG 6,655 603,994 Vaudoise Assurances Holding, Lausanne 499 878,320
31 * Von Roll Holding AG, Gerlafingen 30,090 28,754 * Wmh Walter Meier Holding Ag, Zuerich 9,600 513,806 Zehnder Holding AG 50 60,931 Zschokke Holding SA, Geneve 2,270 1,125,578 * Zueblin Holding AG 261,740 2,090,275 ------------------ TOTAL COMMON STOCKS (Cost $60,521,582) 85,558,735 ------------------ RIGHTS/WARRANTS -- (0.0%) * Helvetia Patria Holding Rights 12/07/04 31,871 355,709 ------------------ (Cost $0) TOTAL -- SWITZERLAND (Cost $60,521,582) 85,914,444 ------------------ SWEDEN -- (3.3%) COMMON STOCKS -- (3.3%) * Active Biotech AB 15,100 82,063 Angpannefoereningen AB Series B 9,850 205,408 * Anoto Group AB 50,533 76,081 * B & N Bylock & Nordsjoefrakt AB Series B 99,200 309,346 Beijer AB Series B 22,100 394,739 Beijer Alma AB Series B 27,300 475,649 Bergman & Beving AB Series B 110,100 1,162,926 Biacore International AB 20,350 407,533 Bilia AB Series A 139,750 2,225,859 Billerud AB 181,100 3,032,477 * Boliden AB 1,492,550 5,763,486 * Bong Ljungdahl AB 46,500 242,629 * Boras Waefveri AB Series B 15,900 58,781 Capona AB 85,542 1,221,732 # Carbo AB 192,300 5,291,899 Castellum AB 226,100 7,854,300 Cloetta AB Series B 18,600 578,473 Concordia Maritime AB Series B 172,100 845,362 * Doro Telefoni AB Series A 6,000 8,918 * Duroc AB Series B 1,400 3,139 * Elekta AB 37,700 1,031,235 * Enea Data AB Series B 339,400 217,463 * Expanda AB 34,600 206,379 * Finnveden AB 130,100 1,452,360 * Framtidsfabriken AB 884,520 67,176 * Frontec AB Series B 318,900 308,088 Geveko AB Series B 21,300 542,499 Gorthon Lines AB Series B 69,300 216,442 Gunnebo AB 24,200 303,976 Haldex AB 213,800 3,499,038 Hiq International AB 45,000 125,317 * IBS AB Series B 199,950 346,890 * Industrial & Financial AB Series B Issue 2004 146,500 100,133 * Industrial & Financial Systems AB Series B 146,500 100,133 * Industrifoervaltnings AB Skandigen 46,200 164,896
32 * Intellecta AB Series B 7,100 39,754 * Intentia International AB Series B 556,000 1,087,163 * Invik and Co. AB Series B 432,600 4,249,200 * Klippans Finpappersbruk AB 30,800 75,604 Klovern AB 246,678 679,388 Kungsleden AB 143,300 5,583,822 Lagercrantz Group AB Series B 99,000 262,509 Ljungberg Gruppen AB Series B 4,200 89,968 * Mandator AB 157,500 28,832 * Medivir Series B 18,150 284,213 * Micronic Laser Systems AB 26,000 244,365 Naerkes Elektriska AB Series B 31,650 488,441 NCC AB Series A 45,400 562,099 NCC AB Series B 383,600 4,842,245 Nolato AB Series B 15,900 133,805 Observer AB 551,400 2,364,214 OEM International AB Series B 10,100 172,737 * Ortivus AB 53,800 198,140 * Partnertech AB 36,982 397,859 PEAB AB Series B 386,200 3,565,291 * # Pergo AB 236,716 906,385 Poolia AB Series B 55,200 272,862 * Pricer AB Series B 441,000 86,922 * Proact It Group AB 40,000 131,897 Profilgruppen AB 15,000 146,201 Protect Data AB 15,600 159,930 * PyroSequencing AB 165,782 186,999 * Rorvik Timber AB 30,600 46,156 # Rottneros Bruk AB 1,191,000 1,330,447 Salus Ansvar AB Series B 36,600 115,446 * Scribona AB Series A 15,700 30,505 * Scribona AB Series B 209,100 420,701 * Semcon AB 30,500 125,075 Sweco AB Series B 47,050 857,309 * Teleca AB Series B 269,000 1,413,908 Trelleborg AB Series B 160,900 2,663,956 * Turnit AB 125,300 16,224 * Uniflex AB Series B 11,040 76,288 * Viking Telecom AB 29,100 11,366 Wallenstam Byggnads AB Series B 79,600 3,185,348 * # Wedins Norden AB Series B 404,852 43,919 * Westergyllen AB Series B 6,800 99,010 Whilborg Fastigheter AB Class B 308,770 6,135,704 Xponcard Group AB 6,300 116,389 ------------------ TOTAL COMMON STOCKS (Cost $51,711,942) 82,851,421 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona 948,286 ------------------ (Cost $918,719) RIGHTS/WARRANTS -- (0.0%) * Active Biotech AB Rights 12/06/04 15,100 90
33 (Cost $0) TOTAL -- SWEDEN (Cost $52,630,661) 83,799,797 ------------------ HONG KONG -- (3.0%) COMMON STOCKS -- (3.0%) Aeon Credit Service (Asia) Co., Ltd. 416,000 272,809 ALCO Holdings, Ltd. 710,000 182,158 * Allied Group, Ltd. 707,000 726,477 * Allied Properties, Ltd. 1,185,500 608,974 * Alpha General (Holdings), Ltd. 266,800 22,869 * Ananda Wing on Travel (Holdings), Ltd. 24,120,000 86,293 * Applied International Holdings, Ltd. 1,150,000 18,009 * APT Satellite Holdings, Ltd. 562,000 103,208 * Asia Commercial Holdings, Ltd. 35,960 2,096 Asia Financial Holdings, Ltd. 1,890,106 465,564 * Asia Standard International Group, Ltd. 8,240,666 432,828 * Asia Tele-Net & Technology Corp., Ltd. 200,000 11,507 Associated International Hotels, Ltd. 758,000 614,931 * Beauforte Investors Corp., Ltd. 440,000 26,027 * Capital Estate, Ltd. 720,000 1,942 * Capital Publications, Ltd. 1,015,200 24,806 * Catic International Holdings, Ltd. 1,146,000 19,870 * CCT Technology Holdings, Ltd. 209,880 564 CCT Telecom Holdings, Ltd. 718,800 115,893 * Celestial Asia Securities Holdings, Ltd. 251,900 13,535 * Century City International Holdings, Ltd. 2,863,067 41,451 # Champion Technology Holdings, Ltd. 2,770,404 490,436 Cheuk Nang (Holdings), Ltd. 47,700 24,893 Chevalier International Holdings, Ltd. 744,491 598,500 * Chi Cheung Investment Co., Ltd. 431,085 57,706 * China Aerospace International Holdings, Ltd. 1,683,000 97,172 * China Bio-medical Group, Ltd. 258,750 4,991 * China City Natural Gas Holdings, Ltd. 4,994,000 12,848 China Everbright International, Ltd. 3,610,000 240,350 * China Everbright Technology, Ltd. 822,000 39,456 # China Everbright, Ltd. 2,508,000 1,349,158 China Hong-Kong Photo Products Holdings, Ltd. 1,843,000 125,476 * China Investments Holdings, Ltd. 1,186,800 25,641 * China Motion Telecom International, Ltd. 522,000 20,249 China Motor Bus Co., Ltd. 24,000 172,197 China Online (Bermuda), Ltd. 586,600 95,044 China Overseas Land & Investment, Ltd. 8,660,000 2,057,551 China Rare Earth Holdings, Ltd. 1,790,000 248,659 # China Resources Land, Ltd. 3,258,000 552,861 * China Rich Holdings, Ltd. 2,554,000 12,481 * China Sci-Tech Holdings, Ltd. 5,416,000 18,623 * China Star Entertainment, Ltd. 37,380 3,598 * China Strategic Holdings, Ltd. 340,250 24,306 # China Travel International Investment, Ltd. 8,228,000 2,481,918 Chinese Estates Holdings, Ltd. 3,772,000 2,566,201 Chinney Investments, Ltd. 752,000 63,802
34 Chow Sang Sang Holdings International, Ltd. 1,279,000 599,392 Chuangs China Investments, Ltd. 884,000 54,617 Chuang's Consortium International, Ltd. 3,595,760 332,086 Chun Wo Holdings, Ltd. 1,128,000 156,252 City e Solutions, Ltd. 472,964 50,977 City Telecom (H.K.), Ltd. 1,088,000 224,849 * CNT Group, Ltd. 1,428,000 32,972 COFCO International, Ltd. 1,032,000 453,313 Continental Holdings, Ltd. 382,000 41,229 Continental Mariner Investment Co., Ltd. 1,543,000 300,997 * COSCO International Holdings, Ltd. 2,236,000 392,696 * Cosmos Machinery Enterprises, Ltd. 455,400 22,147 * Crocodile Garments, Ltd. 986,000 53,141 * Dan Form Holdings Co., Ltd. 2,326,000 113,855 Dickson Concepts International, Ltd. 398,200 462,058 * DigitalHongKong.com 12 1 * Dynamic Global Holdings, Ltd. 990,000 5,347 Dynamic Holdings, Ltd. 482,000 69,540 Easyknit International Holdings, Ltd. 982,400 17,939 * E-Kong Group, Ltd. 250,200 5,352 * Emperor (China Concept) Investments, Ltd. 11,160 63,913 Emperor International Holdings, Ltd. 81,200 144,184 * eSun Holdings, Ltd. 722,400 78,672 Ezcom Holdings, Ltd. 67,280 2,770 * Fairwood Holdings, Ltd. 67,500 26,429 # Far East Consortium International, Ltd. 2,474,423 950,351 * Far East Hotels & Entertainment, Ltd. 464,000 30,041 * Far East Technology International, Ltd. 408,000 16,678 First Sign International Holdings, Ltd. 740,000 22,128 * Global China Group Holdings, Ltd. 1,462,000 76,151 Global Green Tech Group, Ltd. 822,000 70,603 Gold Peak Industries (Holdings), Ltd. 269,000 69,031 Golden Resources Development International, Ltd. 1,587,000 76,456 * Gold-Face Holdings, Ltd. 1,158,000 80,417 Goldlion Holdings, Ltd. 1,706,000 168,696 Golik Holdings, Ltd. 1,216,000 37,417 * Gorient Holdings, Ltd. 2,697 24 Grande Holdings, Ltd. 450,000 458,783 Great Eagle Holdings, Ltd. 1,661,537 3,949,819 * Great Wall Cybertech, Ltd. 11,392,830 14,651 Group Sense (International), Ltd. 1,462,000 144,163 # Guangzhou Investment Co., Ltd. 13,994,000 1,401,297 * G-Vision International (Holdings), Ltd. 298,000 2,108 Hang Ten Group Holdings, Ltd. 2,670 377 Hanny Holdings, Ltd. 330,450 131,332 * Hansom Eastern Holdings, Ltd. 2,082,600 15,264 Harbour Centre Development, Ltd. 857,000 958,911 * Hen Fung Holdings, Ltd. 392,000 8,935 Henderson China Holdings, Ltd. 1,041,000 528,439 High Fashion International, Ltd. 800,000 159,613 HKR International, Ltd. 3,130,400 1,654,571 Hon Kwok Land Investment Co., Ltd 432,000 99,876 Hong Kong and Shanghai Hotels, Ltd. 2,634,624 2,470,439 Hong Kong Catering Management, Ltd. 384,000 65,498
35 * Hong Kong Construction Holdings, Ltd. 692,000 46,363 Hong Kong Ferry (Holdings) Co., Ltd. 520,000 574,160 * Hong Kong Parkview Group, Ltd. 646,000 44,861 Hongkong Chinese, Ltd. 2,822,000 377,366 * Hop Hing Holdings, Ltd. 604,000 27,186 Hopewell Holdings, Ltd. 1,493,800 3,872,350 Hopson Development Holdings, Ltd. 1,306,000 361,041 * Hsin Chong Construction Group, Ltd. 336,000 18,172 * Hualing Holdings, Ltd. 2,016,000 102,175 Hysan Development Co., Ltd. 325,519 660,618 * I-China Holdings, Ltd. 388,360 9,964 # International Bank of Asia, Ltd. 1,263,000 534,101 * Inworld Group, Ltd. 27,199 115 * ITC Corp., Ltd. 456,000 39,133 * Jessica Publications, Ltd. 1,015,200 52,223 * Jinchang Pharmaceutical Holdings, Ltd. 507,600 0 * Jinhui Holdings Co., Ltd. 97,800 271,861 # K Wah International Holdings, Ltd. 4,766,244 1,222,739 K. Wah Construction Materials, Ltd. 2,804,609 1,102,910 * Kader Holdings Co., Ltd. 857,000 18,195 Karce International Holdings Co., Ltd. 532,000 16,772 Keck Seng Investments (Hong Kong), Ltd. 570,000 164,122 Kee-Shing Holdings Co., Ltd. 256,000 24,383 King Fook Holdings, Ltd. 338,000 26,164 Kowloon Development Co., Ltd. 1,157,000 1,223,770 KTP Holdings, Ltd. 758,000 55,439 * Kwong Sang Hong International, Ltd. 1,060,000 164,917 Kwoon Chung Bus Holdings, Ltd. 296,000 51,350 * Lai Fung Holdings, Ltd. 4,773,437 161,909 * Lai Sun Development Co., Ltd. 3,358,800 82,051 * Lai Sun Garment (International), Ltd. 2,700,000 128,186 Lam Soon (Hong Kong), Ltd. 203,250 69,362 Lippo, Ltd. 751,000 197,828 Liu Chong Hing Bank, Ltd. 902,000 1,344,846 Liu Chong Hing Investment, Ltd. 806,000 631,951 Luks Industrial Group, Ltd. 736,560 123,921 * MACRO-LINK International Holdings, Ltd. 843,750 32,538 * Magnificent Estates, Ltd. 5,014,600 74,371 Melbourne Enterprises, Ltd. 41,000 155,544 Min Xin Holdings, Ltd. 882,000 195,605 Miramar Hotel & Investment Co., Ltd. 1,065,000 1,301,233 * Morning Star Resources, Ltd. 3,075,000 27,286 * Nam Fong International Holdings, Ltd. 1,740,000 6,489 * Nam Hing Holdings, Ltd. 538,000 11,567 Nanyang Holdings, Ltd. 80,850 82,092 National Electronics Holdings, Ltd. 1,106,000 34,573 New Asia Realty & Trust Co., Ltd. 1,701,000 809,672 * New City (Beijing) Development, Ltd. 6,760 230 New Hanison Construction Hldg 185,099 17,064 * New World China Land, Ltd. 3,742,800 1,466,564 * New World Cyberbase, Ltd. 2,827 135 New World Development Co., Ltd. 6,759,956 7,584,944 * New World TMT, Ltd. 2,010,600 169,859 * Onfem Holdings, Ltd. 1,426,000 128,425
36 Orient Power Holdings, Ltd. 884,573 64,675 Oriental Watch Holdings, Ltd. 462,000 98,578 Pacific Andes International Holdings, Ltd. 624,000 104,046 Pacific Century Insurance Holdings, Ltd. 478,000 199,433 * Pacific Plywood Holdings, Ltd. 4,844,000 27,410 Paul Y. ITC Construction Holdings, Ltd. 911,088 180,653 Peace Mark Holdings, Ltd. 537,510 101,423 Pico Far East Holdings, Ltd. 414,000 36,174 Playmates Holdings, Ltd. 1,492,000 290,893 Pokfulam Development Co., Ltd. 244,000 94,999 * Poly Investments Holdings, Ltd. 1,428,000 32,685 Prime Success International Group, Ltd. 800,000 121,038 # Proview International Holdings, Ltd. 936,000 175,079 * QPL International Holdings, Ltd. 651,000 134,351 * Rainbow International Holdings, Ltd. 27,199 164 * # Regal Hotels International Holdings, Ltd. 14,502,179 872,682 * Rexcapital International Holdings, Ltd. 1,270,090 18,447 * Riverhill Holdings, Ltd. 27,199 378 * RNA Holdings, Ltd. 580,200 2,015 S.A.S.Dragon Holdings, Ltd. 94,400 8,870 * San Miguel Brewery Hong Kong, Ltd. 1,130,400 255,847 Sea Holdings, Ltd. 1,444,000 528,816 * Seapower Resources International, Ltd. 167,100 2,596 * Shanghai Land Holdings, Ltd. 352,000 15,617 # Shanghai Real Estates, Ltd. 1,828,000 199,912 Shell Electric Manufacturing (Holdings) Co., Ltd. 203,749 42,899 Shenyin Wanguo (Hong Kong), Ltd. 1,110,000 121,128 Shougang Concord Century Holdings, Ltd. 1,000,000 102,505 * Shougang Concord Grand (Group), Ltd. 833,000 61,090 * Shougang Concord Technology Holdings, Ltd. 1,515,035 130,471 * Shun Ho Resources Holdings, Ltd. 510,000 36,060 * Shun Ho Technology Holdings, Ltd. 814,380 57,608 # Shun Tak Holdings, Ltd. 3,313,000 3,358,918 Silver Grant International Industries, Ltd. 2,190,000 1,256,549 * Sincere Co., Ltd. 872,000 47,274 Sino Hotels (Holdings), Ltd. 281,608 138,428 * Sino-I.com, Ltd. 29,967,000 600,510 Sinolink Worldwide Holdings, Ltd. 3,034,400 455,720 Sinopec Kantons Holdings, Ltd. 2,026,000 291,079 SIS International Holdings, Ltd. 326,000 25,197 SNP Leefung Holdings, Ltd. 128,000 17,075 * Softbank Investment International (Strategic), Ltd. 4,112,000 47,437 South China Holdings, Ltd. 4,060,800 130,556 South China Industries, Ltd. 1,182,000 60,803 Starlight International Holdings, Ltd. 885,000 93,081 Stelux Holdings International, Ltd. 1,862,552 141,318 * Styland Holdings, Ltd. 1,359,999 4,372 * Sun Fook Kong Holdings, Ltd. 664,000 14,516 Sun Hung Kai & Co., Ltd. 3,340,000 832,014 * Sunday Communications, Ltd. 4,227,000 243,647 Sunway International Holdings, Ltd. 1,002,000 35,512 Tai Cheung Holdings, Ltd. 1,899,000 1,016,234 Tai Fook Securities Group, Ltd. 908,000 135,560 Tai Sang Land Development, Ltd. 796,900 250,413
37 Tak Sing Alliance Holdings, Ltd. 1,299,335 59,146 Tan Chong International, Ltd. 2,943,000 593,705 Tern Properties Co., Ltd. 168,000 47,531 * # Tian An China Investments Co., Ltd. 1,716,700 473,926 Tian Teck Land, Ltd. 800,000 246,760 Tianjin Development Holdings, Ltd. 1,462,000 623,449 * Tomorrow International Holdings, Ltd. 330,600 30,555 Tungtex (Holdings) Co., Ltd. 558,000 213,372 * Tysan Holdings, Ltd. 614,000 16,559 * U-Cyber Technology Holdings, Ltd. 370,000 10,459 * Universe International Holdings, Ltd. 301,756 2,838 USI Holdings, Ltd. 671,999 100,005 Van Shung Chong Holdings, Ltd. 482,000 74,241 * Wah Nam International 12,600 258 Wai Kee Holdings, Ltd. 1,521,000 296,066 * Wellnet Holdings, Ltd. 1,793,000 94,482 * Winfoong International, Ltd. 1,525,000 90,137 Wing On Co. International, Ltd. 622,000 743,907 Wing Shan International, Ltd. 1,130,000 58,742 Winsor Properties Holdings, Ltd. 110,000 59,046 * Wo Kee Hong Holdings 4,282,332 20,341 Wong's International (Holdings), Ltd. 196,000 22,472 World Houseware (Holdings), Ltd. 672,342 23,815 Y. T. Realty Group, Ltd. 1,166,000 104,927 * Yaohan International Holdings, Ltd. 1,660,000 0 Yau Lee Holdings, Ltd. 657,750 53,327 * Yue Fung International Group Holding, Ltd. 31,490 4,252 Yugang International, Ltd. 12,816,000 206,445 * Zhu Kuan Development Co., Ltd. 1,362,000 69,127 ------------------ TOTAL COMMON STOCKS (Cost $53,034,338) 76,098,065 ------------------ RIGHTS/WARRANTS -- (0.0%) * Champion Technology Holdings, Ltd. Warrants 554,080 3,919 * China City Natural Gas Holdings, Ltd. Rights 12/13/04 998,800 0 * China Credit Holdings Warrants 09/30/99 39,200 555 * China Travel International Investment, Ltd. Warrants 05/31/06 1,355,200 132,454 * QPL International Holdings, Ltd. Warrants 10/14/07 130,200 8,288 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 145,216 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 36,177 ------------------ (Cost $36,176) TOTAL -- HONG KONG (Cost $53,070,514) 76,279,458 ------------------ FINLAND -- (2.8%) COMMON STOCKS -- (2.8%) * Amanda Capital Oyj 831,250 210,357
38 Amer-Yhtymae Oyj Series A 80,600 4,275,436 Aspocomp Group P.L.C. 61,900 877,046 Bank of Aland, Ltd. 5,700 147,096 * Benefon Oy 19,000 3,802 * Componenta Oyj 42,800 306,407 Efore Oy 18,800 175,614 Elcoteq Network Corp. 54,550 1,313,206 * Eq Online Oyj 60,440 167,411 * Evox Rifa Group Oyj 120,395 15,979 Finnair Oyj 548,100 3,751,850 # Finnlines Oyj 207,000 3,607,502 # Fiskars Oy AB Series A 139,900 2,555,881 # HK Ruokatalo Oy Series A 149,000 1,423,532 Honkarakenne Oy Series B 15,900 118,453 # Huhtamaki Van Leer Oyj 543,200 7,947,900 Ilkka-Yhtyma Oyj 14,620 164,517 Julius Tallberg-Kiinteistoet Oy, Helsinki Series B 11,601 148,015 * Kemira GrowHow Oyj 26,158 191,208 Kemira Oyj 123,100 1,703,860 Laennen Tehtaat Oy 32,450 521,627 # Lemminkainen Oy 84,200 2,000,848 Leo Longlife Oy 16,900 202,096 Metsaemarkka Oyj Series B 3,700 37,449 M-real Oyj Series B 387,330 2,524,643 * Okmetic Oyj 61,975 218,654 # Okobank Class A 366,680 5,097,780 Olvi Oyj Series A 18,250 323,238 # Raisio Group P.L.C. Series V 625,400 1,581,173 Rautaruukki Oyj Series K 941,310 11,358,044 # Raute Oy Series A 11,200 128,473 Sponda Oyj 521,935 4,894,908 * SSH Communications Oyj 42,850 68,835 * Stonesoft Corp. 282,398 199,413 Tamfelt Oyj 2,100 23,443 * Tecnomen Holding Oyj 344,597 622,898 Tulikivi Oyj 29,500 274,509 Turkistuottajat Oy 9,900 112,817 Viking Line AB 18,100 566,395 # Wartsila Corp. Oyj Series B 216,300 7,508,033 Yit-Yhtymae Oyj 106,200 2,362,563 Yomi Oyj 11,050 101,827 ------------------ TOTAL -- FINLAND (Cost $44,259,593) 69,834,738 ------------------ ITALY -- (2.5%) COMMON STOCKS -- (2.5%) * A.S. Roma SpA 208,000 185,489 Acegas SpA 160,674 1,587,495 * Alitalia Linee Aeree Italiane SpA Series A 4,368,158 1,498,818 Banca Popolare Dell'etruria e Del Lazio Scrl 43,573 1,044,076 Banca Popolare di Spoleto SpA 500 4,625
39 # Banco Piccolo Valellinese Scarl SpA 11,847 143,297 Biesse SpA 120,000 412,529 Buzzi Unicem SpA 28,500 399,536 Caltagirone Editore SpA 173,017 1,470,836 Caltagirone SpA 595,400 4,484,436 Carraro SpA 108,000 498,084 * Cembre SpA 12,452 49,807 Cementir Cementerie del Tirreno SpA 929,859 4,628,298 * Centrale del Latte di Torino & Co. SpA 18,135 101,756 CIR SpA (Cie Industriale Riunite), Torino 1,315,000 3,297,809 * Cirio Finanziaria SpA 960,000 222,004 # Cremonini SpA 115,750 270,839 * CSP International Industria Calze SpA 97,000 167,119 # Danieli & C.Officine Meccaniche SpA 205,825 1,235,980 # De Longhi SpA 752,732 3,207,339 * Finarte Casa d'Aste SpA (Milano) 5,000 5,995 * # Finarte Partecipazioni Pro Arte SpA 1,472,050 147,710 Gefran SpA 72,504 419,734 # Gemina SpA 1,897,434 2,241,468 * Giacomelli SpA 168,000 40,190 * Giovanni Crespi SpA 302,100 336,302 Grandi Navi Veloci SpA 330,548 1,113,502 * Gruppo Ceramiche Ricchetti SpA 269,565 513,044 I Grandi Viaggi SpA 190,100 272,333 * # Immobiliare Lombardia SpA 2,796,456 657,693 Immsi SpA 211,292 413,181 # Impregilo SpA 2,570,000 1,407,246 * Industria Romagnola Conduttori Elettrici SpA 141,624 514,025 Intek SpA 191,610 132,686 Italmobiliare SpA, Milano 29,780 1,724,963 La Doria SpA 124,000 354,992 * Lavorwash SpA 43,000 99,477 Linificio and Canapificio Nazionale SpA 46,250 176,587 Maffei SpA 128,000 267,231 Manifattura Lane Gaetano Marzotto & Figli SpA 212,000 3,777,242 * Marcolin SpA 214,000 354,760 Milano Assicurazioni SpA 732,200 3,689,547 * Monrif SpA 183,000 205,170 * Montefibre SpA 556,474 200,671 * Necchi SpA 792,500 74,782 * NGP SpA 42,059 19,564 Olidata SpA 101,691 113,609 * Opengate Group SpA 22,800 57,877 * Pagnossin SpA 79,000 59,746 * Premafin Finanziaria SpA Holding di Partecipazioni, Roma 1,679,827 2,587,306 Premuda SpA 674,709 1,230,603 * Ratti SpA 130,000 77,718 * Reno de Medici SpA, Milano 1,355,135 1,416,685 Risanamento Napoli SpA 1,381,281 3,329,859 SAES Getters SpA 31,000 677,654 * Sirti SpA 139,803 341,128 SISA (Societa Imballaggi Speciali Asti SpA) 113,283 324,762 * # SNIA SpA 1,188,493 401,998 Sogefi SpA 101,876 430,988
40 Sol SpA 102,000 513,140 * SOPAF (Societa Partecipazioni Finanziarie SpA) 493,500 91,526 * Sorin SpA 35,430 106,206 * STA Metallurgica Italiana SpA 1,622,949 1,021,470 # Stefanel SpA 272,131 644,344 Targetti Sankey SpA 100,000 585,057 Terme Demaniali di Acqui SpA 553,330 441,752 Trevi-Finanziaria Industriale SpA 322,240 505,041 * Vemer Siber Group SpA 13,800 11,651 Vianini Industria SpA 163,800 548,147 Vianini Lavori SpA 233,090 1,729,324 Zucchi (Vincenzo) SpA 122,989 616,387 ------------------ TOTAL COMMON STOCKS (Cost $38,458,766) 61,934,245 ------------------ RIGHTS/WARRANTS -- (0.0%) * Immsi SpA Rights 12/20/04 211,292 22,465 * Roncadin SpA Warrants 10/15/07 63,180 12,332 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 34,797 ------------------ TOTAL -- ITALY (Cost $38,458,766) 61,969,042 ------------------ SINGAPORE -- (2.4%) COMMON STOCKS -- (2.4%) * Acma, Ltd. 3,856,500 117,564 Allgreen Properties, Ltd. 5,592,000 3,548,996 Amtek Engineering, Ltd. 113,000 82,823 * Apollo Enterprises, Ltd. 240,000 68,186 * ASA Group Holdings, Ltd. 857,000 146,754 Ascott Group, Ltd. 7,610,038 1,949,546 * Asia Food and Properties, Ltd. 1,820,000 500,048 Auric Pacific Group, Ltd. 57,000 37,556 * Blu Inc. Group, Ltd.. 1,085,000 102,752 Bonvests Holdings, Ltd. 675,400 216,677 * Causeway Investment, Ltd. 539,000 61,961 * Chemical Industries (Far East), Ltd. 40,000 14,894 * China Merchants Holdings Pacific, Ltd. 469,000 158,134 * CK Tang, Ltd. 983,000 243,289 Courts Singapore, Ltd. 760,000 246,241 * Eagle Brand Holdings, Ltd. 5,722,000 244,812 Eastern Asia Technology, Ltd. 507,000 85,087 * Econ International, Ltd. 1,412,000 38,822 ECS Holdings, Ltd. 1,636,000 293,985 Eng Wah Organisation, Ltd. 481,000 84,392 * Excel Machine Tools, Ltd. 473,000 4,335 * Firstlink Investments Corp., Ltd. 923,000 61,762 GB Holdings, Ltd. 231,000 127,687 # Guocoland, Ltd. 3,092,000 2,191,553 Hiap Moh Corp., Ltd. 10,125 1,856
41 Ho Bee Investment, Ltd. 1,277,000 264,341 Hong Fok Corp., Ltd. 1,924,000 285,857 # Hong Leong Finance, Ltd. 457,000 817,153 Hotel Grand Central, Ltd. 655,400 157,947 Hotel Plaza, Ltd. 942,000 442,824 Hotel Properties, Ltd. 2,333,000 1,638,182 Hour Glass, Ltd. 349,000 137,316 Hwa Hong Corp., Ltd. 3,329,000 1,099,979 International Factors (Singapore), Ltd. 22,000 7,702 * Interra Resources, Ltd. 139,180 9,310 * Intraco, Ltd. 316,000 65,649 * IPC Corp., Ltd. 3,248,000 79,705 Isetan (Singapore), Ltd. 152,000 260,080 Jurong Engineering, Ltd. 199,000 264,356 * K1 Ventures, Ltd. 7,899,000 1,178,524 Keppel Land, Ltd. 3,609,000 4,558,120 Kian Ann Engineering, Ltd. 861,000 86,170 Koh Brothers, Ltd. 1,445,000 101,882 Lee Kim Tah Holdings, Ltd. 2,313,000 401,956 * Leong Hin Holdings, Ltd. 516,000 83,351 Low Keng Huat Singapore, Ltd. 368,000 86,479 Lum Chang Holdings, Ltd. 1,211,000 158,503 Magnecomp International, Ltd. 526,000 234,887 Marco Polo Developments, Ltd. 2,153,000 3,234,448 MCL Land, Ltd. 1,863,000 1,646,517 Metro Holdings, Ltd. 2,980,800 844,592 Neptune Orient Lines, Ltd. 3,529,000 6,347,586 * Orchard Parade Holdings, Ltd. 1,293,625 291,504 Overseas Union Enterprise, Ltd. 459,000 2,087,982 Pan-United Corp., Ltd. 1,101,000 229,395 * Pan-United Marine, Ltd. 550,500 79,042 * Penguin Boat International, Ltd. 642,000 43,122 Pertama Holdings, Ltd. 105,000 18,601 PSC Corp., Ltd. 1,435,000 65,780 * QAF, Ltd. 381,000 110,512 Raffles Holdings, Ltd. 9,898,000 2,760,074 San Teh, Ltd. 579,000 139,696 Singapore Land, Ltd. 1,507,000 4,118,733 Singapore Shipping Corp., Ltd. 2,153,000 433,036 Singapura Finance, Ltd. 84,000 70,831 SNP Corp., Ltd. 112,500 53,462 * SP Corp., Ltd. 55,000 1,679 Ssangyong Cement (Singapore), Ltd. 77,000 45,603 Stamford Land Corp., Ltd. 4,308,000 591,615 Straits Trading Co., Ltd. 1,735,200 2,331,955 * Sunright, Ltd. 196,000 35,927 Superior Metal Printing, Ltd. 552,000 64,001 * Tuan Sing Holdings, Ltd. 4,197,000 218,178 * Ultro Technologies, Ltd. 693,000 41,917 United Engineers, Ltd. 1,038,666 1,007,549 United Industrial Corp., Ltd. 7,075,000 3,958,096 United Overseas Land, Ltd. 3,262,000 4,625,233 United Pulp & Paper Co., Ltd. 391,000 100,507 WBL Corp., Ltd. 445,500 896,889
42 Wing Tai Holdings, Ltd. 3,320,333 2,024,860 * Xpress Holdings, Ltd. 370,000 15,830 ------------------ TOTAL COMMON STOCKS (Cost $50,952,329) 61,584,737 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 23,836 ------------------ (Cost $23,777) TOTAL -- SINGAPORE (Cost $50,976,106) 61,608,573 ------------------ NETHERLANDS -- (2.4%) COMMON STOCKS -- (2.4%) AM NV 466,821 4,244,740 * Begemann Groep NV 24,247 75,894 * Begemann Groep NV Series B 44,600 14,832 Boskalis Westminster NV 23,304 681,040 Brunel International NV 22,100 240,357 Buhrmann NV 585,366 5,229,371 DOCdata NV 7,400 44,694 # Draka Holding NV 181,764 2,248,443 * Econosto NV 23,804 46,278 Gamma Holding NV 58,811 2,791,638 Gemeenschappeljk Bezit Crown van Gelder NV 23,062 494,244 Grontmij NV 20,061 1,064,024 * Hagemeyer NV 1,194,430 2,430,411 Heijmans NV 141,904 4,376,235 * Ispat International NV 13,666 572,865 Kas Bank NV 103,866 2,051,392 * # Kendrion NV 51,681 119,178 Koninklijke Bam NV 81,843 3,500,705 # Koninklijke Nedlloyd NV 106,876 5,423,141 Koninklijke Ten Cate NV 46,495 3,161,905 Koninklijke Vopak NV 100,542 2,171,720 MacIntosh NV 23,191 721,115 * Maverix Capital NV 900 45,453 Nutreco Holding NV 19,168 468,904 * # Petroplus International NV 127,889 1,309,070 Reesink NV 2,110 155,951 Roto Smeets de Boer NV 22,107 998,951 * Samas-Groep NV 62,743 424,598 * Seagull Holding NV 2,000 9,876 * # Semiconductor Industries NV 188,911 1,030,012 Smit Internationale NV 16,275 675,817 Stork NV 92,187 2,957,009 * Textielgroep Twenthe NV 1,200 3,987 * Tulip Computers NV 38,643 10,790 Twentsche Kabel Holding NV 23,496 897,816 Univar NV 132,385 3,591,308 * Van Der Mollen Holding NV 198,500 1,193,984 * # Versatel Telecom International NV 534,428 1,420,442
43 * Wegener Arcade NV . 190,704 2,287,564 ------------------ TOTAL -- NETHERLANDS (Cost $42,102,944) 59,185,754 ------------------ BELGIUM -- (2.0%) COMMON STOCKS -- (2.0%) Ackermans & Van Haaren SA 7,990 271,328 Banque Nationale de Belgique 787 3,331,920 Bekaert SA 39,600 3,098,067 CFE (Compagnie Francois d'Entreprises) 3,812 1,257,577 Cie Martime Belge SA 49,059 14,216,167 Cofinimmo SA 56,993 9,126,222 D'Ieteren SA 9,562 1,809,705 Exmar NV 29,600 1,720,341 Floridienne NV 1,900 144,219 * Immobel (Cie Immobiliere de Belgique SA) 27,546 1,295,153 * Integrated Production & Test Engineering NV 28,600 118,565 * # Ion Beam Application SA 183,300 1,983,607 * Ipso-Ilg SA 38,662 375,921 Nord-Sumatra Investissements SA 421 128,816 Papeteries de Catala SA 450 50,836 Quick Restaurants SA 38,332 673,033 * Quick Restaurants VVPR 27,380 728 Recticel SA 97,731 1,125,660 Rosier SA 200 31,554 * Sait Radioholland 21,764 142,605 Sapec SA 7,671 644,966 * Solvus SA 146,000 2,712,771 Spector Photo Group SA 11,701 114,209 * Systemat SA 68,225 531,424 Telindus Group SA 218,239 2,237,309 Tessenderlo Chemie 64,256 2,678,038 Warehouses de Pauw Sicafi 6,260 282,417 ------------------ TOTAL COMMON STOCKS (Cost $28,505,922) 50,103,158 ------------------ RIGHTS/WARRANTS -- (0.0%) * Belge des Betons Contingent Rights 12,520 0 ------------------ (Cost $0) TOTAL -- BELGIUM (Cost $28,505,922) 50,103,158 ------------------ GREECE -- (1.6%) COMMON STOCKS -- (1.6%) * Aegek S.A. 369,814 339,177 * Agrotiki Insurance S.A. 44,150 165,013 Alco Hellas ABEE S.A. 145,300 268,315 * Allatini Industrial & Commercial Co. 58,400 95,034
44 Alte Technological Co. S.A. 299,816 115,515 * Altec Information & Communication Systems S.A. 348,200 203,575 Alumil Milonas S.A. 88,060 296,273 * Aluminum of Attica S.A. 337,348 129,996 Anek Lines S.A. 258,359 370,543 Arcadia Metal Industry C. Rokas S.A. 84,011 827,544 * Aspis Bank S.A. 16,970 58,281 * Aspis Pronia General Insurance S.A. 194,160 183,275 * Astir Palace Vouliagmenis S.A. 11,930 87,514 * Athens Medical Center S.A. 418,340 789,210 Athens Water Supply & Sewage Co. S.A. 58,200 401,306 Atlantic Super Market S.A. 128,310 230,711 Attica Enterprises S.A. Holdings 482,314 1,872,024 Atti-Kat S.A. 378,008 226,419 Bank of Greece 41,488 5,248,671 * Bitros Holdings S.A. 82,020 340,379 Chipita S.A. 162,730 470,107 Delta Holdings S.A. 64,300 487,774 Edrasi Psalllidas Technical Co. S.A. 117,012 133,790 Egnatia Bank S.A. 407,070 1,434,227 El. D. Mouzakis S.A. 123,900 125,237 * Empedos SA 56,700 15,825 * Ergas S.A. 104,947 34,765 Ethniki General Insurance Co. S.A. 9,950 52,400 * Etma Rayon S.A. 39,176 60,321 * Euro Reliance General Insurance 16,470 24,412 Euromedica S.A. 109,200 220,151 * Europaiki Techniki 98,150 30,003 * Fanco S.A. 44,900 41,733 * Forthnet S.A. 61,700 419,716 * Fourlis S.A. 155,000 983,010 Frigoglass S.A. 176,140 763,036 G.Polyhronos S.A. 27,800 38,790 General Construction Co. S.A. 11,000 86,276 General Commercial & Industry 96,240 100,090 * General Hellenic Bank 124,299 1,209,702 Halkor S.A. 132,600 352,209 Hatziioannou S.A. 97,400 163,126 Hellas Can Packaging Manufacturers S.A. 64,287 665,913 * Hellenic Cables S.A. 122,938 168,099 Hellenic Fabrics S.A. 55,000 135,527 Hellenic Sugar Industry S.A. 55,180 302,459 Hellenic Technodomiki S.A. 297,620 1,321,818 Hermes Real Estate S.A. 98,294 481,356 Inform P. Lykos S.A. 21,930 84,608 Intracom Constructions S.A. 129,640 170,717 Intracom S.A. 443,466 2,332,747 * J Boutaris & Son Holding S.A. 105,600 128,955 Kalpinis Simos Steel Service Center 49,238 237,056 * Karatzis SA 58,710 98,800 Kathimerini S.A. 73,740 576,024 Katselis Sons S.A. 21,000 60,904 * Keranis Holdings SA 71,500 63,679 Kordellou Brothers S.A. 17,200 39,616
45 * Lambrakis Press S.A. 232,459 1,100,842 * Lavipharm S.A. 160,616 266,427 Light Metals Industry 120,028 322,520 * Loulis Mills S.A. 77,428 195,081 * Maritime Company of Lesvos S.A. 164,000 80,633 * Maxim Knitwear Factory C.M. 61,360 32,744 Mesochoritis Bros. Construction Co. 89,900 37,039 Michaniki S.A. 309,918 749,480 Minoan Lines S.A. 328,387 816,453 Mochlos S.A. 679,690 352,658 Mytilineos Holdings S.A. 128,870 979,576 * N. Levederis S.A. 24,700 24,347 * Naoussa Spinning Mills S.A. 81,900 104,413 Nexans Hellas S.A. 25,070 94,259 Nikas S.A. 35,183 197,301 Notos Com.Holdings S.A. 11,808 46,300 Pantechniki S.A. 201,405 313,036 * Parnassos Enterprises S.A. 93,550 70,819 * Pegasus Publishing & Printing S.A. 217,030 430,068 * Petzetakis S.A. 88,200 265,722 * Pilias S.A. 85,264 20,379 Piraeus Leasing 23,551 200,757 * Prodeftiki Technical Co. 164,900 85,492 * Sanyo Hellas S.A. 323,808 378,625 Sarantis S.A. 154,900 930,965 Sato S.A. 93,160 90,307 Selected Textile Industry Assoc. S.A. 171,500 134,594 Sfakianakis S.A. 38,370 174,546 * Sheet Steel S.A. 77,100 31,903 * Shelman Hellenic-Swiss Wood S.A. 155,548 198,752 Silver and Baryte Ores Mining Co. S.A. 88,550 664,613 Spyroy Agricultural House S.A. 103,200 114,005 * Stabilton S.A. 221,900 23,593 Strintzis Shipping Lines S.A. 486,146 549,736 Technical Olympic S.A. 626,840 3,432,990 * Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 23,730 6,637 Teletypos S.A. Mega Channel 18,390 88,822 Terna Tourist Technical & Maritime S.A. 33,100 283,918 Themeliodomi S.A. 140,360 229,452 Thrace Plastics Co. S.A. 210,660 367,037 * Varvaressos S.A. European Spinning Mills 36,350 42,007 * Veterin S.A. 62,096 216,796 Vioter S.A. 227,695 281,665 * Vis Container Manufacturing Co. 12,511 38,924 * Zampa S.A. 1,750 26,250 ------------------ TOTAL -- GREECE (Cost $40,591,989) 41,456,236 ------------------ SPAIN -- (1.6%) COMMON STOCKS -- (1.6%) * Amper SA 101,200 555,114
46 * # Avanzit SA 76,700 202,125 CAF (Construcciones y Auxiliar de Ferrocarriles SA) 11,875 949,578 Cementos Portland SA 2,644 147,886 Cie Automotive SA 17,839 264,962 Cortefiel SA 383,700 5,449,430 * Dogi International Fabrics SA 21,900 122,282 * # Duro Felguera SA 65,433 598,954 * Ercros SA 971,641 465,346 * Espanola del Zinc SA 53,703 120,875 Europistas Concesionaria Espanola SA 133,300 896,705 # Funespana SA 43,617 485,012 Global Steel Wire SA 73,031 232,407 Grupo Empresarial Ence SA 82,280 2,495,072 * # Grupo Picking Pack SA 1,079,666 703,874 Hullas del Coto Cortes 7,000 93,033 Iberpapel Gestion SA 59,665 1,197,813 Inbesos SA 26,897 161,853 Inmobiliaria Colonial SA ICSA 79,400 3,056,753 Inmobiliaria Urbis SA 288,600 3,969,840 * LSB (La Seda de Barcelona SA) Series B 211,150 534,573 * Mecalux SA 101,989 936,066 Metrovacesa SA 30,812 1,467,783 * Nicolas Correa SA 37,386 174,984 Obrascon Huarte Lain SA 434,910 3,553,326 Pescanova SA 63,141 1,293,946 # Sol Melia SA 111,200 1,042,994 Tavex Algodonera SA 139,958 558,538 * # Tecnocom Telecomunicaciones y Energia SA 35,910 282,782 Tubacex SA 645,874 1,556,382 Unipapel SA 70,634 1,676,295 * Unipapel SA Issue 04 3,924 93,127 * # Uralita SA 672,840 3,176,414 * Urbanizzciones y Transportes SA 79,329 71,904 Vidrala SA, Alava 10,880 219,241 Viscofan Industria Navarra de Envolturas Celulosicas SA 24,100 228,845 ------------------ TOTAL COMMON STOCKS (Cost $17,608,571) 39,036,114 ------------------ RIGHTS/WARRANTS -- (0.0%) * Dogi International Fabrics Rights 11/30/04 21,900 291 ------------------ (Cost $0) TOTAL -- SPAIN (Cost $17,608,571) 39,036,405 ------------------ NORWAY -- (1.5%) COMMON STOCKS -- (1.5%) ABG Sundal Collier ASA 93,000 87,443 * Aker Kvaerner OGEP ASA 78,255 2,000,883 * Aker Yards AS 48,248 993,219 Bonheur ASA 39,205 1,704,849 * Choice Hotel Scandinavia ASA 13,000 48,425
47 * Dale of Norway Holding ASA 18,200 10,407 Det Norske Oljeselskap ASA Series A 161,379 747,466 * # DOF ASA 30,000 97,186 * EDB Elektronisk Data Behandling ASA 1,800 13,536 Farstad Shipping ASA 65,000 829,164 * # Fjord Seafood ASA 1,451,246 615,915 * # Fred Olsen Energy ASA 303,500 3,880,091 Ganger Rolf ASA 32,150 1,265,264 Gresvig ASA 13,300 89,269 * Home Invest ASA 7,066 5,772 Kverneland ASA 39,457 483,856 * # Merkantildata ASA 1,286,200 524,581 # Nera ASA 660,611 1,760,937 * # Ocean Rig ASA 168,549 724,044 Odfjell ASA Series A 88,474 5,859,052 * # Petroleum Geo-Services ASA (New) 30,590 1,697,904 * Petrolia Drilling ASA 8,760 945 * # SAS AB 38,000 317,995 * Scana Industrier ASA 33,500 12,439 * Sinvest ASA 6,003 17,701 Smedvig ASA Series A 281,900 4,248,932 * Software Innovation ASA 47,062 145,929 Solstad Offshore ASA 86,000 955,796 * Tandberg Data ASA 107,700 140,774 * Tandberg Storage ASA 107,700 43,173 * Tandberg Television ASA 209,900 1,615,926 * Tybring-Gjed ASA 163,020 70,897 Veidekke ASA 7,000 104,146 Wilhelmsen (Wilhelm), Ltd. ASA Series A 245,200 5,569,542 ------------------ TOTAL COMMON STOCKS (Cost $16,530,478) 36,683,458 ------------------ RIGHTS/WARRANTS -- (0.0%) * Ementor ASA Rights 12/01/04 1,286,200 132,387 ------------------ (Cost $173,394) TOTAL -- NORWAY (Cost $16,703,872) 36,815,845 ------------------ DENMARK -- (1.4%) COMMON STOCKS -- (1.4%) Aarhus Oliefabrik A.S. Aeries A 10,395 1,055,373 * Alm. Brand A.S. 45,705 1,602,829 Amagerbanken A.S. 4,226 620,787 Ambu International A.S. Series B 6,080 144,759 Amtssparekassen Fyn A.S. 4,181 782,347 * Andersen & Martini Series B 3,500 20,036 AS Dampskibsselsk Torm 73,140 3,228,259 Bording (F.E.) A.S. Series B 475 25,917 * Brodrene Hartmann A.S. Series B 13,560 262,294 Codan A.S. 52,875 2,708,310 Dalhoff, Larsen & Hornemann A.S. Series B 3,663 252,474
48 * Danionics A.S. Series A 12,586 13,661 * Denka Holding A.S. 400 24,456 DFDS A.S., Copenhagen 20,820 991,176 DiskontoBanken A.S. 1,301 301,681 Djursland Bank 2,365 179,425 East Asiatic Co., Ltd. 46,252 2,361,164 Egnsbank Han Herred 3,181 412,560 * FLS Industries 138,986 2,236,416 Foras Holding A.S. Series A 31,379 407,614 Forstaedernes Bank 6,931 572,167 * Genmab A.S. 25,392 434,685 * Glostrup Plade Vaerksted Industri A.S. 2,600 47,932 H&H International A.S. Series B 500 109,131 Harboes Bryggeri A.S. 460 156,423 Hedegaard (Peder P.) A.S. 1,406 113,595 Hojgaard Holding A.S. Series B 7,075 253,839 HVB Bank A.S. 3,110 152,961 Kompan A.S. 310 63,872 Lan & Spar Bank A.S. 5,706 305,355 Lokalbanken I Nordsjaelland A.S. 690 139,867 * Migatronic Series B 1,294 28,936 Mons Bank A.S. 424 68,617 Morso Bank 240 37,109 NKT Holding A.S. 57,585 1,506,452 Nordjyske Bank A.S. 1,203 242,187 Norresundby Bank 439 173,002 * NTR Holdings A.S. 1,650 14,213 Ove Arkil Series B 680 94,271 Per Aarsleff A.S. Series B 5,540 292,450 * Pharmexa A.S. 42,400 203,131 Ringkjobing Bank 3,440 306,194 Ringkjobing Landbobank 1,265 499,259 Rockwool, Ltd. 26,020 1,252,885 Salling Bank 500 50,947 Sanistal A.S. Series B 4,670 338,978 * Scanbox Danmark A.S. Series B 3,400 1,174 Scandinavian Brake Systems A.S. 510 39,232 Schouw & Co. A.S. 31,885 702,034 Skaelskor Bank 720 104,446 Skjern Bank A.S. 1,530 140,196 * Spaencom A.S. 300 12,518 Spar Nord Holding 11,919 1,557,011 Sparbank Vest A.S. 11,870 619,522 Sparekassen Faaborg A.S. 1,634 540,124 Sydbank A.S. 17,570 3,336,013 * TK Development 26,740 69,570 * Torsana A.S. Series B 200 4,993 Totalbanken A.S. 600 92,290 * Treka A.S. 26,230 464,288 Vestfyns Bank 500 65,341 Vestjysk Bank A.S. 19,420 743,487 VT Holdings Shares B 5,900 375,703 * Wessel & Vett Magasin du Nord A.S. Series C 6,498 189,379 ------------------ TOTAL COMMON STOCKS (Cost $15,951,228) 34,147,317 ------------------
49 INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 20,476 ------------------ (Cost $19,399) TOTAL -- DENMARK (Cost $15,970,627) 34,167,793 ------------------ AUSTRIA -- (1.0%) COMMON STOCKS -- (1.0%) Agrana Beteiligungs AG 5,657 548,367 Allgemeine Sparkasse Baugesellschaft 120 14,035 * Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 273,399 3,589,407 Bohler Uddeholm AG 63,594 7,537,386 * Ca Immobilien Invest AG 113,110 3,008,430 * Demeter Vermoegensverwaltung 105,381 0 * Eybl International AG 2,700 68,771 Flughafen Wien AG 37,104 2,664,643 Frauenthal Holding AG 1,308 83,999 * General Partners Inmobilienbesitz AG 5,900 12,076 Lenzing AG 150 34,302 Linz Textil Holding AG 200 37,297 Oberbank AG 1,302 136,085 * RHI AG, Wien 31,752 852,802 Rosenbauer International AG 1,462 104,372 * # VA Technologie AG 96,344 7,511,657 ------------------ TOTAL -- AUSTRIA (Cost $15,942,613) 26,203,629 ------------------ IRELAND -- (0.9%) COMMON STOCKS -- (0.9%) Abbey P.L.C. 159,520 1,695,597 * Arcon International Resources P.L.C. 44,160 21,726 * Ardagh P.L.C. 77,019 190,008 Donegal Creameries P.L.C. 23,801 135,579 * Dragon Oil P.L.C. 2,523,854 2,612,767 Greencore Group P.L.C. 448,286 1,727,798 Heiton Holdings P.L.C. 211,378 1,980,563 IFG Group P.L.C. 307,277 322,465 * Iona Technologies P.L.C. 146,143 763,353 Irish Intercontental Group P.L.C. 110,167 1,638,308 Jurys Hotel Group P.L.C. 544,314 8,458,239 * Oakhill Group P.L.C. 69,119 11,023 * Qualceram Shires P.L.C. 30,338 80,641 Readymix P.L.C. 548,109 1,311,231 * Waterford Wedgwood P.L.C. 5,271,476 553,786 ------------------
50 TOTAL -- IRELAND (Cost $14,763,448) 21,503,084 ------------------ NEW ZEALAND -- (0.8%) COMMON STOCKS -- (0.8%) AFFCO Holdings, Ltd. 2,917,096 832,186 CDL Hotels New Zealand, Ltd. 2,017,530 835,925 CDL Investments New Zealand, Ltd. 701,344 185,284 Colonial Motor Co., Ltd. 207,470 439,023 * Evergreen Forests, Ltd. 648,900 152,486 Fisher & Paykel Apppliances Holdings, Ltd. 131,412 402,641 * Fletcher Challenge Forests, Ltd. 550,302 847,067 Independent Newspapers, Ltd. (Auckland) 1,213,784 4,652,253 Met Lifecare, Ltd. 161,905 312,484 * New Zealand Oil & Gas, Ltd. 308,137 241,956 New Zealand Refining Co., Ltd. 12,100 254,372 * Pan Pacific Petroleum NL 374,079 40,926 Pyne Gould Guinness, Ltd. 246,048 330,580 * Richina Pacific, Ltd. 704,552 326,614 * Rubicon, Ltd. 1,718,412 1,301,988 Sanford, Ltd. 347,805 1,183,643 South Port New Zealand, Ltd. 71,088 64,063 * Tasman Farms 228,576 0 Taylors Group, Ltd. 42,000 67,947 Tourism Holdings, Ltd. 581,225 851,407 * Tower, Ltd. 3,023,588 4,628,896 * Trans Tasman Properties, Ltd. 3,568,944 1,021,537 Williams & Kettle, Ltd. 67,532 161,175 Wrightson, Ltd. 178,765 219,335 ------------------ TOTAL -- NEW ZEALAND (Cost $9,498,795) 19,353,788 ------------------ PORTUGAL -- (0.3%) COMMON STOCKS -- (0.3%) * Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 2,306,331 3,341,837 Efacec Capital SGPS SA 178,200 553,528 * Finibanco Holdings SGPS, SA 49,700 79,282 * Investimentos Participacoes e Gestao SA Inapa 440,502 1,606,568 Mota-Engil SGPS SA 17,100 41,545 * Papelaria Fernandes-Industria e Comercia SA 2,000 10,254 * Sociedad Construcoes Soares da Costa SA 294,047 746,599 * Sonae Industria-Sociedade Gestora de Participacoes Sociais SA 18,110 114,634 * Sumolis - Companhia Industrial de Fruitas e Bebidas, SA 20,300 37,524 * Tertir Terminais de Portugal SA 80,798 287,380 ------------------ TOTAL -- PORTUGAL (Cost $6,386,249) 6,819,151 ------------------
51
VALUE+ ------------------ EMU -- (0.1%) INVESTMENT IN CURRENCY -- (0.1%) * Euro Currency 3,373,844 ------------------ (Cost $3,299,746) MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Jaks Resources Berhad 10,750 4,809 * Promet Berhad 201,000 15,340 * Rekapacific Berhad 130,000 0 * Saship Holdings Berhad 361,000 84,550 ------------------ TOTAL -- MALAYSIA (Cost $663,374) 104,699 ------------------ UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Bookham, Inc. 6,360 34,090 ------------------ (Cost $47,765) FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (11.4%) Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities USA 1.95%, 12/01/04 (Collateralized by $489,563,305 U.S. Treasury Note 1.625% & STRIPS, maturities ranging from 03/31/05 to 05/15/30, valued at $277,425,402) to be repurchased at $272,940,248 (Cost $272,925,402) ^ 272,925 272,925,402 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $15,020,000 FNMA Notes 2.95%, 11/14/04, valued at $15,041,073) to be repurchased at $14,835,775 (Cost $14,835,000) 14,835 14,835,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $287,760,402) 287,760,402 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $1,926,667,885) $ 2,513,802,692 ------------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 52 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS EMERGING MARKETS PORTFOLIO NOVEMBER 30, 2004
VALUE+ ---------------- Investment in The Emerging Markets Series of The DFA Investment Trust Company $ 1,132,195,736 ---------------- Total Investments (100%) (Cost $796,105,643) $ 1,132,195,736 ================
EMERGING MARKETS SMALL CAP PORTFOLIO NOVEMBER 30, 2004
VALUE+ ---------------- Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company $ 190,101,469 ---------------- Total Investments (100%) (Cost $147,601,426) $ 190,101,469 ================
DFA ONE-YEAR FIXED INCOME PORTFOLIO NOVEMBER 30, 2004
SHARES VALUE+ ----------- ---------------- Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust Company 173,879,559 $ 1,738,795,590 ---------------- Total Investments (100%) (Cost $1,737,998,525) $ 1,738,795,590 ================
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO NOVEMBER 30, 2004
SHARES VALUE+ ----------- ---------------- Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust Company 167,688,329 $ 1,675,206,407 ---------------- Total Investments (100%) (Cost $1,681,595,362) $ 1,675,206,407 ================
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 43 DFA FIVE-YEAR GOVERNMENT PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
FACE AMOUNT VALUE+ ------ ------ (000) AGENCY OBLIGATIONS -- (99.4%) Federal Farm Credit Bank 3.625%, 10/24/08 $ 83,000 $ 82,524,659 3.700%, 12/17/08 56,700 56,235,343 3.550%, 04/06/09 16,765 16,538,438 4.375%, 06/24/09 20,570 20,940,198 Federal Home Loan Bank 5.800%, 09/02/08 53,300 57,017,782 5.865%, 09/02/08 2,670 2,871,932 3.625%, 11/14/08 24,000 23,917,776 3.625%, 11/14/08 17,000 16,898,527 3.500%, 02/13/09 42,880 42,305,965 3.000%, 04/15/09 32,400 31,318,780 4.250%, 05/15/09 27,500 27,862,175 3.750%, 08/18/09 25,400 25,253,290 3.500%, 11/03/09 58,000 56,758,104 Tennessee Valley Authority 5.375%, 11/13/08 70,445 74,556,734 ---------------- TOTAL AGENCY OBLIGATIONS (Cost $539,729,592) 534,999,703 ---------------- TEMPORARY CASH INVESTMENTS -- (0.6%) Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $3,175,000 FHLMC Notes 4.20%, 10/20/09, valued at $3,188,621) to be repurchased at $3,155,165 (Cost $3,155,000) 3,155 3,155,000 ---------------- TOTAL INVESTMENTS -- (100.0%) (Cost $542,884,592) $ 538,154,703 ================
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 44 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
FACE AMOUNT VALUE+ ------ ------ (000) UNITED STATES -- (40.1%) BONDS -- (19.7%) Citigroup, Inc. 3.625%, 02/09/09 $ 7,000 $ 6,905,255 4.250%, 07/29/09 7,800 7,846,270 Fifth Third Bank 3.375%, 08/15/08 11,035 10,823,735 General Electric Capital Corp. 3.250%, 06/15/09 33,850 32,700,251 Gillette Co. 3.800%, 09/15/09 29,600 29,368,114 Pfizer, Inc. 5.625%, 04/15/09 18,300 19,436,430 Procter & Gamble Co. 4.300%, 08/15/08 4,200 4,291,917 6.875%, 09/15/09 17,979 20,156,814 Toyota Motor Credit Corp. 2.875%, 08/01/08 6,000 5,809,698 US Bank NA 3.400%, 03/02/09 30,250 29,334,000 Wal-Mart Stores, Inc. 6.875%, 08/10/09 33,590 37,618,415 Wells Fargo & Co. 3.125%, 04/01/09 32,090 30,916,950 -------------- TOTAL BONDS (Cost $237,798,821) 235,207,849 -------------- AGENCY OBLIGATIONS -- (20.4%) Federal Farm Credit Bank 3.625%, 10/24/08 54,000 53,690,742 Federal Home Loan Bank 3.625%, 11/14/08 34,000 33,883,516 3.000%, 04/15/09 18,000 17,399,322 3.750%, 08/18/09 5,000 4,971,120 Federal Home Loan Mortgage Corporation 5.750%, 03/15/09 16,000 17,189,968 3.375%, 04/15/09 20,000 19,664,480 6.625%, 09/15/09 15,500 17,269,278 Federal National Mortgage Association 5.250%, 01/15/09 12,500 13,170,875 3.250%, 02/15/09 42,000 41,030,976 Tennessee Valley Authority 5.375%, 11/13/08 24,400 25,824,179 -------------- TOTAL AGENCY OBLIGATIONS (Cost $246,388,278) 244,094,456 -------------- TOTAL -- UNITED STATES (Cost $484,187,100) 479,302,305 -------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS (15.5%) BONDS -- (15.5%) African Development Bank 3.250%, 08/01/08 $ 15,300 $ 14,987,758 Asian Development Bank 5.948%, 05/20/09 34,000 36,876,400 European Investment Bank 3.375%, 03/16/09 33,435 32,989,713 Inter-American Development Bank 5.375%, 11/18/08 9,000 9,574,560 5.625%, 06/29/09^ 32,360 29,223,471 International Finance Corp. 3.750%, 06/30/09 33,035 32,882,576 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 5.125%, 03/13/09 27,300 28,782,416 -------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $182,821,204) 185,316,894 -------------- CANADA -- (12.8%) BONDS -- (12.8%) BP Canada Finance 3.625%, 01/15/09 11,394 11,210,853 British Columbia (Province of) 5.000%, 06/25/09 17,500 18,252,500 Canada Housing Trust 4.650%, 09/15/09 32,900 28,587,763 Canadian Government 4.250%, 09/01/09^ 35,800 30,740,339 Ontario, Province of 5.500%, 10/01/08^ 32,520 34,408,566 Toyota Credit Canada 4.250%, 06/17/09^ 27,600 23,369,648 4.750%, 06/29/09^ 7,300 6,302,662 -------------- TOTAL -- CANADA (Cost $146,770,976) 152,872,331 -------------- GERMANY -- (13.0%) BONDS -- (13.0%) Bayerische Landesbank 2.875%, 10/15/08 7,600 7,314,210 5.875%, 12/01/08 9,600 10,257,686 3.200%, 04/15/09 10,000 9,653,630 Deutsche Postbank AG 5.500%, 02/17/09 8,000 8,494,400 KFW International Finance, Inc. 3.250%, 03/30/09 34,700 33,944,199 KFW-Kreditanstalt fuer Wiederaufbau 3.750%, 01/28/09@ 11,700 1,763,541 Landesbank Baden-Wuerttemberg Foerderbank 4.500%, 01/26/09 19,800 16,958,345
45
FACE AMOUNT VALUE+ ------ ------ (000) Landwirtschaft Rentenbank 3.750%, 06/15/09 $ 33,000 $ 32,563,773 Westdeutsche Landesbank 6.050%, 01/15/09 32,200 34,291,523 -------------- TOTAL -- GERMANY (Cost $156,056,816) 155,241,307 -------------- NETHERLANDS -- (5.1%) BONDS -- (5.1%) Bank Nederlandse Gemeenten NV 4.375%, 09/15/09 15,000 15,214,650 Nederlandse Waterschapsbank NV 2.750%, 12/30/08 19,300 18,508,700 Rabobank 4.250%, 01/05/09^ 31,200 26,512,325 -------------- TOTAL -- NETHERLANDS (Cost $59,059,942) 60,235,675 -------------- FRANCE -- (4.3%) BONDS -- (4.3%) Dexia Credit Local 5.500%, 01/21/09 20,115 21,295,751 Total Capital SA 3.500%, 01/05/09 30,900 30,492,120 -------------- TOTAL -- FRANCE (Cost $52,616,654) 51,787,871 -------------- NORWAY -- (2.9%) BONDS -- (2.9%) Eksportfinans ASA 4.375%, 07/15/09 (Cost $34,362,395) 34,000 34,431,120 -------------- SPAIN -- (2.8%) BONDS -- (2.8%) Institut de Credito Oficial 3.875%, 07/15/09 (Cost $32,791,910) $ 33,045 $ 32,957,100 -------------- FINLAND -- (2.7%) BONDS -- (2.7%) Republic of Finland 3.250%, 05/15/09 (Cost $31,633,611) 32,700 31,973,406 -------------- TEMPORARY CASH INVESTMENTS -- (0.8%) Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $9,979,000 FNMA Notes 2.95%, 11/14/07, valued at $9,993,001) to be repurchased at 9,856,515 (Cost $9,856,000) 9,856 9,856,000 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,190,156,607) $1,193,974,009 ==============
- ---------- + See Note B to Financial Statements. ^ Denominated in Canadian Dollars. @ Denominated in Swedish Krona. See accompanying Notes to Financial Statements. 46 DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004 FACE
FACE AMOUNT VALUE+ ------ ------ (000) U.S. TREASURY OBLIGATIONS -- (35.4%) U.S. Treasury Bonds 11.250%, 02/15/15 $ 5,000 $ 7,799,805 10.625%, 08/15/15 6,000 9,137,814 9.875%, 11/15/15 6,000 8,780,388 9.250%, 02/15/16 9,000 12,718,125 7.250%, 05/15/16 6,000 7,422,888 9.000%, 11/15/18 8,200 11,724,401 U.S. Treasury Notes 5.625%, 05/15/08 11,000 11,798,787 5.500%, 05/15/09 5,000 5,395,900 6.000%, 08/15/09 8,000 8,802,496 6.500%, 02/15/10 6,600 7,450,265 5.750%, 08/15/10 3,600 3,948,750 5.000%, 02/15/11 5,700 6,031,535 5.000%, 08/15/11 10,000 10,575,780 4.875%, 02/15/12 3,000 3,144,609 3.875%, 02/15/13 10,300 10,055,776 7.500%, 11/15/16 4,000 5,051,720 -------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $124,967,604) 129,839,039 -------------- AGENCY OBLIGATIONS -- (63.8%) Federal Farm Credit Bank 6.450%, 10/07/09 2,000 2,213,410 7.160%, 05/19/10 3,000 3,438,039 6.700%, 11/22/10 2,000 2,258,994 6.135%, 12/13/10 4,000 4,391,664 5.750%, 01/18/11 9,000 9,714,375 6.000%, 03/07/11 9,000 9,822,933 6.740%, 04/11/11 1,000 1,132,401 4.800%, 05/24/11 3,300 3,381,926 6.300%, 06/06/11 2,800 3,116,467 4.300%, 11/23/11 5,500 5,452,161 6.260%, 12/02/11 2,000 2,215,714 4.480%, 08/24/12 4,000 3,986,704 6.280%, 11/26/12 3,000 3,342,390 4.150%, 05/15/13 4,000 3,868,572 8.160%, 09/30/14 3,615 4,565,846 Federal Home Loan Bank 5.895%, 01/14/08 2,100 2,243,705 6.030%, 01/30/08 2,000 2,145,882 7.000%, 02/15/08 2,000 2,208,290 5.905%, 03/27/08 4,000 4,283,928 6.185%, 05/06/08 1,000 1,082,384 6.045%, 05/22/08 $ 1,000 $ 1,078,428 5.945%, 07/28/08 6,000 6,462,762 5.915%, 08/25/08 3,000 3,230,511 5.800%, 09/02/08 3,000 3,209,256 5.550%, 11/17/08 5,000 5,328,205 5.315%, 12/23/08 10,000 10,574,760 5.545%, 02/17/09 3,000 3,201,792 5.950%, 03/16/09 5,550 6,016,522 5.863%, 04/22/09 9,000 9,732,735 6.730%, 06/22/09 2,500 2,799,593 6.500%, 08/14/09 3,000 3,333,090 6.500%, 11/13/09 9,000 10,018,638 3.875%, 02/12/10 3,000 2,971,533 7.375%, 02/12/10 2,080 2,393,845 7.625%, 05/14/10 3,020 3,534,049 4.125%, 08/13/10 9,000 8,966,529 6.625%, 11/15/10 1,000 1,123,235 7.200%, 06/14/11 3,000 3,497,340 5.750%, 05/15/12 16,300 17,648,140 4.500%, 11/15/12 8,000 8,002,448 3.875%, 06/14/13 3,600 3,429,875 4.500%, 09/16/13 11,000 10,954,053 5.250%, 06/18/14 2,000 2,086,880 Tennessee Valley Authority 5.375%, 11/13/08 8,000 8,466,944 5.625%, 01/18/11 11,000 11,751,300 6.000%, 03/15/13 9,000 9,860,976 -------------- TOTAL AGENCY OBLIGATIONS (Cost $222,090,819) 234,539,224 -------------- TEMPORARY CASH INVESTMENTS -- (0.8%) Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $2,811,000 FHLMC Notes 4.20%, 10/20/09, valued at $2,823,059) to be repurchased at $2,793,146 (Cost $2,793,000) 2,793 2,793,000 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $349,850,423) $ 367,171,263 ==============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 47 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
FACE AMOUNT VALUE+ ------ ------ (000) MUNICIPAL BONDS -- (63.3%) Alabama -- (2.7%) Alabama State Department of Dock Facilities Revenue Bonds 6.000%, 10/01/08 $ 1,000 $ 1,121,140 Alabama State Federal Highway Finance Authority Series A 5.000%, 03/01/09 4,000 4,349,680 Alabama Water Pollution Control Authority Revenue Bonds 5.000%, 08/15/08 2,160 2,341,656 Huntsville, Alabama General Obligations 4.500%, 08/01/07 1,000 1,051,420 Jefferson County, Alabama Series A General Obligations 5.000%, 04/01/08 1,300 1,398,800 -------------- 10,262,696 -------------- Arizona -- (1.8%) Arizona State Transportation Board Revenue Bonds 5.250%, 07/01/08 3,000 3,275,250 City of Scottsdale, Arizona General Obligations 5.000%, 07/01/08 2,250 2,432,498 Pima County, Arizona General Obligations 5.100%, 07/01/07 1,000 1,068,380 -------------- 6,776,128 -------------- Colorado -- (0.3%) Jefferson County, Colorado School District General Obligations 5.500%, 12/15/06 1,000 1,064,640 -------------- Connecticut -- (3.0%) Connecticut State Special Obligation Rate Reduction 5.000%, 06/30/09 5,000 5,448,950 State of Connecticut Health Education Refunding Bonds General Obligations 4.500%, 03/15/09 5,600 5,988,528 -------------- 11,437,478 -------------- Delaware -- (0.6%) Delaware Transportation Authority Series B Revenue Bonds 5.250%, 07/01/07 1,000 1,072,370 State of Delaware Series B General Obligations 5.000%, 05/01/07 1,000 1,063,440 -------------- 2,135,810 -------------- Florida -- (2.2%) Florida State Board of Education Series C General Obligations 4.000%, 06/01/09 $ 4,000 $ 4,192,760 Florida State Board of Education Series H General Obligations 5.000%, 06/01/08 2,000 2,161,440 Jacksonville, Florida Excise Taxes Revenue Bonds 5.250%, 10/01/07 1,000 1,078,000 Tallahassee, Florida Energy Systems 2.750%, 10/01/05 1,000 1,005,290 -------------- 8,437,490 -------------- Georgia -- (1.8%) State of Georgia Finance & Investment Committee 5.750%, 09/01/07 1,000 1,090,090 State of Georgia General Obligations 5.250%, 08/01/07 1,000 1,074,890 State of Georgia General Obligations 6.700%, 08/01/08 2,000 2,286,020 State of Georgia General Obligations 6.250%, 04/01/09 2,000 2,281,920 -------------- 6,732,920 -------------- Hawaii -- (0.6%) State of Hawaii General Obligations 5.000%, 04/01/08 2,000 2,154,660 -------------- Illinois -- (3.4%) Central Lake County, Illinois General Obligations 6.000%, 02/01/08 1,000 1,105,380 Chicago Metropolitan Water Reclamation District General Obligations 5.500%, 12/01/08 2,000 2,209,900 Chicago, Illinois Public Building Commission Revenue Bonds 5.000%, 03/01/08 1,000 1,077,080 Chicago, Illinois Tax Increment 5.500%, 01/01/07 970 1,033,215 Du Page, Cook & Will Counties Community College District General Obligations 5.000%, 06/01/08 2,175 2,340,757 Du Page, Illinois Water Commission General Obligations 5.000%, 03/01/07 1,000 1,057,570 State of Illinois First Series General Obligations 5.250%, 04/01/07 600 638,610 State of Illinois General Obligations 5.500%, 04/01/09 3,000 3,321,420 -------------- 12,783,932 --------------
48
FACE AMOUNT VALUE+ ------ ------ (000) Indiana -- (1.1%) Indianapolis, Indiana Local Improvement Revenue Bonds 6.500%, 01/01/08 $ 1,000 $ 1,117,130 Ivy Technical State College Revenue Bonds 5.000%, 07/01/08 1,000 1,080,760 Logansport Multi-Purpose School Building Corp. Revenue Bonds 4.250%, 07/05/08 1,000 1,055,470 Valparaiso, Indiana School Building Corp. 4.500%, 01/05/07 1,000 1,044,810 -------------- 4,298,170 -------------- Iowa -- (1.1%) Des Moines, Iowa General Obligations 5.000%, 06/01/09 3,680 3,998,614 -------------- Kansas -- (0.9%) Johnson County, Kansas General Obligations 5.250%, 09/01/07 1,000 1,075,770 Kansas State Development Finance Authority Revenue Bonds 5.000%, 10/01/07 1,000 1,071,490 Wyandotte County, Kansas City, Kansas 5.000%, 09/01/07 1,000 1,069,450 -------------- 3,216,710 -------------- Kentucky -- (0.9%) Kentucky State Turnpike Authority Revenue Bonds 5.500%, 07/01/08 3,000 3,297,480 -------------- Louisiana -- (1.0%) Calcasieu Parish, Louisiana General Obligations 4.600%, 08/15/06 700 726,908 New Orleans, Louisiana Certificates of Indebtedness General Obligations 5.000%, 03/01/08 1,000 1,074,170 Shreveport, Louisiana Series A Certificates of Indebtedness 5.000%, 10/01/07 1,000 1,070,640 St. Tammany Parish, Louisiana 6.000%, 04/01/07 1,000 1,082,170 -------------- 3,953,888 -------------- Maryland -- (2.3%) State of Maryland General Obligations 5.000%, 07/15/08 2,000 2,171,100 State of Maryland General Obligations 5.250%, 02/01/09 5,000 5,506,750 Washington Suburban Sanitation District General Obligations 5.250%, 06/01/08 1,000 1,091,470 -------------- 8,769,320 -------------- Massachusetts -- (0.9%) Boston, Massachusetts Series A General Obligations 5.000%, 02/01/08 $ 1,000 $ 1,072,980 State of Massachusetts Series C General Obligations 5.250%, 12/01/07 2,000 2,158,940 -------------- 3,231,920 -------------- Michigan -- (2.3%) Detroit, Michigan City School District Series B General Obligations 4.500%, 05/01/08 1,000 1,060,940 Fraser Public School District General Obligations 5.150%, 05/01/08 1,000 1,082,020 Michigan Municipal Bond Authority Revenue Bonds 5.250%, 10/01/07 1,000 1,078,000 Michigan Municipal Bond Authority Revenue Bonds 5.250%, 10/01/08 3,000 3,284,340 Michigan State Comprehensive Transportation Series A Revenue Bonds 5.750%, 05/15/07 1,000 1,079,980 Wayne County, Michigan Community College General Obligations 5.000%, 07/01/07 1,000 1,065,370 -------------- 8,650,650 -------------- Minnesota -- (0.9%) Metropolitan Council of Minneapolis and St. Paul General Obligations 4.000%, 02/01/08 1,200 1,253,976 State of Minnesota General Obligations 6.000%, 08/01/05 1,000 1,025,970 State of Minnesota General Obligations 5.000%, 11/01/07 1,000 1,074,420 -------------- 3,354,366 -------------- Mississippi -- (0.3%) Rankin County, Mississippi School District 4.500%, 02/01/07 1,000 1,044,590 -------------- Missouri -- (0.9%) State of Missouri General Obligations 5.000%, 08/01/08 3,000 3,257,460 -------------- Nevada -- (2.4%) Clark County, Nevada School District General Obligations 4.000%, 06/01/09 3,540 3,707,548 Las Vegas, Nevada Valley Water Distribution Series B General Obligations 5.250%, 06/01/09 2,830 3,112,123 State of Nevada General Obligations 5.375%, 10/01/08 2,100 2,306,913 -------------- 9,126,584 --------------
49
FACE AMOUNT VALUE+ ------ ------ (000) New Hampshire -- (0.3%) New Hampshire State Turnpike Systems Revenue Bonds 5.000%, 10/01/06 $ 1,000 $ 1,047,290 -------------- New Jersey -- (0.3%) New Jersey State Transportation Trust Fund Authority 5.375%, 12/15/07 1,000 1,085,000 -------------- New Mexico -- (0.4%) New Mexico State Severance Tax Series 5.000%, 07/01/07 550 585,530 New Mexico State Severance Tax Series 5.000%, 07/01/07 1,000 1,064,080 -------------- 1,649,610 -------------- New York -- (2.6%) Long Island Power Authority Series A Revenue Bonds 5.250%, 12/01/05 1,000 1,033,150 Municipal Assistance Corp. for the City of New York 6.000%, 07/01/07 1,000 1,093,390 Nassau County, New York Interim Finance Authority 5.000%, 11/15/09 3,415 3,738,469 New York State Thruway Authority 5.000%, 04/01/09 3,500 3,807,195 -------------- 9,672,204 -------------- North Carolina -- (2.6%) Durham County, North Carolina General Obligations 5.500%, 04/01/09 3,000 3,334,320 North Carolina State Public Improvements General Obligations 5.500%, 03/01/08 1,000 1,093,220 State of North Carolina General Obligations 5.000%, 03/01/09 4,000 4,363,080 University of North Carolina Revenue Bonds 5.000%, 04/01/08 1,000 1,078,650 -------------- 9,869,270 -------------- Ohio -- (3.4%) Franklin County, Ohio General Obligations 5.500%, 12/01/07 1,000 1,086,340 Ohio State Building Authority Revenue Bonds 5.500%, 10/01/08 1,500 1,650,555 Ohio State Higher Education Capital Facilities Revenue Bonds 5.000%, 12/01/08 5,000 5,432,700 Ohio State Higher Education Capital Facilities Series II Revenue Bonds 5.250%, 12/01/06 1,000 1,057,390 Ohio State Water Development Authority Revenue Bonds 5.000%, 06/01/08 $ 2,500 $ 2,699,175 State of Ohio Highway Improvement General Obligations 5.500%, 05/01/07 1,000 1,072,910 -------------- 12,999,070 -------------- Oklahoma -- (1.2%) Grand River Dam Authority of Oklahoma Revenue Bonds 5.750%, 06/01/08 4,000 4,422,520 -------------- Oregon -- (2.6%) Oregon State Deparment of Transportation Revenue Bonds 5.000%, 11/15/06 900 947,304 Oregon State Department of Administrative Services Revenue Bonds 5.250%, 04/01/08 2,000 2,173,160 Salem-Keizer, Oregon School District General Obligations 5.000%, 06/15/09 6,055 6,612,968 -------------- 9,733,432 -------------- Pennsylvania -- (1.5%) Allegheny County, Pennsylvania Sanitation Authority 5.000%, 12/01/07 1,000 1,072,590 Berks County, Pennsylvania General Obligations 6.350%, 11/15/07 1,500 1,662,315 Pennsylvania Intergovernmental Cooperative Authority Special Tax 5.000%, 06/15/08 1,000 1,079,810 Pittsburgh, Pennsylvania School District General Obligations 5.000%, 09/01/07 1,000 1,068,070 State of Pennsylvania General Obligations 5.000%, 01/15/07 650 685,347 -------------- 5,568,132 -------------- South Carolina -- (0.8%) Piedmont Municipal Power Agency Electric Revenue Bonds Series 1985B 6.125%, 01/01/07 1,000 1,076,730 State of South Carolina General Obligations 5.000%, 04/01/09 1,900 2,074,040 -------------- 3,150,770 -------------- Tennessee -- (2.6%) Knox County, Tennessee General Obligations 4.500%, 04/01/08 2,000 2,120,320
50
FACE AMOUNT VALUE+ ------ ------ (000) Metro Government Nashville & Davidson Counties General Obligations 5.000%, 11/15/08 $ 2,000 $ 2,169,660 Metro Government of Nashville & Davidson Counties Series A Prerefunded General Obligations 5.250%, 10/15/07 790 850,846 Metro Government of Nashville & Davidson Counties Series B Unrefunded General Obligations 5.250%, 10/15/07 210 226,174 Shelby County, Tennessee General Obligations 5.000%, 04/01/09 4,195 4,561,391 -------------- 9,928,391 -------------- Texas -- (5.4%) Austin, Texas Electric Utility Systems Revenue Bonds 5.000%, 11/15/05 1,000 1,027,030 Dallas, Texas Waterworks & Sewer System 5.250%, 10/01/08 3,000 3,276,300 Houston, Texas General Obligations 5.500%, 03/01/06 70 72,774 Houston, Texas General Obligations 5.500%, 03/01/06 430 447,200 Lower Colorado River Authority Revenue Bonds 5.250%, 05/15/08 1,000 1,084,480 San Antonio, Texas Pre Refunded General Obligations 5.000%, 08/01/07 20 21,343 San Antonio, Texas Unrefunded General Obligations 5.000%, 08/01/07 980 1,043,445 State of Texas General Obligations 5.000%, 08/01/09 4,000 4,356,320 Texas A&M University Revenue Bond 5.000%, 05/15/09 4,000 4,344,760 Texas State University Systems Financing Revenue Bonds 5.000%, 03/15/09 2,245 2,436,341 Trinity River Authority Texas Regional Wastewater System Revenue Bond 5.500%, 08/01/08 2,200 2,415,688 -------------- 20,525,681 -------------- Utah -- (1.9%) Salt Lake City, Utah General Obligations 5.250%, 06/15/07 1,000 1,070,910 Salt Lake County, Utah Municipal Building Authority Lease Revenue Bonds 5.000%, 10/01/08 1,800 1,951,578 State of Utah General Obligations 4.000%, 07/01/08 3,000 3,147,810 Utah State Board of Regents Revenue Bonds 5.250%, 04/01/08 $ 1,000 $ 1,083,250 -------------- 7,253,548 -------------- Vermont -- (0.3%) Vermont Public Power Supply Authority 4.000%, 07/01/07 1,000 1,039,240 -------------- Virginia -- (2.8%) Arlington County, Virginia General Obligations 4.000%, 01/15/09 4,000 4,196,440 Richmond, Virginia General Obligations 5.000%, 07/15/07 1,000 1,066,320 Virginia Commonwealth Transportation Board Federal Highway Reimbursement Notes 5.000%, 10/01/09 5,000 5,474,400 -------------- 10,737,160 -------------- Washington -- (2.1%) King County, Washington Sewer Revenue Bonds 5.250%, 01/01/08 2,000 2,157,600 Seattle, Washington Drain & Wastewater Revenue Bonds 4.000%, 07/01/08 1,000 1,046,820 Snohomish County, Washington School District Revenue Bonds 4.500%, 06/01/09 3,500 3,731,350 State of Washington General Obligations 5.500%, 09/01/07 1,000 1,079,610 -------------- 8,015,380 -------------- Wisconsin -- (1.1%) Muskego Norway, Wisconsin School District General Obligations 5.000%, 04/01/07 1,000 1,059,190 State of Wisconsin General Obligations 5.000%, 05/01/07 1,000 1,060,780 State of Wisconsin General Obligations 5.250%, 05/01/09 2,000 2,195,860 -------------- 4,315,830 -------------- TOTAL MUNICIPAL BONDS (Cost $239,516,890) 238,998,034 -------------- TAX EXEMPT COMMERCIAL PAPER -- (35.0%) Arizona -- (3.6%) City of Mesa, Arizona Municipal Develpoment 1.810%, 01/03/05 4,000 4,000,000 Salt River Project Agricultural Improvement 1.780%, 12/17/04 2,500 2,500,000
51
FACE AMOUNT VALUE+ ------ ------ (000) Salt River Project Agricultural Improvement 1.800%, 01/11/05 $ 5,000 $ 5,000,000 Salt River Project Agricultural Improvement 1.780%, 01/18/05 2,000 2,000,000 -------------- 13,500,000 -------------- Connecticut -- (0.3%) State of Connecticut Health Education 1.740%, 12/07/04 1,000 1,000,000 -------------- Florida -- (1.7%) City of Gainesville, Florida 1.770%, 12/06/04 6,500 6,500,000 -------------- Georgia -- (2.3%) Burke County, Georgia Development Authority 1.770%, 12/07/04 8,500 8,500,000 -------------- Maryland -- (3.5%) Maryland Health & Higher Education 1.620%, 12/01/04 4,000 4,000,000 Maryland Health & Higher Education 1.730%, 12/08/04 1,000 1,000,000 Maryland Health & Higher Education 1.740%, 12/14/04 1,500 1,500,000 Maryland Health & Higher Education 1.830%, 01/19/05 3,000 3,000,000 Montgomery, Maryland General Obligations 1.850%, 01/26/05 3,700 3,700,276 -------------- 13,200,276 -------------- Massachusetts -- (3.7%) Harvard University 1.700%, 12/03/04 2,000 2,000,000 Harvard University 1.730%, 12/09/04 2,100 2,100,000 Massachusetts Port Authority 1.700%, 12/03/04 3,000 3,000,000 Massachusetts Port Authority 1.780%, 12/22/04 5,000 5,000,000 Massachusetts Water Resource 1.730%, 12/02/04 2,000 2,000,000 -------------- 14,100,000 -------------- Nebraska -- (1.3%) Omaha Public Power District 1.740%, 12/10/04 2,000 2,000,000 Omaha Public Power District 1.790%, 12/13/04 3,000 3,000,000 -------------- 5,000,000 -------------- New York -- (1.9%) Dormitory Authority of New York 1.740%, 12/14/04 $ 5,000 $ 5,000,000 New York State Environmental Quality General Obligations 1.830%, 01/24/05 2,000 2,000,090 -------------- 7,000,090 -------------- Pennsylvania -- (0.9%) City of Philadelphia, Pennsylvania 1.720%, 12/06/04 3,500 3,500,000 -------------- South Carolina -- (1.7%) South Carolina Public Services Authority 1.750%, 12/15/04 5,009 5,009,000 South Carolina Public Services Authority 1.780%, 12/17/04 1,500 1,500,000 -------------- 6,509,000 -------------- Tennessee -- (0.6%) Tennessee State School Board Authority 1.770%, 12/02/04 2,400 2,400,000 -------------- Texas -- (11.1%) City of San Antonio, Texas Electric 1.820%, 01/21/05 5,000 4,999,630 Dallas Area Rapid Transit 1.740%, 12/13/04 1,000 1,000,000 Harris County, Texas General Oblications 1.740%, 12/06/04 1,500 1,500,000 Houston, Texas General Obligations 1.730%, 12/01/04 4,700 4,700,000 Houston, Texas General Obligations 1.770%, 12/01/04 2,000 2,000,000 Houston, Texas General Obligations 1.850%, 01/25/05 2,000 1,999,982 North Central Texas Health 1.790%, 12/27/04 7,000 7,000,000 Plano, Texas Health Facility 1.660%, 12/02/04 2,000 2,000,000 Texas Public Finance Authority 1.760%, 01/04/05 9,359 9,359,000 University of Texas Board of Regents 1.730%, 12/16/04 2,000 2,000,025 University of Texas Board of Regents 1.770%, 12/16/04 5,500 5,500,000 -------------- 42,058,637 -------------- Utah -- (1.3%) Intermountain Power Agency 1.630%, 12/01/04 2,000 2,000,000 Intermountain Power Agency 1.740%, 12/06/04 1,000 1,000,000 Intermountain Power Agency 1.760%, 12/15/04 2,000 2,000,000 -------------- 5,000,000 --------------
52
FACE AMOUNT VALUE+ ------ ------ (000) Virginia -- (0.7%) Ida of The City of Hampton, Virginia 1.780%, 01/06/05 $ 2,600 $ 2,600,000 -------------- Wisconsin -- (0.4%) State of Wisconsin General Obligations 1.820%, 01/03/05 1,500 1,500,000 -------------- TOTAL TAX EXEMPT COMMERCIAL PAPER (Cost $132,368,000) 132,368,003 -------------- SHARES ------- (000) TEMPORARY CASH INVESTMENTS -- (1.7%) Wilmington Tax Exempt Portfolio -- Investor Shares (Cost $6,307,902) 6,308 6,307,902 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $378,192,792) $ 377,673,939 ==============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 53 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
U.S. ENHANCED U.S. U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- ASSETS: Investments at Value $ 1,440,962 $ 221,780 $ 2,630,798 $ 159,367 Receivables: Fund Shares Sold 2,026 211 3,392 2,686 Prepaid Expenses and Other Assets 16 6 14 7 --------------- --------------- --------------- --------------- Total Assets 1,443,004 221,997 2,634,204 162,060 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Investment Securities Purchased 1,148 204 2,612 2,488 Fund Shares Redeemed 878 7 780 198 Due to Advisor 13 27 321 38 Accrued Expenses and Other Liabilities 96 15 130 11 --------------- --------------- --------------- --------------- Total Liabilities 2,135 253 3,843 2,735 --------------- --------------- --------------- --------------- NET ASSETS $ 1,440,869 $ 221,744 $ 2,630,361 $ 159,325 =============== =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 41,650,081 23,706,635 135,795,657 9,322,843 =============== =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 34.59 $ 9.35 $ 19.37 $ 17.09 =============== =============== =============== =============== Investments at Cost $ 1,173,764 $ 195,855 $ 1,978,677 $ 118,613 =============== =============== =============== =============== U.S. U.S. U.S. DFA SMALL CAP SMALL MICRO REAL ESTATE VALUE CAP CAP SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- ASSETS: Investments at Value (including $0, $0, $0 and $22,760 of securities on loan, respectively) $ 5,796,760 $ 2,138,620 $ 3,215,647 $ 1,330,766 Receivables: Investment Securities Sold 396 -- -- -- Dividends, Interest, and Tax Reclaims -- -- -- 845 Securities Lending -- -- -- 11 Fund Shares Sold 4,890 106,816 7,278 1,546 Prepaid Expenses and Other Assets 15 10 14 15 --------------- --------------- --------------- --------------- Total Assets 5,802,061 2,245,446 3,222,939 1,333,183 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Upon Return of Securities Loaned -- -- -- 23,325 Investment Securities Purchased -- 106,318 2,142 -- Fund Shares Redeemed 5,286 498 5,136 503 Due to Advisor 1,383 520 1,031 318 Accrued Expenses and Other Liabilities 226 140 110 139 --------------- --------------- --------------- --------------- Total Liabilities 6,895 107,476 8,419 24,285 --------------- --------------- --------------- --------------- NET ASSETS $ 5,795,166 $ 2,137,970 $ 3,214,520 $ 1,308,898 =============== =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 209,135,990 111,761,016 213,426,912 56,864,891 =============== =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 27.71 $ 19.13 $ 15.06 $ 23.02 =============== =============== =============== =============== Investments at Cost $ 3,633,655 $ 1,650,891 $ 1,979,268 $ 958,040 =============== =============== =============== ===============
See accompanying Notes to Financial Statements. 54
INTERNATIONAL JAPANESE PACIFIC RIM LARGE CAP SMALL SMALL SMALL INTERNATIONAL COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- ASSETS: Investments at Value (including $38,078, $0, $0 and $0, of securities on loan, respectively) $ 884,178 $ 1,659,646 $ 65,894 $ 26,732 Cash 15 16 -- -- Receivables: Dividends, Interest, and Tax Reclaims 1,499 -- -- -- Securities Lending 42 -- -- -- Fund Shares Sold 592 11,212 685 51 Prepaid Expenses and Other Assets 11 14 8 7 --------------- --------------- --------------- --------------- Total Assets 886,337 1,670,888 66,587 26,790 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Upon Return of Securities Loaned 40,742 -- -- -- Investment Securities Purchased 154 11,700 685 47 Fund Shares Redeemed 247 381 -- 4 Due to Advisor 170 527 12 -- Accrued Expenses and Other Liabilities 141 96 11 4 --------------- --------------- --------------- --------------- Total Liabilities 41,454 12,704 708 55 --------------- --------------- --------------- --------------- NET ASSETS $ 844,883 $ 1,658,184 $ 65,879 $ 26,735 =============== =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 48,801,237 117,402,691 4,710,285 1,838,943 =============== =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 17.31 $ 14.12 $ 13.99 $ 14.54 =============== =============== =============== =============== Investments at Cost $ 769,097 $ 1,223,259 $ 181,529 $ 52,910 =============== =============== =============== =============== DFA UNITED CONTINENTAL INTERNATIONAL KINGDOM SMALL SMALL CAP EMERGING SMALL COMPANY COMPANY VALUE MARKETS PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- ASSETS: Investments at Value (including $0, $0, $238,792 and $0, of securities on loan, respectively) $ 15,813 $ 33,843 $ 2,513,803 $ 1,132,196 Cash -- -- 15 -- Receivables: Investment Securities Sold -- -- 2,198 -- Dividends, Interest, and Tax Reclaims -- -- 3,993 -- Securities Lending -- -- 210 -- Fund Shares Sold 56 269 2,996 755 Prepaid Expenses and Other Assets 7 7 19 10 --------------- --------------- --------------- --------------- Total Assets 15,876 34,119 2,523,234 1,132,961 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Upon Return of Securities Loaned -- -- 272,925 -- Investment Securities Purchased 56 264 32,657 517 Fund Shares Redeemed -- 5 701 238 Due to Advisor -- 6 1,140 361 Accrued Expenses and Other Liabilities 4 5 288 67 --------------- --------------- --------------- --------------- Total Liabilities 60 280 307,711 1,183 --------------- --------------- --------------- --------------- NET ASSETS $ 15,816 $ 33,839 $ 2,215,523 $ 1,131,778 =============== =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 673,887 2,396,493 146,190,868 72,525,962 =============== =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 23.47 $ 14.12 $ 15.16 $ 15.61 =============== =============== =============== =============== Investments at Cost $ 9,166 $ 19,159 $ 1,926,668 $ 796,106 =============== =============== =============== ===============
See accompanying Notes to Financial Statements. 55
DFA EMERGING DFA TWO-YEAR DFA MARKETS ONE-YEAR GLOBAL FIVE-YEAR SMALL CAP FIXED INCOME FIXED INCOME GOVERNMENT PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- ASSETS: Investments at Value $ 190,101 $ 1,738,796 $ 1,675,206 $ 538,155 Receivables: Investment Securities Sold -- 3,365 -- -- Dividends, Interest, and Tax Reclaims -- -- -- 3,842 Fund Shares Sold -- 2,029 3,475 1,087 Prepaid Expenses and Other Assets 8 16 12 16 --------------- --------------- --------------- --------------- Total Assets 190,109 1,744,206 1,678,693 543,100 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Investment Securities Purchased -- -- 2,419 -- Fund Shares Redeemed -- 5,394 1,056 321 Due to Advisor 65 148 139 89 Accrued Expenses and Other Liabilities 16 90 107 56 --------------- --------------- --------------- --------------- Total Liabilities 81 5,632 3,721 466 --------------- --------------- --------------- --------------- NET ASSETS $ 190,028 $ 1,738,574 $ 1,674,972 $ 542,634 =============== =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 16,617,645 170,440,755 168,846,441 51,022,458 =============== =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 11.44 $ 10.20 $ 9.92 $ 10.64 =============== =============== =============== =============== Investments at Cost $ 147,601 $ 1,737,999 $ 1,681,595 $ 542,885 =============== =============== =============== =============== DFA DFA FIVE-YEAR INTERMEDIATE DFA GLOBAL GOVERNMENT SHORT-TERM FIXED INCOME FIXED INCOME MUNICIPAL BOND PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- ASSETS: Investments at Value $ 1,193,974 $ 367,171 $ 377,674 Cash 6 -- -- Receivables: Investment Securities Sold 5,817 -- -- Dividends, Interest, and Tax Reclaims 18,223 4,091 3,604 Fund Shares Sold 2,356 1,968 615 Prepaid Expenses and Other Assets 17 10 12 --------------- --------------- --------------- Total Assets 1,220,393 373,240 381,905 --------------- --------------- --------------- LIABILITIES: Payables: Investment Securities Purchased 3,841 -- -- Fund Shares Redeemed 7,436 66 86 Due to Advisor 257 31 53 Unrealized Loss on Forward Currency Contracts 3,094 -- -- Accrued Expenses and Other Liabilities 187 35 57 --------------- --------------- --------------- Total Liabilities 14,815 132 196 --------------- --------------- --------------- NET ASSETS $ 1,205,578 $ 373,108 $ 381,709 =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 114,791,100 31,656,055 37,844,799 =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.50 $ 11.79 $ 10.09 =============== =============== =============== Investments at Cost $ 1,190,157 $ 349,850 $ 378,193 =============== =============== ===============
See accompanying Notes to Financial Statements. 56 STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS)
U.S. ENHANCED U.S. U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- -------------- -------------- INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company -- $ 1,998 $ 22,711 $ 843 Dividends $ 25,211 -- -- -- Interest 252 -- -- -- Income from Securities Lending 133 -- -- -- Expenses Allocated from Master Funds (638) -- -- -- -------------- -------------- -------------- -------------- Total Investment Income 24,958 1,998 22,711 843 -------------- -------------- -------------- -------------- EXPENSES Administrative Services 2,656 262 3,225 399 Accounting & Transfer Agent Fees 271 13 51 13 Legal Fees 21 3 36 2 Audit Fees 6 1 9 1 Filing Fees 97 40 122 43 Shareholders' Reports 63 7 86 4 Directors' Fees and Expenses 13 2 26 1 Other 2 3 3 1 -------------- -------------- -------------- -------------- Total Expenses 3,129 331 3,558 464 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) (1,914) -- -- 22 -------------- -------------- -------------- -------------- Net Expenses 1,215 331 3,558 486 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) 23,743 1,667 19,153 357 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Capital Gain Distributions Received from The DFA Investment Trust Company -- -- -- 11,499 Net Realized Gain (Loss) on Investment Securities Sold (998) (1,264) (377) (819) Net Realized Gain (Loss) on Futures 3,229 -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 118,762 20,021 400,873 20,899 Futures 378 -- -- -- -------------- -------------- -------------- -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 121,371 18,757 400,496 31,579 -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 145,114 $ 20,424 $ 419,649 $ 31,936 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 57
U.S. U.S. U.S. DFA SMALL CAP SMALL MICRO REAL ESTATE VALUE CAP CAP SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- -------------- -------------- INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 17,234 $ 8,604 $ 13,321 -- Dividends -- -- -- $ 39,727 Interest -- -- -- 152 Income from Securities Lending -- -- -- 49 -------------- -------------- -------------- -------------- Total Investment Income 17,234 8,604 13,321 39,928 -------------- -------------- -------------- -------------- EXPENSES Investment Advisory Services -- -- -- 2,995 Administrative Services 14,542 4,922 11,280 -- Accounting & Transfer Agent Fees 61 35 35 557 Custodian Fees -- -- -- 95 Legal Fees 83 25 46 18 Audit Fees 22 7 13 48 Filing Fees 163 120 74 96 Shareholders' Reports 149 52 97 47 Directors' Fees and Expenses 57 20 19 13 Other 37 8 10 13 -------------- -------------- -------------- -------------- Total Expenses 15,114 5,189 11,574 3,882 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) 2,120 3,415 1,747 36,046 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Capital Gain Distributions Received from The DFA Investment Trust Company 331,592 494 57,526 -- Net Realized Gain (Loss) on Investment Securities Sold (4,445) (4,470) 53,770 30,696 Change in Unrealized Appreciation (Depreciation) of Investment Securities 866,604 260,305 332,087 205,195 -------------- -------------- -------------- -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 1,193,751 256,329 443,383 235,891 -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,195,871 $ 259,744 $ 445,130 $ 271,937 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 58
INTERNATIONAL JAPANESE PACIFIC RIM LARGE CAP SMALL SMALL SMALL INTERNATIONAL COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- -------------- -------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $1,440, $2,759, $46, and $27, respectively) $ 16,236 $ 29,199 $ 620 $ 973 Interest 108 249 9 5 Income from Securities Lending 539 2,682 195 43 Expenses Allocated from Master Funds -- (3,479) (125) (82) -------------- -------------- -------------- -------------- Total Investment Income 16,883 28,651 699 939 -------------- -------------- -------------- -------------- EXPENSES Investment Advisory Services 1,698 -- -- -- Administrative Services -- 5,111 189 100 Accounting & Transfer Agent Fees 626 34 32 31 Custodian Fees 287 -- -- -- Legal Fees 16 31 2 2 Audit Fees 35 5 1 1 Filing Fees 65 110 22 19 Shareholders' Reports 35 67 3 2 Directors' Fees and Expenses 6 18 -- -- Other 31 23 1 2 -------------- -------------- -------------- -------------- Total Expenses 2,799 5,399 250 157 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) -- -- (28) (40) -------------- -------------- -------------- -------------- Net Expenses 2,799 5,399 222 117 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) 14,084 23,252 477 822 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 2,103 41,764 (3,850) (1,129) Net Realized Gain (Loss) on Foreign Currency Transactions (15) 97 (5) 9 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 119,249 286,938 14,049 5,552 Translation of Foreign Currency Denominated Amounts 32 92 12 1 -------------- -------------- -------------- -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 121,369 328,891 10,206 4,433 -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 135,453 $ 352,143 $ 10,683 $ 5,255 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 59
DFA UNITED CONTINENTAL INTERNATIONAL KINGDOM SMALL SMALL CAP EMERGING SMALL COMPANY COMPANY VALUE MARKETS PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- -------------- -------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $39, $84, $3,265 and $3,707, respectively) $ 406 $ 575 $ 35,813 $ 24,065 Interest 3 4 396 159 Income from Securities Lending -- 47 2,133 -- Expenses Allocated from Master Funds (38) (71) -- (2,545) -------------- -------------- -------------- -------------- Total Investment Income 371 555 38,342 21,679 -------------- -------------- -------------- -------------- EXPENSES Investment Advisory Services -- -- 10,341 -- Administrative Services 55 109 -- 3,299 Accounting & Transfer Agent Fees 31 31 904 68 Custodian Fees -- -- 805 -- Legal Fees 1 1 38 22 Audit Fees 1 1 78 3 Filing Fees 16 23 125 77 Shareholders' Reports 1 1 75 51 Directors' Fees and Expenses -- -- 22 11 Other 1 1 61 9 -------------- -------------- -------------- -------------- Total Expenses 106 167 12,449 3,540 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) (41) (39) -- -- -------------- -------------- -------------- -------------- Net Expenses 65 128 12,449 3,540 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) 306 427 25,893 18,139 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 781 1,303 61,932 251 Net Realized Gain (Loss) on Foreign Currency Transactions (5) 11 215 (1,457) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 2,435 6,844 409,293 239,858 Translation of Foreign Currency Denominated Amounts (3) (6) 126 60 Deferred Thailand Capital Gains Tax -- -- -- (960) -------------- -------------- -------------- -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 3,208 8,152 471,566 237,752 -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 3,514 $ 8,579 $ 497,459 $ 255,891 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 60
DFA EMERGING DFA TWO-YEAR DFA MARKETS ONE-YEAR GLOBAL FIVE-YEAR SMALL CAP FIXED INCOME FIXED INCOME GOVERNMENT PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- -------------- -------------- INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company -- $ 26,751 $ 21,765 -- Dividends (Net of Foreign Taxes Withheld of $395, $0, $0, and $0, respectively) $ 3,130 -- -- -- Interest 26 -- -- $ 16,374 Expenses Allocated from Master Funds (670) -- -- -- -------------- -------------- -------------- -------------- Total Investment Income 2,486 26,751 21,765 16,374 -------------- -------------- -------------- -------------- EXPENSES Investment Advisory Services -- -- -- 942 Administrative Services 579 1,767 1,483 -- Accounting & Transfer Agent Fees 32 26 24 141 Custodian Fees -- -- -- 40 Legal Fees 4 42 25 8 Audit Fees 1 8 7 25 Filing Fees 40 88 132 80 Shareholders' Reports 9 65 61 23 Directors' Fees and Expenses 1 20 17 4 Other 2 10 8 6 -------------- -------------- -------------- -------------- Total Expenses 668 2,026 1,757 1,269 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) 1,818 24,725 20,008 15,105 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Capital Gain Distributions Received from The DFA Investment Trust Company -- 9,757 13,460 -- Net Realized Gain (Loss) on Investment Securities Sold 8,584 (3,878) (372) (884) Net Realized Gain (Loss) on Foreign Currency Transactions (303) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 26,593 (12,753) (18,662) (1,529) Translation of Foreign Currency Denominated Amounts 33 -- -- -- Deferred Thailand Capital Gains Tax 312 -- -- -- -------------- -------------- -------------- -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 35,219 (6,874) (5,574) (2,413) -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 37,037 $ 17,851 $ 14,434 $ 12,692 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 61
DFA DFA FIVE-YEAR INTERMEDIATE DFA GLOBAL GOVERNMENT SHORT-TERM FIXED INCOME FIXED INCOME MUNICIPAL BOND PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- -------------- INVESTMENT INCOME Interest $ 38,764 $ 16,674 $ 6,286 -------------- -------------- -------------- Total Investment Income 38,764 16,674 6,286 -------------- -------------- -------------- EXPENSES Investment Advisory Services 2,797 341 618 Accounting & Transfer Agent Fees 659 114 212 Custodian Fees 91 29 27 Legal Fees 19 6 7 Audit Fees 60 19 14 Filing Fees 104 49 101 Shareholders' Reports 48 11 8 Directors' Fees and Expenses 11 2 4 Other 21 10 28 -------------- -------------- -------------- Total Expenses 3,810 581 1,019 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) -- -- (92) -------------- -------------- -------------- Net Expenses 3,810 581 927 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) 34,954 16,093 5,359 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (5,049) 1,129 (17) Net Realized Gain (Loss) on Foreign Currency Transactions (6,964) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 11,559 (3,418) (1,598) Translation of Foreign Currency Denominated Amounts (2,966) -- -- -------------- -------------- -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY (3,420) (2,289) (1,615) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 31,534 $ 13,804 $ 3,744 ============== ============== ==============
See accompanying Notes to Financial Statements. 62 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. LARGE ENHANCED COMPANY U.S. LARGE COMPANY PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 23,743 $ 13,446 $ 1,667 $ 1,592 Capital Gain Distributions Received from The DFA Investment Trust Company -- -- -- -- Net Realized Gain (Loss) on Investment Securities Sold (998) (31,857) (1,264) (14,118) Net Realized Gain (Loss) on Futures 3,229 3,693 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 118,762 133,557 20,021 31,567 Futures 378 (840) -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 145,114 117,999 20,424 19,041 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (17,869) (12,490) (1,883) (1,697) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ------------ ------------ ------------ ------------ Total Distributions (17,869) (12,490) (1,883) (1,697) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 443,844 318,836 90,004 67,037 Shares Issued in Lieu of Cash Distributions 17,160 11,941 1,863 1,634 Shares Redeemed (164,645) (194,790) (30,153) (45,855) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 296,359 135,987 61,714 22,816 ------------ ------------ ------------ ------------ Total Increase (Decrease) 423,604 241,496 80,255 40,160 NET ASSETS Beginning of Period 1,017,265 775,769 141,489 101,329 ------------ ------------ ------------ ------------ End of Period $ 1,440,869 $ 1,017,265 $ 221,744 $ 141,489 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 13,474 11,359 10,083 8,890 Shares Issued in Lieu of Cash Distributions 523 435 208 225 Shares Redeemed (4,989) (7,302) (3,383) (6,000) ------------ ------------ ------------ ------------ 9,008 4,492 6,908 3,115 ============ ============ ============ ============ U.S. SMALL U.S. LARGE XM CAP VALUE VALUE PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 19,153 $ 19,207 $ 357 $ 279 Capital Gain Distributions Received from The DFA Investment Trust Company -- -- 11,499 6,234 Net Realized Gain (Loss) on Investment Securities Sold (377) (11,022) (819) (571) Net Realized Gain (Loss) on Futures -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 400,873 260,888 20,899 19,021 Futures -- -- -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 419,649 269,073 31,936 24,963 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (24,851) (17,524) (683) (444) Net Short-Term Gains -- -- (6,051) -- Net Long-Term Gains -- -- (5,912) (6,874) ------------ ------------ ------------ ------------ Total Distributions (24,851) (17,524) (12,646) (7,318) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 770,612 508,735 64,693 17,864 Shares Issued in Lieu of Cash Distributions 23,431 17,143 12,485 7,311 Shares Redeemed (267,908) (244,710) (34,067) (12,850) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 526,135 281,168 43,111 12,325 ------------ ------------ ------------ ------------ Total Increase (Decrease) 920,933 532,717 62,401 29,970 NET ASSETS Beginning of Period 1,709,428 1,176,711 96,924 66,954 ------------ ------------ ------------ ------------ End of Period $ 2,630,361 $ 1,709,428 $ 159,325 $ 96,924 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 43,662 36,285 4,309 1,391 Shares Issued in Lieu of Cash Distributions 1,343 1,253 893 687 Shares Redeemed (15,122) (17,987) (2,282) (1,070) ------------ ------------ ------------ ------------ 29,883 19,551 2,920 1,008 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 63
U.S. SMALL U.S. CAP VALUE SMALL CAP PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 2,120 $ 14,560 $ 3,415 $ 4,078 Capital Gain Distributions Received from The DFA Investment Trust Company 331,592 217,230 494 -- Net Realized Gain (Loss) on Investment Securities Sold (4,445) (35,531) (4,470) (9,794) Change in Unrealized Appreciation (Depreciation) of Investment Securities 866,604 1,099,617 260,305 303,474 ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 1,195,871 1,295,876 259,744 297,758 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (17,838) (12,117) (6,735) (3,458) Net Short-Term Gains (51,847) -- (494) -- Net Long-Term Gains (216,189) (271,483) -- (4,842) Return of Capital -- -- (1,515) -- ------------ ------------ ------------ ------------ Total Distributions (285,874) (283,600) (8,744) (8,300) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 1,376,124 859,057 1,056,150 339,446 Shares Issued in Lieu of Cash Distributions 277,491 279,462 8,415 8,065 Shares Redeemed (978,193) (913,699) (311,622) (149,814) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 675,422 224,820 752,943 197,697 ------------ ------------ ------------ ------------ Total Increase (Decrease) 1,585,419 1,237,096 1,003,943 487,155 NET ASSETS Beginning of Period 4,209,747 2,972,651 1,134,027 646,872 ------------ ------------ ------------ ------------ End of Period $ 5,795,166 $ 4,209,747 $ 2,137,970 $ 1,134,027 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 56,306 47,932 60,763 25,828 Shares Issued in Lieu of Cash Distributions 12,282 17,812 501 704 Shares Redeemed (40,464) (52,635) (18,159) (11,911) ------------ ------------ ------------ ------------ 28,124 13,109 43,105 14,621 ============ ============ ============ ============ U.S. DFA REAL ESTATE MICRO CAP SECURITIES PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 1,747 $ 4,910 $ 36,046 $ 22,917 Capital Gain Distributions Received from The DFA Investment Trust Company 57,526 22,183 -- -- Net Realized Gain (Loss) on Investment Securities Sold 53,770 2,669 30,696 6,763 Change in Unrealized Appreciation (Depreciation) of Investment Securities 332,087 843,705 205,195 36,132 ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 445,130 873,467 271,937 165,812 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (8,955) (2,812) (39,355) (20,722) Net Short-Term Gains (35,761) -- (707) -- Net Long-Term Gains (33,947) (24,249) (6,193) (2,261) Return of Capital -- -- -- -- ------------ ------------ ------------ ------------ Total Distributions (78,663) (27,061) (46,255) (22,983) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 708,465 566,975 426,234 289,454 Shares Issued in Lieu of Cash Distributions 75,364 26,396 45,463 2,586 Shares Redeemed (558,623) (426,402) (171,886) (84,728) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 225,206 166,969 299,811 227,312 ------------ ------------ ------------ ------------ Total Increase (Decrease) 591,673 1,013,375 525,493 370,141 NET ASSETS Beginning of Period 2,622,847 1,609,472 783,405 413,264 ------------ ------------ ------------ ------------ End of Period $ 3,214,520 $ 2,622,847 $ 1,308,898 $ 783,405 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 51,580 56,707 21,487 17,797 Shares Issued in Lieu of Cash Distributions 5,771 3,041 2,448 1,588 Shares Redeemed (40,560) (40,652) (8,746) (5,421) ------------ ------------ ------------ ------------ 16,791 19,096 15,189 13,964 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 64
LARGE CAP INTERNATIONAL INTERNATIONAL SMALL COMPANY PORTFOLIO PORTFOLIO ---------------------------- ----------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------- ------------- ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 14,084 $ 8,058 $ 23,252 $ 12,506 Net Realized Gain (Loss) on Investment Securities Sold 2,103 -- 41,764 10,185 Net Realized Gain (Loss) on Foreign Currency Transactions (15) 99 97 309 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 119,249 81,602 286,938 249,662 Translation of Foreign Currency Denominated Amounts 32 21 92 102 ------------ ------------- ------------- ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 135,453 89,780 352,143 272,764 ------------ ------------- ------------- ------------ Distributions From: Net Investment Income (20,560) (5,772) (32,182) (8,564) ------------ ------------- ------------- ------------ Total Distributions (20,560) (5,772) (32,182) (8,564) ------------ ------------- ------------- ------------ Capital Share Transactions (1): Shares Issued 291,666 179,697 540,048 281,724 Shares Issued in Lieu of Cash Distributions 19,638 5,551 31,815 8,551 Shares Redeemed (85,437) (102,500) (143,527) (109,166) ------------ ------------- ------------- ------------ Net Increase (Decrease) from Capital Share Transactions 225,867 82,748 428,336 181,109 ------------ ------------- ------------- ------------ Total Increase (Decrease) 340,760 166,756 748,297 445,309 NET ASSETS Beginning of Period 504,123 337,367 909,887 464,578 ------------ ------------- ------------- ------------ End of Period $ 844,883 $ 504,123 $ 1,658,184 $ 909,887 ============ ============= ============= ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 18,507 14,472 43,527 31,592 Shares Issued in Lieu of Cash Distributions 1,271 483 2,697 1,199 Shares Redeemed (5,382) (8,433) (11,553) (12,776) ------------ ------------- ------------- ------------ 14,396 6,522 34,671 20,015 ============ ============= ============= ============ JAPANESE PACIFIC RIM SMALL COMPANY SMALL COMPANY PORTFOLIO PORTFOLIO ---------------------------- ----------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------- ------------- ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 477 $ 381 $ 822 $ 809 Net Realized Gain (Loss) on Investment Securities Sold (3,850) (19,891) (1,129) (6,175) Net Realized Gain (Loss) on Foreign Currency Transactions (5) 7 9 6 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 14,049 30,910 5,552 15,862 Translation of Foreign Currency Denominated Amounts 12 -- 1 1 ------------ ------------- ------------- ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 10,683 11,407 5,255 10,503 ------------ ------------- ------------- ------------ Distributions From: Net Investment Income (396) (575) (1,138) (2,468) ------------ ------------- ------------- ------------ Total Distributions (396) (575) (1,138) (2,468) ------------ ------------- ------------- ------------ Capital Share Transactions (1): Shares Issued 41,185 8,796 12,619 5,381 Shares Issued in Lieu of Cash Distributions 396 575 1,136 2,468 Shares Redeemed (8,702) (49,309) (11,515) (49,691) ------------ ------------- ------------- ------------ Net Increase (Decrease) from Capital Share Transactions 32,879 (39,938) 2,240 (41,842) ------------ ------------- ------------- ------------ Total Increase (Decrease) 43,166 (29,106) 6,357 (33,807) NET ASSETS Beginning of Period 22,713 51,819 20,378 54,185 ------------ ------------- ------------- ------------ End of Period $ 65,879 $ 22,713 $ 26,735 $ 20,378 ============ ============= ============= ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 3,229 906 992 530 Shares Issued in Lieu of Cash Distributions 37 82 96 328 Shares Redeemed (659) (5,808) (933) (6,018) ------------ ------------- ------------- ------------ 2,607 (4,820) 155 (5,160) ============ ============= ============= ============
See accompanying Notes to the Financial Statements. 65
UNITED KINGDOM CONTINENTAL SMALL SMALL COMPANY COMPANY PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 306 $ 476 $ 427 $ 643 Net Realized Gain (Loss) on Investment Securities Sold 781 (102) 1,303 3,377 Net Realized Gain (Loss) on Foreign Currency Transactions (5) 3 11 76 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 2,435 4,688 6,844 6,875 Translation of Foreign Currency Denominated Amounts (3) 1 (6) (17) Deferred Thailand Capital Gains Tax -- -- -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 3,514 5,066 8,579 10,954 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (723) (1,017) (970) (1,497) Net Short-Term Gains -- -- (290) (305) Net Long-Term Gains -- (599) (3,086) (2,582) ------------ ------------ ------------ ------------ Total Distributions (723) (1,616) (4,346) (4,384) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 2,663 1,791 8,894 4,919 Shares Issued in Lieu of Cash Distributions 723 1,616 4,343 4,384 Shares Redeemed (2,570) (23,633) (8,007) (52,240) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 816 (20,226) 5,230 (42,937) ------------ ------------ ------------ ------------ Total Increase (Decrease) 3,607 (16,776) 9,463 NET ASSETS Beginning of Period 12,209 28,985 24,376 60,743 ------------ ------------ ------------ ------------ End of Period $ 15,816 $ 12,209 $ 33,839 $ 24,376 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 125 118 733 510 Shares Issued in Lieu of Cash Distributions 37 122 400 528 Shares Redeemed (122) (1,641) (671) (5,903) ------------ ------------ ------------ ------------ 40 (1,401) 462 (4,865) ============ ============ ============ ============ DFA INTERNATIONAL SMALL CAP VALUE EMERGING MARKETS PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 25,893 $ 13,221 $ 18,139 $ 7,421 Net Realized Gain (Loss) on Investment Securities Sold 61,932 10,593 251 (5,984) Net Realized Gain (Loss) on Foreign Currency Transactions 215 438 (1,457) (276) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 409,293 333,818 239,858 144,491 Translation of Foreign Currency Denominated Amounts 126 39 60 9 Deferred Thailand Capital Gains Tax -- -- (960) (1,778) ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 497,459 358,109 255,891 143,883 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (38,344) (11,202) (19,202) (4,473) Net Short-Term Gains (197) -- -- -- Net Long-Term Gains (8,285) -- -- -- ------------ ------------ ------------ ------------ Total Distributions (46,826) (11,202) (19,202) (4,473) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 818,387 332,252 385,464 178,201 Shares Issued in Lieu of Cash Distributions 45,802 11,202 17,283 4,452 Shares Redeemed (194,996) (171,201) (101,734) (61,853) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 669,193 172,253 301,013 120,800 ------------ ------------ ------------ ------------ Total Increase (Decrease) 1,119,826 519,160 537,702 260,210 NET ASSETS Beginning of Period 1,095,697 576,537 594,076 333,866 ------------ ------------ ------------ ------------ End of Period $ 2,215,523 $ 1,095,697 $ 1,131,778 $ 594,076 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 62,188 35,708 28,628 17,445 Shares Issued in Lieu of Cash Distributions 3,752 1,564 1,348 528 Shares Redeemed (14,824) (19,920) (7,497) (6,524) ------------ ------------ ------------ ------------ 51,116 17,352 22,479 11,449 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 66
EMERGING MARKETS DFA ONE-YEAR SMALL CAP FIXED INCOME PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 1,818 $ 831 $ 24,725 $ 18,271 Capital Gain Distributions Received from The DFA Investment Trust Company -- -- 9,757 12,033 Net Realized Gain (Loss) on Investment Securities Sold 8,584 637 (3,878) (1,382) Net Realized Gain (Loss) on Foreign Currency Transactions (303) (90) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 26,593 20,926 (12,753) (8,369) Translation of Foreign Currency Denominated Amounts 33 (1) -- -- Deferred Thailand Capital Gains Tax 312 (486) -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 37,037 21,817 17,851 20,553 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (2,334) (338) (24,460) (18,230) Net Short-Term Gains (216) -- (9,586) (12,023) Net Long-Term Gains (432) (273) -- -- ------------ ------------ ------------ ------------ Total Distributions (2,982) (611) (34,046) (30,253) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 99,556 41,560 1,216,580 1,051,658 Shares Issued in Lieu of Cash Distributions 2,969 609 31,872 28,015 Shares Redeemed (30,905) (5,538) (948,419) (607,544) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 71,620 36,631 300,033 472,129 ------------ ------------ ------------ ------------ Total Increase (Decrease) 105,675 57,837 283,838 462,429 NET ASSETS Beginning of Period 84,353 26,516 1,454,736 992,307 ------------ ------------ ------------ ------------ End of Period $ 190,028 $ 84,353 $ 1,738,574 $ 1,454,736 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 9,869 5,844 118,714 101,940 Shares Issued in Lieu of Cash Distributions 317 106 3,118 2,725 Shares Redeemed (3,223) (799) (92,631) (58,921) ------------ ------------ ------------ ------------ 6,963 5,151 29,201 45,744 ============ ============ ============ ============ DFA TWO-YEAR DFA FIVE-YEAR GLOBAL FIXED INCOME GOVERNMENT PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 20,008 $ 16,557 $ 15,105 $ 11,583 Capital Gain Distributions Received from The DFA Investment Trust Company 13,460 10,965 -- -- Net Realized Gain (Loss) on Investment Securities Sold (372) (338) (884) 15,782 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (18,662) (7,700) (1,529) (14,993) Translation of Foreign Currency Denominated Amounts -- -- -- -- Deferred Thailand Capital Gains Tax -- -- -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 14,434 19,484 12,692 12,372 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (22,447) (28,481) (16,684) (11,597) Net Short-Term Gains (13,106) -- (429) -- Net Long-Term Gains -- -- (13,164) -- ------------ ------------ ------------ ------------ Total Distributions (35,553) (28,481) (30,277) (11,597) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 740,944 571,993 234,672 186,798 Shares Issued in Lieu of Cash Distributions 35,364 28,145 29,995 1,482 Shares Redeemed (275,289) (195,283) (107,440) (111,353) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 501,019 404,855 157,227 86,927 ------------ ------------ ------------ ------------ Total Increase (Decrease) 479,900 395,858 139,642 87,702 NET ASSETS Beginning of Period 1,195,072 799,214 402,992 315,290 ------------ ------------ ------------ ------------ End of Period $ 1,674,972 $ 1,195,072 $ 542,634 $ 402,992 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 74,279 56,679 21,929 16,715 Shares Issued in Lieu of Cash Distributions 3,553 2,800 2,835 1,032 Shares Redeemed (27,584) (19,330) (10,011) (10,015) ------------ ------------ ------------ ------------ 50,248 40,149 14,753 7,732 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 67
DFA DFA INTERMEDIATE DFA FIVE-YEAR GOVERNMENT SHORT-TERM GLOBAL FIXED INCOME FIXED INCOME MUNICIPAL BOND PORTFOLIO PORTFOLIO PORTFOLIO -------------------------- -------------------------- -------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 2004 2003 ----------- ----------- ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 34,954 $ 26,914 $ 16,093 $ 14,622 $ 5,359 $ 2,288 Net Realized Gain (Loss) on Investment Securities Sold (5,049) 37,435 1,129 7,497 (17) -- Net Realized Gain (Loss) on Foreign Currency Transactions (6,964) (826) -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 11,559 (30,554) (3,418) (6,149) (1,598) 1,434 Translation of Foreign Currency Denominated Amounts (2,966) 708 -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 31,534 33,677 13,804 15,970 3,744 3,722 ----------- ----------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (32,175) (28,456) (15,547) (15,142) (5,043) (2,097) Net Short-Term Gains (7,366) (4,472) (630) Net Long-Term Gains (30,042) (2,655) (6,872) (4,808) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (69,583) (35,583) (23,049) (19,950) (5,043) (2,097) ----------- ----------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 486,993 390,384 94,918 110,106 221,275 159,528 Shares Issued in Lieu of Cash Distributions 69,052 35,163 22,843 19,335 4,959 2,083 Shares Redeemed (281,857) (215,919) (51,642) (109,286) (56,615) (28,666) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 274,188 209,628 66,119 20,155 169,619 132,945 ----------- ----------- ----------- ----------- ----------- ----------- Total Increase (Decrease) 236,139 207,722 56,874 16,175 168,320 134,570 NET ASSETS Beginning of Period 969,439 761,717 316,234 300,059 213,389 78,819 ----------- ----------- ----------- ----------- ----------- ----------- End of Period $ 1,205,578 $ 969,439 $ 373,108 $ 316,234 $ 381,709 $ 213,389 =========== =========== =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 46,221 35,473 8,057 8,969 21,904 15,782 Shares Issued in Lieu of Cash Distributions 6,592 3,238 1,941 1,573 492 206 Shares Redeemed (26,765) (19,651) (4,392) (8,700) (5,608) (2,837) ----------- ----------- ----------- ----------- ----------- ----------- 26,048 19,060 5,606 1,842 16,788 13,151 =========== =========== =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 68 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 31.16 $ 27.56 $ 33.51 $ 38.70 $ 41.08 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.61 0.47 0.42 0.42 0.43 Net Gains (Losses) on Securities (Realized and Unrealized) 3.31 3.57 (5.95) (5.19) (2.16) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.92 4.04 (5.53) (4.77) (1.73) - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.49) (0.44) (0.42) (0.42) (0.40) Net Realized Gains -- -- -- -- (0.25) Tax Return of Capital -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.49) (0.44) (0.42) (0.42) (0.65) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 34.59 $ 31.16 $ 27.56 $ 33.51 $ 38.70 ================================================================================================================================= Total Return 12.68% 14.90% (16.64)% (12.41)% (4.33)% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,440,869 $ 1,017,265 $ 775,769 $ 851,921 $ 1,037,593 Ratio of Expenses to Average Net Assets** 0.15% 0.15% 0.15% 0.15% 0.15% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.30% 0.30% 0.30% 0.30% 0.32% Ratio of Net Investment Income to Average Net Assets 1.92% 1.66% 1.43% 1.16% 1.02% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 2% 8% 11% 8% 8% - --------------------------------------------------------------------------------------------------------------------------------- ENHANCED U.S. LARGE COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 8.42 $ 7.41 $ 8.91 $ 11.91 $ 15.12 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.09 0.10 0.16 0.06 1.46 Net Gains (Losses) on Securities (Realized and Unrealized) 0.94 1.02 (1.52) (1.27) (2.00) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 1.03 1.12 (1.36) (1.21) (0.54) - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.10) (0.11) (0.14) (0.68) (1.26) Net Realized Gains -- -- -- (0.75) (1.41) Tax Return of Capital -- -- -- (0.36) -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.10) (0.11) (0.14) (1.79) (2.67) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 9.35 $ 8.42 $ 7.41 $ 8.91 $ 11.91 ================================================================================================================================= Total Return 12.28% 15.39% (15.40)% (11.90)% (4.84)% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 221,744 $ 141,489 $ 101,329 $ 90,780 $ 89,878 Ratio of Expenses to Average Net Assets** 0.37% 0.36% 0.37% 0.39% 0.40% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.37% 0.36% 0.37% 0.39% 0.40% Ratio of Net Investment Income to Average Net Assets 0.95% 1.32% 2.00% 0.36% 10.58% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 125% 138% 183% 122% 71% - ---------------------------------------------------------------------------------------------------------------------------------
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of the Master Fund Series. N/A Refer to the Master Fund Series. See accompanying Notes to Financial Statements. 69
U.S. LARGE CAP VALUE PORTFOLIO -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV.30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 16.14 $ 13.63 $ 16.97 $ 18.36 $ 20.09 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.16 0.20 0.19 0.29 0.36 Net Gains (Losses) on Securities (Realized and Unrealized) 3.28 2.50 (1.51) 1.46 0.10 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.44 2.70 (1.32) 1.75 0.46 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.21) (0.19) (0.21) (0.30) (0.36) Net Realized Gains -- -- (1.81) (2.84) (1.83) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.21) (0.19) (2.02) (3.14) (2.19) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 19.37 $ 16.14 $ 13.63 $ 16.97 $ 18.36 ================================================================================================================================ Total Return 21.48% 20.10% (8.77)% 10.83% 2.85% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,630,361 $ 1,709,428 $ 1,176,711 $ 1,166,611 $ 1,245,177 Ratio of Expenses to Average Net Assets** 0.32% 0.30% 0.32% 0.31% 0.33% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.32% 0.30% 0.32% 0.31% 0.33% Ratio of Net Investment Income to Average Net Assets 0.89% 1.34% 1.25% 1.59% 1.97% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 7% 7% 9% 6% 26% - -------------------------------------------------------------------------------------------------------------------------------- U.S. SMALL XM VALUE PORTFOLIO -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR FEB.23, ENDED ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 15.14 $ 12.41 $ 13.03 $ 11.06 $ 10.00 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.86 0.05 0.07 0.14 0.15 Net Gains (Losses) on Securities (Realized and Unrealized) 2.88 4.12 0.18 2.38 0.91 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.74 4.17 0.25 2.52 1.06 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.90) (0.09) (0.12) (0.18) -- Net Realized Gains (0.89) (1.35) (0.75) (0.37) -- ----------- ----------- ----------- ----------- ----------- Total Distributions (1.79) (1.44) (0.87) (0.55) -- - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 17.09 $ 15.14 $ 12.41 $ 13.03 $ 11.06 ================================================================================================================================ Total Return 27.36% 38.43% 1.77% 23.77% 10.60%# - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 159,325 $ 96,924 $ 66,954 $ 69,130 $ 67,638 Ratio of Expenses to Average Net Assets** 0.50% 0.47% 0.50% 0.47% 0.50%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.48% 0.48% 0.52% 0.47% 0.85%* Ratio of Net Investment Income to Average Net Assets 0.27% 0.41% 0.73% 1.03% 8.77%* Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 38% 43% 34% 8% 26%(a) - --------------------------------------------------------------------------------------------------------------------------------
* Annualized # Non-annualized ** Represents the combined ratios for the respective portfolio and its respective pro-rata share of the Master Fund Series. N/A Refer to the Master Fund Series. (a) For the year ended November 30, 2000. See accompanying Notes to Financial Statements. 70
U.S. SMALL CAP VALUE PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 23.26 $ 17.70 $ 21.11 $ 18.79 $ 19.17 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.30 0.08 0.08 0.12 0.12 Net Gains (Losses) on Securities (Realized and Unrealized) 5.73 7.21 0.19 3.95 1.11 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 6.03 7.29 0.27 4.07 1.23 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.38) (0.07) (0.12) (0.13) (0.10) Net Realized Gains (1.20) (1.66) (3.56) (1.62) (1.51) Tax Return of Capital -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (1.58) (1.73) (3.68) (1.75) (1.61) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 27.71 $ 23.26 $ 17.70 $ 21.11 $ 18.79 ================================================================================================================================= Total Return 27.46% 45.92% 0.71% 23.47% 6.99% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 5,795,166 $ 4,209,747 $ 2,972,651 $ 2,914,661 $ 2,633,943 Ratio of Expenses to Average Net Assets** 0.56% 0.56% 0.56% 0.56% 0.56% Ratio of Net Investment Income to Average Net Assets 0.04% 0.46% 0.42% 0.54% 0.60% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 26% 35% 30% 13% 32% - --------------------------------------------------------------------------------------------------------------------------------- U.S. SMALL CAP PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 16.52 $ 11.97 $ 14.43 $ 14.27 $ 14.68 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.05 0.06 0.07 0.09 0.08 Net Gains (Losses) on Securities (Realized and Unrealized) 2.67 4.65 (1.16) 1.57 0.78 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 2.72 4.71 (1.09) 1.66 0.86 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.10) (0.07) (0.08) (0.09) (0.08) Net Realized Gains -- (0.09) (1.29) (1.41) (1.19) Tax Return of Capital (0.01) -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.11) (0.16) (1.37) (1.50) (1.27) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 19.13 $ 16.52 $ 11.97 $ 14.43 $ 14.27 ================================================================================================================================= Total Return 16.59% 39.89% (8.73)% 12.70% 6.09% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,137,970 $ 1,134,027 $ 646,872 $ 784,278 $ 585,873 Ratio of Expenses to Average Net Assets** 0.41% 0.42% 0.41% 0.42% 0.43% Ratio of Net Investment Income to Average Net Assets 0.22% 0.52% 0.47% 0.62% 0.63% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 16% 16% 34% 13% 38% - ---------------------------------------------------------------------------------------------------------------------------------
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of the Master Fund Series. N/A Refer to Master Fund Series. See accompanying Notes to Financial Statements. 71
U.S. MICRO CAP PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 13.34 $ 9.07 $ 11.09 $ 11.93 $ 12.54 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.19 0.03 0.03 0.05 0.04 Net Gains (Losses) on Securities (Realized and Unrealized) 1.93 4.40 (0.29) 1.59 0.61 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 2.12 4.43 (0.26) 1.64 0.65 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.22) (0.02) (0.05) (0.05) (0.04) Net Realized Gains (0.18) (0.14) (1.71) (2.43) (1.22) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.40) (0.16) (1.76) (2.48) (1.26) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.06 $ 13.34 $ 9.07 $ 11.09 $ 11.93 ================================================================================================================================ Total Return 16.34% 49.69% (3.31)% 17.22% 5.36% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,214,520 $ 2,622,847 $ 1,609,472 $ 1,606,367 $ 1,443,412 Ratio of Expenses to Average Net Assets 0.56%(a) 0.56%(a) 0.56%(a) 0.56%(a) 0.56%(a) Ratio of Net Investment Income to Average Net Assets 0.06% 0.25% 0.24% 0.41% 0.34% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 27% 19% 19% 14% 37% - -------------------------------------------------------------------------------------------------------------------------------- DFA REAL ESTATE SECURITIES PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.62 0.64 0.54 0.82 0.76 Net Gains (Losses) on Securities (Realized and Unrealized) 4.47 4.08 0.18 1.49 1.90 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 5.09 4.72 0.72 2.31 2.66 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.71) (0.75) (0.75) (0.80) (0.65) Net Realized Gains (0.16) (0.08) (0.08) -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.87) (0.83) (0.83) (0.80) (0.65) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 23.02 $ 18.80 $ 14.91 $ 15.02 $ 13.51 ================================================================================================================================ Total Return 29.44% 33.48% 5.36% 17.76% 24.49% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,308,898 $ 783,405 $ 413,264 $ 283,732 $ 210,231 Ratio of Expenses to Average Net Assets 0.39% 0.41% 0.42% 0.43% 0.45% Ratio of Net Investment Income to Average Net Assets 3.61% 4.19% 4.71% 5.55% 6.06% Portfolio Turnover Rate 6% 2% 2% 6% 7% Portfolio Turnover Rate of Master Fund Series N/A+ N/A+ N/A+ N/A+ N/A+ - --------------------------------------------------------------------------------------------------------------------------------
(a) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the Master Fund Series. N/A+ Not applicable, as the DFA Real Estate Securities Portfolios is a stand-alone registered investment company. See accompanying Notes to Financial Statements. 72
LARGE CAP INTERNATIONAL PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.31 0.25 0.22 0.25 0.23 Net Gains (Losses) on Securities (Realized and Unrealized) 2.86 2.51 (1.79) (3.38) (1.96) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.17 2.76 (1.57) (3.13) (1.73) - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.51) (0.21) (0.23) (0.22) (0.21) Net Realized Gains -- -- -- (0.05) (0.17) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.51) (0.21) (0.23) (0.27) (0.38) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30 ================================================================================================================================ Total Return 22.09% 23.32% (11.50)% (18.42)% (9.19)% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 844,883 $ 504,123 $ 337,367 $ 344,871 $ 358,638 Ratio of Expenses to Average Net Assets 0.41% 0.43% 0.44% 0.45% 0.47% Ratio of Net Investment Income to Average Net Assets 2.07% 2.10% 1.74% 1.65% 1.21% Portfolio Turnover Rate 1% 1% 9% 4% 1% - -------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL SMALL COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 11.00 $ 7.41 $ 7.67 $ 8.49 $ 9.13 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.22 0.16 0.14 0.15 0.17 Net Gains (Losses) on Securities (Realized and Unrealized) 3.24 3.57 (0.25) (0.67) (0.62) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.46 3.73 (0.11) (0.52) (0.45) - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.34) (0.14) (0.15) (0.17) (0.19) Net Realized Gains -- -- -- (0.13) -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.34) (0.14) (0.15) (0.30) (0.19) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 14.12 $ 11.00 $ 7.41 $ 7.67 $ 8.49 ================================================================================================================================ Total Return 32.10% 51.28% (1.39)% (6.36)% (5.01)% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,658,285 $ 909,887 $ 464,578 $ 356,200 $ 309,060 Ratio of Expenses to Average Net Assets 0.69%(a) 0.71%(a) 0.71%(a) 0.72%(a) 0.71%(a) Ratio of Net Investment Income to Average Net Assets 1.82% 1.97% 1.83% 2.02% 2.10% Portfolio Turnover Rate N/A N/A N/A N/A N/A - --------------------------------------------------------------------------------------------------------------------------------
(a) For the International Small Company Portfolio, the expense ratios represents the combined ratios for the Portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the respective Master Fund Series. See accompanying Notes to Financial Statements. 73
JAPANESE SMALL COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.80 $ 7.49 $ 8.42 $ 9.90 $ 11.11 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.22 0.05 0.06 0.09 0.10 Net Gains (Losses) on Securities (Realized and Unrealized) 3.16 3.35 (0.90) (1.46) (1.24) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.38 3.40 (0.84) (1.37) (1.14) - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.19) (0.09) (0.09) (0.11) (0.07) Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.19) (0.09) (0.09) (0.11) (0.07) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 13.99 $ 10.80 $ 7.49 $ 8.42 $ 9.90 ================================================================================================================================= Total Return 31.79% 46.01% (9.96)% (13.94)% (10.23)% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 65,879 $ 22,713 $ 51,819 $ 76,570 $ 101,115 Ratio of Expenses to Average Net Assets** 0.73% 0.75% 0.74% 0.74% 0.72% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.79% 0.85% 0.75% 0.74% 0.72% Ratio of Net Investment Income to Average Net Assets 1.01% 1.18% 0.76% 0.93% 0.93% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 5% 16% 5% 9% 5% - --------------------------------------------------------------------------------------------------------------------------------- PACIFIC RIM SMALL COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 12.10 $ 7.92 $ 7.70 $ 7.89 $ 9.76 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.50 (0.13) 0.24 0.25 0.34 Net Gains (Losses) on Securities (Realized and Unrealized) 2.58 4.69 0.27 (0.06) (1.80) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.08 4.56 0.51 0.19 (1.46) - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.64) (0.38) (0.29) (0.38) (0.41) Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.64) (0.38) (0.29) (0.38) (0.41) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 14.54 $ 12.10 $ 7.92 $ 7.70 $ 7.89 ================================================================================================================================= Total Return 26.73% 60.57% 6.92% 2.32% (15.65)% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 26,735 $ 20,378 $ 54,185 $ 74,185 $ 88,307 Ratio of Expenses to Average Net Assets** 0.80% 0.78% 0.79% 0.75% 0.74% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.96% 0.88% 0.80% 0.75% 0.74% Ratio of Net Investment Income to Average Net Assets 3.29% 2.87% 3.23% 3.18% 3.64% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 11% 15% 26% 10% 7% - ---------------------------------------------------------------------------------------------------------------------------------
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the respective Master Fund Series. See accompanying Notes to Financial Statements. 74
UNITED KINGDOM SMALL COMPANY PORTFOLIO ----------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 19.26 $ 14.24 $ 16.23 $ 19.31 $ 24.22 ------------- ----------- ----------- ----------- ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.48 0.62 0.50 0.47 0.65 Net Gains (Losses) on Securities (Realized and Unrealized) 4.87 5.26 (1.23) (1.26) (1.89) ------------- ----------- ----------- ----------- ------------ Total From Investment Operations 5.35 5.88 (0.73) (0.79) (1.24) - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (1.14) (0.54) (0.48) (0.63) (0.82) Net Realized Gains -- (0.32) (0.78) (1.66) (2.85) ------------- ----------- ----------- ----------- ------------ Total Distributions (1.14) (0.86) (1.26) (2.29) (3.67) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 23.47 $ 19.26 $ 14.24 $ 16.23 $ 19.31 ================================================================================================================================ Total Return 29.05% 44.01% (5.13)% (5.36)% (6.57)% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 15,816 $ 12,209 $ 28,985 $ 41,143 $ 56,400 Ratio of Expenses to Average Net Assets** 0.74% 0.73% 0.73% 0.74% 0.73% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 1.04% 0.96% 0.80% 0.79% 0.74% Ratio of Net Investment Income to Average Net Assets 2.21% 2.83% 2.55% 2.38% 2.59% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 7% 7% 6% 14% 11% - -------------------------------------------------------------------------------------------------------------------------------- CONTINENTAL SMALL COMPANY PORTFOLIO ----------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 12.60 $ 8.93 $ 9.96 $ 12.33 $ 14.29 ------------- ----------- ----------- ----------- ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.17 0.49 0.23 0.27 0.33 Net Gains (Losses) on Securities (Realized and Unrealized) 3.64 3.83 0.02 (0.85) (0.01) ------------- ----------- ----------- ----------- ------------ Total From Investment Operations 3.81 4.32 0.25 (0.58) 0.32 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.50) (0.22) (0.27) (0.32) (0.25) Net Realized Gains (1.79) (0.43) (1.01) (1.47) (2.03) ------------- ----------- ----------- ----------- ------------ Total Distributions (2.29) (0.65) (1.28) (1.79) (2.28) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 14.12 $ 12.60 $ 8.93 $ 9.96 $ 12.33 ================================================================================================================================ Total Return 35.91% 52.10% 2.71% (5.85)% 2.26% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 33,839 $ 24,376 $ 60,743 $ 82,883 $ 110,220 Ratio of Expenses to Average Net Assets** 0.73% 0.77% 0.78% 0.76% 0.72% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.87% 0.88% 0.78% 0.76% 0.72% Ratio of Net Investment Income to Average Net Assets 1.56% 2.07% 1.84% 2.28% 1.92% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 9% 11% 12% 12% 9% - --------------------------------------------------------------------------------------------------------------------------------
** Represents the combined ratios for the portfolio and its pro-rata share of its Master Fund Series. N/A Refer to the Master Fund Series. See accompanying Notes to Financial Statements. 75
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO ----------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 11.52 $ 7.42 $ 7.39 $ 7.84 $ 8.49 ------------- ----------- ----------- ----------- ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.23 0.16 0.15 0.19 0.18 Net Gains (Losses) on Securities (Realized and Unrealized) 3.85 4.09 0.06 (0.20) (0.63) ------------- ----------- ----------- ----------- ------------ Total From Investment Operations 4.08 4.25 0.21 (0.01) (0.45) - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.35) (0.15) (0.18) (0.18) (0.20) Net Realized Gains (0.09) -- -- (0.26) -- ------------- ----------- ----------- ----------- ------------ Total Distributions (0.44) (0.15) (0.18) (0.44) (0.20) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.16 $ 11.52 $ 7.42 $ 7.39 $ 7.84 ================================================================================================================================ Total Return 36.34% 58.44% 2.95% (0.15)% (5.36)% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,215,523 $ 1,095,697 $ 576,537 $ 492,911 $ 472,235 Ratio of Expenses to Average Net Assets 0.78% 0.81% 0.83% 0.83% 0.82% Ratio of Net Investment Income to Average Net Assets 1.63% 1.75% 1.87% 2.36% 2.28% Portfolio Turnover Rate 10% 10% 21% 13% 16% Portfolio Turnover Rate of Master Fund Series N/A+ N/A+ N/A+ N/A+ N/A+ - -------------------------------------------------------------------------------------------------------------------------------- EMERGING MARKETS PORTFOLIO ----------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 11.87 $ 8.65 $ 8.62 $ 9.52 $ 12.37 ------------- ----------- ----------- ----------- ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.16 0.10 0.12 0.11 Net Gains (Losses) on Securities (Realized and Unrealized) 3.80 3.18 0.05 (0.96) (2.86) ------------- ----------- ----------- ----------- ------------ Total From Investment Operations 4.07 3.34 0.15 (0.84) (2.75) - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.33) (0.12) (0.12) (0.06) (0.10) Net Realized Gains -- -- -- -- -- ------------- ----------- ----------- ----------- ------------ Total Distributions (0.33) (0.12) (0.12) (0.06) (0.10) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.61 $ 11.87 $ 8.65 $ 8.62 $ 9.52 ================================================================================================================================ Total Return 34.95% 39.13% 1.71% (8.95)% (22.49)% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,131,778 $ 594,076 $ 333,866 $ 298,036 $ 286,152 Ratio of Expenses to Average Net Assets 0.74%(a) 0.78%(a) 0.78%(a) 0.90%(a) 0.90%(a) Ratio of Net Investment Income to Average Net Assets 2.20% 1.79% 1.20% 1.50% 0.90% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 2% 1% 8% 6% 12% - --------------------------------------------------------------------------------------------------------------------------------
(a) Represents the combined ratios for the portfolio and its pro-rata share of its Master Fund Series. N/A Refer to the Master Fund Series. N/A+ Not applicable, as the DFA International Small Cap Value Portfolio is a stand-alone registered investment company. See accompanying Notes to Financial Statements. 76
EMERGING MARKETS SMALL CAP PORTFOLIO ----------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 8.74 $ 5.89 $ 5.33 $ 6.79 $ 14.88 ------------- ----------- ----------- ----------- ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.11 0.10 0.06 0.10 0.12 Net Gains (Losses) on Securities (Realized and Unrealized) 2.85 2.88 0.54 (0.65) (1.68) ------------- ----------- ----------- ----------- ------------ Total From Investment Operations 2.96 2.98 0.60 (0.55) (1.56) - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.19) (0.07) (0.04) (0.06) (0.15) Net Realized Gains (0.07) (0.06) -- (0.85) (6.38) ------------- ----------- ----------- ----------- ------------ Total Distributions (0.26) (0.13) (0.04) (0.91) (6.53) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.44 $ 8.74 $ 5.89 $ 5.33 $ 6.79 ================================================================================================================================ Total Return 34.55% 51.84% 11.23% (9.44)% (23.38)% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 190,028 $ 84,353 $ 26,516 $ 15,172 $ 10,992 Ratio of Expenses to Average Net Assets** 1.04% 1.12% 1.20% 1.56% 1.56% Ratio of Net Investment Income to Average Net Assets 1.41% 1.81% 1.31% 1.18% 0.77% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 11% 6% 16% 14% 20% - -------------------------------------------------------------------------------------------------------------------------------- DFA ONE-YEAR FIXED INCOME PORTFOLIO ----------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.30 $ 10.39 $ 10.31 $ 10.21 $ 10.17 ------------- ----------- ----------- ----------- ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.25 0.16 0.27 0.51 0.60 Net Gains (Losses) on Securities (Realized and Unrealized) (0.10) 0.03 0.08 0.11 0.04 ------------- ----------- ----------- ----------- ------------ Total From Investment Operations 0.15 0.19 0.35 0.62 0.64 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.25) (0.16) (0.27) (0.52) (0.60) Net Realized Gains -- (0.12) -- -- -- ------------- ----------- ----------- ----------- ------------ Total Distributions (0.25) (0.28) (0.27) (0.52) (0.60) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.20 $ 10.30 $ 10.39 $ 10.31 $ 10.21 ================================================================================================================================ Total Return 1.08% 1.85% 3.43% 6.21% 6.49% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,738,574 $ 1,454,736 $ 992,307 $ 739,847 $ 725,284 Ratio of Expenses to Average Net Assets** 0.20% 0.20% 0.20% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 1.40% 1.45% 2.56% 5.04% 5.90% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 154% 143% 154% 55% 35% - --------------------------------------------------------------------------------------------------------------------------------
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of their Master Fund Series. N/A Refer to Master Fund Series. See accompanying Notes to Financial Statements. 77
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.08 $ 10.19 $ 9.95 $ 10.05 $ 10.31 ----------- ----------- ----------- ----------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.25 0.22 0.25 0.19 1.01 Net Gains (Losses) on Securities (Realized and Unrealized) (0.14) 0.01 0.20 0.45 (0.41) ----------- ----------- ----------- ----------- ---------- Total From Investment Operations 0.11 0.23 0.45 0.64 0.60 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.27) (0.34) (0.21) (0.56) (0.86) Net Realized Gains -- -- -- -- -- Tax Return of Capital -- -- -- (0.18) -- ----------- ----------- ----------- ----------- ---------- Total Distributions (0.27) (0.34) (0.21) (0.74) (0.86) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 9.92 $ 10.08 $ 10.19 $ 9.95 $ 10.05 ================================================================================================================================ Total Return 1.08% 2.26% 4.54% 6.75% 6.18% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,674,972 $ 1,195,072 $ 799,214 $ 596,119 $ 518,491 Ratio of Expenses to Average Net Assets 0.23%(a) 0.25%(a) 0.25%(a) 0.27%(a) 0.27%(a) Ratio of Net Investment Income to Average Net Assets 1.35% 1.68% 2.58% 1.34% 9.97% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 131% 144% 138% 113% 73% - -------------------------------------------------------------------------------------------------------------------------------- DFA FIVE-YEAR GOVERNMENT PORTFOLIO -------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 11.11 $ 11.05 $ 10.56 $ 10.32 $ 10.26 ----------- ----------- ----------- ----------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.33 0.34 0.41 0.49 0.59 Net Gains (Losses) on Securities (Realized and Unrealized) (0.01) 0.10 0.51 0.32 0.01 ----------- ----------- ----------- ----------- ---------- Total From Investment Operations 0.32 0.44 0.92 0.81 0.60 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.41) (0.38) (0.43) (0.57) (0.54) Net Realized Gains (0.38) -- -- -- -- Tax Return of Capital -- -- -- -- -- ----------- ----------- ----------- ----------- ---------- Total Distributions (0.79) (0.38) (0.43) (0.57) (0.54) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.64 $ 11.11 $ 11.05 $ 10.56 $ 10.32 ================================================================================================================================ Total Return 3.02% 4.02% 9.06% 8.18% 6.16% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 542,634 $ 402,992 $ 315,290 $ 243,880 $ 218,557 Ratio of Expenses to Average Net Assets 0.27% 0.27% 0.26% 0.27% 0.28% Ratio of Net Investment Income to Average Net Assets 3.21% 3.20% 4.09% 4.79% 5.75% Portfolio Turnover Rate 45% 149% 19% 189% 60% Portfolio Turnover Rate of Master Fund Series N/A+ N/A+ N/A+ N/A+ N/A+ - --------------------------------------------------------------------------------------------------------------------------------
(a) Represents the combined ratio for the DFA Two-Year Global Fixed Income Portfolio and its pro-rata share of its Master Fund Series. N/A Refer to Master Fund Series. N/A+ Not applicable, as the DFA Five-Year Government Portfolio is a stand-alone registered investment company. See accompanying Notes to Financial Statements. 78 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV.30, NOV.30, NOV.30, NOV.30, NOV.30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.26 0.33 0.33 0.50 0.61 Net Gains (Losses) on Securities (Realized and Unrealized) 0.06 0.15 0.44 0.22 -- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.32 0.48 0.77 0.72 0.61 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.32) (0.39) (0.33) (0.72) (0.64) Net Realized Gains (0.42) (0.10) (0.01) -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.74) (0.49) (0.34) (0.72) (0.64) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50 ================================================================================================================================= Total Return 3.04% 4.45% 7.55% 7.23% 6.09% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,205,578 $ 969,439 $ 761,717 $ 628,936 $ 517,325 Ratio of Expenses to Average Net Assets 0.34% 0.34% 0.35% 0.37% 0.38% Ratio of Net Investment Income to Average Net Assets 3.12% 3.23% 4.09% 4.04% 4.15% Portfolio Turnover Rate 90% 103% 79% 113% 80% DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV.30, NOV.30, NOV.30, NOV.30, NOV.30, 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 12.14 $ 12.39 $ 11.90 $ 11.18 $ 10.84 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.55 0.62 0.65 0.65 0.63 Net Gains (Losses) on Securities (Realized and Unrealized) (0.05) (0.02) 0.48 0.71 0.38 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.50 0.60 1.13 1.36 1.01 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.56) (0.65) (0.64) (0.64) (0.63) Net Realized Gains (0.29) (0.20) -- -- (0.04) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.85) (0.85) (0.64) (0.64) (0.67) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.79 $ 12.14 $ 12.39 $ 11.90 $ 11.18 ================================================================================================================================= Total Return 4.21% 4.86% 9.95% 12.57% 9.75% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 373,108 $ 316,234 $ 300,059 $ 310,661 $ 286,444 Ratio of Expenses to Average Net Assets 0.17% 0.17% 0.16% 0.16% 0.18% Ratio of Net Investment Income to Average Net Assets 4.72% 4.91% 5.37% 5.60% 6.00% Portfolio Turnover Rate 6% 23% 14% 17% 8%
See accompanying Notes to Financial Statements. 79
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO -------------------------------------- YEAR YEAR AUG.20 ENDED ENDED TO NOV.30, NOV.30, NOV.30, 2004 2003 2002 - ----------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.13 $ 9.97 $ 10.00 INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.17 0.16 0.04 Net Gains (Losses) on Securities (Realized and Unrealized) (0.04) 0.15 (0.04) ---------- ---------- ---------- Total From Investment Operations 0.13 0.31 -- - ----------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.17) (0.15) (0.03) Net Realized Gains -- -- -- ---------- ---------- ---------- Total Distributions (0.17) (0.15) (0.03) - ----------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.09 $ 10.13 $ 9.97 ===================================================================================================== Total Return 1.27% 3.17% (0.03)%# - ----------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 381,709 $ 213,389 $ 78,819 Ratio of Expenses to Average Net Assets 0.30% 0.30% 0.30%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) 0.33% 0.34% 0.75%* Ratio of Net Investment Income to Average Net Assets 1.73% 1.60% 1.71%* Ratio of Net Investment Income to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) 1.70% 1.56% 1.26%* Portfolio Turnover Rate 6% 0% 0%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 80 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS 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-three of the Fund's thirty-six portfolios (the "Portfolios") are included in this report. Of the remaining thirteen portfolios, six portfolios are only available through a select group of insurance products and are presented in a separate report and seven are presented individually in separate reports. The following Portfolios (the "Feeder Funds") invest in a series of The DFA Investment Trust Company (the "Master Funds"):
PERCENTAGE OWNERSHIP PORTFOLIOS (FEEDER FUNDS) SERIES (MASTER FUNDS) AT 11/30/04 - ------------------------- --------------------- ----------- U.S. Large Company Portfolio The U.S. Large Company Series 41% Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100% U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 67% U.S. Small XM Value Portfolio The U.S. Small XM Value Series 77% U.S. Small Cap Value Portfolio The U.S. Small Cap Value Series 92% U.S. Small Cap Portfolio The U.S. Small Cap Series 92% U.S. Micro Cap Portfolio The U.S. Micro Cap Series 100% International Small Company Portfolio The Japanese Small Company Series 83% The Pacific Rim Small Company Series 84% The United Kingdom Small Company Series 89% The Continental Small Company Series 88% Japanese Small Company Portfolio The Japanese Small Company Series 11% Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 9% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 4% Continental Small Company Portfolio The Continental Small Company Series 5% Emerging Markets Portfolio The Emerging Markets Series 98% Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 80% DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 100% DFA Two-Year Global Fixed Income Portfolio The DFA Two-Year Global Fixed Income Series 98%
Each Feeder Fund, with the exception of the International Small Company Portfolio (which invests in the four funds indicated), 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. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operation during the reporting period. Actual results could differ from those estimates and those differences could be material. 81 1. SECURITY VALUATION: Securities held by the DFA Real Estate Securities Portfolio 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. Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Fund values securities at the mean between the quoted 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, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Directors. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors of the Funds have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Funds utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Fund. When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. Securities held by DFA Five-Year Government Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA Intermediate Government Fixed Income Portfolio and DFA Short-Term Municipal Bond Portfolio (the "Fixed Income Portfolios"), are valued at the mean between the most recently quoted bid and asked prices or 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 approved by the Board of Directors. Master Fund shares held by the Feeder Funds are valued at their respective daily net asset values or for the 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, the Emerging Markets Portfolio and the Emerging Markets Small Cap Portfolio, their investments reflect each of their proportionate interest in the net assets of the corresponding Master Fund. 2. FOREIGN CURRENCY: Securities and other assets and liabilities of the International Equity Portfolios and the DFA Five-Year Global Fixed Income Portfolio whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. 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 Five-Year Global Fixed Income Portfolio also enters into 82 forward foreign currency contracts solely for the purpose of hedging against fluctuations in currency exchange rates. These contracts are marked to market daily based on daily forward 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 Five-Year 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 Five-Year Global Fixed Income Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. 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 utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors, generally based on average net assets. The U.S. Large Company Portfolio, the International Small 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 Emerging Markets Portfolio and the Emerging Markets Small Cap Portfolio each accrue their respective share of income and 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. The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. C. INVESTMENT ADVISOR AND ADMINISTRATOR: Dimensional Fund Advisors Inc. ("Dimensional" or 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. 83 For the year ended November 30, 2004, the Portfolios' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: DFA Real Estate Securities Portfolio 0.30 of 1% Large Cap International Portfolio 0.25 of 1% DFA International Small Cap Value Portfolio 0.65 of 1% DFA Five-Year Government Portfolio 0.20 of 1% DFA Five-Year Global Fixed Income Portfolio 0.25 of 1% DFA Intermediate Government Fixed Income Portfolio 0.10 of 1% DFA Short-Term Municipal Bond Portfolio 0.20 of 1%
For the year ended November 30, 2004, the Feeder Funds accrued daily and paid monthly to the Advisor an administrative fee based on the following effective annual rates of average daily net assets: U.S. Large Company Portfolio 0.215 of 1% Enhanced U.S. Large Company Portfolio 0.15 of 1% U.S. Large Cap Value Portfolio 0.15 of 1% U.S. Small XM Value Portfolio 0.30 of 1% U.S. Small Cap Value Portfolio 0.30 of 1% U.S. Small Cap Portfolio 0.32 of 1% U.S. Micro Cap Portfolio 0.40 of 1% International Small Company Portfolio 0.40 of 1% Japanese Small Company Portfolio 0.40 of 1% Pacific Rim Small Company Portfolio 0.40 of 1% United Kingdom Small Company Portfolio 0.40 of 1% Continental Small Company Portfolio 0.40 of 1% Emerging Markets Portfolio 0.40 of 1% Emerging Markets Small Cap Portfolio 0.45 of 1% DFA One-Year Fixed Income Portfolio 0.10 of 1% DFA Two-Year Global Fixed Income Portfolio 0.10 of 1%
For the U.S. Large Company Portfolio, U.S. Small XM Value Portfolio and Emerging Markets Portfolio, the Advisor has agreed to waive its administration fee and to assume each Portfolio's direct and indirect expenses (including the expenses the Portfolio bears as a shareholder of its master fund) to the extent necessary to limit the expenses of each Portfolio to the following rates as a percentage of average net assets on an annualized basis: 0.15% for the U.S. Large Company Portfolio; 0.50% for the U.S. Small XM Value Portfolio; and 1.00% for the Emerging Markets Portfolio. At any time that the annualized expenses of a Portfolio are less than the rate listed above for such Portfolio on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's annualized expenses to exceed the applicable percentage of average net assets as listed above. The Portfolios are not obligated to reimburse the Advisor for fees waived or expenses assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. The expense waiver will remain in effect for a period of one year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from year to year unless terminated by the Fund or the Advisor. At November 30, 2004, for the U.S. Large Company Portfolio, U.S. Small XM Value Portfolio and Emerging Markets Portfolio there were approximately $4,373,000, $0 and $0, respectively, of previously waived fees subject to future reimbursement to the Advisor over various periods not exceeding November 30, 2007. The Advisor has agreed to waive its administration fee to the Enhanced U.S. Large Company Portfolio to the extent necessary to reduce the Portfolio's expenses to the extent that its total direct and indirect expenses (including the expenses the Portfolio bears as a shareholder of The Enhanced U.S. Large Company Series) exceed 0.45% of its average net assets on an annualized basis. At any time that the total direct and indirect expenses of the Portfolio are less than 0.45% of its assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived to the extent that such reimbursement will not cause the Portfolio's total direct and indirect 84 expenses to exceed 0.45% of average net assets on an annualized basis. The Portfolio is not obligated to reimburse the Advisor for fees waived by the Advisor more than thirty-six months prior to the date of such reimbursement. The expense waiver will remain in effect for a period of one year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At November 30, 2004, there were no waivers or fees subject to the future reimbursement to the Advisor. For the International Small Company Portfolio, the Advisor has agreed to waive its administration fee and to assume the Portfolio's other direct expenses to the extent necessary to limit the direct expenses of the Portfolio to 0.45% of its average net assets on an annualized basis. This fee waiver and expense assumption arrangement does not include the indirect expenses the Portfolio bears as a shareholder of the International Master Funds. At any time that the direct expenses of the Portfolio are less than 0.45% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's direct expenses to exceed 0.45% of average net assets on an annualized basis. The Portfolio is not obligated to reimburse the Advisor for fees waived or expenses previously assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. The expense waiver will remain in effect for a period of one year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At November 30, 2004, there were no waivers or fees subject to future reimbursement to the Advisor. For Japanese Small Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom Small Company Portfolio, and Continental Small Company Portfolio, the Advisor has agreed to waive its administration fee and to assume each Portfolio's other direct expenses to the extent necessary to limit the direct expenses of the Portfolios to 0.47% of its average net assets on an annualized basis. These fee waiver and expense assumption arrangements do not include the indirect expenses each Portfolio bears as a shareholder of its master fund. At any time that the direct expenses of each Portfolio are less than 0.47% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's direct expenses to exceed 0.47% of its average net assets on an annualized basis. The Portfolios are not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. The expense waiver will remain in effect for a period of one year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At November 30, 2004, for the Japanese Small Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom Small Company Portfolio, and Continental Small Company Portfolio there were approximately $64,000, $76,000, $80,000, and $74,000, respectively, of previously waived fees are subject to future reimbursement to the Advisor over various periods not exceeding November 30, 2007. For the DFA Short-Term Municipal Bond Portfolio, the Advisor has contractually agreed to waive its management fee to the extent necessary to reduce the Portfolio's expenses when its total operating expenses exceed 0.30% of its average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than 0.30% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived to the extent that such reimbursement will not cause the Portfolio's annualized expenses to exceed 0.30% of its average net assets. The Portfolio is not obligated to reimburse the Advisor for fees previously waived by the Advisor more than thirty-six months prior to the date of such reimbursement. The expense waiver will remain in effect for a period of one year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At November 30, 2004, approximately $142,000 of waived fees of DFA Short-Term Municipal Bond Portfolio were subject to future reimbursement over various periods not exceeding November 30, 2007. Certain officers of the Fund are also officers and shareholders of the Advisor. 85 D. DEFERRED COMPENSATION: At November 30, 2004, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities as follows: U.S. Large Company Portfolio $ 20,398 Enhanced U.S. Large Company Portfolio 2,850 U.S. Large Cap Value Portfolio 35,245 U.S. Small XM Value Portfolio 2,199 U.S. Small Cap Value Portfolio 80,321 U.S. Small Cap Portfolio 24,913 U.S. Micro Cap Portfolio 47,133 DFA Real Estate Securities Portfolio 16,092 Large Cap International Portfolio 11,121 International Small Company Portfolio 20,790 Japanese Small Company Portfolio 755 Pacific Rim Small Company Portfolio 422 United Kingdom Small Company Portfolio 232 Continental Small Company Portfolio 453 DFA International Small Cap Value Portfolio 25,516 Emerging Markets Portfolio 13,237 Emerging Markets Small Cap Portfolio 2,056 DFA One-Year Fixed Income Portfolio 29,798 DFA Two-Year Global Fixed Income Portfolio 24,496 DFA Five-Year Government Portfolio 7,756 DFA Five-Year Global Fixed Income Portfolio 18,536 DFA Intermediate Government Fixed Income Portfolio 5,688 DFA Short-Term Municipal Bond Portfolio 5,021
E. PURCHASES AND SALES OF SECURITIES: For the year ended November 30, 2004, the Portfolios made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES ----------------------- ----------------------- PURCHASES SALES PURCHASES SALES ---------- ---------- ---------- ---------- DFA Real Estate Securities Portfolio -- -- $ 358,076 $ 61,764 Large Cap International Portfolio -- -- 232,942 6,805 DFA International Small Cap Value Portfolio -- -- 843,983 161,312 DFA Five-Year Government Portfolio $ 349,882 $ 206,770 -- -- DFA Five-Year Global Fixed Income Portfolio 238,059 269,780 982,297 717,684 DFA Intermediate Government Fixed Income Portfolio 79,230 20,744 -- -- DFA Short-Term Municipal Bond Portfolio -- -- 112,718 11,130
F. FEDERAL INCOME TAXES: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either 86 temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in-capital or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of November 30, 2004, primarily attributable to realized net foreign currency gains/losses, a return of capital distribution, which for tax purposes, are not available to offset future income and net realized gains on securities considered to be "passive foreign investment companies", were reclassified to the following accounts (amounts in thousands):
INCREASE INCREASE (DECREASE) INCREASE (DECREASE) UNDISTRIBUTED (DECREASE) ACCUMULATED NET INVESTMENT PAID-IN CAPITAL NET REALIZED GAINS INCOME --------------- ------------------ -------------- Enhanced U.S. Large Company Portfolio $ (86) -- $ 86 U.S. Large Cap Value Portfolio (1,025) -- 1,025 U.S. Small XM Value Portfolio (1) $ (151) 152 U.S. Small Cap Value Portfolio (2,181) (1,681) 3,862 U.S. Small Cap Portfolio (1,515) 20 (1,495) U.S. Micro Cap Portfolio (1,342) (1,734) 3,076 Large Cap International Portfolio -- (66) 66 International Small Company Portfolio -- (1,327) 1,327 Japanese Small Company Portfolio -- (2) 2 Pacific Rim Small Company Portfolio -- (349) 349 United Kingdom Small Company Portfolio -- (12) 12 Continental Small Company Portfolio -- (468) 468 DFA International Small Cap Value Portfolio -- (1,880) 1,880 Emerging Markets Portfolio -- 1,147 (1,147) Emerging Markets Small Cap Portfolio -- 141 (141) DFA One-Year Fixed Income Portfolio -- (9,586) 9,586 DFA Two-Year Global Fixed Income Portfolio (407) (13,106) 13,513 DFA Five-Year Global Fixed Income Portfolio -- 6,964 (6,964)
These reclassifications had no effect on net assets or net asset value per share. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- ------------- ------------- U.S. Large Company Portfolio 2004 $ 17,869 -- -- $ 17,869 2003 12,490 -- -- 12,490 Enhanced U.S. Large Company Portfolio 2004 1,797 -- $ 86 1,883 2003 1,697 -- -- 1,697 U.S. Large Cap Value Portfolio 2004 23,826 -- 1,025 24,851 2003 17,524 -- -- 17,524
87
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- ------------- ------------- U.S. Small XM Value Portfolio 2004 $ 6,606 $ 6,040 -- $ 12,646 2003 444 6,874 -- 7,318 U.S. Small Cap Value Portfolio 2004 69,276 216,598 -- 285,874 2003 12,117 271,483 -- 283,600 U.S. Small Cap Portfolio 2004 7,229 -- $ 1,515 8,744 2003 3,458 4,842 -- 8,300 U.S. Micro Cap Portfolio 2004 43,268 35,395 -- 78,663 2003 2,812 24,249 -- 27,061 DFA Real Estate Securities Portfolio 2004 40,062 6,193 -- 46,255 2003 20,722 2,261 -- 22,983 Large Cap International Portfolio 2004 20,560 -- -- 20,560 2003 5,772 -- -- 5,772 International Small Company Portfolio 2004 32,182 -- -- 32,182 2003 8,564 -- -- 8,564 Japanese Small Company Portfolio 2004 396 -- -- 396 2003 575 -- -- 575 Pacific Rim Small Company Portfolio 2004 1,138 -- -- 1,138 2003 2,468 -- -- 2,468 United Kingdom Small Company Portfolio 2004 723 -- -- 723 2003 1,017 599 -- 1,616 Continental Small Company Portfolio 2004 1,260 3,086 -- 4,346 2003 1,802 2,582 -- 4,384 DFA International Small Cap Value Portfolio 2004 38,541 8,285 -- 46,826 2003 11,202 -- -- 11,202 Emerging Markets Portfolio 2004 19,202 -- -- 19,202 2003 4,473 -- -- 4,473
88
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- ------------- ------------- Emerging Markets Small Cap Portfolio 2004 $ 2,550 $ 432 -- $ 2,982 2003 338 273 -- 611 DFA One-Year Fixed Income Portfolio 2004 34,046 -- -- 34,046 2003 30,253 -- -- 30,253 DFA Two-Year Global Fixed Income Portfolio 2004 35,146 -- $ 407 35,553 2003 28,481 -- -- 28,481 DFA Five-Year Government Portfolio 2004 17,118 13,159 -- 30,277 2003 11,597 -- -- 11,597 DFA Five-Year Global Fixed Income Portfolio 2004 39,545 30,038 -- 69,583 2003 32,928 2,655 -- 35,583 DFA Intermediate Government Fixed Income Portfolio 2004 16,177 6,872 -- 23,049 2003 15,142 4,808 -- 19,950 DFA Short-Term Municipal Bond Portfolio 2004 5,043 -- -- 5,043 2003 2,097 -- -- 2,097
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. As of November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/ NET INVESTMENT LONG-TERM LOSS (ACCUMULATED INCOME CAPITAL GAINS CARRYFORWARD LOSSES) -------------- ------------- ------------- ------------- U.S. Large Company Portfolio $ 9,846 -- $ (28,610) $ (18,764) Enhanced U.S. Large Company Portfolio -- -- (2,576) (2,576) U.S. Large Cap Value Portfolio -- -- (1,214) (1,214) U.S. Small XM Value Portfolio -- $ 5,557 -- 5,557 U.S. Small Cap Value Portfolio -- 283,742 -- 283,742 U.S. Small Cap Portfolio -- -- -- -- U.S. Micro Cap Portfolio -- 75,070 -- 75,070 DFA Real Estate Securities Portfolio 9,090 28,181 -- 37,271 Large Cap International Portfolio 6,784 -- (19,070) (12,286) International Small Company Portfolio 12,406 37,023 -- 49,429 Japanese Small Company Portfolio 481 -- (44,582) (44,101) Pacific Rim Small Company Portfolio 317 -- (11,735) (11,418) United Kingdom Small Company Portfolio 258 538 -- 796 Continental Small Company Portfolio 182 1,230 -- 1,412 DFA International Small Cap Value Portfolio 18,232 58,553 -- 76,785 Emerging Markets Portfolio 5,535 -- (47,372) (41,837) Emerging Markets Small Cap Portfolio 2,104 6,390 -- 8,494 DFA One-Year Fixed Income Portfolio 426 -- (1,205) (779) DFA Two-Year Global Fixed Income Portfolio -- -- (216) (216) DFA Five-Year Government Portfolio 4,241 -- (884) 3,357 DFA Five-Year Global Fixed Income Portfolio 111 -- (5,041) (4,930) DFA Intermediate Government Fixed Income Portfolio 4,193 1,113 -- 5,306 DFA Short-Term Municipal Bond Portfolio 602 -- (17) 585
89 For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. At November 30, 2004, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ----------------------------------------------------------------------------- 2005 2006 2007 2008 2009 2010 2011 2012 TOTAL -------- -------- -------- -------- -------- -------- -------- ------- -------- U.S. Large Company Portfolio -- -- -- -- -- -- $ 28,610 -- $ 28,610 Enhanced U.S. Large Company Portfolio -- -- -- -- $ 4 -- 2,572 -- 2,576 U.S. Large Cap Value Portfolio -- -- -- -- -- $ 1,214 -- -- 1,214 Large Cap International Portfolio -- -- -- -- 357 18,180 533 -- 19,070 Japanese Small Company Portfolio $ 1,532 $ 7,918 $ 2,827 $ 632 3,508 4,453 19,912 $ 3,800 44,582 Pacific Rim Small Company Portfolio -- -- 343 -- 906 3,164 6,171 1,151 11,735 Emerging Markets Portfolio -- 710 1,831 -- 18,234 19,225 7,372 -- 47,372 DFA One-Year Fixed Income Portfolio -- -- -- 45 -- -- -- 1,160 1,205 DFA Two-Year Global Fixed Income Portfolio -- -- -- -- 216 -- -- -- 216 DFA Five-Year Government Portfolio -- -- -- -- -- -- -- 884 884 DFA Five-Year Global Fixed Income Portfolio -- -- -- -- -- -- -- 5,041 5,041 DFA Short-Term Municipal Bond Portfolio -- -- -- -- -- -- -- 17 17
During the year ended November 30, 2004, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes in the following approximate amounts: U.S. Large Company Portfolio $ 2,442,000 Enhanced U.S. Large Company Portfolio 5,000 U.S. Large Cap Value Portfolio 198,000 Large Cap International Portfolio 2,073,000 International Small Company Portfolio 2,088,000 United Kingdom Small Company Portfolio 102,000 Emerging Markets Portfolio 252,000 DFA Two-Year Global Fixed Income Portfolio 334,000
Certain of the Portfolio's investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. The following Portfolio's had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income.
MARK TO MARKET REALIZED GAINS -------------- -------------- Large Cap International Portfolio $ 5,327,264 $ 81,703 International Small Company Portfolio 5,791,352 1,229,922 Japanese Small Company Portfolio 411,994 7,294 Pacific Rim Small Company Portfolio 761,683 340,318 United Kingdom Small Company Portfolio 80,659 16,885 Continental Small Company Portfolio 203,533 457,178 DFA International Small Cap Value Portfolio 14,608,263 1,665,316 Emerging Markets Portfolio 2,882,092 309,704 Emerging Markets Small Cap Portfolio 104,625 153,583
90 At November 30, 2004, the total cost of securities and net realized gains or losses on securities sold for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------- ------------- ------------- -------------- U.S. Large Company Portfolio $ 1,223,227 $ 356,988 $ (139,253) $ 217,735 Enhanced U.S. Large Company Portfolio 229,861 25,925 (34,006) (8,081) U.S. Large Cap Value Portfolio 2,088,460 652,121 (109,783) 542,338 U.S. Small XM Value Portfolio 121,129 40,754 (2,516) 38,238 U.S. Small Cap Value Portfolio 3,802,177 2,163,106 (168,523) 1,994,583 U.S. Small Cap Portfolio 1,721,503 487,729 (70,612) 417,117 U.S. Micro Cap Portfolio 2,078,753 1,398,030 (261,136) 1,136,894 DFA Real Estate Securities Portfolio 959,099 377,241 (5,574) 371,667 Large Cap International Portfolio 775,250 170,244 (61,315) 108,929 International Small Company Portfolio 1,229,426 443,900 (13,680) 430,220 Japanese Small Company Portfolio 184,689 23,385 (142,180) (118,795) Pacific Rim Small Company Portfolio 53,719 33,716 (60,703) (26,987) United Kingdom Small Company Portfolio 9,253 70,298 (63,738) 6,560 Continental Small Company Portfolio 19,363 82,428 (67,948) 14,480 DFA International Small Cap Value Portfolio 1,941,312 681,174 (108,683) 572,491 Emerging Markets Portfolio 799,429 399,946 (67,179) 332,767 Emerging Markets Small Cap Portfolio 147,706 43,735 (1,340) 42,395 DFA One-Year Fixed Income Portfolio 1,747,117 797 (9,118) (8,321) DFA Two-Year Global Fixed Income Portfolio 1,690,383 -- (15,177) (15,177) DFA Five-Year Government Portfolio 542,884 526 (5,255) (4,729) DFA Five-Year Global Fixed Income Portfolio 1,190,164 12,744 (8,934) 3,810 DFA Intermediate Government Fixed Income Portfolio 349,850 18,628 (1,307) 17,321 DFA Short-Term Municipal Bond Portfolio 378,193 847 (1,366) (519)
91 G. COMPONENTS OF NET ASSETS: At November 30, 2004, net assets consist of (amounts in thousands):
ACCUMULATED ACCUMULATED NET NET REALIZED INVESTMENT ACCUMULATED FOREIGN PAID-IN INCOME NET REALIZED EXCHANGE CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) ------------- ------------- ------------- ------------- U.S. Large Company Portfolio $ 1,242,377 $ 9,829 $ (78,535) -- Enhanced U.S. Large Company Portfolio 232,404 (3) (36,582) -- U.S. Large Cap Value Portfolio 2,089,267 (30) (110,997) -- U.S. Small XM Value Portfolio 115,554 (2) 3,019 -- U.S. Small Cap Value Portfolio 3,516,909 (67) 115,219 -- U.S. Small Cap Portfolio 1,720,874 (22) (70,611) -- U.S. Micro Cap Portfolio 2,002,597 (40) (24,416) -- DFA Real Estate Securities Portfolio 899,979 2,522 33,671 -- Large Cap International Portfolio 748,224 1,463 (19,937) $ (15) International Small Company Portfolio 1,178,201 3,892 39,326 97 Japanese Small Company Portfolio 228,765 74 (47,329) (5) Pacific Rim Small Company Portfolio 65,141 (652) (11,584) 9 United Kingdom Small Company Portfolio 8,461 46 667 (5) Continental Small Company Portfolio 17,903 667 530 11 DFA International Small Cap Value Portfolio 1,566,031 675 61,226 215 Emerging Markets Portfolio 845,849 4,408 (49,594) (1,457) Emerging Markets Small Cap Portfolio 139,379 296 8,410 (303) DFA One-Year Fixed Income Portfolio 1,747,726 373 (10,322) -- DFA Two-Year Global Fixed Income Portfolio 1,690,388 (22) (9,005) -- DFA Five-Year Government Portfolio 544,013 4,235 (884) -- DFA Five-Year Global Fixed Income Portfolio 1,206,586 10,106 (5,001) (6,964) DFA Intermediate Government Fixed Income Portfolio 350,485 4,189 1,113 -- DFA Short-Term Municipal Bond Portfolio 381,626 619 (17) -- UNREALIZED APPRECIATION DEFERRED (DEPRECIATION) UNREALIZED THAILAND OF INVESTMENT NET FOREIGN CAPITAL SECURITIES, EXCHANGE NUMBER OF GAINS FUTURES AND GAIN TOTAL NET SHARES TAX FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED ---------------- ---------------- ---------------- ---------------- ----------- U.S. Large Company Portfolio -- $ 267,198 -- $ 1,440,869 200,000,000 Enhanced U.S. Large Company Portfolio -- 25,925 -- 221,744 100,000,000 U.S. Large Cap Value Portfolio -- 652,121 -- 2,630,361 100,000,000 U.S. Small XM Value Portfolio -- 40,754 -- 159,325 100,000,000 U.S. Small Cap Value Portfolio -- 2,163,105 -- 5,795,166 400,000,000 U.S. Small Cap Portfolio -- 487,729 -- 2,137,970 100,000,000 U.S. Micro Cap Portfolio -- 1,236,379 -- 3,214,520 300,000,000 DFA Real Estate Securities Portfolio -- 372,726 -- 1,308,898 100,000,000 Large Cap International Portfolio -- 115,081 $ 67 844,883 150,000,000 International Small Company Portfolio -- 436,387 281 1,658,184 100,000,000 Japanese Small Company Portfolio -- (115,635) 9 65,879 50,000,000 Pacific Rim Small Company Portfolio -- (26,177) (2) 26,735 50,000,000 United Kingdom Small Company Portfolio -- 6,647 -- 15,816 20,000,000 Continental Small Company Portfolio -- 14,684 44 33,839 200,000,000 DFA International Small Cap Value Portfolio -- 587,135 241 2,215,523 200,000,000 Emerging Markets Portfolio $ (3,578) 336,090 60 1,131,778 100,000,000 Emerging Markets Small Cap Portfolio (286) 42,500 32 190,028 100,000,000 DFA One-Year Fixed Income Portfolio -- 797 -- 1,738,574 300,000,000 DFA Two-Year Global Fixed Income Portfolio -- (6,389) -- 1,674,972 200,000,000 DFA Five-Year Government Portfolio -- (4,730) -- 542,634 100,000,000 DFA Five-Year Global Fixed Income Portfolio -- 3,817 (2,966) 1,205,578 100,000,000 DFA Intermediate Government Fixed Income Portfolio -- 17,321 -- 373,108 100,000,000 DFA Short-Term Municipal Bond Portfolio -- (519) -- 381,709 100,000,000
92 H. FINANCIAL INSTRUMENTS: In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest, either directly or through their investment in a corresponding Master Fund, in certain financial instruments that 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 counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty 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 with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on November 30, 2004. 2. FORWARD CURRENCY CONTRACTS: The DFA Five-Year Global Fixed Income Portfolio may enter into forward foreign currency contracts only to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies. At November 30, 2004, the DFA Five-Year Global Fixed Income Portfolio had entered into the following contracts and the net unrealized foreign exchange gain/loss is reflected in the accompanying financial statements.
UNREALIZED VALUE AT FOREIGN SETTLEMENT CONTRACT NOVEMBER 30, EXCHANGE DATE CURRENCY SOLD CURRENCY AMOUNT 2004 GAIN (LOSS) - ---------- ------------- --------------- ---------------- -------------- --------------- 12/06/04 195,664,671 Canadian Dollar $ 161,500,918 $ 164,544,628 $ (3,043,710) 12/23/04 12,219,763 Swedish Krona 1,765,988 1,816,175 (50,187) ---------------- -------------- --------------- Total $ 163,266,906 $ 166,360,803 $ (3,093,897) ================ ============== ===============
Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 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. I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 28, 2005. For the year ended November 30, 2004, borrowings under the line were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ---------------- ---------------- ---------------- ---------------- ---------------- International Small Company Portfolio 1.96% $ 244,353 17 $ 226 $ 560,000
There were no outstanding borrowings under the line of credit at November 30, 2004. 93 The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2005. There were no borrowings under the line of credit during the year ended November 30, 2004. J. SECURITIES LENDING: As of November 30, 2004, some of the Fund's portfolios had securities on loan to broker/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% 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, PNC Bank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. The cash collateral received by each Portfolio from securities on loan is invested along with cash collateral from the other Portfolios in repurchase agreements collateralized by U.S. government securities. These investments are accounted for separately for each Portfolio. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. K. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 94 REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC. In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments (for U.S. Large Company Portfolio, Enhanced U.S. Large Company Portfolio, U.S. Large Cap Value Portfolio, U.S. Small XM Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, DFA One-Year Fixed Income Portfolio, DFA Two-Year Global Fixed Income Portfolio, DFA Five-Year Government Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA Intermediate Government Fixed Income Portfolio and DFA Short-Term Municipal Bond Portfolio) and the summary schedules of portfolio holdings (for Large Cap International Portfolio and DFA International Small Cap Value Portfolio), and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of U.S. Large Company Portfolio, Enhanced U.S. Large Company Portfolio, U.S. Large Cap Value Portfolio, U.S. Small XM Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, DFA International Small Cap Value Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, DFA One-Year Fixed Income Portfolio, DFA Two-Year Global Fixed Income Portfolio, DFA Five-Year Government Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA Intermediate Government Fixed Income Portfolio and DFA Short-Term Municipal Bond Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolios") at November 30, 2004, and the results of each of their operations, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2004 by correspondence with the custodians, transfer agent of the investee funds and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 14, 2005 95 DFA INTERNATIONAL VALUE PORTFOLIO VS. MSCI EAFE INDEX (NET DIVIDENDS) NOVEMBER 30, 1994-NOVEMBER 30, 2004 [CHART] GROWTH OF $10,000
DFA INTERNATIONAL MSCI EAFE INDEX VALUE PORTFOLIO (NET DIVIDENDS) 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,058 $ 10,063 1/31/95 $ 9,660 $ 9,676 2/28/95 $ 9,639 $ 9,648 3/31/95 $ 10,204 $ 10,250 4/30/95 $ 10,523 $ 10,636 5/31/95 $ 10,453 $ 10,509 6/30/95 $ 10,350 $ 10,324 7/31/95 $ 10,932 $ 10,967 8/31/95 $ 10,551 $ 10,549 9/30/95 $ 10,616 $ 10,755 10/31/95 $ 10,415 $ 10,466 11/30/95 $ 10,695 $ 10,757 12/31/95 $ 11,213 $ 11,190 1/31/96 $ 11,326 $ 11,236 2/29/96 $ 11,387 $ 11,274 3/31/96 $ 11,552 $ 11,514 4/30/96 $ 11,999 $ 11,849 5/31/96 $ 11,887 $ 11,630 6/30/96 $ 11,924 $ 11,696 7/31/96 $ 11,607 $ 11,354 8/31/96 $ 11,648 $ 11,379 9/30/96 $ 11,849 $ 11,681 10/31/96 $ 11,735 $ 11,562 11/30/96 $ 12,260 $ 12,022 12/31/96 $ 12,089 $ 11,867 1/31/97 $ 11,687 $ 11,452 2/28/97 $ 11,793 $ 11,639 3/31/97 $ 11,832 $ 11,681 4/30/97 $ 11,768 $ 11,743 5/31/97 $ 12,659 $ 12,507 6/30/97 $ 13,200 $ 13,197 7/31/97 $ 13,382 $ 13,411 8/31/97 $ 12,505 $ 12,409 9/30/97 $ 12,958 $ 13,104 10/31/97 $ 12,282 $ 12,097 11/30/97 $ 11,755 $ 11,974 12/31/97 $ 11,710 $ 12,078 1/31/98 $ 12,412 $ 12,630 2/28/98 $ 13,223 $ 13,441 3/31/98 $ 13,808 $ 13,855 4/30/98 $ 13,852 $ 13,964 5/31/98 $ 13,972 $ 13,897 6/30/98 $ 13,838 $ 14,002 7/31/98 $ 13,993 $ 14,144 8/31/98 $ 12,159 $ 12,392 9/30/98 $ 11,501 $ 12,012 10/31/98 $ 12,645 $ 13,264 11/30/98 $ 13,200 $ 13,943 12/31/98 $ 13,451 $ 14,493 1/31/99 $ 13,182 $ 14,451 2/28/99 $ 12,846 $ 14,106 3/31/99 $ 13,631 $ 14,695 4/30/99 $ 14,439 $ 15,290 5/31/99 $ 13,710 $ 14,503 6/30/99 $ 14,322 $ 15,068 7/31/99 $ 14,833 $ 15,516 8/31/99 $ 14,980 $ 15,573 9/30/99 $ 15,037 $ 15,730 10/31/99 $ 14,957 $ 16,319 11/30/99 $ 14,911 $ 16,886 12/31/99 $ 15,643 $ 18,401 1/31/2000 $ 14,435 $ 17,232 2/29/2000 $ 14,076 $ 17,696 3/31/2000 $ 14,847 $ 18,382 4/30/2000 $ 14,464 $ 17,415 5/31/2000 $ 14,731 $ 16,989 6/30/2000 $ 15,761 $ 17,654 7/31/2000 $ 15,246 $ 16,914 8/31/2000 $ 15,374 $ 17,060 9/30/2000 $ 14,930 $ 16,230 10/31/2000 $ 14,812 $ 15,846 11/30/2000 $ 14,800 $ 15,252 12/31/2000 $ 15,615 $ 15,794 1/31/2001 $ 15,640 $ 15,786 2/28/2001 $ 15,163 $ 14,603 3/31/2001 $ 14,246 $ 13,629 4/30/2001 $ 14,988 $ 14,576 5/31/2001 $ 14,874 $ 14,062 6/30/2001 $ 14,587 $ 13,487 7/31/2001 $ 14,282 $ 13,241 8/31/2001 $ 14,486 $ 12,906 9/30/2001 $ 12,641 $ 11,599 10/31/2001 $ 12,718 $ 11,896 11/30/2001 $ 13,178 $ 12,334 12/31/2001 $ 13,234 $ 12,408 1/31/2002 $ 12,941 $ 11,748 2/28/2002 $ 13,087 $ 11,831 3/31/2002 $ 13,900 $ 12,471 4/30/2002 $ 14,366 $ 12,553 5/31/2002 $ 14,846 $ 12,712 6/30/2002 $ 14,429 $ 12,206 7/31/2002 $ 12,950 $ 11,001 8/31/2002 $ 12,937 $ 10,976 9/30/2002 $ 11,398 $ 9,798 10/31/2002 $ 11,723 $ 10,324 11/30/2002 $ 12,427 $ 10,793 12/31/2002 $ 12,107 $ 10,430 1/31/2003 $ 11,699 $ 9,994 2/28/2003 $ 11,469 $ 9,765 3/31/2003 $ 11,187 $ 9,573 4/30/2003 $ 12,412 $ 10,511 5/31/2003 $ 13,351 $ 11,148 6/30/2003 $ 13,781 $ 11,418 7/31/2003 $ 14,401 $ 11,694 8/31/2003 $ 14,774 $ 11,977 9/30/2003 $ 15,342 $ 12,346 10/31/2003 $ 16,546 $ 13,115 11/30/2003 $ 16,892 $ 13,407 12/31/2003 $ 18,154 $ 14,454 1/31/2004 $ 18,614 $ 14,659 2/29/2004 $ 19,172 $ 14,997 3/31/2004 $ 19,470 $ 15,081 4/30/2004 $ 18,884 $ 14,740 5/31/2004 $ 19,066 $ 14,790 6/30/2004 $ 19,854 $ 15,114 7/31/2004 $ 19,122 $ 14,623 8/31/2004 $ 19,362 $ 14,688 9/30/2004 $ 19,980 $ 15,072 10/31/2004 $ 20,745 $ 15,586 11/30/2004 $ 22,274 $ 16,650
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ------------------------------------------------------------ 31.86% 8.35% 8.34%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International. 96 DIMENSIONAL INVESTMENT GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004 International equity markets had generally positive returns for the year under review. When expressed in local currencies, prices rose in all of the largest country constituents of the MSCI EAFE Index. Net returns were enhanced considerably by appreciation in the euro, Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona relative to the U.S. dollar. The overall effect of currency exchange rate changes was a material improvement in returns for U.S. dollar-based investors: total return for the MSCI EAFE Index (net dividends) was 13.08% in local currency and 24.19% in U.S. dollars. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
LOCAL CURRENCY U.S. DOLLAR TEN LARGEST DEVELOPED MARKETS RETURN RETURN - ----------------------------- --------- -------------- United Kingdom (net dividends) 12.03% 24.51% Japan (net dividends) 10.69% 17.86% France 12.62% 24.86% Switzerland 5.03% 19.32% Germany 11.22% 23.29% Netherlands 6.65% 18.21% Australia 28.04% 37.29% Italy 17.28% 30.03% Spain 23.45% 36.88% Sweden 29.85% 45.79%
Gross returns unless otherwise noted. Source: Morgan Stanley Capital International Mirroring the U.S. experience, large company growth stocks were the poorest-performing asset class in international markets, while small company stocks had the best relative results. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004 (U.S. DOLLARS) MSCI EAFE Small Cap Index (net dividends) 32.17% S&P/Citigroup EPAC Extended Market Index (small companies) 30.10% MSCI EAFE Value Index (net dividends) 29.32% MSCI EAFE Index (net dividends) 24.19% MSCI EAFE Growth Index (net dividends) 19.07%
Returns in emerging markets were higher, on average, than in developed country markets, although results varied widely among individual countries. For the year under review, total returns were 25.32% for the MSCI Emerging Markets Free Index (net dividends), and 24.19% for the MSCI EAFE Index (net dividends). 97 % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
TOTAL RETURNS COUNTRY (U.S. $) - ------- -------- Brazil 34.91% Argentina 25.55% Thailand 2.99% Chile 31.00% Indonesia 49.70% Hungary 84.84% Israel 14.51% Poland 63.81% Taiwan 7.55% Mexico 43.28% Malaysia 17.71% Philippines 38.36% Turkey 57.65% South Korea 26.73%
Source: DataStream International MASTER-FEEDER STRUCTURE The Portfolio described below, called a "Feeder Fund", does not buy individual securities directly; instead, the portfolio invests in a corresponding fund called a "Master Fund". The Master Fund, in turn, purchases stocks, bonds, and/or other securities. INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW INTERNATIONAL VALUE PORTFOLIO The International Value Portfolio seeks to capture the returns of international large company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to closely track a specific equity index. The Master Fund held 600 stocks in 21 developed-country markets, as of November 30, 2004, and essentially was fully invested in equities throughout the year: cash equivalents averaged less than 1.00% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in international equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, value stocks outperformed growth stocks in international markets, mirroring a trend observed in the United States. Total returns were 24.19% for the MSCI EAFE Index (net dividends), 19.07% for the MSCI EAFE Growth Index (net dividends) and 29.32% for the MSCI EAFE Value Index (net dividends). Total return for the International Value Portfolio over this year was 31.86%. Relative to the MSCI EAFE Value Index (net dividends) superior performance for the Portfolio was primarily due to greater exposure to stocks with more pronounced value characteristics (measured by book-to-market ratio). International large stocks falling in the top quartile when ranked by book-to-market ratio outperformed other stocks in the MSCI EAFE Value Index (net dividends) and average weight allocated to this sector was 67% for the Portfolio compared to 31% for the Index. 98 DISCLOSURE OF FUND EXPENSES The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholders reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated and may be different from the expense ratio in the Financial Highlights which is for the year ended November 30, 2004. FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING INTERNATIONAL VALUE PORTFOLIO 6/01/04 11/30/04 RATIO PERIOD* - ----------------------------- ------------- ------------- ---------- ---------- Actual Fund Return $ 1,000.00 $ 1,168.30 0.51% $ 2.76 Hypothetical 5% Return $ 1,000.00 $ 1,022.45 0.51% $ 2.58
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 99 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investment in The DFA International Value Series of The DFA Investment Trust Company (89,295,808 Shares, Cost $1,027,885) at Value+ $ 1,432,305 Receivable for Fund Shares Sold 1,656 Prepaid Expenses and Other Assets 10 ------------- Total Assets 1,433,971 ------------- LIABILITIES: Payables: Investment Securities Purchased 1,656 Due to Advisor 230 Accrued Expenses and Other Liabilities 96 ------------- Total Liabilities 1,982 ------------- NET ASSETS $ 1,431,989 ============= SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 200,000,000) 91,025,860 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.73 ============= NET ASSETS CONSIST OF: Paid-in Capital $ 1,068,000 Accumulated Net Investment Income (Loss) (14) Accumulated Net Realized Gain (Loss) (40,417) Unrealized Appreciation (Depreciation) from Investment Securities 404,420 ------------- Total Net Assets $ 1,431,989 =============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 100 STATEMENT OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 21,452 ---------- EXPENSES Administrative Services 2,043 Accounting & Transfer Agent Fees 41 Legal Fees 55 Audit Fees 11 Filing Fees 78 Shareholders' Reports 61 Directors' Fees and Expenses 8 Other 12 ---------- Total Expenses 2,309 ---------- NET INVESTMENT INCOME (LOSS) 19,143 ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Net Realized Gain (Loss) on Investment Securities Sold (828) Change in Unrealized Appreciation (Depreciation) of Investment Securities 276,301 ---------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 275,473 ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 294,616 ==========
See accompanying Notes to Financial Statements. 101 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2004 2003 ------------- ------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 19,143 $ 12,442 Capital Gain Distributions Received from The DFA Investment Trust Company -- 507 Net Realized Gain (Loss) on Investment Securities Sold (828) (8,106) Change in Unrealized Appreciation (Depreciation) of Investment Securities 276,301 180,511 ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 294,616 185,354 ------------- ------------- Distributions From: Net Investment Income (21,908) (12,609) ------------- ------------- Total Distributions (21,908) (12,609) ------------- ------------- Capital Share Transactions (1): Shares Issued 520,740 217,849 Shares Issued in Lieu of Cash Distributions 19,587 12,606 Shares Redeemed (129,365) (119,194) ------------- ------------- Net Increase (Decrease) from Capital Share Transactions 410,962 111,261 ------------- ------------- Total Increase (Decrease) 683,670 284,006 NET ASSETS Beginning of Period 748,319 464,313 ------------- ------------- End of Period $ 1,431,989 $ 748,319 ============= ============= (1) SHARES ISSUED AND REDEEMED: Shares Issued 37,677 22,165 Shares Issued in Lieu of Cash Distributions 1,445 1,279 Shares Redeemed (9,431) (12,639) ------------- ------------- 29,691 10,805 ============= =============
See accompanying Notes to Financial Statements. 102 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO FINANCIAL HIGHLIGHTS
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 ------------- ------------- ------------- ------------- ------------- Net Asset Value, Beginning of Period $ 12.20 $ 9.19 $ 10.30 $ 12.58 $ 13.07 ------------- ------------- ------------- ------------- ------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.26 0.22 0.23 0.25 0.24 Net Gains (Losses) on Securities (Realized and Unrealized) 3.58 3.02 (0.78) (1.50) (0.32) ------------- ------------- ------------- ------------- ------------- Total from Investment Operations 3.84 3.24 (0.55) (1.25) (0.08) ------------- ------------- ------------- ------------- ------------- LESS DISTRIBUTIONS Net Investment Income (0.31) (0.23) (0.21) (0.27) (0.22) Net Realized Gains -- -- (0.35) (0.76) (0.19) ------------- ------------- ------------- ------------- ------------- Total Distributions (0.31) (0.23) (0.56) (1.03) (0.41) ------------- ------------- ------------- ------------- ------------- Net Asset Value, End of Period $ 15.73 $ 12.20 $ 9.19 $ 10.30 $ 12.58 ============= ============= ============= ============= ============= Total Return 31.86% 35.92% (5.72)% (10.96%) (0.72)% Net Assets, End of Period (thousands) $ 1,431,989 $ 748,319 $ 464,313 $ 449,496 $ 569,234 Ratio of Expenses to Average Net Assets** 0.51% 0.52% 0.53% 0.51% 0.52% Ratio of Net Investment Income to Average Net Assets 1.87% 2.26% 2.35% 2.12% 1.76% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 15% 14% 18% 6% 9%
- ---------- ** Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the respective Master Fund Series. See accompanying Notes to Financial Statements. 103 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: Dimensional Investment Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund currently offers twenty-five portfolios, of which DFA International Value Portfolio (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The DFA International Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At November 30, 2004, the Portfolio owned 51% of the outstanding shares of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operation during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Series held by the Portfolio are valued at its respective daily net asset value. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At November 30, 2004, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $16,256. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio or to the Series are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the year ended November 30, 2004, the Portfolio's administrative fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.20 of 1% of average daily net assets. Certain officers of the Fund are also officers, directors and shareholders of the Advisor. 104 D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in-capital or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of November 30, 2004, primarily attributable to a return of capital distribution which, for tax purposes, are not available to offset future income, was reclassified to the following accounts (amounts in thousands):
INCREASE (DECREASE) INCREASE UNDISTRIBUTED (DECREASE) NET INVESTMENT PAID IN CAPITAL INCOME --------------- -------------- $ (720) $ 720
These reclassifications had no effect on net assets or net asset value per share. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- ------------- ------------- 2004 $ 21,188 -- $ 720 $ 21,908 2003 12,609 -- -- 12,609
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. As of November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED CAPITAL TOTAL NET NET INVESTMENT LOSS DISTRIBUTABLE INCOME CARRYFORWARD EARNINGS -------------- ------------ ------------- -- $ (9,562) $ (9,562)
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. At November 30, 2004, the Portfolio had capital loss carryforwards available to offset future realized capital gains in the amount of approximately $8,681,000 and $881,000 expiring on November 30, 2010 and 2011, respectively. During the year ended November 30, 2004, the Portfolio utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes of approximately $38,000. At November 30, 2004, the total cost of securities and net realized gains or losses on securities sold for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, 105 aggregate gross unrealized appreciation and depreciation of securities held by each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) --------------- --------------- --------------- --------------- $ 1,058,739 $ 404,421 $ (30,855) $ 373,566
E. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit 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 of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 28, 2005. There were no borrowings by the Portfolio under the line of credit during the year ended November 30, 2004. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires in April 2005. There were no borrowings under the line of credit during the year ended November 30, 2004. F. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 106 REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF DFA INTERNATIONAL VALUE PORTFOLIO AND BOARD OF DIRECTORS OF DIMENSIONAL INVESTMENT GROUP INC. In our opinion, the accompanying statement of assets and liabilities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DFA International Value Portfolio (one of the portfolios constituting Dimensional Investment Group Inc., hereafter referred to as the "Portfolio") at November 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2004 by correspondence with the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 14, 2005 107 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS [CHART] THE U.S. LARGE COMPANY SERIES VS. S&P 500 INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
THE U.S. LARGE S&P 500 COMPANY SERIES INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,148 $ 10,146 1/31/95 $ 10,407 $ 10,410 2/28/95 $ 10,815 $ 10,814 3/31/95 $ 11,133 $ 11,134 4/30/95 $ 11,452 $ 11,458 5/31/95 $ 11,911 $ 11,910 6/30/95 $ 12,193 $ 12,190 7/31/95 $ 12,595 $ 12,596 8/31/95 $ 12,625 $ 12,630 9/30/95 $ 13,159 $ 13,159 10/31/95 $ 13,109 $ 13,113 11/30/95 $ 13,675 $ 13,690 12/31/95 $ 13,938 $ 13,944 1/31/96 $ 14,417 $ 14,423 2/29/96 $ 14,540 $ 14,562 3/31/96 $ 14,683 $ 14,702 4/30/96 $ 14,897 $ 14,918 5/31/96 $ 15,262 $ 15,302 6/30/96 $ 15,324 $ 15,365 7/31/96 $ 14,655 $ 14,681 8/31/96 $ 14,954 $ 14,993 9/30/96 $ 15,790 $ 15,835 10/31/96 $ 16,222 $ 16,269 11/30/96 $ 17,450 $ 17,504 12/31/96 $ 17,100 $ 17,161 1/31/97 $ 18,172 $ 18,227 2/28/97 $ 18,306 $ 18,374 3/31/97 $ 17,554 $ 17,610 4/30/97 $ 18,595 $ 18,661 5/31/97 $ 19,729 $ 19,807 6/30/97 $ 20,605 $ 20,690 7/31/97 $ 22,245 $ 22,333 8/31/97 $ 21,008 $ 21,092 9/30/97 $ 22,153 $ 22,247 10/31/97 $ 21,420 $ 21,504 11/30/97 $ 22,399 $ 22,500 12/31/97 $ 22,780 $ 22,887 1/31/98 $ 23,037 $ 23,141 2/28/98 $ 24,698 $ 24,809 3/31/98 $ 25,955 $ 26,080 4/30/98 $ 26,212 $ 26,343 5/31/98 $ 25,759 $ 25,890 6/30/98 $ 26,810 $ 26,941 7/31/98 $ 26,520 $ 26,656 8/31/98 $ 22,704 $ 22,801 9/30/98 $ 24,148 $ 24,263 10/31/98 $ 26,087 $ 26,235 11/30/98 $ 27,686 $ 27,825 12/31/98 $ 29,325 $ 29,428 1/31/99 $ 30,521 $ 30,658 2/28/99 $ 29,563 $ 29,704 3/31/99 $ 30,749 $ 30,893 4/30/99 $ 31,923 $ 32,088 5/31/99 $ 31,170 $ 31,331 6/30/99 $ 32,890 $ 33,070 7/31/99 $ 31,871 $ 32,038 8/31/99 $ 31,705 $ 31,878 9/30/99 $ 30,839 $ 31,004 10/31/99 $ 32,798 $ 32,967 11/30/99 $ 33,457 $ 33,636 12/31/99 $ 35,448 $ 35,617 1/31/2000 $ 33,665 $ 33,829 2/29/2000 $ 33,035 $ 33,190 3/31/2000 $ 36,253 $ 36,436 4/30/2000 $ 35,140 $ 35,339 5/31/2000 $ 34,419 $ 34,615 6/30/2000 $ 35,214 $ 35,466 7/31/2000 $ 34,718 $ 34,913 8/31/2000 $ 36,874 $ 37,081 9/30/2000 $ 34,923 $ 35,123 10/31/2000 $ 34,770 $ 34,976 11/30/2000 $ 32,037 $ 32,220 12/31/2000 $ 32,200 $ 32,377 1/31/2001 $ 33,343 $ 33,527 2/28/2001 $ 30,302 $ 30,469 3/31/2001 $ 28,384 $ 28,537 4/30/2001 $ 30,581 $ 30,755 5/31/2001 $ 30,768 $ 30,961 6/30/2001 $ 30,014 $ 30,209 7/31/2001 $ 29,726 $ 29,912 8/31/2001 $ 27,859 $ 28,040 9/30/2001 $ 25,611 $ 25,774 10/31/2001 $ 26,095 $ 26,267 11/30/2001 $ 28,094 $ 28,281 12/31/2001 $ 28,330 $ 28,530 1/31/2002 $ 27,916 $ 28,114 2/28/2002 $ 27,380 $ 27,571 3/31/2002 $ 28,390 $ 28,608 4/30/2002 $ 26,670 $ 26,874 5/31/2002 $ 26,483 $ 26,675 6/30/2002 $ 24,587 $ 24,776 7/31/2002 $ 22,679 $ 22,843 8/31/2002 $ 22,824 $ 22,994 9/30/2002 $ 20,339 $ 20,495 10/31/2002 $ 22,133 $ 22,298 11/30/2002 $ 23,432 $ 23,612 12/31/2002 $ 22,061 $ 22,223 1/31/2003 $ 21,483 $ 21,641 2/28/2003 $ 21,152 $ 21,316 3/31/2003 $ 21,357 $ 21,523 4/30/2003 $ 23,119 $ 23,297 5/31/2003 $ 24,335 $ 24,524 6/30/2003 $ 24,644 $ 24,838 7/31/2003 $ 25,078 $ 25,275 8/31/2003 $ 25,562 $ 25,768 9/30/2003 $ 25,294 $ 25,495 10/31/2003 $ 26,716 $ 26,938 11/30/2003 $ 26,953 $ 27,175 12/31/2003 $ 28,355 $ 28,599 1/31/2004 $ 28,881 $ 29,125 2/29/2004 $ 29,283 $ 29,530 3/31/2004 $ 28,839 $ 29,084 4/30/2004 $ 28,386 $ 28,628 5/31/2004 $ 28,778 $ 29,020 6/30/2004 $ 29,334 $ 29,584 7/31/2004 $ 28,355 $ 28,605 8/31/2004 $ 28,468 $ 28,720 9/30/2004 $ 28,778 $ 29,032 10/31/2004 $ 29,221 $ 29,475 11/30/2004 $ 30,396 $ 30,668
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - --------------------------------------------- 12.77% -1.89% 11.77%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). [CHART] THE ENHANCED U.S. LARGE COMPANY SERIES VS. S&P 500 INDEX JULY 2, 1996-NOVEMBER 30, 2004
THE ENHANCED U.S. S&P 500 LARGE COMPANY SERIES INDEX 7/2/96 $ 10,000 $ 10,000 7/31/96 $ 9,890 $ 9,500 8/31/96 $ 10,090 $ 9,702 9/30/96 $ 10,690 $ 10,247 10/31/96 $ 11,060 $ 10,528 11/30/96 $ 11,895 $ 11,327 12/31/96 $ 11,601 $ 11,105 1/31/97 $ 12,337 $ 11,794 2/28/97 $ 12,442 $ 11,890 3/31/97 $ 11,841 $ 11,395 4/30/97 $ 12,594 $ 12,076 5/31/97 $ 13,417 $ 12,817 6/30/97 $ 13,993 $ 13,389 7/31/97 $ 15,135 $ 14,452 8/31/97 $ 14,302 $ 13,648 9/30/97 $ 15,048 $ 14,396 10/31/97 $ 14,628 $ 13,915 11/30/97 $ 15,181 $ 14,560 12/31/97 $ 15,445 $ 14,810 1/31/98 $ 15,714 $ 14,974 2/28/98 $ 16,785 $ 16,054 3/31/98 $ 17,629 $ 16,876 4/30/98 $ 17,829 $ 17,046 5/31/98 $ 17,474 $ 16,753 6/30/98 $ 18,211 $ 17,433 7/31/98 $ 17,982 $ 17,249 8/31/98 $ 15,369 $ 14,754 9/30/98 $ 16,443 $ 15,700 10/31/98 $ 17,808 $ 16,977 11/30/98 $ 18,823 $ 18,005 12/31/98 $ 20,052 $ 19,043 1/31/99 $ 20,776 $ 19,839 2/28/99 $ 20,101 $ 19,222 3/31/99 $ 20,945 $ 19,990 4/30/99 $ 21,741 $ 20,764 5/31/99 $ 21,146 $ 20,274 6/30/99 $ 22,383 $ 21,399 7/31/99 $ 21,628 $ 20,732 8/31/99 $ 21,511 $ 20,628 9/30/99 $ 20,989 $ 20,063 10/31/99 $ 22,328 $ 21,333 11/30/99 $ 22,694 $ 21,766 12/31/99 $ 23,992 $ 23,048 1/31/2000 $ 22,732 $ 21,891 2/29/2000 $ 22,373 $ 21,477 3/31/2000 $ 24,537 $ 23,577 4/30/2000 $ 23,752 $ 22,868 5/31/2000 $ 23,208 $ 22,399 6/30/2000 $ 23,730 $ 22,950 7/31/2000 $ 23,383 $ 22,592 8/31/2000 $ 24,875 $ 23,995 9/30/2000 $ 23,557 $ 22,728 10/31/2000 $ 23,453 $ 22,633 11/30/2000 $ 21,643 $ 20,849 12/31/2000 $ 21,710 $ 20,951 1/31/2001 $ 22,483 $ 21,695 2/28/2001 $ 20,430 $ 19,716 3/31/2001 $ 19,114 $ 18,466 4/30/2001 $ 20,582 $ 19,901 5/31/2001 $ 20,716 $ 20,035 6/30/2001 $ 20,177 $ 19,548 7/31/2001 $ 20,020 $ 19,356 8/31/2001 $ 18,805 $ 18,145 9/30/2001 $ 17,393 $ 16,678 10/31/2001 $ 17,779 $ 16,997 11/30/2001 $ 19,119 $ 18,301 12/31/2001 $ 19,278 $ 18,462 1/31/2002 $ 19,004 $ 18,192 2/28/2002 $ 18,664 $ 17,841 3/31/2002 $ 19,265 $ 18,512 4/30/2002 $ 18,190 $ 17,390 5/31/2002 $ 18,075 $ 17,261 6/30/2002 $ 16,844 $ 16,032 7/31/2002 $ 15,625 $ 14,782 8/31/2002 $ 15,762 $ 14,879 9/30/2002 $ 14,079 $ 13,262 10/31/2002 $ 15,329 $ 14,429 11/30/2002 $ 16,185 $ 15,279 12/31/2002 $ 15,307 $ 14,381 1/31/2003 $ 14,911 $ 14,004 2/28/2003 $ 14,701 $ 13,794 3/31/2003 $ 14,843 $ 13,928 4/30/2003 $ 16,084 $ 15,075 5/31/2003 $ 16,974 $ 15,870 6/30/2003 $ 17,167 $ 16,073 7/31/2003 $ 17,402 $ 16,356 8/31/2003 $ 17,731 $ 16,675 9/30/2003 $ 17,618 $ 16,498 10/31/2003 $ 18,560 $ 17,432 11/30/2003 $ 18,726 $ 17,585 12/31/2003 $ 19,750 $ 18,506 1/31/2004 $ 20,104 $ 18,847 2/29/2004 $ 20,435 $ 19,109 3/31/2004 $ 20,134 $ 18,820 4/30/2004 $ 19,708 $ 18,525 5/31/2004 $ 19,945 $ 18,779 6/30/2004 $ 20,300 $ 19,144 7/31/2004 $ 19,658 $ 18,510 8/31/2004 $ 19,801 $ 18,585 9/30/2004 $ 19,993 $ 18,786 10/31/2004 $ 20,303 $ 19,073 11/30/2004 $ 21,067 $ 19,845
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 7/2/1996 - ---------------------------------------------- 12.50% -1.47% 9.26%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). [CHART] THE U.S. LARGE CAP VALUE SERIES VS. RUSSELL 1000 VALUE INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
THE U.S. LARGE CAP RUSSELL 1000 VALUE SERIES VALUE INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,121 $ 10,115 1/31/95 $ 10,354 $ 10,427 2/28/95 $ 10,940 $ 10,838 3/31/95 $ 11,107 $ 11,076 4/30/95 $ 11,514 $ 11,426 5/31/95 $ 12,114 $ 11,907 6/30/95 $ 12,379 $ 12,069 7/31/95 $ 12,921 $ 12,489 8/31/95 $ 13,310 $ 12,665 9/30/95 $ 13,770 $ 13,123 10/31/95 $ 13,205 $ 12,993 11/30/95 $ 13,927 $ 13,652 12/31/95 $ 14,027 $ 13,995 1/31/96 $ 14,425 $ 14,431 2/29/96 $ 14,640 $ 14,541 3/31/96 $ 15,150 $ 14,788 4/30/96 $ 15,398 $ 14,844 5/31/96 $ 15,659 $ 15,030 6/30/96 $ 15,203 $ 15,042 7/31/96 $ 14,528 $ 14,473 8/31/96 $ 15,105 $ 14,887 9/30/96 $ 15,407 $ 15,480 10/31/96 $ 15,911 $ 16,079 11/30/96 $ 17,058 $ 17,245 12/31/96 $ 16,891 $ 17,024 1/31/97 $ 17,495 $ 17,850 2/28/97 $ 17,843 $ 18,112 3/31/97 $ 17,026 $ 17,460 4/30/97 $ 17,586 $ 18,193 5/31/97 $ 18,951 $ 19,210 6/30/97 $ 19,535 $ 20,034 7/31/97 $ 21,492 $ 21,541 8/31/97 $ 21,176 $ 20,774 9/30/97 $ 22,292 $ 22,029 10/31/97 $ 21,151 $ 21,414 11/30/97 $ 21,375 $ 22,361 12/31/97 $ 21,674 $ 23,014 1/31/98 $ 21,962 $ 22,689 2/28/98 $ 23,882 $ 24,216 3/31/98 $ 25,222 $ 25,698 4/30/98 $ 25,360 $ 25,871 5/31/98 $ 25,147 $ 25,488 6/30/98 $ 25,087 $ 25,814 7/31/98 $ 24,217 $ 25,360 8/31/98 $ 19,809 $ 21,586 9/30/98 $ 20,813 $ 22,825 10/31/98 $ 22,514 $ 24,594 11/30/98 $ 23,923 $ 25,740 12/31/98 $ 24,320 $ 26,615 1/31/99 $ 24,792 $ 26,828 2/28/99 $ 24,155 $ 26,450 3/31/99 $ 24,935 $ 26,997 4/30/99 $ 27,588 $ 29,519 5/31/99 $ 27,561 $ 29,194 6/30/99 $ 28,021 $ 30,041 7/31/99 $ 26,861 $ 29,161 8/31/99 $ 25,897 $ 28,079 9/30/99 $ 24,506 $ 27,099 10/31/99 $ 25,445 $ 28,660 11/30/99 $ 25,030 $ 28,436 12/31/99 $ 25,515 $ 28,573 1/31/2000 $ 23,727 $ 27,641 2/29/2000 $ 21,594 $ 25,588 3/31/2000 $ 24,654 $ 28,709 4/30/2000 $ 25,396 $ 28,376 5/31/2000 $ 25,345 $ 28,674 6/30/2000 $ 23,583 $ 27,364 7/31/2000 $ 24,626 $ 27,706 8/31/2000 $ 26,066 $ 29,246 9/30/2000 $ 25,642 $ 29,515 10/31/2000 $ 26,654 $ 30,241 11/30/2000 $ 25,799 $ 29,119 12/31/2000 $ 28,180 $ 30,578 1/31/2001 $ 29,566 $ 30,694 2/28/2001 $ 29,546 $ 29,841 3/31/2001 $ 28,645 $ 28,788 4/30/2001 $ 30,349 $ 30,198 5/31/2001 $ 31,232 $ 30,878 6/30/2001 $ 30,851 $ 30,192 7/31/2001 $ 30,811 $ 30,129 8/31/2001 $ 29,452 $ 28,921 9/30/2001 $ 26,177 $ 26,885 10/31/2001 $ 26,156 $ 26,654 11/30/2001 $ 28,625 $ 28,202 12/31/2001 $ 29,298 $ 28,868 1/31/2002 $ 29,614 $ 28,645 2/28/2002 $ 29,991 $ 28,691 3/31/2002 $ 31,238 $ 30,048 4/30/2002 $ 30,960 $ 29,018 5/31/2002 $ 31,158 $ 29,163 6/30/2002 $ 29,267 $ 27,489 7/31/2002 $ 26,013 $ 24,932 8/31/2002 $ 26,431 $ 25,119 9/30/2002 $ 23,503 $ 22,326 10/31/2002 $ 24,424 $ 23,980 11/30/2002 $ 26,146 $ 25,491 12/31/2002 $ 24,972 $ 24,385 1/31/2003 $ 24,388 $ 23,795 2/28/2003 $ 23,683 $ 23,159 3/31/2003 $ 23,572 $ 23,199 4/30/2003 $ 25,754 $ 25,240 5/31/2003 $ 27,472 $ 26,871 6/30/2003 $ 27,766 $ 27,207 7/31/2003 $ 28,477 $ 27,612 8/31/2003 $ 29,491 $ 28,043 9/30/2003 $ 28,842 $ 27,768 10/31/2003 $ 30,775 $ 29,467 11/30/2003 $ 31,465 $ 29,868 12/31/2003 $ 33,626 $ 31,708 1/31/2004 $ 34,199 $ 32,266 2/29/2004 $ 35,080 $ 32,957 3/31/2004 $ 34,938 $ 32,667 4/30/2004 $ 34,364 $ 31,870 5/31/2004 $ 34,549 $ 32,195 6/30/2004 $ 35,593 $ 32,954 7/31/2004 $ 34,441 $ 32,490 8/31/2004 $ 34,441 $ 32,951 9/30/2004 $ 35,498 $ 33,462 10/31/2004 $ 35,932 $ 34,017 11/30/2004 $ 38,285 $ 35,739
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - --------------------------------------------- 21.68% 8.88% 14.37%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 1000 Value Index is courtesy of Russell Analytic Services. 108 [CHART] THE U.S. SMALL XM VALUE SERIES VS. RUSSELL 2000 VALUE INDEX FEBRUARY 6, 1998-NOVEMBER 30, 2004 GROWTH OF $10,000
THE U.S. SMALL XM RUSSELL 2000 VALUE SERIES VALUE INDEX 2/6/98 $ 10,000 $ 10,000 2/28/98 $ 10,270 $ 10,331 3/31/98 $ 10,710 $ 10,750 4/30/98 $ 10,830 $ 10,803 5/31/98 $ 10,329 $ 10,421 6/30/98 $ 10,069 $ 10,361 7/31/98 $ 9,219 $ 9,550 8/31/98 $ 7,620 $ 8,054 9/30/98 $ 7,840 $ 8,509 10/31/98 $ 8,470 $ 8,762 11/30/98 $ 8,674 $ 9,000 12/31/98 $ 8,907 $ 9,282 1/31/99 $ 8,866 $ 9,072 2/28/99 $ 8,207 $ 8,452 3/31/99 $ 8,319 $ 8,383 4/30/99 $ 9,403 $ 9,148 5/31/99 $ 9,767 $ 9,429 6/30/99 $ 10,335 $ 9,770 7/31/99 $ 10,112 $ 9,539 8/31/99 $ 9,716 $ 9,189 9/30/99 $ 9,433 $ 9,006 10/31/99 $ 9,129 $ 8,826 11/30/99 $ 9,228 $ 8,871 12/31/99 $ 9,516 $ 9,144 1/31/2000 $ 8,896 $ 8,905 2/29/2000 $ 8,632 $ 9,449 3/31/2000 $ 9,484 $ 9,494 4/30/2000 $ 9,579 $ 9,550 5/31/2000 $ 9,453 $ 9,404 6/30/2000 $ 9,221 $ 9,678 7/31/2000 $ 9,453 $ 10,000 8/31/2000 $ 9,978 $ 10,447 9/30/2000 $ 9,842 $ 10,388 10/31/2000 $ 9,862 $ 10,351 11/30/2000 $ 9,544 $ 10,139 12/31/2000 $ 10,675 $ 11,228 1/31/2001 $ 11,351 $ 11,538 2/28/2001 $ 11,340 $ 11,522 3/31/2001 $ 10,927 $ 11,338 4/30/2001 $ 11,662 $ 11,863 5/31/2001 $ 12,086 $ 12,168 6/30/2001 $ 12,499 $ 12,657 7/31/2001 $ 12,511 $ 12,373 8/31/2001 $ 12,396 $ 12,330 9/30/2001 $ 10,537 $ 10,969 10/31/2001 $ 10,847 $ 11,255 11/30/2001 $ 11,845 $ 12,064 12/31/2001 $ 12,631 $ 12,802 1/31/2002 $ 12,815 $ 12,973 2/28/2002 $ 13,106 $ 13,052 3/31/2002 $ 14,229 $ 14,029 4/30/2002 $ 14,639 $ 14,523 5/31/2002 $ 14,176 $ 14,043 6/30/2002 $ 13,647 $ 13,732 7/31/2002 $ 11,652 $ 11,692 8/31/2002 $ 11,652 $ 11,640 9/30/2002 $ 10,622 $ 10,809 10/31/2002 $ 10,899 $ 10,971 11/30/2002 $ 12,102 $ 11,847 12/31/2002 $ 11,458 $ 11,341 1/31/2003 $ 10,923 $ 11,021 2/28/2003 $ 10,462 $ 10,651 3/31/2003 $ 10,432 $ 10,765 4/30/2003 $ 11,681 $ 11,787 5/31/2003 $ 13,019 $ 12,991 6/30/2003 $ 13,227 $ 13,210 7/31/2003 $ 14,000 $ 13,870 8/31/2003 $ 14,907 $ 14,397 9/30/2003 $ 14,713 $ 14,231 10/31/2003 $ 16,140 $ 15,391 11/30/2003 $ 16,807 $ 15,982 12/31/2003 $ 17,706 $ 16,561 1/31/2004 $ 18,525 $ 17,134 2/29/2004 $ 18,825 $ 17,466 3/31/2004 $ 18,992 $ 17,707 4/30/2004 $ 18,358 $ 16,791 5/31/2004 $ 18,642 $ 16,995 6/30/2004 $ 19,707 $ 17,858 7/31/2004 $ 18,753 $ 17,037 8/31/2004 $ 18,636 $ 17,203 9/30/2004 $ 19,492 $ 17,885 10/31/2004 $ 19,677 $ 18,162 11/30/2004 $ 21,488 $ 19,773
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 2/6/1998 - ---------------------------------------------- 27.86% 18.42% 11.88%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Value Index is courtesy of Russell Analytic Services. [CHART] THE U.S. SMALL CAP VALUE SERIES VS. RUSSELL 2000 VALUE INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
THE U.S. SMALL CAP RUSSELL 2000 VALUE SERIES VALUE INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,103 $ 10,300 1/31/95 $ 10,211 $ 10,251 2/28/95 $ 10,572 $ 10,630 3/31/95 $ 10,697 $ 10,682 4/30/95 $ 11,076 $ 10,999 5/31/95 $ 11,392 $ 11,235 6/30/95 $ 11,843 $ 11,619 7/31/95 $ 12,492 $ 12,043 8/31/95 $ 12,888 $ 12,401 9/30/95 $ 13,050 $ 12,585 10/31/95 $ 12,420 $ 12,083 11/30/95 $ 12,882 $ 12,563 12/31/95 $ 13,107 $ 12,952 1/31/96 $ 13,069 $ 13,038 2/29/96 $ 13,352 $ 13,242 3/31/96 $ 13,728 $ 13,521 4/30/96 $ 14,443 $ 13,890 5/31/96 $ 15,008 $ 14,241 6/30/96 $ 14,697 $ 14,073 7/31/96 $ 13,785 $ 13,324 8/31/96 $ 14,416 $ 13,903 9/30/96 $ 14,906 $ 14,282 10/31/96 $ 15,020 $ 14,448 11/30/96 $ 15,734 $ 15,225 12/31/96 $ 16,084 $ 15,720 1/31/97 $ 16,502 $ 15,962 2/28/97 $ 16,502 $ 16,114 3/31/97 $ 16,075 $ 15,682 4/30/97 $ 16,005 $ 15,912 5/31/97 $ 17,526 $ 17,179 6/30/97 $ 18,630 $ 18,048 7/31/97 $ 19,744 $ 18,806 8/31/97 $ 20,451 $ 19,105 9/30/97 $ 22,032 $ 20,376 10/31/97 $ 21,256 $ 19,822 11/30/97 $ 21,078 $ 20,040 12/31/97 $ 21,099 $ 20,719 1/31/98 $ 20,846 $ 20,344 2/28/98 $ 22,424 $ 21,575 3/31/98 $ 23,339 $ 22,451 4/30/98 $ 23,803 $ 22,561 5/31/98 $ 22,898 $ 21,762 6/30/98 $ 22,445 $ 21,638 7/31/98 $ 20,800 $ 19,944 8/31/98 $ 16,971 $ 16,821 9/30/98 $ 17,456 $ 17,771 10/31/98 $ 18,207 $ 18,299 11/30/98 $ 19,170 $ 18,795 12/31/98 $ 19,620 $ 19,385 1/31/99 $ 19,936 $ 18,945 2/28/99 $ 18,291 $ 17,651 3/31/99 $ 17,951 $ 17,506 4/30/99 $ 19,875 $ 19,104 5/31/99 $ 20,814 $ 19,691 6/30/99 $ 22,092 $ 20,404 7/31/99 $ 21,994 $ 19,920 8/31/99 $ 21,398 $ 19,191 9/30/99 $ 20,838 $ 18,807 10/31/99 $ 20,119 $ 18,431 11/30/99 $ 21,042 $ 18,527 12/31/99 $ 22,258 $ 19,096 1/31/2000 $ 22,096 $ 18,597 2/29/2000 $ 24,149 $ 19,734 3/31/2000 $ 24,231 $ 19,826 4/30/2000 $ 23,373 $ 19,943 5/31/2000 $ 22,408 $ 19,638 6/30/2000 $ 23,537 $ 20,212 7/31/2000 $ 23,523 $ 20,885 8/31/2000 $ 25,264 $ 21,818 9/30/2000 $ 24,801 $ 21,694 10/31/2000 $ 23,876 $ 21,616 11/30/2000 $ 22,577 $ 21,175 12/31/2000 $ 24,338 $ 23,449 1/31/2001 $ 26,855 $ 24,096 2/28/2001 $ 26,334 $ 24,062 3/31/2001 $ 25,697 $ 23,677 4/30/2001 $ 27,275 $ 24,774 5/31/2001 $ 28,971 $ 25,410 6/30/2001 $ 30,063 $ 26,432 7/31/2001 $ 29,576 $ 25,840 8/31/2001 $ 29,189 $ 25,749 9/30/2001 $ 24,942 $ 22,907 10/31/2001 $ 25,932 $ 23,505 11/30/2001 $ 27,965 $ 25,194 12/31/2001 $ 29,937 $ 26,736 1/31/2002 $ 30,404 $ 27,092 2/28/2002 $ 30,367 $ 27,257 3/31/2002 $ 33,373 $ 29,299 4/30/2002 $ 34,885 $ 30,330 5/31/2002 $ 33,804 $ 29,326 6/30/2002 $ 33,114 $ 28,678 7/31/2002 $ 27,958 $ 24,417 8/31/2002 $ 27,603 $ 24,309 9/30/2002 $ 25,605 $ 22,573 10/31/2002 $ 26,035 $ 22,912 11/30/2002 $ 28,258 $ 24,740 12/31/2002 $ 27,249 $ 23,684 1/31/2003 $ 26,312 $ 23,016 2/28/2003 $ 25,233 $ 22,243 3/31/2003 $ 25,193 $ 22,481 4/30/2003 $ 27,861 $ 24,616 5/31/2003 $ 31,140 $ 27,130 6/30/2003 $ 32,280 $ 27,588 7/31/2003 $ 34,562 $ 28,965 8/31/2003 $ 36,356 $ 30,066 9/30/2003 $ 36,072 $ 29,720 10/31/2003 $ 39,698 $ 32,142 11/30/2003 $ 41,351 $ 33,376 12/31/2003 $ 43,581 $ 34,584 1/31/2004 $ 45,710 $ 35,781 2/29/2004 $ 46,376 $ 36,475 3/31/2004 $ 46,819 $ 36,979 4/30/2004 $ 45,356 $ 35,067 5/31/2004 $ 45,533 $ 35,491 6/30/2004 $ 48,584 $ 37,294 7/31/2004 $ 46,007 $ 35,579 8/31/2004 $ 45,340 $ 35,927 9/30/2004 $ 47,583 $ 37,350 10/31/2004 $ 48,050 $ 37,929 11/30/2004 $ 52,875 $ 41,293
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - --------------------------------------------- 27.87% 20.23% 18.12%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Value Index is courtesy of Russell Analytic Services. [CHART] THE U.S. SMALL CAP SERIES VS. RUSSELL 2000 INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
THE U.S. SMALL RUSSELL 2000 CAP SERIES INDEX 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,126 $ 10,268 1/31/95 $ 10,193 $ 10,139 2/28/95 $ 10,527 $ 10,560 3/31/95 $ 10,727 $ 10,741 4/30/95 $ 11,083 $ 10,979 5/31/95 $ 11,306 $ 11,168 6/30/95 $ 11,885 $ 11,748 7/31/95 $ 12,621 $ 12,425 8/31/95 $ 12,988 $ 12,682 9/30/95 $ 13,222 $ 12,909 10/31/95 $ 12,542 $ 12,332 11/30/95 $ 12,917 $ 12,850 12/31/95 $ 13,225 $ 13,189 1/31/96 $ 13,262 $ 13,174 2/29/96 $ 13,711 $ 13,585 3/31/96 $ 14,014 $ 13,867 4/30/96 $ 14,949 $ 14,609 5/31/96 $ 15,726 $ 15,184 6/30/96 $ 15,009 $ 14,560 7/31/96 $ 13,759 $ 13,289 8/31/96 $ 14,572 $ 14,061 9/30/96 $ 15,034 $ 14,611 10/31/96 $ 14,816 $ 14,386 11/30/96 $ 15,394 $ 14,979 12/31/96 $ 15,625 $ 15,371 1/31/97 $ 16,143 $ 15,678 2/28/97 $ 15,808 $ 15,299 3/31/97 $ 15,066 $ 14,577 4/30/97 $ 14,898 $ 14,618 5/31/97 $ 16,591 $ 16,245 6/30/97 $ 17,446 $ 16,942 7/31/97 $ 18,482 $ 17,729 8/31/97 $ 19,168 $ 18,135 9/30/97 $ 20,651 $ 19,463 10/31/97 $ 19,755 $ 18,608 11/30/97 $ 19,469 $ 18,487 12/31/97 $ 19,469 $ 18,811 1/31/98 $ 19,255 $ 18,514 2/28/98 $ 20,668 $ 19,882 3/31/98 $ 21,528 $ 20,701 4/30/98 $ 21,835 $ 20,815 5/31/98 $ 20,700 $ 19,693 6/30/98 $ 20,423 $ 19,734 7/31/98 $ 18,856 $ 18,136 8/31/98 $ 14,987 $ 14,614 9/30/98 $ 15,924 $ 15,758 10/31/98 $ 16,631 $ 16,401 11/30/98 $ 17,723 $ 17,260 12/31/98 $ 18,466 $ 18,329 1/31/99 $ 18,772 $ 18,573 2/28/99 $ 17,169 $ 17,068 3/31/99 $ 17,016 $ 17,335 4/30/99 $ 18,568 $ 18,888 5/31/99 $ 19,302 $ 19,163 6/30/99 $ 20,444 $ 20,030 7/31/99 $ 20,275 $ 19,481 8/31/99 $ 19,746 $ 18,760 9/30/99 $ 19,643 $ 18,764 10/31/99 $ 19,421 $ 18,841 11/30/99 $ 21,023 $ 19,966 12/31/99 $ 23,235 $ 22,226 1/31/2000 $ 23,216 $ 21,868 2/29/2000 $ 27,103 $ 25,478 3/31/2000 $ 25,940 $ 23,799 4/30/2000 $ 23,901 $ 22,366 5/31/2000 $ 22,644 $ 21,062 6/30/2000 $ 24,967 $ 22,899 7/31/2000 $ 24,280 $ 22,162 8/31/2000 $ 26,281 $ 23,853 9/30/2000 $ 25,766 $ 23,151 10/31/2000 $ 24,643 $ 22,119 11/30/2000 $ 22,385 $ 19,847 12/31/2000 $ 23,885 $ 21,552 1/31/2001 $ 25,973 $ 22,675 2/28/2001 $ 24,248 $ 21,188 3/31/2001 $ 23,159 $ 20,151 4/30/2001 $ 24,975 $ 21,727 5/31/2001 $ 26,154 $ 22,262 6/30/2001 $ 27,469 $ 23,030 7/31/2001 $ 26,448 $ 21,784 8/31/2001 $ 25,654 $ 21,080 9/30/2001 $ 22,024 $ 18,243 10/31/2001 $ 23,476 $ 19,310 11/30/2001 $ 25,314 $ 20,805 12/31/2001 $ 27,005 $ 22,088 1/31/2002 $ 26,818 $ 21,859 2/28/2002 $ 26,124 $ 21,260 3/31/2002 $ 28,347 $ 22,969 4/30/2002 $ 28,440 $ 23,178 5/31/2002 $ 27,237 $ 22,149 6/30/2002 $ 25,848 $ 21,050 7/31/2002 $ 22,142 $ 17,872 8/31/2002 $ 22,164 $ 17,825 9/30/2002 $ 20,497 $ 16,545 10/31/2002 $ 21,284 $ 17,077 11/30/2002 $ 23,183 $ 18,600 12/31/2002 $ 21,908 $ 17,564 1/31/2003 $ 21,323 $ 17,077 2/28/2003 $ 20,645 $ 16,561 3/31/2003 $ 20,855 $ 16,775 4/30/2003 $ 22,959 $ 18,365 5/31/2003 $ 25,531 $ 20,336 6/30/2003 $ 26,233 $ 20,704 7/31/2003 $ 27,894 $ 22,000 8/31/2003 $ 29,297 $ 23,008 9/30/2003 $ 28,851 $ 22,582 10/31/2003 $ 31,376 $ 24,479 11/30/2003 $ 32,529 $ 25,348 12/31/2003 $ 33,296 $ 25,863 1/31/2004 $ 34,803 $ 26,985 2/29/2004 $ 35,110 $ 27,228 3/31/2004 $ 35,298 $ 27,481 4/30/2004 $ 33,862 $ 26,080 5/31/2004 $ 34,215 $ 26,494 6/30/2004 $ 35,724 $ 27,610 7/31/2004 $ 33,174 $ 25,752 8/31/2004 $ 32,702 $ 25,620 9/30/2004 $ 34,319 $ 26,822 10/31/2004 $ 34,981 $ 27,350 11/30/2004 $ 38,056 $ 29,721
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - --------------------------------------------- 16.99% 12.60% 14.30%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Index is courtesy of Russell Analytic Services. 109 [CHART] THE U.S. MICRO CAP SERIES VS. RUSSELL 2000 INDEX NOVEMBER 28, 1997-NOVEMBER 30, 2004 GROWTH OF $10,000
THE U.S. MICRO CRSP 9-10 RUSSELL 2000 CAP SERIES INDEX INDEX 11/28/97 $ 10,000 $ 10,000 $ 10,000 11/30/97 $ 10,000 $ 10,000 $ 10,000 12/31/97 $ 9,826 $ 9,850 $ 10,175 1/31/98 $ 9,776 $ 9,829 $ 10,014 2/28/98 $ 10,416 $ 10,458 $ 10,754 3/31/98 $ 10,916 $ 10,990 $ 11,197 4/30/98 $ 11,106 $ 11,291 $ 11,259 5/31/98 $ 10,556 $ 10,689 $ 10,652 6/30/98 $ 10,346 $ 10,338 $ 10,674 7/31/98 $ 9,656 $ 9,702 $ 9,810 8/31/98 $ 7,715 $ 7,603 $ 7,905 9/30/98 $ 8,005 $ 7,874 $ 8,524 10/31/98 $ 8,295 $ 8,177 $ 8,871 11/30/98 $ 8,919 $ 8,868 $ 9,336 12/31/98 $ 9,156 $ 9,068 $ 9,914 1/31/99 $ 9,413 $ 9,580 $ 10,046 2/28/99 $ 8,767 $ 8,960 $ 9,232 3/31/99 $ 8,444 $ 8,714 $ 9,376 4/30/99 $ 9,247 $ 9,508 $ 10,217 5/31/99 $ 9,603 $ 9,820 $ 10,366 6/30/99 $ 10,149 $ 10,191 $ 10,834 7/31/99 $ 10,249 $ 10,369 $ 10,537 8/31/99 $ 10,060 $ 10,103 $ 10,147 9/30/99 $ 9,837 $ 9,951 $ 10,150 10/31/99 $ 9,760 $ 9,746 $ 10,191 11/30/99 $ 10,710 $ 10,771 $ 10,800 12/31/99 $ 11,929 $ 11,987 $ 12,022 1/31/2000 $ 12,644 $ 12,778 $ 11,828 2/29/2000 $ 15,626 $ 14,703 $ 13,781 3/31/2000 $ 14,457 $ 13,972 $ 12,873 4/30/2000 $ 12,658 $ 12,686 $ 12,098 5/31/2000 $ 11,641 $ 11,905 $ 11,393 6/30/2000 $ 13,236 $ 12,667 $ 12,386 7/31/2000 $ 12,810 $ 12,498 $ 11,988 8/31/2000 $ 14,005 $ 13,308 $ 12,902 9/30/2000 $ 13,702 $ 12,902 $ 12,523 10/31/2000 $ 12,741 $ 11,897 $ 11,964 11/30/2000 $ 11,334 $ 10,541 $ 10,736 12/31/2000 $ 11,552 $ 10,385 $ 11,658 1/31/2001 $ 13,141 $ 13,054 $ 12,265 2/28/2001 $ 12,223 $ 11,691 $ 11,461 3/31/2001 $ 11,639 $ 10,972 $ 10,900 4/30/2001 $ 12,505 $ 11,650 $ 11,753 5/31/2001 $ 13,706 $ 12,819 $ 12,042 6/30/2001 $ 14,201 $ 13,133 $ 12,457 7/31/2001 $ 13,847 $ 12,779 $ 11,783 8/31/2001 $ 13,441 $ 12,390 $ 11,403 9/30/2001 $ 11,728 $ 10,824 $ 9,868 10/31/2001 $ 12,488 $ 11,797 $ 10,445 11/30/2001 $ 13,337 $ 12,883 $ 11,253 12/31/2001 $ 14,234 $ 13,938 $ 11,948 1/31/2002 $ 14,398 $ 14,061 $ 11,824 2/28/2002 $ 13,999 $ 13,379 $ 11,500 3/31/2002 $ 15,249 $ 14,603 $ 12,424 4/30/2002 $ 15,629 $ 14,656 $ 12,537 5/31/2002 $ 15,195 $ 14,240 $ 11,981 6/30/2002 $ 14,669 $ 13,731 $ 11,386 7/31/2002 $ 12,551 $ 11,766 $ 9,667 8/31/2002 $ 12,478 $ 11,625 $ 9,642 9/30/2002 $ 11,644 $ 10,699 $ 8,950 10/31/2002 $ 11,952 $ 11,155 $ 9,237 11/30/2002 $ 12,941 $ 12,832 $ 10,061 12/31/2002 $ 12,403 $ 11,972 $ 9,500 1/31/2003 $ 12,125 $ 11,900 $ 9,237 2/28/2003 $ 11,774 $ 11,571 $ 8,958 3/31/2003 $ 11,922 $ 11,762 $ 9,074 4/30/2003 $ 13,031 $ 13,037 $ 9,934 5/31/2003 $ 14,546 $ 14,962 $ 11,000 6/30/2003 $ 15,193 $ 15,766 $ 11,199 7/31/2003 $ 16,321 $ 17,060 $ 11,900 8/31/2003 $ 17,098 $ 17,909 $ 12,445 9/30/2003 $ 17,116 $ 18,262 $ 12,215 10/31/2003 $ 18,651 $ 19,816 $ 13,241 11/30/2003 $ 19,456 $ 20,665 $ 13,711 12/31/2003 $ 20,002 $ 21,358 $ 13,989 1/31/2004 $ 21,161 $ 22,824 $ 14,596 2/29/2004 $ 21,275 $ 22,995 $ 14,728 3/31/2004 $ 21,313 $ 22,895 $ 14,865 4/30/2004 $ 20,458 $ 22,072 $ 14,107 5/31/2004 $ 20,458 $ 21,880 $ 14,331 6/30/2004 $ 21,363 $ 22,576 $ 14,934 7/31/2004 $ 19,783 $ 20,730 $ 13,929 8/31/2004 $ 19,478 $ 20,472 $ 13,858 9/30/2004 $ 20,462 $ 21,418 $ 14,508 10/31/2004 $ 20,843 $ 21,801 $ 14,794 11/30/2004 $ 22,731 $ 23,763 $ 16,077
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 11/28/1997 - ------------------------------------------------- 16.83% 16.24% 12.43%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. CRSP 9-10 Index courtesy of the Center for Research in Security Prices, University of Chicago. Russell 2000 Index courtesy of Russell Analytic Services. [CHART] THE DFA INTERNATIONAL VALUE SERIES VS. MSCI EAFE INDEX (NET DIVIDENDS) NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
THE DFA MSCI EAFE INTERNATIONAL INDEX VALUE SERIES (NET DIVIDENDS) 11/30/94 $ 10,000 $ 10,000 12/31/94 $ 10,059 $ 10,063 1/31/95 $ 9,661 $ 9,676 2/28/95 $ 9,640 $ 9,648 3/31/95 $ 10,210 $ 10,250 4/30/95 $ 10,529 $ 10,636 5/31/95 $ 10,469 $ 10,509 6/30/95 $ 10,360 $ 10,324 7/31/95 $ 10,943 $ 10,967 8/31/95 $ 10,571 $ 10,549 9/30/95 $ 10,634 $ 10,755 10/31/95 $ 10,432 $ 10,466 11/30/95 $ 10,719 $ 10,757 12/31/95 $ 11,239 $ 11,190 1/31/96 $ 11,352 $ 11,236 2/29/96 $ 11,423 $ 11,274 3/31/96 $ 11,583 $ 11,514 4/30/96 $ 12,035 $ 11,849 5/31/96 $ 11,922 $ 11,630 6/30/96 $ 11,964 $ 11,696 7/31/96 $ 11,644 $ 11,354 8/31/96 $ 11,695 $ 11,379 9/30/96 $ 11,901 $ 11,681 10/31/96 $ 11,787 $ 11,562 11/30/96 $ 12,311 $ 12,022 12/31/96 $ 12,150 $ 11,867 1/31/97 $ 11,744 $ 11,452 2/28/97 $ 11,851 $ 11,639 3/31/97 $ 11,895 $ 11,681 4/30/97 $ 11,831 $ 11,743 5/31/97 $ 12,729 $ 12,507 6/30/97 $ 13,281 $ 13,197 7/31/97 $ 13,464 $ 13,411 8/31/97 $ 12,581 $ 12,409 9/30/97 $ 13,044 $ 13,104 10/31/97 $ 12,360 $ 12,097 11/30/97 $ 11,838 $ 11,974 12/31/97 $ 11,790 $ 12,078 1/31/98 $ 12,502 $ 12,630 2/28/98 $ 13,324 $ 13,441 3/31/98 $ 13,913 $ 13,855 4/30/98 $ 13,956 $ 13,964 5/31/98 $ 14,087 $ 13,897 6/30/98 $ 13,950 $ 14,002 7/31/98 $ 14,105 $ 14,144 8/31/98 $ 12,260 $ 12,392 9/30/98 $ 11,601 $ 12,012 10/31/98 $ 12,756 $ 13,264 11/30/98 $ 13,316 $ 13,943 12/31/98 $ 13,576 $ 14,493 1/31/99 $ 13,307 $ 14,451 2/28/99 $ 12,970 $ 14,106 3/31/99 $ 13,769 $ 14,695 4/30/99 $ 14,587 $ 15,290 5/31/99 $ 13,848 $ 14,503 6/30/99 $ 14,472 $ 15,068 7/31/99 $ 14,995 $ 15,516 8/31/99 $ 15,141 $ 15,573 9/30/99 $ 15,196 $ 15,730 10/31/99 $ 15,128 $ 16,319 11/30/99 $ 15,081 $ 16,886 12/31/99 $ 15,826 $ 18,401 1/31/2000 $ 14,607 $ 17,232 2/29/2000 $ 14,242 $ 17,696 3/31/2000 $ 15,032 $ 18,382 4/30/2000 $ 14,641 $ 17,415 5/31/2000 $ 14,923 $ 16,989 6/30/2000 $ 15,963 $ 17,654 7/31/2000 $ 15,444 $ 16,914 8/31/2000 $ 15,580 $ 17,060 9/30/2000 $ 15,130 $ 16,230 10/31/2000 $ 15,018 $ 15,846 11/30/2000 $ 15,006 $ 15,252 12/31/2000 $ 15,838 $ 15,794 1/31/2001 $ 15,864 $ 15,786 2/28/2001 $ 15,386 $ 14,603 3/31/2001 $ 14,448 $ 13,629 4/30/2001 $ 15,209 $ 14,576 5/31/2001 $ 15,094 $ 14,062 6/30/2001 $ 14,807 $ 13,487 7/31/2001 $ 14,506 $ 13,241 8/31/2001 $ 14,715 $ 12,906 9/30/2001 $ 12,839 $ 11,599 10/31/2001 $ 12,917 $ 11,896 11/30/2001 $ 13,390 $ 12,334 12/31/2001 $ 13,445 $ 12,408 1/31/2002 $ 13,153 $ 11,748 2/28/2002 $ 13,299 $ 11,831 3/31/2002 $ 14,134 $ 12,471 4/30/2002 $ 14,612 $ 12,553 5/31/2002 $ 15,103 $ 12,712 6/30/2002 $ 14,679 $ 12,206 7/31/2002 $ 13,177 $ 11,001 8/31/2002 $ 13,164 $ 10,976 9/30/2002 $ 11,599 $ 9,798 10/31/2002 $ 11,936 $ 10,324 11/30/2002 $ 12,650 $ 10,793 12/31/2002 $ 12,329 $ 10,430 1/31/2003 $ 11,922 $ 9,994 2/28/2003 $ 11,677 $ 9,765 3/31/2003 $ 11,401 $ 9,573 4/30/2003 $ 12,652 $ 10,511 5/31/2003 $ 13,605 $ 11,148 6/30/2003 $ 14,045 $ 11,418 7/31/2003 $ 14,679 $ 11,694 8/31/2003 $ 15,065 $ 11,977 9/30/2003 $ 15,642 $ 12,346 10/31/2003 $ 16,876 $ 13,115 11/30/2003 $ 17,237 $ 13,407 12/31/2003 $ 18,530 $ 14,454 1/31/2004 $ 19,005 $ 14,659 2/29/2004 $ 19,577 $ 14,997 3/31/2004 $ 19,882 $ 15,081 4/30/2004 $ 19,282 $ 14,740 5/31/2004 $ 19,478 $ 14,790 6/30/2004 $ 20,282 $ 15,114 7/31/2004 $ 19,534 $ 14,623 8/31/2004 $ 19,788 $ 14,688 9/30/2004 $ 20,421 $ 15,072 10/31/2004 $ 21,202 $ 15,586 11/30/2004 $ 22,779 $ 16,650
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS - ---------------------------------------------- 32.15% 8.60% 8.58%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International. [CHART] THE JAPANESE SMALL COMPANY SERIES VS. MSCI JAPAN SMALL CAP INDEX (PRICE-ONLY) AUGUST 9, 1996-NOVEMBER 30, 2004 GROWTH OF $10,000
THE JAPANESE MSCI JAPAN S&P/CITIGROUP SMALL COMPANY SMALL CAP INDEX EXTENDED MARKET SERIES (PRICE-ONLY) INDEX-JAPAN 8/9/96 $ 10,000 $ 10,000 $ 10,000 8/30/96 $ 10,020 $ 10,000 $ 10,000 9/30/96 $ 10,070 $ 10,008 $ 10,086 10/31/96 $ 9,363 $ 9,299 $ 9,440 11/30/96 $ 9,074 $ 9,053 $ 9,222 12/31/96 $ 7,960 $ 7,906 $ 8,296 1/31/97 $ 7,184 $ 7,100 $ 7,522 2/28/97 $ 7,134 $ 7,046 $ 7,518 3/31/97 $ 6,617 $ 6,421 $ 7,094 4/30/97 $ 6,508 $ 6,286 $ 7,090 5/31/97 $ 7,593 $ 7,490 $ 8,121 6/30/97 $ 7,712 $ 7,665 $ 8,362 7/31/97 $ 6,837 $ 6,845 $ 7,716 8/31/97 $ 6,100 $ 6,028 $ 6,913 9/30/97 $ 5,175 $ 5,029 $ 6,260 10/31/97 $ 5,314 $ 5,180 $ 6,233 11/30/97 $ 4,388 $ 4,247 $ 5,363 12/31/97 $ 3,612 $ 3,514 $ 4,635 1/31/98 $ 4,617 $ 4,522 $ 5,484 2/28/98 $ 4,985 $ 4,863 $ 5,672 3/31/98 $ 4,537 $ 4,385 $ 5,335 4/30/98 $ 4,309 $ 4,211 $ 5,172 5/31/98 $ 4,120 $ 4,044 $ 4,999 6/30/98 $ 4,219 $ 4,099 $ 5,055 7/31/98 $ 4,180 $ 4,114 $ 5,001 8/31/98 $ 3,732 $ 3,688 $ 4,623 9/30/98 $ 3,523 $ 3,448 $ 4,536 10/31/98 $ 3,971 $ 3,959 $ 5,143 11/30/98 $ 4,299 $ 4,302 $ 5,328 12/31/98 $ 4,220 $ 4,352 $ 5,503 1/31/99 $ 4,319 $ 4,441 $ 5,491 2/28/99 $ 4,150 $ 4,392 $ 5,321 3/31/99 $ 4,637 $ 4,955 $ 5,956 4/30/99 $ 5,115 $ 5,317 $ 6,239 5/31/99 $ 4,886 $ 4,961 $ 6,010 6/30/99 $ 5,354 $ 5,590 $ 6,469 7/31/99 $ 5,613 $ 5,905 $ 6,936 8/31/99 $ 5,722 $ 6,200 $ 7,248 9/30/99 $ 5,732 $ 6,324 $ 7,534 10/31/99 $ 5,632 $ 6,294 $ 7,529 11/30/99 $ 5,314 $ 6,252 $ 7,503 12/31/99 $ 4,856 $ 5,795 $ 7,263 1/31/2000 $ 4,906 $ 5,882 $ 7,207 2/29/2000 $ 4,657 $ 5,799 $ 6,948 3/31/2000 $ 5,334 $ 6,271 $ 7,500 4/30/2000 $ 4,767 $ 5,602 $ 6,939 5/31/2000 $ 4,996 $ 5,814 $ 7,016 6/30/2000 $ 5,732 $ 6,666 $ 7,758 7/31/2000 $ 5,036 $ 5,707 $ 6,774 8/31/2000 $ 5,414 $ 6,342 $ 7,318 9/30/2000 $ 5,175 $ 5,889 $ 7,025 10/31/2000 $ 4,648 $ 5,302 $ 6,438 11/30/2000 $ 4,787 $ 5,399 $ 6,420 12/31/2000 $ 4,409 $ 4,863 $ 5,966 1/31/2001 $ 4,379 $ 4,813 $ 5,896 2/28/2001 $ 4,469 $ 4,898 $ 5,807 3/31/2001 $ 4,419 $ 4,699 $ 5,649 4/30/2001 $ 4,967 $ 5,332 $ 6,259 5/31/2001 $ 5,016 $ 5,293 $ 6,300 6/30/2001 $ 4,977 $ 5,150 $ 6,092 7/31/2001 $ 4,608 $ 4,708 $ 5,711 8/31/2001 $ 4,728 $ 4,772 $ 5,719 9/30/2001 $ 4,310 $ 4,342 $ 5,314 10/31/2001 $ 4,439 $ 4,442 $ 5,359 11/30/2001 $ 4,140 $ 4,269 $ 5,118 12/31/2001 $ 3,673 $ 3,752 $ 4,648 1/31/2002 $ 3,473 $ 3,498 $ 4,333 2/28/2002 $ 3,752 $ 3,679 $ 4,561 3/31/2002 $ 3,951 $ 3,917 $ 4,786 4/30/2002 $ 4,111 $ 4,175 $ 5,047 5/31/2002 $ 4,519 $ 4,612 $ 5,551 6/30/2002 $ 4,319 $ 4,409 $ 5,355 7/31/2002 $ 4,270 $ 4,269 $ 5,170 8/31/2002 $ 4,210 $ 4,168 $ 5,079 9/30/2002 $ 4,090 $ 3,992 $ 4,921 10/31/2002 $ 3,772 $ 3,579 $ 4,557 11/30/2002 $ 3,742 $ 3,605 $ 4,584 12/31/2002 $ 3,712 $ 3,523 $ 4,549 1/31/2003 $ 3,722 $ 3,502 $ 4,457 2/28/2003 $ 3,991 $ 3,678 $ 4,650 3/31/2003 $ 4,031 $ 3,593 $ 4,631 4/30/2003 $ 4,210 $ 3,705 $ 4,759 5/31/2003 $ 4,478 $ 3,873 $ 4,953 6/30/2003 $ 4,837 $ 4,307 $ 5,321 7/31/2003 $ 4,896 $ 4,357 $ 5,400 8/31/2003 $ 5,324 $ 4,906 $ 5,920 9/30/2003 $ 5,672 $ 5,250 $ 6,409 10/31/2003 $ 5,901 $ 5,639 $ 6,712 11/30/2003 $ 5,533 $ 5,251 $ 6,365 12/31/2003 $ 5,861 $ 5,624 $ 6,800 1/31/2004 $ 6,150 $ 5,828 $ 6,945 2/29/2004 $ 6,190 $ 5,811 $ 6,934 3/31/2004 $ 7,453 $ 6,840 $ 8,182 4/30/2004 $ 7,205 $ 6,619 $ 7,891 5/31/2004 $ 6,856 $ 6,289 $ 7,584 6/30/2004 $ 7,523 $ 6,948 $ 8,205 7/31/2004 $ 7,045 $ 6,378 $ 7,626 8/31/2004 $ 7,155 $ 6,443 $ 7,673 9/30/2004 $ 6,986 $ 6,232 $ 7,469 10/31/2004 $ 7,125 $ 6,347 $ 7,596 11/30/2004 $ 7,344 $ 6,622 $ 7,904
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 8/9/1996 - ------------------------------------------------ 32.73% 6.57% -3.65%
- - THE MSCI JAPAN SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET INDEX-JAPAN FOR COMPARISON PURPOSES Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P/Citigroup Extended Market Index-Japan is courtesy of Citigroup Global Markets Inc. MSCI Japan Small Cap Index is courtesy of Morgan Stanley Capital International. 110 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS [CHART] THE PACIFIC RIM SMALL COMPANY SERIES VS. MSCI PACIFIC RIM EX-JAPAN INDEX (PRICE-ONLY) AUGUST 9, 1996-NOVEMBER 30, 2004 GROWTH OF $10,000
S&P/CITIGROUP THE PACIFIC RIM MSCI PACIFIC RIM EX-JAPAN EXTENDED MARKET SMALL COMPANY SERIES INDEX (PRICE-ONLY) INDEX PAC RIM EX-JAPAN 8/9/96 $ 10,000 $ 10,000 $ 10,000 8/30/96 $ 10,009 $ 10,000 $ 10,000 9/30/96 $ 10,167 $ 10,114 $ 10,212 10/31/96 $ 10,276 $ 10,262 $ 10,421 11/30/96 $ 10,592 $ 10,796 $ 11,086 12/31/96 $ 10,344 $ 10,842 $ 11,122 1/31/97 $ 10,563 $ 11,049 $ 11,146 2/28/97 $ 11,156 $ 11,798 $ 11,732 3/31/97 $ 10,661 $ 11,219 $ 11,210 4/30/97 $ 10,414 $ 10,619 $ 10,987 5/31/97 $ 10,800 $ 11,070 $ 11,438 6/30/97 $ 10,899 $ 11,040 $ 11,592 7/31/97 $ 10,850 $ 10,944 $ 11,593 8/31/97 $ 10,246 $ 9,547 $ 10,747 9/30/97 $ 9,791 $ 9,236 $ 10,476 10/31/97 $ 7,415 $ 6,995 $ 7,981 11/30/97 $ 6,593 $ 6,343 $ 7,328 12/31/97 $ 6,009 $ 5,761 $ 7,042 1/31/98 $ 5,385 $ 5,097 $ 6,313 2/28/98 $ 6,851 $ 6,251 $ 7,431 3/31/98 $ 6,623 $ 6,016 $ 7,177 4/30/98 $ 6,009 $ 5,531 $ 6,802 5/31/98 $ 5,237 $ 4,863 $ 6,087 6/30/98 $ 4,484 $ 4,268 $ 5,444 7/31/98 $ 4,188 $ 4,144 $ 5,295 8/31/98 $ 3,534 $ 3,444 $ 4,440 9/30/98 $ 3,772 $ 3,790 $ 4,986 10/31/98 $ 4,435 $ 4,459 $ 5,773 11/30/98 $ 5,039 $ 4,869 $ 6,210 12/31/98 $ 4,891 $ 4,734 $ 6,039 1/31/99 $ 4,881 $ 4,806 $ 5,968 2/28/99 $ 4,673 $ 4,684 $ 5,944 3/31/99 $ 4,851 $ 4,966 $ 6,347 4/30/99 $ 6,118 $ 5,812 $ 7,289 5/31/99 $ 6,504 $ 5,645 $ 7,009 6/30/99 $ 7,811 $ 6,243 $ 7,639 7/31/99 $ 7,603 $ 6,244 $ 7,623 8/31/99 $ 7,514 $ 6,126 $ 7,495 9/30/99 $ 7,396 $ 5,921 $ 7,415 10/31/99 $ 7,396 $ 5,819 $ 7,269 11/30/99 $ 7,802 $ 6,087 $ 7,696 12/31/99 $ 8,366 $ 6,388 $ 8,183 1/31/2000 $ 8,187 $ 5,853 $ 7,674 2/29/2000 $ 8,316 $ 5,782 $ 7,424 3/31/2000 $ 8,247 $ 5,802 $ 7,578 4/30/2000 $ 7,386 $ 5,754 $ 7,049 5/31/2000 $ 6,822 $ 5,193 $ 6,627 6/30/2000 $ 7,425 $ 5,726 $ 7,509 7/31/2000 $ 7,386 $ 5,742 $ 7,489 8/31/2000 $ 7,495 $ 5,742 $ 7,703 9/30/2000 $ 6,822 $ 5,178 $ 7,025 10/31/2000 $ 6,515 $ 4,950 $ 6,674 11/30/2000 $ 6,614 $ 4,944 $ 6,717 12/31/2000 $ 6,841 $ 5,150 $ 7,097 1/31/2001 $ 7,019 $ 5,248 $ 7,275 2/28/2001 $ 6,969 $ 5,132 $ 7,195 3/31/2001 $ 6,256 $ 4,527 $ 6,413 4/30/2001 $ 6,603 $ 4,834 $ 6,881 5/31/2001 $ 6,890 $ 4,871 $ 7,087 6/30/2001 $ 7,039 $ 5,025 $ 7,369 7/31/2001 $ 6,801 $ 4,883 $ 6,988 8/31/2001 $ 6,860 $ 4,944 $ 7,019 9/30/2001 $ 5,979 $ 4,347 $ 6,243 10/31/2001 $ 6,435 $ 4,637 $ 6,763 11/30/2001 $ 6,801 $ 4,880 $ 7,352 12/31/2001 $ 6,890 $ 4,938 $ 7,498 1/31/2002 $ 7,227 $ 5,097 $ 7,877 2/28/2002 $ 7,296 $ 5,122 $ 8,088 3/31/2002 $ 7,613 $ 5,331 $ 8,594 4/30/2002 $ 7,663 $ 5,331 $ 8,396 5/31/2002 $ 8,098 $ 5,720 $ 8,723 6/30/2002 $ 7,840 $ 5,510 $ 8,393 7/31/2002 $ 7,375 $ 5,154 $ 7,940 8/31/2002 $ 7,514 $ 5,264 $ 8,075 9/30/2002 $ 7,009 $ 4,931 $ 7,352 10/31/2002 $ 7,227 $ 5,037 $ 7,530 11/30/2002 $ 7,296 $ 5,140 $ 7,842 12/31/2002 $ 7,396 $ 5,212 $ 7,697 1/31/2003 $ 7,633 $ 5,404 $ 7,956 2/28/2003 $ 7,683 $ 5,302 $ 7,901 3/31/2003 $ 7,524 $ 5,253 $ 7,729 4/30/2003 $ 7,742 $ 5,527 $ 8,309 5/31/2003 $ 8,534 $ 5,912 $ 9,096 6/30/2003 $ 8,930 $ 6,205 $ 9,602 7/31/2003 $ 9,543 $ 6,344 $ 9,950 8/31/2003 $ 10,227 $ 6,640 $ 10,513 9/30/2003 $ 11,048 $ 7,130 $ 10,999 10/31/2003 $ 11,691 $ 7,703 $ 11,873 11/30/2003 $ 11,780 $ 7,661 $ 12,016 12/31/2003 $ 12,305 $ 8,136 $ 12,736 1/31/2004 $ 13,077 $ 8,467 $ 13,114 2/29/2004 $ 13,483 $ 8,708 $ 13,586 3/31/2004 $ 13,057 $ 8,670 $ 13,609 4/30/2004 $ 12,107 $ 8,160 $ 12,786 5/31/2004 $ 12,018 $ 8,101 $ 12,700 6/30/2004 $ 12,068 $ 8,089 $ 12,754 7/31/2004 $ 12,285 $ 8,384 $ 12,857 8/31/2004 $ 12,582 $ 8,627 $ 13,508 9/30/2004 $ 13,354 $ 9,082 $ 14,315 10/31/2004 $ 13,988 $ 9,644 $ 15,265 11/30/2004 $ 15,008 $ 10,366 $ 16,571
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 8/9/1996 27.40% 14.87% 5.63%
- - THE MSCI PACIFIC RIM EX-JAPAN SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EX-TENDED MARKET INDEX-PACIFIC RIM EX-JAPAN FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P/Citigroup Extended Market Index-Pacific Rim ex-Japan is courtesy of Citigroup Global Markets Inc. MSCI Pacific Rim ex-Japan Small Cap Index is courtesy of Morgan Stanley Capital International. [CHART] THE UNITED KINGDOM SMALL COMPANY SERIES VS. MSCI UK SMALL CAP INDEX (PRICE-ONLY) AUGUST 9, 1996-NOVEMBER 30, 2004 GROWTH OF $10,000
THE UNITED KINGDOM MSCI UK SMALL S&P/Citigroup SMALL COMPANY CAP INDEX EXTENDED MARKET SERIES (PRICE-ONLY) INDEX UNITED KINGDOM 8/9/96 $ 10,000 $ 10,000 $ 10,000 8/30/96 $ 10,240 $ 10,308 $ 10,000 9/30/96 $ 10,320 $ 10,324 $ 10,017 10/31/96 $ 10,819 $ 10,799 $ 10,526 11/30/96 $ 11,130 $ 10,994 $ 10,863 12/31/96 $ 11,549 $ 11,311 $ 11,235 1/31/97 $ 11,410 $ 10,907 $ 10,966 2/28/97 $ 11,800 $ 11,306 $ 11,354 3/31/97 $ 11,880 $ 11,356 $ 11,280 4/30/97 $ 11,690 $ 11,184 $ 11,066 5/31/97 $ 11,630 $ 11,162 $ 11,101 6/30/97 $ 11,511 $ 11,281 $ 11,153 7/31/97 $ 11,141 $ 11,007 $ 11,072 8/31/97 $ 11,431 $ 11,269 $ 11,354 9/30/97 $ 11,841 $ 11,838 $ 11,907 10/31/97 $ 12,262 $ 12,087 $ 12,039 11/30/97 $ 12,132 $ 11,997 $ 12,108 12/31/97 $ 12,012 $ 11,971 $ 12,139 1/31/98 $ 12,081 $ 11,788 $ 12,313 2/28/98 $ 12,541 $ 12,452 $ 13,103 3/31/98 $ 13,581 $ 13,733 $ 14,302 4/30/98 $ 13,631 $ 13,947 $ 14,560 5/31/98 $ 14,141 $ 14,441 $ 14,978 6/30/98 $ 13,631 $ 13,938 $ 14,353 7/31/98 $ 12,630 $ 13,024 $ 13,888 8/31/98 $ 11,370 $ 11,371 $ 12,466 9/30/98 $ 10,850 $ 10,784 $ 12,070 10/31/98 $ 10,610 $ 10,940 $ 12,423 11/30/98 $ 10,531 $ 11,020 $ 12,603 12/31/98 $ 10,720 $ 11,135 $ 12,675 1/31/99 $ 10,900 $ 11,007 $ 13,048 2/28/99 $ 11,260 $ 11,283 $ 13,324 3/31/99 $ 11,930 $ 12,134 $ 13,872 4/30/99 $ 12,731 $ 13,189 $ 14,734 5/31/99 $ 12,661 $ 12,776 $ 14,309 6/30/99 $ 12,981 $ 12,941 $ 14,524 7/31/99 $ 13,821 $ 13,474 $ 15,238 8/31/99 $ 14,271 $ 13,862 $ 15,241 9/30/99 $ 14,012 $ 13,235 $ 14,801 10/31/99 $ 13,832 $ 12,829 $ 14,538 11/30/99 $ 14,402 $ 13,868 $ 15,756 12/31/99 $ 15,272 $ 14,955 $ 16,885 1/31/2000 $ 15,723 $ 14,688 $ 16,337 2/29/2000 $ 15,392 $ 15,479 $ 16,784 3/31/2000 $ 15,172 $ 15,218 $ 16,645 4/30/2000 $ 13,883 $ 13,926 $ 15,793 5/31/2000 $ 13,302 $ 13,110 $ 14,893 6/30/2000 $ 14,413 $ 14,084 $ 15,926 7/31/2000 $ 14,513 $ 14,135 $ 16,039 8/31/2000 $ 14,793 $ 14,420 $ 16,322 9/30/2000 $ 14,822 $ 13,790 $ 15,576 10/31/2000 $ 14,142 $ 13,151 $ 15,080 11/30/2000 $ 13,511 $ 12,669 $ 14,020 12/31/2000 $ 14,611 $ 13,539 $ 15,258 1/31/2001 $ 14,910 $ 14,196 $ 15,312 2/28/2001 $ 14,271 $ 13,679 $ 14,788 3/31/2001 $ 13,161 $ 12,475 $ 13,541 4/30/2001 $ 13,841 $ 13,558 $ 14,329 5/31/2001 $ 14,042 $ 13,860 $ 14,589 6/30/2001 $ 13,522 $ 13,296 $ 14,029 7/31/2001 $ 13,142 $ 12,848 $ 13,747 8/31/2001 $ 13,563 $ 13,375 $ 13,995 9/30/2001 $ 11,523 $ 10,624 $ 11,983 10/31/2001 $ 12,043 $ 11,237 $ 12,437 11/30/2001 $ 12,853 $ 12,267 $ 13,135 12/31/2001 $ 13,383 $ 12,661 $ 13,731 1/31/2002 $ 13,023 $ 11,963 $ 13,249 2/28/2002 $ 13,153 $ 11,960 $ 13,367 3/31/2002 $ 13,813 $ 12,811 $ 14,332 4/30/2002 $ 14,424 $ 13,246 $ 14,624 5/31/2002 $ 14,584 $ 13,043 $ 14,739 6/30/2002 $ 14,003 $ 12,226 $ 14,059 7/31/2002 $ 12,994 $ 10,849 $ 12,806 8/31/2002 $ 13,013 $ 10,911 $ 12,805 9/30/2002 $ 11,912 $ 10,119 $ 11,674 10/31/2002 $ 11,853 $ 10,096 $ 11,997 11/30/2002 $ 12,253 $ 10,261 $ 12,244 12/31/2002 $ 12,224 $ 9,944 $ 12,020 1/31/2003 $ 11,934 $ 9,177 $ 11,412 2/28/2003 $ 11,534 $ 8,894 $ 11,027 3/31/2003 $ 11,434 $ 8,847 $ 10,951 4/30/2003 $ 12,515 $ 9,958 $ 12,284 5/31/2003 $ 14,015 $ 11,377 $ 13,659 6/30/2003 $ 14,815 $ 11,730 $ 13,978 7/31/2003 $ 15,405 $ 12,436 $ 14,545 8/31/2003 $ 16,055 $ 13,003 $ 14,926 9/30/2003 $ 16,686 $ 13,308 $ 15,364 10/31/2003 $ 17,636 $ 14,354 $ 16,709 11/30/2003 $ 17,726 $ 14,449 $ 16,925 12/31/2003 $ 18,717 $ 15,233 $ 17,908 1/31/2004 $ 20,107 $ 16,507 $ 18,916 2/29/2004 $ 21,278 $ 17,617 $ 20,076 3/31/2004 $ 20,987 $ 17,476 $ 19,948 4/30/2004 $ 20,237 $ 16,831 $ 19,249 5/31/2004 $ 20,267 $ 16,757 $ 19,569 6/30/2004 $ 20,957 $ 17,281 $ 20,017 7/31/2004 $ 20,187 $ 16,450 $ 19,338 8/31/2004 $ 20,047 $ 16,193 $ 19,319 9/30/2004 $ 20,617 $ 16,663 $ 20,078 10/31/2004 $ 21,268 $ 17,269 $ 20,578 11/30/2004 $ 22,988 $ 18,644 $ 22,330
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 8/9/1996 29.68% 9.80% 10.53%
- - THE MSCI UK SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET INDEX-UNITED KINGDOM FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P/Citigroup Extended Market Index-United Kingdom is courtesy of Citigroup Global Markets Inc. MSCI UK Small Cap Index is courtesy of Morgan Stanley Capital International. [CHART] THE CONTINENTAL SMALL COMPANY SERIES VS. MSCI EUROPE EX-UK SMALL CAP INDEX (PRICE-ONLY) AUGUST 9, 1996-NOVEMBER 30, 2004 GROWTH OF $10,000
S&P/CITIGROUP THE CONTINENTAL EUROPE EX-UK EXTENDED MARKET SMALL COMPANY SMALL CAP INDEX INDEX EUROPE SERIES MSCI (PRICE-ONLY) EX-UNITED KINGDOM 8/9/96 $ 10,000 $ 10,000 $ 10,000 8/30/96 $ 9,900 $ 10,000 $ 10,000 9/30/96 $ 9,761 $ 10,025 $ 9,977 10/31/96 $ 9,940 $ 10,112 $ 10,032 11/30/96 $ 10,128 $ 10,413 $ 10,279 12/31/96 $ 10,326 $ 10,687 $ 10,461 1/31/97 $ 10,584 $ 11,118 $ 10,657 2/28/97 $ 10,604 $ 11,105 $ 10,763 3/31/97 $ 10,980 $ 11,486 $ 11,103 4/30/97 $ 10,683 $ 11,061 $ 10,873 5/31/97 $ 11,118 $ 11,536 $ 11,420 6/30/97 $ 11,504 $ 11,889 $ 11,807 7/31/97 $ 11,474 $ 11,958 $ 11,955 8/31/97 $ 11,296 $ 11,808 $ 11,487 9/30/97 $ 12,098 $ 12,548 $ 12,326 10/31/97 $ 11,752 $ 12,030 $ 11,841 11/30/97 $ 11,495 $ 11,790 $ 11,785 12/31/97 $ 11,585 $ 11,847 $ 11,979 1/31/98 $ 12,011 $ 12,282 $ 12,438 2/28/98 $ 12,912 $ 13,164 $ 13,488 3/31/98 $ 14,140 $ 14,348 $ 14,596 4/30/98 $ 14,704 $ 14,855 $ 14,986 5/31/98 $ 15,486 $ 15,534 $ 15,884 6/30/98 $ 15,080 $ 14,783 $ 15,498 7/31/98 $ 15,139 $ 14,823 $ 15,825 8/31/98 $ 13,565 $ 12,702 $ 13,676 9/30/98 $ 12,922 $ 11,861 $ 12,992 10/31/98 $ 13,298 $ 12,388 $ 13,757 11/30/98 $ 13,783 $ 12,716 $ 14,248 12/31/98 $ 13,911 $ 12,782 $ 14,758 1/31/99 $ 13,199 $ 12,257 $ 14,459 2/28/99 $ 12,951 $ 11,974 $ 13,941 3/31/99 $ 12,753 $ 11,913 $ 13,824 4/30/99 $ 13,129 $ 12,431 $ 14,277 5/31/99 $ 12,990 $ 12,234 $ 14,013 6/30/99 $ 13,080 $ 12,197 $ 14,221 7/31/99 $ 13,367 $ 12,333 $ 14,514 8/31/99 $ 13,457 $ 12,418 $ 14,737 9/30/99 $ 13,516 $ 12,367 $ 14,630 10/31/99 $ 13,317 $ 12,147 $ 14,559 11/30/99 $ 12,971 $ 11,861 $ 14,881 12/31/99 $ 13,585 $ 12,661 $ 16,542 1/31/2000 $ 13,356 $ 12,932 $ 16,123 2/29/2000 $ 14,227 $ 13,767 $ 17,491 3/31/2000 $ 14,267 $ 13,593 $ 17,258 4/30/2000 $ 13,544 $ 12,868 $ 16,164 5/31/2000 $ 13,950 $ 12,954 $ 16,156 6/30/2000 $ 14,494 $ 13,194 $ 16,721 7/31/2000 $ 14,187 $ 13,119 $ 16,556 8/31/2000 $ 14,207 $ 13,131 $ 16,619 9/30/2000 $ 13,930 $ 12,839 $ 15,744 10/31/2000 $ 13,306 $ 12,180 $ 14,935 11/30/2000 $ 13,315 $ 11,960 $ 14,324 12/31/2000 $ 14,226 $ 12,564 $ 15,337 1/31/2001 $ 14,621 $ 13,249 $ 15,650 2/28/2001 $ 14,384 $ 12,708 $ 14,820 3/31/2001 $ 13,255 $ 11,495 $ 13,331 4/30/2001 $ 13,740 $ 11,983 $ 14,066 5/31/2001 $ 13,573 $ 11,719 $ 13,663 6/30/2001 $ 13,167 $ 11,097 $ 12,994 7/31/2001 $ 13,345 $ 10,989 $ 12,926 8/31/2001 $ 13,443 $ 10,891 $ 12,750 9/30/2001 $ 11,731 $ 9,245 $ 10,766 10/31/2001 $ 12,077 $ 9,839 $ 11,378 11/30/2001 $ 12,591 $ 10,577 $ 12,061 12/31/2001 $ 12,699 $ 10,663 $ 12,207 1/31/2002 $ 12,710 $ 10,666 $ 12,020 2/28/2002 $ 12,898 $ 10,716 $ 12,144 3/31/2002 $ 13,561 $ 11,365 $ 12,975 4/30/2002 $ 14,104 $ 11,628 $ 13,182 5/31/2002 $ 14,669 $ 11,785 $ 13,492 6/30/2002 $ 14,669 $ 11,487 $ 13,130 7/31/2002 $ 13,520 $ 10,258 $ 11,589 8/31/2002 $ 13,342 $ 9,989 $ 11,427 9/30/2002 $ 11,946 $ 8,717 $ 9,930 10/31/2002 $ 12,313 $ 9,237 $ 10,607 11/30/2002 $ 12,996 $ 9,742 $ 11,277 12/31/2002 $ 13,234 $ 9,509 $ 11,061 1/31/2003 $ 13,145 $ 9,378 $ 10,769 2/28/2003 $ 12,759 $ 8,966 $ 10,312 3/31/2003 $ 12,680 $ 8,903 $ 10,277 4/30/2003 $ 14,263 $ 10,142 $ 11,661 5/31/2003 $ 15,718 $ 11,078 $ 12,676 6/30/2003 $ 15,976 $ 11,222 $ 12,856 7/31/2003 $ 16,540 $ 11,603 $ 13,358 8/31/2003 $ 16,906 $ 11,936 $ 13,747 9/30/2003 $ 17,776 $ 12,605 $ 14,298 10/31/2003 $ 18,875 $ 13,654 $ 15,324 11/30/2003 $ 19,865 $ 14,375 $ 16,123 12/31/2003 $ 21,102 $ 15,118 $ 17,051 1/31/2004 $ 22,121 $ 15,873 $ 17,675 2/29/2004 $ 22,864 $ 16,407 $ 18,159 3/31/2004 $ 22,398 $ 15,783 $ 17,797 4/30/2004 $ 22,131 $ 15,478 $ 17,703 5/31/2004 $ 22,379 $ 15,445 $ 17,944 6/30/2004 $ 23,052 $ 15,963 $ 18,398 7/31/2004 $ 22,309 $ 15,307 $ 17,712 8/31/2004 $ 22,448 $ 15,351 $ 17,772 9/30/2004 $ 23,616 $ 16,201 $ 18,634 10/31/2004 $ 24,507 $ 16,881 $ 19,247 11/30/2004 $ 27,130 $ 18,741 $ 21,010
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 8/9/1996 36.57% 15.68% 12.77%
- - THE MSCI EUROPE EX-UK SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET INDEX-EUROPE EX-UNITED KINGDOM FOR COMPARISON PURPOSES. Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P/Citigroup Extended Market Index-Europe ex-United Kingdom is courtesy of Citigroup Global Markets Inc. MSCI Europe ex-UK Small Cap Index is courtesy of Morgan Stanley Capital International. 111 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS [CHART] THE EMERGING MARKETS SERIES VS. MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY) NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
MSCI Emerging The Emerging Markets Free Markets Series Index (price-only) 11/30/94 $ 9,850 $ 10,000 12/31/94 $ 9,140 $ 9,190 1/31/95 $ 8,291 $ 8,207 2/28/95 $ 8,248 $ 7,988 3/31/95 $ 8,611 $ 8,020 4/30/95 $ 9,036 $ 8,364 5/31/95 $ 9,677 $ 8,787 6/30/95 $ 9,737 $ 8,795 7/31/95 $ 10,127 $ 8,978 8/31/95 $ 9,746 $ 8,755 9/30/95 $ 9,564 $ 8,702 10/31/95 $ 9,244 $ 8,360 11/30/95 $ 9,205 $ 8,204 12/31/95 $ 9,484 $ 8,552 1/31/96 $ 10,507 $ 9,151 2/29/96 $ 10,288 $ 8,991 3/31/96 $ 10,376 $ 9,044 4/30/96 $ 10,674 $ 9,374 5/31/96 $ 10,674 $ 9,309 6/30/96 $ 10,761 $ 9,347 7/31/96 $ 9,842 $ 8,692 8/31/96 $ 10,122 $ 8,901 9/30/96 $ 10,340 $ 8,966 10/31/96 $ 10,113 $ 8,721 11/30/96 $ 10,472 $ 8,856 12/31/96 $ 10,612 $ 8,885 1/31/97 $ 11,697 $ 9,483 2/28/97 $ 11,845 $ 9,882 3/31/97 $ 11,512 $ 9,599 4/30/97 $ 11,066 $ 9,582 5/31/97 $ 11,617 $ 9,830 6/30/97 $ 12,098 $ 10,336 7/31/97 $ 12,115 $ 10,469 8/31/97 $ 10,348 $ 9,125 9/30/97 $ 10,777 $ 9,363 10/31/97 $ 9,185 $ 7,819 11/30/97 $ 8,704 $ 7,529 12/31/97 $ 8,634 $ 7,693 1/31/98 $ 8,477 $ 7,084 2/28/98 $ 9,308 $ 7,819 3/31/98 $ 9,632 $ 8,132 4/30/98 $ 9,483 $ 8,028 5/31/98 $ 8,390 $ 6,903 6/30/98 $ 7,647 $ 6,165 7/31/98 $ 7,962 $ 6,338 8/31/98 $ 5,950 $ 4,482 9/30/98 $ 5,959 $ 4,754 10/31/98 $ 6,930 $ 5,249 11/30/98 $ 7,630 $ 5,679 12/31/98 $ 7,849 $ 5,576 1/31/99 $ 7,656 $ 5,482 2/28/99 $ 7,735 $ 5,531 3/31/99 $ 8,435 $ 6,243 4/30/99 $ 9,940 $ 7,006 5/31/99 $ 9,931 $ 6,944 6/30/99 $ 10,903 $ 7,717 7/31/99 $ 10,737 $ 7,496 8/31/99 $ 10,693 $ 7,559 9/30/99 $ 10,343 $ 7,293 10/31/99 $ 10,745 $ 7,442 11/30/99 $ 11,734 $ 8,107 12/31/99 $ 13,519 $ 9,127 1/31/2000 $ 13,309 $ 9,164 2/29/2000 $ 12,959 $ 9,282 3/31/2000 $ 13,038 $ 9,313 4/30/2000 $ 12,199 $ 8,417 5/31/2000 $ 11,525 $ 8,051 6/30/2000 $ 11,762 $ 8,308 7/31/2000 $ 11,070 $ 7,871 8/31/2000 $ 11,193 $ 7,899 9/30/2000 $ 10,388 $ 7,199 10/31/2000 $ 9,732 $ 6,673 11/30/2000 $ 9,119 $ 6,086 12/31/2000 $ 9,609 $ 6,225 1/31/2001 $ 10,598 $ 7,068 2/28/2001 $ 9,644 $ 6,509 3/31/2001 $ 8,690 $ 5,840 4/30/2001 $ 9,075 $ 6,112 5/31/2001 $ 9,137 $ 6,165 6/30/2001 $ 8,944 $ 6,022 7/31/2001 $ 8,638 $ 5,626 8/31/2001 $ 8,717 $ 5,561 9/30/2001 $ 7,290 $ 4,688 10/31/2001 $ 7,509 $ 4,977 11/30/2001 $ 8,340 $ 5,491 12/31/2001 $ 8,987 $ 5,919 1/31/2002 $ 9,486 $ 6,112 2/28/2002 $ 9,363 $ 6,206 3/31/2002 $ 9,766 $ 6,554 4/30/2002 $ 9,872 $ 6,580 5/31/2002 $ 9,618 $ 6,458 6/30/2002 $ 8,892 $ 5,963 7/31/2002 $ 8,463 $ 5,494 8/31/2002 $ 8,489 $ 5,574 9/30/2002 $ 7,596 $ 4,962 10/31/2002 $ 7,912 $ 5,281 11/30/2002 $ 8,515 $ 5,639 12/31/2002 $ 8,174 $ 5,447 1/31/2003 $ 8,165 $ 5,416 2/28/2003 $ 8,042 $ 5,245 3/31/2003 $ 7,911 $ 5,077 4/30/2003 $ 8,979 $ 5,504 5/31/2003 $ 9,636 $ 5,882 6/30/2003 $ 10,012 $ 6,204 7/31/2003 $ 10,214 $ 6,575 8/31/2003 $ 10,677 $ 7,002 9/30/2003 $ 11,159 $ 7,041 10/31/2003 $ 12,008 $ 7,628 11/30/2003 $ 11,894 $ 7,707 12/31/2003 $ 13,146 $ 8,256 1/31/2004 $ 13,399 $ 8,525 2/29/2004 $ 13,994 $ 8,908 3/31/2004 $ 14,091 $ 8,989 4/30/2004 $ 13,198 $ 8,229 5/31/2004 $ 13,049 $ 8,041 6/30/2004 $ 13,286 $ 8,059 7/31/2004 $ 13,277 $ 7,890 8/31/2004 $ 13,644 $ 8,200 9/30/2004 $ 14,415 $ 8,655 10/31/2004 $ 14,817 $ 8,843 11/30/2004 $ 16,112 $ 9,658
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS 35.47% 6.43% 4.88%
Past performance is not predictive of future performance. Prior to April 2002, the returns shown since July 1995 reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. Prior to July 1995, the reimbursement fee was 1.5%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital International. [CHART] THE EMERGING MARKETS SMALL CAP SERIES VS. MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY) DECEMBER 2, 1996-NOVEMBER 30, 2004 GROWTH OF $10,000
THE EMERGING MSCI EMERGING MARKETS SMALL MARKETS FREE CAP SERIES INDEX (PRICE-ONLY) 12/2/96 $ 10,000 $ 10,000 12/31/96 $ 9,880 $ 10,000 1/31/97 $ 10,880 $ 10,673 2/28/97 $ 11,138 $ 11,122 3/31/97 $ 10,692 $ 10,803 4/30/97 $ 10,088 $ 10,785 5/31/97 $ 10,247 $ 11,064 6/30/97 $ 10,652 $ 11,633 7/31/97 $ 10,692 $ 11,783 8/31/97 $ 9,296 $ 10,270 9/30/97 $ 9,483 $ 10,538 10/31/97 $ 8,424 $ 8,800 11/30/97 $ 7,849 $ 8,474 12/31/97 $ 7,612 $ 8,658 1/31/98 $ 6,909 $ 7,973 2/28/98 $ 7,216 $ 8,800 3/31/98 $ 7,562 $ 9,152 4/30/98 $ 7,790 $ 9,035 5/31/98 $ 7,344 $ 7,769 6/30/98 $ 6,869 $ 6,939 7/31/98 $ 7,057 $ 7,134 8/31/98 $ 5,404 $ 5,045 9/30/98 $ 5,187 $ 5,350 10/31/98 $ 5,850 $ 5,907 11/30/98 $ 6,622 $ 6,392 12/31/98 $ 6,840 $ 6,276 1/31/99 $ 6,543 $ 6,170 2/28/99 $ 6,543 $ 6,225 3/31/99 $ 7,177 $ 7,026 4/30/99 $ 8,721 $ 7,885 5/31/99 $ 9,028 $ 7,815 6/30/99 $ 10,157 $ 8,686 7/31/99 $ 10,098 $ 8,436 8/31/99 $ 10,296 $ 8,507 9/30/99 $ 10,167 $ 8,209 10/31/99 $ 10,514 $ 8,376 11/30/99 $ 11,355 $ 9,124 12/31/99 $ 12,780 $ 10,273 1/31/2000 $ 13,037 $ 10,314 2/29/2000 $ 12,858 $ 10,447 3/31/2000 $ 12,818 $ 10,481 4/30/2000 $ 11,887 $ 9,473 5/31/2000 $ 11,224 $ 9,061 6/30/2000 $ 11,204 $ 9,351 7/31/2000 $ 10,838 $ 8,859 8/31/2000 $ 10,797 $ 8,890 9/30/2000 $ 10,115 $ 8,102 10/31/2000 $ 9,313 $ 7,511 11/30/2000 $ 8,709 $ 6,850 12/31/2000 $ 8,719 $ 7,006 1/31/2001 $ 9,204 $ 7,955 2/28/2001 $ 8,640 $ 7,326 3/31/2001 $ 7,917 $ 6,573 4/30/2001 $ 8,126 $ 6,879 5/31/2001 $ 8,215 $ 6,939 6/30/2001 $ 8,225 $ 6,778 7/31/2001 $ 8,076 $ 6,332 8/31/2001 $ 8,027 $ 6,259 9/30/2001 $ 6,790 $ 5,277 10/31/2001 $ 7,136 $ 5,601 11/30/2001 $ 7,878 $ 6,180 12/31/2001 $ 8,492 $ 6,662 1/31/2002 $ 9,145 $ 6,879 2/28/2002 $ 9,046 $ 6,984 3/31/2002 $ 9,621 $ 7,376 4/30/2002 $ 9,888 $ 7,406 5/31/2002 $ 9,819 $ 7,268 6/30/2002 $ 9,176 $ 6,711 7/31/2002 $ 8,750 $ 6,184 8/31/2002 $ 8,858 $ 6,273 9/30/2002 $ 7,849 $ 5,585 10/31/2002 $ 8,175 $ 5,943 11/30/2002 $ 8,809 $ 6,346 12/31/2002 $ 8,522 $ 6,130 1/31/2003 $ 8,680 $ 6,095 2/28/2003 $ 8,581 $ 5,903 3/31/2003 $ 8,522 $ 5,714 4/30/2003 $ 9,620 $ 6,195 5/31/2003 $ 10,352 $ 6,620 6/30/2003 $ 10,798 $ 6,982 7/31/2003 $ 11,025 $ 7,400 8/31/2003 $ 11,688 $ 7,881 9/30/2003 $ 12,133 $ 7,925 10/31/2003 $ 13,192 $ 8,586 11/30/2003 $ 13,460 $ 8,674 12/31/2003 $ 14,805 $ 9,292 1/31/2004 $ 15,251 $ 9,595 2/29/2004 $ 15,894 $ 10,026 3/31/2004 $ 16,161 $ 10,117 4/30/2004 $ 15,271 $ 9,261 5/31/2004 $ 14,637 $ 9,051 6/30/2004 $ 14,756 $ 9,070 7/31/2004 $ 14,865 $ 8,880 8/31/2004 $ 15,360 $ 9,229 9/30/2004 $ 16,211 $ 9,741 10/31/2004 $ 16,626 $ 9,953 11/30/2004 $ 18,200 $ 10,870
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 12/2/1996 35.22% 9.67% 7.78%
Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital International. 112 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS [CHART] THE DFA ONE-YEAR FIXED INCOME SERIES VS. MERRILL LYNCH SIX-MONTH US TREASURY BILL INDEX, MERRILL LYNCH ONE-YEAR US TREASURY NOTE INDEX NOVEMBER 30, 1994-NOVEMBER 30, 2004 GROWTH OF $10,000
THE DFA MERRILL LYNCH MERRILL LYNCH ONE-YEAR THREE-MONTH SIX-MONTH ONE-YEAR FIXED INCOME US TREASURY US TREASURY US TREASURY SERIES BILL INDEX BILL INDEX NOTE INDEX 11/30/94 $ 10,000 $ 10,000 $ 10,000 $ 10,000 12/31/94 $ 10,031 $ 10,043 $ 10,050 $ 10,034 1/31/95 $ 10,126 $ 10,108 $ 10,100 $ 10,134 2/28/95 $ 10,222 $ 10,168 $ 10,149 $ 10,224 3/31/95 $ 10,286 $ 10,220 $ 10,200 $ 10,283 4/30/95 $ 10,354 $ 10,274 $ 10,248 $ 10,342 5/31/95 $ 10,465 $ 10,336 $ 10,302 $ 10,435 6/30/95 $ 10,524 $ 10,390 $ 10,354 $ 10,495 7/31/95 $ 10,580 $ 10,443 $ 10,404 $ 10,546 8/31/95 $ 10,634 $ 10,495 $ 10,456 $ 10,597 9/30/95 $ 10,682 $ 10,539 $ 10,502 $ 10,642 10/31/95 $ 10,738 $ 10,590 $ 10,551 $ 10,705 11/30/95 $ 10,790 $ 10,642 $ 10,599 $ 10,769 12/31/95 $ 10,842 $ 10,702 $ 10,657 $ 10,829 1/31/96 $ 10,892 $ 10,755 $ 10,706 $ 10,897 2/29/96 $ 10,935 $ 10,794 $ 10,749 $ 10,910 3/31/96 $ 10,984 $ 10,831 $ 10,789 $ 10,940 4/30/96 $ 11,023 $ 10,875 $ 10,835 $ 10,978 5/31/96 $ 11,060 $ 10,920 $ 10,883 $ 11,017 6/30/96 $ 11,120 $ 10,967 $ 10,927 $ 11,076 7/31/96 $ 11,172 $ 11,015 $ 10,977 $ 11,118 8/31/96 $ 11,227 $ 11,063 $ 11,026 $ 11,170 9/30/96 $ 11,294 $ 11,121 $ 11,078 $ 11,246 10/31/96 $ 11,377 $ 11,174 $ 11,125 $ 11,329 11/30/96 $ 11,445 $ 11,223 $ 11,173 $ 11,385 12/31/96 $ 11,482 $ 11,271 $ 11,222 $ 11,424 1/31/97 $ 11,539 $ 11,320 $ 11,274 $ 11,480 2/28/97 $ 11,588 $ 11,372 $ 11,318 $ 11,522 3/31/97 $ 11,607 $ 11,417 $ 11,366 $ 11,551 4/30/97 $ 11,685 $ 11,470 $ 11,420 $ 11,619 5/31/97 $ 11,742 $ 11,532 $ 11,478 $ 11,691 6/30/97 $ 11,813 $ 11,588 $ 11,521 $ 11,760 7/31/97 $ 11,894 $ 11,641 $ 11,573 $ 11,845 8/31/97 $ 11,930 $ 11,689 $ 11,622 $ 11,881 9/30/97 $ 12,002 $ 11,748 $ 11,676 $ 11,944 10/31/97 $ 12,072 $ 11,801 $ 11,726 $ 12,010 11/30/97 $ 12,110 $ 11,844 $ 11,772 $ 12,045 12/31/97 $ 12,176 $ 11,898 $ 11,822 $ 12,102 1/31/98 $ 12,249 $ 11,959 $ 11,878 $ 12,180 2/28/98 $ 12,300 $ 12,003 $ 11,921 $ 12,212 3/31/98 $ 12,365 $ 12,062 $ 11,977 $ 12,274 4/30/98 $ 12,412 $ 12,115 $ 12,031 $ 12,332 5/31/98 $ 12,481 $ 12,168 $ 12,081 $ 12,382 6/30/98 $ 12,530 $ 12,227 $ 12,132 $ 12,442 7/31/98 $ 12,603 $ 12,285 $ 12,185 $ 12,500 8/31/98 $ 12,661 $ 12,348 $ 12,241 $ 12,602 9/30/98 $ 12,720 $ 12,422 $ 12,304 $ 12,705 10/31/98 $ 12,767 $ 12,474 $ 12,352 $ 12,771 11/30/98 $ 12,825 $ 12,508 $ 12,393 $ 12,772 12/31/98 $ 12,889 $ 12,560 $ 12,442 $ 12,817 1/31/99 $ 12,940 $ 12,608 $ 12,487 $ 12,863 2/28/99 $ 12,979 $ 12,642 $ 12,523 $ 12,869 3/31/99 $ 13,036 $ 12,700 $ 12,574 $ 12,948 4/30/99 $ 13,094 $ 12,743 $ 12,620 $ 12,995 5/31/99 $ 13,121 $ 12,787 $ 12,669 $ 13,030 6/30/99 $ 13,178 $ 12,833 $ 12,722 $ 13,084 7/31/99 $ 13,221 $ 12,889 $ 12,774 $ 13,138 8/31/99 $ 13,254 $ 12,928 $ 12,825 $ 13,179 9/30/99 $ 13,327 $ 12,991 $ 12,883 $ 13,247 10/31/99 $ 13,376 $ 13,039 $ 12,933 $ 13,279 11/30/99 $ 13,442 $ 13,084 $ 12,985 $ 13,307 12/31/99 $ 13,494 $ 13,143 $ 13,044 $ 13,335 1/31/2000 $ 13,521 $ 13,199 $ 13,100 $ 13,370 2/29/2000 $ 13,609 $ 13,264 $ 13,157 $ 13,438 3/31/2000 $ 13,679 $ 13,331 $ 13,226 $ 13,506 4/30/2000 $ 13,728 $ 13,394 $ 13,288 $ 13,577 5/31/2000 $ 13,783 $ 13,465 $ 13,369 $ 13,650 6/30/2000 $ 13,894 $ 13,542 $ 13,426 $ 13,754 7/31/2000 $ 13,978 $ 13,608 $ 13,487 $ 13,836 8/31/2000 $ 14,064 $ 13,682 $ 13,557 $ 13,923 9/30/2000 $ 14,167 $ 13,755 $ 13,629 $ 14,007 10/31/2000 $ 14,241 $ 13,830 $ 13,700 $ 14,077 11/30/2000 $ 14,329 $ 13,910 $ 13,775 $ 14,177 12/31/2000 $ 14,415 $ 13,998 $ 13,851 $ 14,313 1/31/2001 $ 14,516 $ 14,112 $ 13,942 $ 14,476 2/28/2001 $ 14,587 $ 14,170 $ 13,995 $ 14,553 3/31/2001 $ 14,644 $ 14,251 $ 14,060 $ 14,661 4/30/2001 $ 14,717 $ 14,309 $ 14,121 $ 14,728 5/31/2001 $ 14,770 $ 14,378 $ 14,176 $ 14,816 6/30/2001 $ 14,817 $ 14,416 $ 14,218 $ 14,859 7/31/2001 $ 14,903 $ 14,473 $ 14,265 $ 14,966 8/31/2001 $ 14,972 $ 14,525 $ 14,312 $ 15,025 9/30/2001 $ 15,128 $ 14,617 $ 14,373 $ 15,188 10/31/2001 $ 15,221 $ 14,669 $ 14,411 $ 15,292 11/30/2001 $ 15,235 $ 14,706 $ 14,442 $ 15,309 12/31/2001 $ 15,266 $ 14,727 $ 14,465 $ 15,354 1/31/2002 $ 15,296 $ 14,749 $ 14,487 $ 15,379 2/28/2002 $ 15,353 $ 14,775 $ 14,506 $ 15,427 3/31/2002 $ 15,297 $ 14,793 $ 14,528 $ 15,393 4/30/2002 $ 15,394 $ 14,834 $ 14,551 $ 15,500 5/31/2002 $ 15,458 $ 14,864 $ 14,574 $ 15,544 6/30/2002 $ 15,539 $ 14,897 $ 14,596 $ 15,628 7/31/2002 $ 15,649 $ 14,924 $ 14,618 $ 15,698 8/31/2002 $ 15,698 $ 14,946 $ 14,638 $ 15,715 9/30/2002 $ 15,745 $ 14,979 $ 14,662 $ 15,778 10/31/2002 $ 15,792 $ 15,003 $ 14,684 $ 15,811 11/30/2002 $ 15,778 $ 15,030 $ 14,707 $ 15,815 12/31/2002 $ 15,877 $ 15,052 $ 14,725 $ 15,875 1/31/2003 $ 15,893 $ 15,071 $ 14,740 $ 15,887 2/28/2003 $ 15,939 $ 15,084 $ 14,753 $ 15,916 3/31/2003 $ 15,965 $ 15,105 $ 14,771 $ 15,945 4/30/2003 $ 16,000 $ 15,117 $ 14,784 $ 15,962 5/31/2003 $ 16,038 $ 15,135 $ 14,799 $ 15,983 6/30/2003 $ 16,057 $ 15,158 $ 14,819 $ 16,015 7/31/2003 $ 16,012 $ 15,167 $ 14,830 $ 16,007 8/31/2003 $ 16,028 $ 15,181 $ 14,842 $ 16,023 9/30/2003 $ 16,110 $ 15,199 $ 14,856 $ 16,066 10/31/2003 $ 16,082 $ 15,213 $ 14,868 $ 16,061 11/30/2003 $ 16,088 $ 15,226 $ 14,880 $ 16,058 12/31/2003 $ 16,154 $ 15,248 $ 14,895 $ 16,108 1/31/2004 $ 16,170 $ 15,263 $ 14,907 $ 16,132 2/29/2004 $ 16,212 $ 15,275 $ 14,917 $ 16,166 3/31/2004 $ 16,244 $ 15,289 $ 14,929 $ 16,180 4/30/2004 $ 16,185 $ 15,297 $ 14,941 $ 16,139 5/31/2004 $ 16,172 $ 15,304 $ 14,955 $ 16,137 6/30/2004 $ 16,159 $ 15,310 $ 14,965 $ 16,133 7/31/2004 $ 16,212 $ 15,336 $ 14,983 $ 16,170 8/31/2004 $ 16,283 $ 15,362 $ 15,001 $ 16,217 9/30/2004 $ 16,274 $ 15,378 $ 15,021 $ 16,212 10/31/2004 $ 16,314 $ 15,398 $ 15,040 $ 16,239 11/30/2004 $ 16,282 $ 15,412 $ 15,061 $ 16,215
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS 1.21% 3.91% 5.01%
- - THE SIX MONTH US TREASURY BILL INDEX AND THE ONE-YEAR US TREASURY NOTE INDEX ARE REPLACING THE THREE-MONTH US TREASURY BILL INDEX FOR COMPARISON PURPOSE. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. US Treasury instrument indices courtesy of Merrill Lynch. [CHART] THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES VS. MERRILL LYNCH 1-3 YEAR GOVERNMENT/CORPORATE INDEX FEBRUARY 9, 1996-NOVEMBER 30, 2004 GROWTH OF $10,0 00
MERRILL LYNCH THE DFA TWO- 1-3 YEAR YEAR GLOBAL GOVERNMENT/ FIXED INCOME CORPORATE SERIES INDEX 2/9/96 $ 10,000 2/29/96 $ 10,000 $ 10,000 3/31/96 $ 10,047 $ 9,993 4/30/96 $ 10,097 $ 10,002 5/31/96 $ 10,148 $ 10,023 6/30/96 $ 10,188 $ 10,096 7/31/96 $ 10,260 $ 10,137 8/31/96 $ 10,361 $ 10,172 9/30/96 $ 10,439 $ 10,265 10/31/96 $ 10,531 $ 10,381 11/30/96 $ 10,602 $ 10,461 12/31/96 $ 10,647 $ 10,462 1/31/97 $ 10,720 $ 10,511 2/28/97 $ 10,762 $ 10,536 3/31/97 $ 10,766 $ 10,534 4/30/97 $ 10,830 $ 10,620 5/31/97 $ 10,904 $ 10,694 6/30/97 $ 10,982 $ 10,767 7/31/97 $ 11,036 $ 10,887 8/31/97 $ 11,079 $ 10,898 9/30/97 $ 11,149 $ 10,981 10/31/97 $ 11,192 $ 11,061 11/30/97 $ 11,236 $ 11,087 12/31/97 $ 11,287 $ 11,163 1/31/98 $ 11,378 $ 11,271 2/28/98 $ 11,423 $ 11,282 3/31/98 $ 11,490 $ 11,331 4/30/98 $ 11,524 $ 11,385 5/31/98 $ 11,593 $ 11,448 6/30/98 $ 11,645 $ 11,507 7/31/98 $ 11,704 $ 11,562 8/31/98 $ 11,784 $ 11,698 9/30/98 $ 11,854 $ 11,850 10/31/98 $ 11,912 $ 11,902 11/30/98 $ 11,965 $ 11,890 12/31/98 $ 12,034 $ 11,936 1/31/99 $ 12,093 $ 11,987 2/28/99 $ 12,140 $ 11,935 3/31/99 $ 12,207 $ 12,022 4/30/99 $ 12,254 $ 12,064 5/31/99 $ 12,278 $ 12,057 6/30/99 $ 12,327 $ 12,094 7/31/99 $ 12,351 $ 12,127 8/31/99 $ 12,400 $ 12,159 9/30/99 $ 12,467 $ 12,241 10/31/99 $ 12,492 $ 12,277 11/30/99 $ 12,544 $ 12,304 12/31/99 $ 12,608 $ 12,326 1/31/2000 $ 12,633 $ 12,323 2/29/2000 $ 12,710 $ 12,406 3/31/2000 $ 12,767 $ 12,479 4/30/2000 $ 12,818 $ 12,508 5/31/2000 $ 12,857 $ 12,553 6/30/2000 $ 12,939 $ 12,690 7/31/2000 $ 13,005 $ 12,776 8/31/2000 $ 13,083 $ 12,874 9/30/2000 $ 13,176 $ 12,975 10/31/2000 $ 13,242 $ 13,036 11/30/2000 $ 13,333 $ 13,164 12/31/2000 $ 13,431 $ 13,322 1/31/2001 $ 13,527 $ 13,500 2/28/2001 $ 13,583 $ 13,589 3/31/2001 $ 13,647 $ 13,709 4/30/2001 $ 13,703 $ 13,747 5/31/2001 $ 13,759 $ 13,835 6/30/2001 $ 13,801 $ 13,888 7/31/2001 $ 13,886 $ 14,057 8/31/2001 $ 13,970 $ 14,146 9/30/2001 $ 14,139 $ 14,369 10/31/2001 $ 14,267 $ 14,511 11/30/2001 $ 14,252 $ 14,474 12/31/2001 $ 14,267 $ 14,482 1/31/2002 $ 14,309 $ 14,513 2/28/2002 $ 14,367 $ 14,577 3/31/2002 $ 14,289 $ 14,485 4/30/2002 $ 14,418 $ 14,644 5/31/2002 $ 14,490 $ 14,720 6/30/2002 $ 14,593 $ 14,834 7/31/2002 $ 14,750 $ 14,989 8/31/2002 $ 14,808 $ 15,061 9/30/2002 $ 14,880 $ 15,185 10/31/2002 $ 14,938 $ 15,214 11/30/2002 $ 14,909 $ 15,209 12/31/2002 $ 15,035 $ 15,364 1/31/2003 $ 15,050 $ 15,386 2/28/2003 $ 15,109 $ 15,464 3/31/2003 $ 15,139 $ 15,498 4/30/2003 $ 15,185 $ 15,552 5/31/2003 $ 15,244 $ 15,636 6/30/2003 $ 15,267 $ 15,669 7/31/2003 $ 15,177 $ 15,575 8/31/2003 $ 15,177 $ 15,589 9/30/2003 $ 15,322 $ 15,748 10/31/2003 $ 15,262 $ 15,690 11/30/2003 $ 15,262 $ 15,690 12/31/2003 $ 15,344 $ 15,789 1/31/2004 $ 15,375 $ 15,828 2/29/2004 $ 15,451 $ 15,909 3/31/2004 $ 15,493 $ 15,965 4/30/2004 $ 15,355 $ 15,811 5/31/2004 $ 15,324 $ 15,785 6/30/2004 $ 15,313 $ 15,785 7/31/2004 $ 15,375 $ 15,855 8/31/2004 $ 15,467 $ 15,974 9/30/2004 $ 15,464 $ 15,964 10/31/2004 $ 15,495 $ 16,017 11/30/2004 $ 15,449 $ 15,940
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEAR 2/9/1996 1.22% 4.26% 5.06%
Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Merrill Lynch 1-3 Year Government/Corporate Index courtesy of Merrill Lynch 113 DISCLOSURE OF FUND EXPENSES The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholders reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated and may be different from the expense ratio in the Financial Highlights which is for the year ended November 30, 2004. FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/04 11/30/04 RATIO PERIOD* ------------- ------------- ---------- ------------- THE U.S. LARGE COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,056.20 0.05% $ 0.26 Hypothetical 5% Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25 THE ENHANCED U.S. LARGE COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,056.20 0.17% $ 0.87 Hypothetical 5% Return $ 1,000.00 $ 1,024.15 0.17% $ 0.86
114
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/04 11/30/04 RATIO PERIOD* ------------- ------------- ---------- ------------- THE U.S. LARGE COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,108.10 0.14% $ 0.74 Hypothetical 5% Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71 THE U.S. SMALL XM VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,152.70 0.12% $ 0.65 Hypothetical 5% Return $ 1,000.00 $ 1,024.40 0.12% $ 0.61 THE U.S. SMALL CAP VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,161.30 0.07% $ 0.38 Hypothetical 5% Return $ 1,000.00 $ 1,024.65 0.07% $ 0.35 THE U.S. SMALL CAP SERIES Actual Fund Return $ 1,000.00 $ 1,112.30 0.25% $ 1.32 Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26 THE U.S. MICRO CAP SERIES Actual Fund Return $ 1,000.00 $ 1,111.10 0.15% $ 0.79 Hypothetical 5% Return $ 1,000.00 $ 1,024.25 0.15% $ 0.76 THE DFA INTERNATIONAL VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,169.50 0.28% $ 1.52 Hypothetical 5% Return $ 1,000.00 $ 1,023.60 0.28% $ 1.42 THE JAPANESE SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,071.10 0.26% $ 1.35 Hypothetical 5% Return $ 1,000.00 $ 1,023.70 0.26% $ 1.32 THE PACIFIC RIM SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,248.80 0.30% $ 1.69 Hypothetical 5% Return $ 1,000.00 $ 1,023.50 0.30% $ 1.52 THE UNITED KINGDOM SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,134.30 0.26% $ 1.39 Hypothetical 5% Return $ 1,000.00 $ 1,023.70 0.26% $ 1.32 THE CONTINENTAL SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,212.30 0.25% $ 1.38 Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26 THE EMERGING MARKETS SERIES Actual Fund Return $ 1,000.00 $ 1,234.70 0.30% $ 1.68 Hypothetical 5% Return $ 1,000.00 $ 1,023.50 0.30% $ 1.52
115
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/04 11/30/04 RATIO PERIOD* ------------- ------------- ---------- ------------- THE EMERGING MARKETS SMALL CAP SERIES Actual Fund Return $ 1,000.00 $ 1,243.40 0.48% $ 2.69 Hypothetical 5% Return $ 1,000.00 $ 1,022.60 0.48% $ 2.43 THE DFA ONE-YEAR FIXED INCOME SERIES Actual Fund Return $ 1,000.00 $ 1,006.80 0.09% $ 0.45 Hypothetical 5% Return $ 1,000.00 $ 1,024.55 0.09% $ 0.46 THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES Actual Fund Return $ 1,000.00 $ 1,008.10 0.11% $ 0.55 Hypothetical 5% Return $ 1,000.00 $ 1,024.45 0.11% $ 0.56
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 116 DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete schedule of investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its first Form N-Q with the SEC on October 27, 2004. It is available upon request, without charge, by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a schedule of investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. THE U.S. LARGE COMPANY SERIES Financials 20.0% Information Technology 16.3 Health Care 12.4 Industrials 11.9 Consumer Discretionary 11.4 Consumer Staples 10.5 Energy 7.5 Telecommunication Services 3.3 Materials 3.2 Utilities 3.0 REITS 0.5 ----- 100.0% =====
THE ENHANCED U.S. LARGE COMPANY SERIES Corporate 28.2% Foreign Government 22.4 Government 21.2 Foreign Corporate 19.2 Supranational 9.0 ----- 100.0% =====
117 THE U.S. LARGE CAP VALUE SERIES Consumer Discretionary 30.2% Financials 25.4 Industrials 9.4 Energy 8.3 Materials 6.8 Information Technology 5.8 Health Care 5.2 Consumer Staples 4.8 Telecommunication Services 3.6 Utilities 0.5 ----- 100.0% =====
THE U.S. SMALL XM VALUE SERIES Consumer Discretionary 19.5% Financials 18.2 Industrials 16.7 Information Technology 15.6 Energy 9.7 Materials 9.7 Health Care 4.7 Consumer Staples 4.1 Utilities 1.0 Telecommunication Services 0.5 Other 0.3 ----- 100.0% =====
THE U.S. SMALL CAP VALUE SERIES Industrials 22.0% Consumer Discretionary 20.7 Financials 14.3 Information Technology 11.5 Materials 10.8 Energy 9.3 Health Care 5.8 Consumer Staples 3.9 Telecommunication Services 0.6 Other 0.6 Utilities 0.5 ----- 100.0% =====
118 THE U.S. SMALL CAP SERIES Information Technology 20.7% Consumer Discretionary 16.5 Industrials 15.6 Health Care 14.8 Financials 13.1 Materials 6.3 Energy 5.8 Consumer Staples 3.4 Utilities 2.6 Telecommunication Services 1.0 Other 0.2 ----- 100.0% =====
THE U.S. MICRO CAP SERIES Information Technology 21.1% Industrials 17.0 Consumer Discretionary 16.9 Health Care 16.2 Financials 12.4 Energy 5.2 Materials 4.0 Consumer Staples 4.0 Utilities 1.5 Telecommunication Services 1.1 Other 0.6 ----- 100.0% =====
THE DFA INTERNATIONAL VALUE SERIES Financials 36.5% Consumer Discretionary 17.0 Materials 13.7 Industrials 12.2 Telecommunication Service 5.6 Consumer Staples 4.5 Utilities 3.5 Energy 3.3 Health Care 2.0 Information Technology 1.7 ----- 100.0% =====
119 THE JAPANESE SMALL COMPANY SERIES Industrials 27.9% Consumer Discretionary 22.2 Information Technology 11.5 Materials 11.4 Financials 10.7 Consumer Staples 10.6 Health Care 3.7 Energy 1.3 Utilities 0.7 ----- 100.0% =====
THE PACIFIC RIM SMALL COMPANY SERIES Industrials 20.8% Consumer Discretionary 20.6 Financials 15.2 Materials 14.6 Information Technology 8.8 Health Care 7.4 Consumer Staples 5.5 Energy 3.7 Utilities 2.0 Telecommunication Service 1.4 ----- 100.0% =====
THE UNITED KINGDOM SMALL COMPANY SERIES Industrials 29.1% Consumer Discretionary 25.1 Financials 14.1 Information Technology 10.5 Consumer Staples 6.9 Energy 4.1 Materials 4.1 Health Care 3.9 Telecommunication Service 1.2 Utilities 1.0 ----- 100.0% =====
THE CONTINENTAL SMALL COMPANY SERIES Industrials 24.9% Consumer Discretionary 18.1 Financials 18.0 Materials 10.0 Information Technology 8.8 Consumer Staples 7.3 Health Care 6.1 Energy 3.3 Utilities 2.7 Telecommunication Service 0.8 ----- 100.0% =====
120 THE EMERGING MARKETS SERIES Financials 25.6% Telecommunication Service 17.4 Materials 16.6 Consumer Staples 10.5 Consumer Discretionary 7.4 Information Technology 7.1 Industrials 6.1 Utilities 4.0 Energy 3.1 Health Care 2.2 ----- 100.0% =====
THE EMERGING MARKETS SMALL CAP SERIES Consumer Discretionary 19.2% Materials 19.1 Industrials 15.4 Financials 14.6 Consumer Staples 11.8 Information Technology 8.8 Health Care 3.8 Telecommunication Service 3.5 Utilities 2.6 Energy 1.2 ----- 100.0% =====
THE DFA ONE-YEAR FIXED INCOME SERIES Corporate 32.4% Foreign Corporate 22.2 Government 19.4 Foreign Government 15.9 Supranational 10.1 ----- 100.0% =====
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES Government 38.3% Foreign Government 23.7 Foreign Corporate 16.5 Supranational 13.8 Corporate 7.7 ----- 100.0% =====
121 THE U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ COMMON STOCKS -- (88.1%) 3M Co. 244,500 $ 19,459,755 Abbott Laboratories 487,600 20,459,696 Ace, Ltd. 88,700 3,585,254 * ADC Telecommunications, Inc. 252,600 593,610 # Adobe Systems, Inc. 74,900 4,535,944 * Advanced Micro Devices, Inc. 110,900 2,359,952 * AES Corp. 201,900 2,471,256 Aetna, Inc. 48,000 5,688,480 * Affiliated Computer Services, Inc. Class A 40,000 2,367,200 AFLAC, Inc. 158,400 5,959,008 * Agilent Technologies, Inc. 151,700 3,472,413 Air Products & Chemicals, Inc. 71,000 4,064,750 Alberto-Culver Co. Class B 28,300 1,310,290 # Albertson's, Inc. 114,900 2,906,970 # Alcoa, Inc. 271,700 9,232,366 * Allegheny Energy, Inc. 42,800 819,192 Allegheny Technologies, Inc. 29,800 655,600 Allergan, Inc. 41,100 3,020,850 *# Allied Waste Industries, Inc. 99,400 903,546 Allstate Corp. 216,400 10,928,200 Alltel Corp. 96,300 5,459,247 * Altera Corp. 116,100 2,633,148 # Altria Group, Inc. 640,800 36,839,592 AMBAC Financial Group, Inc. 33,900 2,757,087 Amerada Hess Corp. 28,500 2,532,225 # Ameren Corp. 60,700 2,939,094 American Electric Power Co., Inc. 123,600 4,223,412 American Express Co. 396,000 22,061,160 American International Group, Inc. 813,800 51,554,230 American Power Conversion Corp. 62,600 1,323,364 * American Standard Companies, Inc. 66,800 2,601,192 # AmerisourceBergen Corp. 35,100 2,068,794 *# Amgen, Inc. 395,400 23,739,816 AmSouth Bancorporation 110,500 2,865,265 Anadarko Petroleum Corp. 78,200 5,442,720 # Analog Devices, Inc. 118,200 4,367,490 * Andrew Corp. 50,200 712,840 Anheuser-Busch Companies, Inc. 250,200 12,532,518 *# Anthem, Inc. 43,600 4,417,988 # AON Corp. 98,600 2,082,432 Apache Corp. 101,800 5,503,308 # Apartment Investment & Management Co. Class A 29,600 1,076,552 *# Apollo Group, Inc. Class A 60,200 4,797,940 * Apple Computer, Inc. 121,200 8,126,460 Applera Corp. - Applied Biosystems Group 63,000 1,291,500 * Applied Materials, Inc. 530,400 8,825,856 * Applied Micro Circuits Corp. 97,800 359,904 Archer-Daniels-Midland Co. 203,300 4,309,960 Ashland, Inc. 22,200 1,313,130 # AT&T Corp. 248,200 4,542,060 Autodesk, Inc. 35,500 2,322,055 Automatic Data Processing, Inc. 182,500 8,309,225 * AutoNation, Inc. 83,300 1,542,716 *# Autozone, Inc. 26,000 2,225,600 *# Avaya, Inc. 141,400 $ 2,321,788 Avery Dennison Corp. 34,500 2,023,770 # Avon Products, Inc. 147,700 5,544,658 # Baker Hughes, Inc. 104,200 4,619,186 Ball Corp. 35,100 1,570,023 Bank of America Corp. 1,270,500 58,786,035 Bank of New York Co., Inc. 243,000 7,997,130 # Bard (C.R.), Inc. 32,700 1,959,057 # Bausch & Lomb, Inc. 16,600 977,408 Baxter International, Inc. 192,000 6,076,800 BB&T Corp. 173,200 7,352,340 Bear Stearns Companies, Inc. 32,200 3,142,076 Becton Dickinson & Co. 78,300 4,289,274 *# Bed Bath and Beyond, Inc. 93,900 3,749,239 BellSouth Corp. 571,800 15,335,676 Bemis Co., Inc. 33,400 929,856 Best Buy Co., Inc. 101,500 5,722,570 *# Big Lots, Inc. 36,000 417,600 * Biogen Idec, Inc. 105,700 6,202,476 # Biomet, Inc. 79,300 3,796,091 # BJ Services, Co. 50,400 2,553,768 Black & Decker Corp. 25,000 2,102,250 * BMC Software, Inc. 69,700 1,295,026 Boeing Co. 262,200 14,046,054 *# Boston Scientific Corp. 263,000 9,155,030 Bristol-Myers Squibb Co. 607,600 14,278,600 *# Broadcom Corp. 100,600 3,271,512 Brown-Forman Corp. Class B 37,900 1,819,958 Brunswick Corp. 29,900 1,459,718 Burlington Northern Santa Fe Corp. 116,300 5,238,152 # Burlington Resources, Inc. 123,300 5,722,353 *# Calpine Corp. 166,300 645,244 Campbell Soup Co. 128,200 3,657,546 Capital One Financial Corp. 75,400 5,924,932 Cardinal Health, Inc. 134,400 7,026,432 * Caremark Rx, Inc. 145,500 5,203,080 Carnival Corp. 197,700 10,480,077 # Caterpillar, Inc. 107,000 9,795,850 Cendant Corp. 329,700 7,474,299 CenterPoint Energy, Inc. 96,100 1,072,476 # Centex Corp. 38,600 2,025,342 CenturyTel, Inc. 42,200 1,389,224 ChevronTexaco Corp. 665,300 36,325,380 * Chiron Corp. 58,600 1,908,602 Chubb Corp. 59,700 4,549,737 * CIENA Corp. 177,800 453,390 CIGNA Corp. 43,000 3,010,860 Cincinnati Financial Corp. 52,600 2,356,480 Cinergy Corp. 56,400 2,334,396 Cintas Corp. 53,500 2,392,520 Circuit City Stores, Inc. 62,100 968,139 * Cisco Sytems, Inc. 2,111,900 39,513,649 CIT Group, Inc. 65,800 2,812,950 Citigroup, Inc. 1,618,000 72,405,500 # Citizens Communications Co. 103,600 1,481,480 * Citrix Systems, Inc. 52,800 1,246,608 Clear Channel Communications, Inc. 184,300 6,207,224 Clorox Co. 66,500 3,665,480
122
SHARES VALUE+ ------ ------ * CMS Energy Corp. 59,300 $ 604,860 * Coach, Inc. 58,800 2,930,592 Coca-Cola Co. 757,800 29,789,118 Coca-Cola Enterprises, Inc. 146,500 3,047,200 Colgate-Palmolive Co. 165,900 7,629,741 * Comcast Corp. Class A 698,000 20,967,920 Comerica, Inc. 53,500 3,290,250 # Computer Associates International, Inc. 182,800 5,580,884 *# Computer Sciences Corp. 58,900 3,186,490 * Compuware Corp. 120,600 695,862 * Comverse Technology, Inc. 61,100 1,299,597 ConAgra, Inc. 165,000 4,463,250 ConocoPhillips 215,100 19,571,949 Consolidated Edison, Inc. 75,400 3,306,290 Constellation Energy Group 54,800 2,394,760 * Convergys Corp. 44,500 661,715 Cooper Industries, Ltd. 29,600 1,962,776 # Cooper Tire & Rubber Co. 23,400 477,828 Coors (Adolph) Co. Class B 11,700 876,330 * Corning, Inc. 435,300 5,476,074 Costco Wholesale Corp. 144,000 6,998,400 Countrywide Financial Corp. 175,900 5,841,639 Crane Co. 18,400 556,784 CSX Corp. 67,100 2,558,523 Cummins, Inc. 13,800 1,098,756 CVS Corp. 124,700 5,657,639 Dana Corp. 46,600 761,910 Danaher Corp. 96,300 5,477,544 Darden Restaurants, Inc. 49,300 1,343,918 Deere & Co. 77,500 5,559,075 *# Dell, Inc. 779,800 31,597,496 # Delphi Corp. 175,300 1,577,700 *# Delta Air Lines, Inc. 39,200 273,224 Deluxe Corp. 15,600 616,824 Devon Energy Corp. 151,000 6,254,420 Dillards, Inc. Class A 26,100 657,198 # Disney (Walt) Co. 641,700 17,248,896 Dollar General Corp. 102,600 2,026,350 Dominion Resources, Inc. 103,100 6,749,957 Donnelley (R.R.) & Sons Co. 68,400 2,373,480 Dover Corp. 63,500 2,568,575 # Dow Chemical Co. 293,400 14,807,898 Dow Jones & Co., Inc. 25,600 1,094,400 DTE Energy Co. 54,300 2,382,684 # Duke Energy Corp. 292,900 7,404,512 # DuPont (E.I.) de Nemours & Co., Inc. 311,700 14,126,244 *# Dynegy, Inc. 118,500 669,525 * E*TRADE Financial Corp. 116,600 1,616,076 # Eastman Chemical Co. 24,300 1,321,434 Eastman Kodak Co. 89,500 2,927,545 Eaton Corp. 47,300 3,188,020 *# eBay, Inc. 206,500 23,220,925 Ecolab, Inc. 80,400 2,812,392 # Edison International 101,800 3,247,420 # El Paso Corp. 200,200 2,090,088 *# Electronic Arts, Inc. 94,800 4,635,720 Electronic Data Systems Corp. 160,000 3,592,000 * EMC Corp. 751,100 10,079,762 Emerson Electric Co. 131,200 8,766,784 Engelhard Corp. 38,800 1,159,732 Entergy Corp. 70,900 $ 4,595,738 # EOG Resources, Inc. 36,800 2,762,576 # Equifax, Inc. 42,500 1,173,850 Equity Office Properties Trust 125,800 3,453,210 Equity Residential 87,700 2,956,367 Exelon Corp. 206,200 8,600,602 *# Express Scripts, Inc. 24,200 1,741,432 Exxon Mobil Corp. 2,031,900 104,134,875 Family Dollar Stores, Inc. 52,600 1,541,180 Federal Home Loan Mortgage Corporation 214,600 14,648,596 Federal National Mortgage Association 302,300 20,768,010 Federated Department Stores, Inc. 56,200 3,079,760 Federated Investors, Inc. 33,900 997,338 FedEx Corp. 93,800 8,913,814 Fifth Third Bancorp 178,000 8,964,080 First Data Corp. 267,800 11,003,902 First Horizon National Corp. 38,600 1,686,820 FirstEnergy Corp. 103,000 4,349,690 * Fiserv, Inc. 61,000 2,349,110 * Fisher Scientific International, Inc. 35,900 2,029,786 Fluor Corp. 26,100 1,354,590 # Ford Motor Co. 571,500 8,103,870 * Forest Laboratories, Inc. 115,700 4,508,829 Fortune Brands, Inc. 45,000 3,531,600 # FPL Group, Inc. 57,900 4,072,107 Franklin Resources, Inc. 77,900 5,112,577 Freeport-McMoRan Copper & Gold, Inc. Class B 55,300 2,163,889 Gannett Co., Inc. 83,100 6,854,919 Gap, Inc. 282,300 6,168,255 * Gateway, Inc. 116,400 792,684 General Dynamics Corp. 62,400 6,761,664 General Electric Co. 3,297,700 116,606,672 General Mills, Inc. 118,700 5,399,663 # General Motors Corp. 176,400 6,807,276 # Genuine Parts Co. 54,700 2,374,527 *# Genzyme Corp. 71,200 3,987,912 Georgia-Pacific Corp. 80,600 2,950,766 * Gilead Sciences, Inc. 134,500 4,634,870 Gillette Co. 312,900 13,608,021 # Golden West Financial Corp. 47,700 5,687,748 Goodrich (B.F.) Co. 37,100 1,177,925 *# Goodyear Tire & Rubber Co. 54,800 691,576 Grainger (W.W.), Inc. 28,400 1,756,824 # Great Lakes Chemical Corp. 15,900 465,870 Guidant Corp. 98,300 6,372,789 H&R Block, Inc. 51,500 2,456,550 Halliburton Co. 137,900 5,702,165 Harley-Davidson, Inc. 92,200 5,331,004 # Harrahs Entertainment, Inc. 35,000 2,149,000 Hartford Financial Services Group, Inc. 91,600 5,862,400 Hasbro, Inc. 55,200 1,050,456 HCA, Inc. 150,800 5,944,536 Health Management Associates, Inc. 76,000 1,678,840 Heinz (H.J.) Co. 109,100 4,054,156 *# Hercules, Inc. 34,900 520,010 # Hershey Foods Corp. 76,900 3,983,420 Hewlett-Packard Co. 943,200 18,864,000
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SHARES VALUE+ ------ ------ Hilton Hotels Corp. 120,200 $ 2,483,332 Home Depot, Inc. 685,700 28,627,975 Honeywell International, Inc. 268,500 9,486,105 * Hospira, Inc. 48,700 1,569,601 * Humana, Inc. 49,800 1,236,036 # Huntington Bancshares, Inc. 71,700 1,739,442 Illinois Tool Works, Inc. 94,400 8,895,312 IMS Health, Inc. 73,000 1,647,610 Ingersoll-Rand Co., Ltd. Class A 54,100 4,026,122 # Intel Corp. 2,003,600 44,780,460 International Business Machines Corp. 523,200 49,306,368 International Flavors & Fragrances, Inc. 29,400 1,190,700 International Game Technology 107,600 3,803,660 International Paper Co. 151,900 6,306,888 *# Interpublic Group of Companies, Inc. 131,800 1,635,638 * Intuit, Inc. 59,800 2,502,032 ITT Industries, Inc. 28,800 2,451,456 * Jabil Circuit, Inc. 62,800 1,573,768 Janus Capital Group, Inc. 74,800 1,237,940 * JDS Uniphase Corp. 449,800 1,425,866 Jefferson-Pilot Corp. 42,600 2,095,494 Johnson & Johnson 927,000 55,916,640 Johnson Controls, Inc. 59,400 3,647,160 Jones Apparel Group, Inc. 39,000 1,385,670 JPMorgan Chase & Co. 1,112,500 41,885,625 # KB Home 14,500 1,274,405 Kellogg Co. 129,100 5,641,670 # Kerr-McGee Corp. 47,200 2,937,256 # KeyCorp 127,100 4,231,159 KeySpan Corp. 50,000 1,976,000 Kimberly-Clark Corp. 154,500 9,827,745 # Kinder Morgan, Inc. 38,600 2,674,980 *# King Pharmaceuticals, Inc. 75,400 938,730 *# KLA-Tencor Corp. 61,300 2,762,178 Knight-Ridder, Inc. 24,200 1,647,778 * Kohl's Corp. 106,700 4,925,272 * Laboratory Corp. of America Holdings 43,600 2,090,620 Leggett & Platt, Inc. 59,900 1,788,015 Lehman Brothers Holdings, Inc. 84,700 7,096,166 *# Lexmark International, Inc. 40,500 3,438,450 Lilly (Eli) & Co. 353,100 18,830,823 # Limited Brands, Inc. 147,600 3,607,344 Lincoln National Corp. 55,000 2,531,100 Linear Technology Corp. 96,000 3,663,360 Liz Claiborne, Inc. 33,600 1,379,952 # Lockheed Martin Corp. 139,000 8,456,760 Loews Corp. 57,900 4,047,789 Louisiana-Pacific Corp. 34,100 834,427 Lowe's Companies, Inc. 243,500 13,472,855 * LSI Logic Corp. 120,200 635,858 *# Lucent Technologies, Inc. 1,346,000 5,289,780 M&T Bank Corp. 36,600 3,858,006 Manor Care, Inc. 27,300 940,485 Marathon Oil Corp. 108,100 4,263,464 Marriott International, Inc. Class A 71,500 4,064,775 Marsh & McLennan Companies, Inc. 162,600 4,648,734 Marshall & Ilsley Corp. 69,600 2,901,624 # Masco Corp. 135,300 4,772,031 # Mattel, Inc. 129,300 $ 2,450,235 # Maxim Integrated Products, Inc. 101,400 4,153,344 # May Department Stores Co. 91,000 2,558,920 # Maytag Corp. 24,700 496,470 MBIA, Inc. 44,700 2,680,212 MBNA Corp. 399,100 10,600,096 McCormick & Co., Inc. 42,800 1,560,060 McDonald's Corp. 392,400 12,062,376 McGraw-Hill Companies, Inc. 59,300 5,202,389 McKesson Corp. 91,700 2,709,735 MeadWestavco Corp. 63,000 2,119,950 * Medco Health Solutions, Inc. 85,000 3,206,200 * Medimmune, Inc. 77,800 2,069,480 Medtronic, Inc. 377,700 18,148,485 Mellon Financial Corp. 132,400 3,868,728 Merck & Co., Inc. 693,000 19,417,860 * Mercury Interactive Corp. 29,100 1,327,251 Meredith Corp. 15,700 827,704 Merrill Lynch & Co., Inc. 293,400 16,345,314 MetLife, Inc. 234,300 9,137,700 MGIC Investment Corp. 30,800 2,094,400 *# Micron Technology, Inc. 191,000 2,116,280 Microsoft Corp. 3,395,900 91,044,079 * Millipore Corp. 15,500 755,160 Molex, Inc. 59,200 1,632,144 Monsanto Co. 83,400 3,838,068 * Monster Worldwide, Inc. 37,000 1,043,030 Moody's Corp. 46,200 3,730,650 Morgan Stanley 343,100 17,412,325 Motorola, Inc. 737,900 14,211,954 # Mylan Laboratories, Inc. 83,900 1,523,624 * Nabors Industries, Ltd. 46,500 2,418,000 National City Corp. 207,000 7,675,560 * National Semiconductor Corp. 111,800 1,728,428 * Navistar International Corp. 21,800 897,070 * NCR Corp. 29,400 1,756,062 * Network Appliance, Inc. 111,700 3,368,872 Newell Rubbermaid, Inc. 85,900 1,982,572 Newmont Mining Corp. 138,500 6,557,975 * Nextel Communications, Inc. 347,800 9,898,388 # Nicor, Inc. 13,800 509,220 NIKE, Inc. Class B 82,300 6,967,518 NiSource, Inc. 82,300 1,793,317 * Noble Corp. 41,800 2,025,210 Nordstrom, Inc. 43,900 1,920,625 Norfolk Southern Corp. 123,000 4,222,590 North Fork Bancorporation, Inc. 145,950 4,203,360 Northern Trust Corp. 68,700 3,231,648 Northrop Grumman Corp. 112,000 6,308,960 *# Novell, Inc. 120,800 736,880 * Novellus Systems, Inc. 44,600 1,201,524 # Nucor Corp. 49,600 2,623,840 * Nvidia Corp. 52,000 994,760 Occidental Petroleum Corp. 122,300 7,363,683 * Office Depot, Inc. 97,800 1,603,920 OfficeMax, Inc. 27,500 832,425 Omnicom Group, Inc. 58,500 4,738,500 * Oracle Corp. 1,615,000 20,445,900 # Paccar, Inc. 54,200 4,233,020 * Pactiv Corp. 46,900 1,165,465 Pall Corp. 39,100 1,059,219
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SHARES VALUE+ ------ ------ * Parametric Technology Corp. 84,100 $ 491,985 Parker Hannifin Corp. 37,300 2,790,040 Paychex, Inc. 118,100 3,916,196 Penney (J.C.) Co., Inc. 90,000 3,474,000 Peoples Energy Corp. 11,800 526,516 *# Peoplesoft, Inc. 114,600 2,705,706 Pepsi Bottling Group, Inc. 79,400 2,224,788 PepsiCo, Inc. 529,100 26,407,381 PerkinElmer, Inc. 40,000 853,200 Pfizer, Inc. 2,358,400 65,492,768 * PG&E Corp. 125,200 4,164,152 # Phelps Dodge Corp. 29,400 2,855,622 # Pinnacle West Capital Corp. 28,500 1,259,700 Pitney Bowes, Inc. 72,200 3,160,194 Plum Creek Timber Co., Inc. 57,300 2,120,100 * PMC-Sierra, Inc. 55,300 610,512 PNC Financial Services Group 88,200 4,798,080 * Power-One, Inc. 26,200 240,778 PPG Industries, Inc. 53,600 3,616,392 PPL Corp. 59,000 3,065,050 Praxair, Inc. 101,500 4,557,350 Principal Financial Group, Inc. 97,900 3,688,872 Procter & Gamble Co. 794,000 42,463,120 Progress Energy, Inc. 77,100 3,385,461 Progressive Corp. 62,500 5,686,875 ProLogis 56,800 2,285,064 * Providian Financial Corp. 91,400 1,466,970 Prudential Financial, Inc. 162,100 7,934,795 # Public Service Enterprise Group, Inc. 74,100 3,259,659 # Pulte Homes, Inc. 39,600 2,188,296 * QLogic Corp. 28,800 990,432 Qualcomm, Inc. 508,400 21,159,608 # Quest Diagnostics, Inc. 31,800 2,981,250 * Qwest Communications International, Inc. 566,900 2,267,600 RadioShack Corp. 49,900 1,575,343 Raytheon Co. 140,900 5,683,906 # Reebok International, Ltd. 18,500 719,280 Regions Financial Corp. 144,300 5,049,057 # Reynolds American, Inc. 46,200 3,494,106 Robert Half International, Inc. 53,800 1,454,214 # Rockwell Automation, Inc. 57,600 2,724,480 Rockwell Collins, Inc. 55,300 2,204,258 Rohm & Haas Co. 70,100 3,090,709 * Rowan Companies, Inc. 33,400 865,060 # Ryder System, Inc. 20,100 1,078,164 Sabre Holdings Corp. 42,900 990,132 # Safeco Corp. 39,400 1,909,718 * Safeway, Inc. 139,600 2,691,488 * Sanmina-SCI Corp. 162,800 1,437,524 Sara Lee Corp. 247,800 5,818,344 SBC Communications, Inc. 1,035,000 26,050,950 Schering-Plough Corp. 459,900 8,209,215 Schlumberger, Ltd. 184,400 12,102,172 Schwab (Charles) Corp. 426,800 4,600,904 # Scientific-Atlanta, Inc. 47,800 1,415,836 * Sealed Air Corp. 26,200 1,346,942 # Sears, Roebuck & Co. 66,200 3,444,386 Sempra Energy 72,400 2,677,352 Sherwin-Williams Co. 44,500 1,984,700 * Siebel Systems, Inc. 157,900 1,591,632 Sigma-Aldrich Corp. 21,600 $ 1,290,168 Simon Property Group, Inc. 69,000 4,283,520 SLM Corp. 136,200 6,969,354 Snap-On, Inc. 18,100 572,141 * Solectron Corp. 300,400 1,877,500 Southern Co. 230,600 7,561,374 Southwest Airlines Co. 246,800 3,882,164 Sovereign Bancorp, Inc. 107,200 2,342,320 Sprint Corp. 453,700 10,348,897 *# St. Jude Medical, Inc. 110,600 4,218,284 # Staples, Inc. 155,400 4,958,814 * Starbucks Corp. 124,100 6,981,866 Starwood Hotels & Resorts Worldwide, Inc. 65,000 3,398,850 State Street Corp. 105,000 4,678,800 Stryker Corp. 125,300 5,511,947 *# Sun Microsystems, Inc. 1,038,900 5,765,895 * Sungard Data Systems, Inc. 90,100 2,388,551 # Sunoco, Inc. 23,500 1,940,160 # SunTrust Banks, Inc. 111,800 7,971,340 Supervalu, Inc. 42,500 1,342,575 * Symantec Corp. 98,400 6,278,904 Symbol Technologies, Inc. 74,800 1,133,968 Synovus Financial Corp. 96,600 2,608,200 # Sysco Corp. 199,700 6,939,575 T. Rowe Price Group, Inc. 39,700 2,348,652 # Target Corp. 282,100 14,449,162 # TECO Energy, Inc. 62,100 929,016 Tektronix, Inc. 28,700 900,319 * Tellabs, Inc. 130,000 1,111,500 Temple-Inland, Inc. 17,400 1,036,866 * Tenet Healthcare Corp. 145,600 1,579,760 * Teradyne, Inc. 60,600 1,033,836 # Texas Instruments, Inc. 540,700 13,074,126 Textron, Inc. 43,300 3,144,446 The Goldman Sachs Group, Inc. 151,800 15,902,568 *# The Kroger Co. 230,800 3,734,344 The New York Times Co. Class A 45,900 1,881,900 The St. Paul Travelers Companies, Inc. 208,900 7,620,672 # The Stanley Works 25,600 1,197,056 # The TJX Companies, Inc. 152,700 3,594,558 * Thermo Electron Corp. 51,000 1,542,750 # Tiffany & Co. 45,600 1,395,360 * Time Warner, Inc. 1,428,100 25,291,651 Torchmark Corp. 34,300 1,883,413 *# Toys R Us, Inc. 66,800 1,291,912 * Transocean, Inc. 100,200 4,035,054 Tribune Co. 99,400 4,310,978 TXU Corp. 92,700 5,823,414 Tyco International, Ltd. 627,400 21,312,778 U.S. Bancorp 587,000 17,392,810 Union Pacific Corp. 81,000 5,138,640 * Unisys Corp. 104,600 1,201,854 United Parcel Service, Inc. 351,200 29,553,480 United States Steel Corp. 35,400 1,853,544 United Technologies Corp. 159,800 15,593,284 UnitedHealth Group, Inc. 207,600 17,199,660 * Univision Communications, Inc. Class A 100,700 3,031,070 Unocal Corp. 82,700 3,807,508
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SHARES VALUE+ ------ ------ UnumProvident Corp. 92,600 $ 1,441,782 UST, Inc. 51,600 2,271,948 Valero Energy Corp. 79,800 3,733,842 * VERITAS Software Corp. 135,200 2,960,880 Verizon Communications, Inc. 864,700 35,651,581 VF Corp. 34,400 1,857,256 # Viacom, Inc. Class B 541,900 18,803,930 Visteon Corp. 40,500 342,630 Vulcan Materials Co. 31,900 1,654,015 Wachovia Corp. 501,560 25,955,730 # Walgreen Co. 320,000 12,217,600 Wal-Mart Stores, Inc. 1,325,100 68,984,706 Washington Mutual, Inc. 272,500 11,093,475 # Waste Management, Inc. 181,100 5,398,591 *# Waters Corp. 36,900 1,721,754 *# Watson Pharmaceuticals, Inc. 34,200 993,510 * Wellpoint Health Networks, Inc. 49,100 6,142,410 # Wells Fargo & Co. 527,400 32,577,498 Wendy's International, Inc. 35,500 1,266,285 Weyerhaeuser Co. 74,800 4,936,800 Whirlpool Corp. 20,700 1,336,185 Williams Companies, Inc. 173,500 2,892,245 # Winn-Dixie Stores, Inc. 44,400 177,600 # Worthington Industries, Inc. 27,300 587,223 Wrigley (Wm.) Jr. Co. 70,200 4,829,760 Wyeth 416,600 16,609,842 # Xcel Energy, Inc. 124,900 2,255,694 *# Xerox Corp. 262,100 4,015,372 Xilinx, Inc. 108,400 3,384,248 # XL Capital, Ltd. 43,200 3,255,552 *# Yahoo!, Inc. 425,000 15,988,500 Yum! Brands, Inc. 90,800 4,122,320 * Zimmer Holdings, Inc. 76,500 6,242,400 Zions Bancorporation 28,000 1,862,000 --------------- TOTAL COMMON STOCKS (Cost $2,594,671,624) 3,405,448,115 --------------- FACE AMOUNT VALUE+ ------ ------ (000) TEMPORARY CASH INVESTMENTS -- (11.9%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $389,672,000 U.S. Treasury Bills, maturities ranging from 12/02/04 to 05/26/05, valued at $388,193,618) to be repurchased at $380,599,191 (Cost $380,578,682)^ $ 380,579 $ 380,578,682 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $77,939,000 FHLMC Notes 4.20%, 10/20/09, valued at $78,273,358) to be repurchased at $77,463,045 (Cost $77,459,000) 77,459 77,459,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $458,037,682) 458,037,682 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,052,709,306) $ 3,863,485,797 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 126 THE ENHANCED U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
FACE AMOUNT@ VALUE+ --------------- --------------- (000) UNITED STATES -- (68.3%) COMMERCIAL PAPER -- (35.1%) Barton Capital Corp. 2.010%, 12/16/04 700 $ 699,389 2.150%, 01/10/05 5,300 5,286,862 Caisse D'Amortisement de Dette Sociale 1.920%, 12/06/04 5,400 5,398,485 Canadian Wheat Board 2.110%, 01/10/05 3,900 3,890,419 CDC Commercial Paper Corp. 1.950%, 12/10/04 2,000 1,998,990 2.010%, 12/10/04 1,400 1,399,293 Ciesco L.P. 1.850%, 12/02/04 1,700 1,699,903 1.980%, 12/17/04 4,000 3,996,263 Dexia Delaware LLC 2.060%, 12/17/04 3,000 2,997,293 DuPont (E.I.) de Nemours & Co., Inc. 2.000%, 12/15/04 3,900 3,896,936 1.960%, 12/17/04 2,300 2,297,925 Koch Industries, Inc. 1.940%, 12/01/04 5,000 5,000,000 Nestle Capital Corp. 1.980%, 12/08/04 800 799,686 2.060%, 01/04/05 5,300 5,289,143 Network Rail Finance 1.950%, 12/06/04 2,900 2,899,186 Pfizer, Inc. 2.150%, 01/14/05 4,500 4,487,680 Rabobank 2.010%, 12/15/04 5,000 4,996,072 Sheffield Receivables Corp. 1.990%, 12/06/04 1,600 1,599,540 2.230%, 01/20/05 4,800 4,784,700 Siemens Capital Corp. 1.930%, 12/02/04 3,300 3,299,814 1.840%, 12/03/04 600 599,933 1.930%, 12/03/04 1,800 1,799,798 2.020%, 12/15/04 800 799,371 Total Capital SA 1.940%, 12/01/04 300 300,000 Windmill Funding Corp. 2.050%, 12/21/04 300 299,640 2.230%, 01/04/05 5,100 5,086,954 2.200%, 01/21/05 900 897,067 --------------- TOTAL COMMERCIAL PAPER (Cost $76,505,831) 76,500,342 --------------- AGENCY OBLIGATIONS -- (21.1%) Federal Farm Credit Bank 2.600%, 09/07/06 3,800 3,764,174 Federal Home Loan Bank 2.250%, 05/15/06 1,600 1,582,029 2.625%, 10/16/06 7,000 6,928,726 Federal Home Loan Mortgage Corporation 2.060%, 12/27/04 11,500 $ 11,482,806 2.750%, 08/15/06 3,500 3,478,566 2.750%, 10/15/06 7,300 7,243,659 Federal National Mortgage Association 2.125%, 04/15/06 1,500 1,482,136 4.375%, 10/15/06 7,000 7,149,793 2.625%, 11/15/06 3,000 2,966,652 --------------- TOTAL AGENCY OBLIGATIONS (Cost $46,240,063) 46,078,541 --------------- BONDS -- (12.1%) Citigroup, Inc. 5.750%, 05/10/06 2,395 2,479,984 5.500%, 08/09/06 2,600 2,695,355 General Electric Capital Corp. 2.970%, 07/26/06 5,000 4,982,095 Toyota Motor Credit Corp. 2.900%, 07/14/06 5,000 4,975,065 Wal-Mart Stores, Inc. Corporate Bonds 5.450%, 08/01/06 5,000 5,184,175 Wells Fargo & Co. 5.900%, 05/21/06 5,800 6,033,067 --------------- TOTAL BONDS (Cost $26,469,741) 26,349,741 --------------- TOTAL -- UNITED STATES (Cost $149,215,635) 148,928,624 --------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (9.0%) BONDS -- (9.0%) European Investment Bank 3.000%, 08/15/06 2,300 2,295,513 4.875%, 09/06/06 3,000 3,090,096 Inter-American Development Bank 6.125%, 03/08/06 4,500 4,676,701 International Finance Corp. 5.250%, 05/02/06 5,000 5,137,235 Nordic Investment Bank 2.750%, 01/11/06 4,400 4,387,951 --------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $19,756,608) 19,587,496 --------------- CANADA -- (5.2%) BONDS -- (5.2%) Canadian Government Corporate Bonds 5.750%, 09/01/06@ 7,000 6,169,043 Ontario, Province of 3.500%, 09/08/06@ 6,200 5,260,653 --------------- TOTAL -- CANADA (Cost $10,585,882) 11,429,696 ---------------
127
FACE AMOUNT@ VALUE+ --------------- --------------- (000) GERMANY -- (7.0%) BONDS -- (7.0%) Bayerische Landesbank Medium Term Notes 2.500%, 04/28/06 $ 5,000 $ 4,917,950 KFW International Finance, Inc. Corporate Bonds 5.250%, 06/28/06 3,000 3,104,355 Landeskreditbank Baden-Wuerttemberg - Foerderbank 4.500%, 12/30/05 1,000 1,016,100 Landwirtschaft Rentenbank 6.625%, 12/08/05 4,000 4,144,000 4.500%, 10/23/06 2,300 2,352,275 --------------- TOTAL -- GERMANY (Cost $15,665,919) 15,534,680 --------------- NORWAY -- (2.4%) BONDS -- (2.4%) Eksportfinans ASA 5.750%, 06/06/06 (Cost $5,230,515) 5,000 5,188,900 --------------- SWEDEN -- (2.2%) BONDS -- (2.2%) Sweden (Kingdom of) 4.375%, 12/20/05 (Cost $4,820,071) 4,700 4,775,670 --------------- FINLAND -- (2.1%) BONDS -- (2.1%) Republic of Finland 5.875%, 02/27/06 (Cost $4,725,399) 4,500 4,662,261 --------------- NETHERLANDS -- (2.1%) BONDS -- (2.1%) Bank Nederlandse Gemeenten 4.375%, 12/30/05 (Cost $4,617,168) $ 4,500 $ 4,565,790 --------------- SPAIN -- (1.4%) BONDS -- (1.4%) Institut de Credito Oficial 2.750%, 12/05/05 (Cost $3,025,057) 3,000 2,995,890 --------------- TEMPORARY CASH INVESTMENTS -- (0.3%) Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $590,000 FHLMC Notes 4.20%, 10/20/09, valued at $592,531) to be repurchased at $586,031 (Cost $586,000) 586 586,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $218,228,260) $ 218,255,008 ===============
- ---------- + See Note B to Financial Statements. @ Denominated in local currency or the Euro. See accompanying Notes to Financial Statements. 128 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ COMMON STOCKS -- (88.7%) * 3Com Corp. 1,041,900 $ 4,626,036 # A.G. Edwards, Inc. 199,100 7,784,810 * Advanced Micro Devices, Inc. 504,800 10,742,144 Aetna, Inc. 539,626 63,951,077 * AGCO Corp. 225,100 4,904,929 * Agere Systems, Inc. Class A 8,652 11,853 * Agere Systems, Inc. Class B 212,364 288,815 # Albertson's, Inc. 538,100 13,613,930 * Allegheny Corp. 17,934 5,067,610 Alliant Energy Corp. 212,900 5,807,912 *# Allied Waste Industries, Inc. 809,800 7,361,082 * Allmerica Financial Corp. 129,700 4,221,735 Allstate Corp. 1,791,600 90,475,800 AMBAC Financial Group, Inc. 23,200 1,886,856 Amerada Hess Corp. 249,532 22,170,918 American Financial Group, Inc. 177,400 5,584,552 # American Greetings Corp. Class A 177,600 4,727,712 American National Insurance Co. 57,800 5,875,370 *# American Tower Corp. 336,000 6,091,680 * AmeriCredit Corp. 395,300 8,277,582 # AmerisourceBergen Corp. 308,900 18,206,566 Anadarko Petroleum Corp. 677,078 47,124,629 * Andrew Corp. 414,900 5,891,580 Apache Corp. 129,990 7,027,259 * Applied Micro Circuits Corp. 213,200 784,576 Archer-Daniels-Midland Co. 2,475,260 52,475,512 * Arrow Electronics, Inc. 308,200 7,560,146 Ashland, Inc. 297,600 17,603,040 # Astoria Financial Corp. 40,500 1,680,750 AT&T Corp. 2,176,380 39,827,754 * AutoNation, Inc. 2,057,600 38,106,752 * Avnet, Inc. 322,600 5,935,840 AVX Corp. 183,300 2,307,747 Bank of Hawaii Corp. 327,500 15,900,125 * Barnes & Noble, Inc. 22,200 601,176 # Bausch & Lomb, Inc. 5,800 341,504 Bear Stearns Companies, Inc. 373,770 36,472,477 Belo Corp. Class A 324,200 8,176,324 *# Big Lots, Inc. 253,500 2,940,600 # Blockbuster, Inc. Class A 83,900 711,472 # Borders Group, Inc. 34,000 774,520 BorgWarner, Inc. 201,600 10,092,096 # Bowater, Inc. 168,400 6,821,884 Burlington Northern Santa Fe Corp. 1,283,000 57,786,320 * Caesars Entertainment, Inc. 845,900 15,902,920 * Cavco Industries, Inc. 11,450 461,435 Cendant Corp. 311,800 7,068,506 * CheckFree Corp. 56,200 2,082,210 Chubb Corp. 428,000 32,617,880 * CIENA Corp. 164,600 419,730 Cincinnati Financial Corp. 579,159 25,946,323 Circuit City Stores, Inc. 531,900 8,292,321 Clear Channel Communications, Inc. 1,630,866 54,927,567 *# CNA Financial Corp. 677,200 17,681,692 Coca-Cola Enterprises, Inc. 1,785,400 37,136,320 * Comcast Corp. Class A 2,806,066 84,294,223 * Comcast Corp. Special Class A Non-Voting 927,100 $ 27,488,515 Commerce Group, Inc. 93,100 5,529,209 Commercial Federal Corp. 98,900 2,880,957 * Compuware Corp. 956,430 5,518,601 * Comverse Technology, Inc. 111,500 2,371,605 ConocoPhillips 220,400 20,054,196 Corn Products International, Inc. 93,200 5,071,944 * Corning, Inc. 998,300 12,558,614 Countrywide Financial Corp. 1,639,998 54,464,334 * COX Communications, Inc. 1,521,400 52,746,938 *# Crown Castle International Corp. 468,900 7,915,032 CSX Corp. 577,800 22,031,514 Cummins, Inc. 33,200 2,643,384 Curtiss-Wright Corp. Class B 27,130 1,582,222 Dana Corp. 510,700 8,349,945 *# Delta Air Lines, Inc. 402,500 2,805,425 # Diamond Offshore Drilling, Inc. 313,641 11,748,992 Dillards, Inc. Class A 247,800 6,239,604 # Disney (Walt) Co. 906,600 24,369,408 # Eastman Chemical Co. 108,200 5,883,916 Electronic Data Systems Corp. 1,070,800 24,039,460 Federated Department Stores, Inc. 618,200 33,877,360 First American Corp. 257,900 8,497,805 First Citizens BancShares, Inc. 10,300 1,401,470 Florida East Coast Industries, Inc. 68,139 2,906,128 Foot Locker, Inc. 175,000 4,546,500 # Ford Motor Co. 4,711,800 66,813,324 * Fox Entertainment Group, Inc. Class A 21,900 643,860 * GameStop Corp. Class B 9,432 200,147 # General Motors Corp. 1,524,800 58,842,032 Georgia-Pacific Corp. 684,200 25,048,562 *# Goodyear Tire & Rubber Co. 203,900 2,573,218 Hartford Financial Services Group, Inc. 793,800 50,803,200 # Hearst-Argyle Television, Inc. 238,600 6,132,020 Helmerich & Payne, Inc. 146,800 4,790,084 Hewlett-Packard Co. 1,407,700 28,154,000 Hibernia Corp. 274,500 7,938,540 Hollinger International, Inc. Class A 257,600 4,824,848 Horton (D.R.), Inc. 818,872 28,832,483 * Human Genome Sciences, Inc. 23,900 262,900 * Humana, Inc. 618,900 15,361,098 *# IAC/InterActiveCorp 1,773,700 43,792,653 IKON Office Solutions, Inc. 329,600 3,717,888 Independence Community Bank Corp. 100,300 4,260,744 * Ingram Micro, Inc. 386,900 7,443,956 * Instinet Group, Inc. 15,200 91,048 International Paper Co. 1,215,775 50,478,978 Intersil Corp. 407,000 6,552,700 * Invitrogen Corp. 124,900 7,556,450 Janus Capital Group, Inc. 587,900 9,729,745 * JDS Uniphase Corp. 1,095,700 3,473,369 JPMorgan Chase & Co. 2,244,400 84,501,660 # Kerr-McGee Corp. 431,426 26,847,640
129
SHARES VALUE+ ------ ------ # KeyCorp 941,600 $ 31,345,864 # Kraft Foods, Inc. 312,800 10,697,760 * LaBranche & Co., Inc. 19,700 157,797 LaFarge North America, Inc. 257,500 12,913,625 * Laidlaw International, Inc. 17,400 328,860 Lear Corp. 160,900 9,332,200 Lehman Brothers Holdings, Inc. 227,800 19,085,084 *# Level 3 Communications, Inc. 195,500 674,475 * Liberty Media Corp. Class A 7,339,100 75,812,903 * Liberty Media International, Inc. Class A 313,805 13,512,443 Lincoln National Corp. 468,500 21,560,370 Loews Corp. 636,800 44,518,688 # Louisiana-Pacific Corp. 295,100 7,221,097 * LSI Logic Corp. 1,056,200 5,587,298 Lubrizol Corp. 182,000 6,288,100 *# Lucent Technologies, Inc. 1,193,800 4,691,634 # Lyondell Chemical Co. 447,200 12,548,432 Marathon Oil Corp. 961,450 37,919,588 # May Department Stores Co. 446,600 12,558,392 MBIA, Inc. 398,050 23,867,078 McKesson Corp. 653,300 19,305,015 MeadWestavco Corp. 758,431 25,521,203 * Medco Health Solutions, Inc. 690,100 26,030,572 MetLife, Inc. 2,041,200 79,606,800 * Metro-Goldwyn-Mayer, Inc. 288,500 3,415,840 MGIC Investment Corp. 116,900 7,949,200 *# MGM MIRAGE 390,100 22,742,830 *# Micron Technology, Inc. 1,663,300 18,429,364 *# Millennium Pharmaceuticals, Inc. 545,800 6,887,996 Nationwide Financial Services, Inc. 145,900 5,482,922 # New York Community Bancorp Inc. 63,200 1,250,096 Norfolk Southern Corp. 1,537,600 52,785,808 Northrop Grumman Corp. 1,018,042 57,346,306 # Nucor Corp. 30,000 1,587,000 Occidental Petroleum Corp. 650,800 39,184,668 # Odyssey Re Holdings Corp. 50,500 1,219,575 OfficeMax, Inc. 213,400 6,459,618 Old Republic International Corp. 501,412 12,530,286 Overseas Shipholding Group, Inc. 86,500 5,682,185 * Owens-Illinois, Inc. 314,400 6,577,248 *# PacifiCare Health Systems, Inc. 243,400 11,780,560 Peabody Energy Corp. 54,600 4,531,800 Penney (J.C.) Co., Inc. 1,120,000 43,232,000 PepsiAmericas, Inc. 192,000 4,053,120 # Phelps Dodge Corp. 287,085 27,884,566 PMI Group, Inc. 246,300 10,142,634 Pogo Producing Co. 159,700 8,064,850 * Pride International, Inc. 366,700 7,172,652 Principal Financial Group, Inc. 846,200 31,884,816 Protective Life Corp. 177,500 7,428,375 *# Providian Financial Corp. 483,100 7,753,755 Prudential Financial, Inc. 496,300 24,293,885 # Pulte Homes, Inc. 248,400 13,726,584 Questar Corp. 251,000 12,753,310 * Qwest Communications International, Inc. 2,000,600 8,002,400 Radian Group, Inc. 245,200 12,566,500 * Radio One, Inc. 55,000 763,400 Raytheon Co. 1,311,300 52,897,842 # Reinsurance Group of America, Inc. 149,600 6,944,432 # Reynolds American, Inc. 251,326 $ 19,007,785 * Rite Aid Corp. 969,800 3,559,166 # Ryder System, Inc. 275,400 14,772,456 Safeco Corp. 486,400 23,575,808 Saks, Inc. 743,200 10,337,912 * Sanmina-SCI Corp. 1,410,100 12,451,183 SBC Communications, Inc. 430,200 10,828,134 # Sears, Roebuck & Co. 552,600 28,751,778 * Service Corp. International 311,600 2,199,896 * Smithfield Foods, Inc. 157,600 4,578,280 * Smurfit-Stone Container Corp. 669,626 12,026,483 * Solectron Corp. 1,155,300 7,220,625 Sovereign Bancorp, Inc. 781,020 17,065,287 Sprint Corp. 2,161,500 49,303,815 StanCorp Financial Group, Inc. 54,200 4,284,510 Starwood Hotels & Resorts Worldwide, Inc. 573,500 29,988,315 Steelcase, Inc. Class A 49,000 651,700 * Sun Microsystems, Inc. 2,143,700 11,897,535 # Sunoco, Inc. 298,800 24,668,928 Supervalu, Inc. 565,200 17,854,668 * Tech Data Corp. 169,000 7,670,910 Telephone & Data Systems, Inc. 152,000 11,780,000 * Tellabs, Inc. 1,124,800 9,617,040 Temple-Inland, Inc. 131,300 7,824,167 * Tenet Healthcare Corp. 1,285,500 13,947,675 Textron, Inc. 123,000 8,932,260 * The DIRECTV Group, Inc. 481,937 7,706,173 The St. Paul Travelers Companies, Inc. 1,418,426 51,744,180 * Thomas & Betts Corp. 46,900 1,483,916 # Tidewater, Inc. 147,000 4,987,710 * Time Warner, Inc. 8,350,880 147,894,085 Torchmark Corp. 127,200 6,984,552 *# Toys R Us, Inc. 819,300 15,845,262 Transatlantic Holdings, Inc. 9,400 548,396 * Triad Hospitals, Inc. 197,000 7,227,930 Tribune Co. 656,900 28,489,753 Tyson Foods, Inc. Class A 912,556 14,956,793 Union Pacific Corp. 824,200 52,287,248 UnionBanCal Corp. 86,600 5,354,478 * Unisys Corp. 113,200 1,300,668 * United States Cellular Corp. 131,000 5,796,750 # Unitrin, Inc. 223,800 10,661,832 UnumProvident Corp. 913,089 14,216,796 Valero Energy Corp. 686,800 32,135,372 Valhi, Inc. 158,500 2,458,335 *# VeriSign, Inc. 166,300 5,471,270 # Viacom, Inc. Class B 4,105,100 142,446,970 *# Vishay Intertechnology, Inc. 401,316 5,863,227 * Vitesse Semiconductor, Inc. 2,800 9,128 *# Watson Pharmaceuticals, Inc. 289,900 8,421,595 * WebMD Corp. 25,800 187,050 Weis Markets, Inc. 20,800 798,720 Wesco Financial Corp. 13,540 5,216,285 # Weyerhaeuser Co. 665,400 43,916,400 # Worthington Industries, Inc. 133,200 2,865,132 *# Xerox Corp. 75,000 1,149,000 --------------- TOTAL COMMON STOCKS (Cost $3,052,795,344) 3,892,359,427 ---------------
130
FACE AMOUNT VALUE+ ------ ------ (000) TEMPORARY CASH INVESTMENTS -- (11.3%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $462,830,000 U.S. Treasury Note 4.75%, 05/15/14, valued at $478,981,949) to be repurchased at $469,615,320 (Cost $469,590,014)^ $ 469,590 $ 469,590,014 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $24,286,000 FHLMC Notes 4.20%, 10/20/09, valued at $24,390,187) to be repurchased at $24,137,260 (Cost $24,136,000) 24,136 24,136,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $493,726,014) 493,726,014 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,546,521,358) $ 4,386,085,441 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 131 THE U.S. SMALL XM VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ COMMON STOCKS -- (94.9%) 1st Source Corp. 14,400 $ 378,000 * 3Com Corp. 256,761 1,140,019 * AAR Corp. 22,300 304,841 * ABX Air, Inc. 7,000 55,020 * Actel Corp. 1,500 25,740 * Adaptec, Inc. 84,499 659,092 * Advanced Digital Information Corp. 47,839 439,162 Advanta Corp. Class A 6,287 140,703 Advanta Corp. Class B Non-Voting 13,327 318,249 * AGCO Corp. 9,000 196,110 * Agile Software Corp. 35,342 295,459 Agilysys, Inc. 24,900 411,597 * AK Steel Holding Corp. 53,238 687,303 * Alaska Air Group, Inc. 23,600 737,028 Alexander & Baldwin, Inc. 33,500 1,417,385 Alfa Corp. 500 7,575 * Allegheny Corp. 3,052 862,404 * Alliance Semiconductor Corp. 13,700 47,950 * Allmerica Financial Corp. 42,600 1,386,630 * Alloy, Inc. 16,100 72,450 Alpharma, Inc. Class A 32,000 531,520 * Amerco, Inc. 15,700 646,055 American Axle & Manufacturing Holdings, Inc. 5,200 151,632 American Financial Group, Inc. 58,900 1,854,172 American Greetings Corp. Class A 51,300 1,365,606 American National Insurance Co. 10,400 1,057,160 # AmerUs Group Co. 31,200 1,359,384 * Anadigics, Inc. 6,800 22,916 Analogic Corp. 11,000 498,520 * AnnTaylor Stores Corp. 4,900 107,506 * Applica, Inc. 9,200 46,460 Applied Industrial Technologies, Inc. 15,700 653,905 * Applied Micro Circuits Corp. 209,853 772,259 Arch Chemicals, Inc. 14,550 424,860 * Arena Pharmaceuticals, Inc. 4,800 26,880 * Argonaut Group, Inc. 20,223 402,033 * Ariba, Inc. 2,181 35,986 *# Armstrong Holdings, Inc. 20,200 52,520 * Arris Group, Inc. 58,221 331,277 * Arrow Electronics, Inc. 11,677 286,437 * Ascential Software Corp. 16,259 222,261 *# ATA Holdings Corp. 4,600 5,060 * Atmel Corp. 18,120 64,326 * Audiovox Corp. Class A 12,800 191,360 * Avnet, Inc. 96,400 1,773,760 AVX Corp. 138,900 1,748,751 * Aztar Corp. 15,100 510,682 Baldwin & Lyons, Inc. Class B 4,725 122,850 * Bally Total Fitness Holding Corp. 13,300 44,289 Bandag, Inc. Class A 3,800 173,204 Banner Corp. 4,497 148,491 * Barnes & Noble, Inc. 34,500 934,260 Bassett Furniture Industries, Inc. 4,600 90,666 Bay View Capital Corp. 3,460 59,512 * BearingPoint, Inc. 19,700 171,390 # Beazer Homes USA, Inc. 10,600 1,314,400 Belden CDT, Inc. 12,500 $ 289,875 * Beverly Enterprises, Inc. 5,200 45,084 * Big Lots, Inc. 89,900 1,042,840 Black Box Corp. 11,400 486,552 # Blockbuster, Inc. Class A 29,700 251,856 Bob Evans Farms, Inc. 24,200 611,050 * Boca Resorts, Inc. 27,200 651,168 * Bombay Co., Inc. 5,100 35,292 # Borders Group, Inc. 54,200 1,234,676 # Bowater, Inc. 44,500 1,802,695 Bowne & Co., Inc. 27,430 422,422 Brookline Bancorp, Inc. 5,470 88,614 Brown Shoe Company, Inc. 1,100 31,372 * Buckeye Technologies, Inc. 29,800 369,222 Building Materials Holding Corp. 300 10,935 Burlington Coat Factory Warehouse Corp. 34,800 811,188 C&D Technologies, Inc. 17,800 308,474 Calgon Carbon Corp. 15,300 143,055 Callaway Golf Co. 7,500 88,200 Cambrex Corp. 2,400 59,520 * Caraustar Industries, Inc. 21,800 350,762 Carpenter Technology Corp. 16,600 970,270 Casey's General Stores, Inc. 34,935 676,691 * Castle (A.M.) & Co. 6,200 78,864 * Central Garden & Pet Co. 14,790 572,373 Central Parking Corp. 24,700 374,946 * Century Business Services, Inc. 64,700 278,210 * Cenveo, Inc. 13,200 42,108 * Charming Shoppes, Inc. 87,714 820,126 *# Charter Communications, Inc. 50,200 108,432 Chesapeake Corp. 13,700 369,763 * Chiquita Brands International, Inc. 2,600 51,428 * Ciber, Inc. 46,900 437,577 * CIENA Corp. 80,600 205,530 * Cincinnati Bell, Inc. 85,400 307,440 CIRCOR International, Inc. 5,950 124,057 * CMS Energy Corp. 72,075 735,165 * CNA Surety Corp. 27,800 363,068 Coachmen Industries, Inc. 6,100 98,027 * Coherent, Inc. 22,036 636,620 * Collins & Aikman Corp. 57,800 205,190 * Columbus McKinnon Corp. 3,400 26,894 * Comfort Systems USA, Inc. 14,800 106,560 Commerce Group, Inc. 5,100 302,889 Commercial Federal Corp. 34,500 1,004,985 Commercial Metals Co. 19,800 897,732 Community Bank System, Inc. 16,800 465,360 * CompuCredit Corp. 27,900 668,763 * Compuware Corp. 170,436 983,416 * COMSYS IT Partners, Inc. 44 396 * Conexant Systems, Inc. 34,691 69,035 * Conmed Corp. 23,900 692,383 * Consolidated Freightways Corp. 400 1 * Consolidated Graphics, Inc. 5,000 236,500 * Continental Airlines, Inc. 53,200 592,648 * Convergys Corp. 14,300 212,641 Cooper Tire & Rubber Co. 55,000 1,123,100
132
SHARES VALUE+ ------ ------ * Corixa Corp. 6,100 $ 22,875 Corn Products International, Inc. 25,240 1,373,561 * Corrections Corporation of America 3,500 138,250 * Covenant Transport, Inc. Class A 4,900 94,178 * Cox Radio, Inc. 4,200 66,780 * Credence Systems Corp. 53,185 406,333 * Cross Country Healthcare, Inc. 24,361 432,408 * Crown Media Holdings, Inc. 8,355 74,025 CSS Industries, Inc. 4,600 147,798 * CTI Molecular Imaging, Inc. 8,300 111,054 CTS Corp. 25,300 338,008 * Cumulus Media, Inc. Class A 38,600 589,808 * CuraGen Corp. 5,766 34,769 Dana Corp. 25,000 408,750 Delphi Financial Group, Inc. Class A 18,317 851,008 Dillards, Inc. Class A 61,414 1,546,405 DIMON, Inc. 17,500 113,925 * Dollar Thrifty Automotive Group, Inc. 16,800 451,752 * DoubleClick, Inc. 67,820 508,650 Downey Financial Corp. 19,000 1,097,060 * DuPont Photomasks, Inc. 12,679 334,472 * Dura Automotive Systems, Inc. 6,150 55,965 *# Dynegy, Inc. 129,400 731,110 * E.piphany, Inc. 47,432 214,393 * Edgewater Technology, Inc. 4,472 18,693 Electro Rent Corp. 9,700 137,546 * Electroglas, Inc. 7,500 24,450 * Electronics for Imaging, Inc. 2,300 38,479 * EMCOR Group, Inc. 1,500 69,330 * Emmis Communications Corp. Class A 27,823 514,447 * EnPro Industries, Inc. 2,100 60,354 * Entercom Communications Corp. 4,100 147,682 * Entravision Communications Corp. 47,300 387,860 * Esterline Technologies Corp. 14,700 523,320 * Exar Corp. 28,202 394,264 * Fairchild Corp. Class A 8,736 26,208 * Fairchild Semiconductor Corp. Class A 11,900 182,070 FBL Financial Group, Inc. Class A 18,300 520,086 *# Federal-Mogul Corp. 98,700 36,519 First American Corp. 62,300 2,052,785 First Citizens BancShares, Inc. 3,500 476,227 First Merchants Corp. 400 10,780 First Niagara Financial Group, Inc. 2,000 28,880 Flowers Foods, Inc. 13,925 425,130 * Flowserve Corp. 42,500 1,071,850 * Forest Oil Corp. 42,400 1,442,872 * Franklin Covey Co. 6,500 12,935 * FSI International, Inc. 2,100 9,450 * FTI Consulting, Inc. 4,300 86,731 Fuller (H.B.) Co. 2,300 65,826 Furniture Brands International, Inc. 5,500 133,595 * GameStop Corp. Class B 14,658 311,043 * Gateway, Inc. 58,900 401,109 GATX Corp. 38,600 1,136,384 * Gaylord Entertainment Co. 27,650 974,386 * Genesis HealthCare Corp. 800 25,800 * Gerber Scientific, Inc. 8,700 68,295 Gibraltar Industries, Inc. 9,450 $ 227,650 Glatfelter (P.H.) Co. 35,400 507,282 * Glenayre Technologies, Inc. 25,600 46,848 Goody's Family Clothing, Inc. 12,700 123,698 Granite Construction, Inc. 5,400 143,316 * Graphic Packaging Corp. 6,900 56,304 Gray Television, Inc. 33,400 501,000 Great American Financial Resources, Inc. 18,400 321,264 * Great Atlantic & Pacific Tea Co., Inc. 19,250 145,530 * Group 1 Automotive, Inc. 15,900 469,209 * Ha-Lo Industries, Inc. 27,300 19 * Hain Celestial Group, Inc. 24,600 477,978 Handleman Co. 17,100 362,520 * Hanger Orthopedic Group, Inc. 6,900 53,820 * Hanover Compressor Co. 62,800 916,880 Harleysville Group, Inc. 24,000 576,960 Hearst-Argyle Television, Inc. 30,500 783,850 Heico Corp. 2,900 62,060 Helmerich & Payne, Inc. 40,100 1,308,463 * Hexcel Corp. 15,100 230,275 Horace Mann Educators Corp. 29,300 556,700 * Houston Exploration Co. 22,300 1,335,770 Hughes Supply, Inc. 43,000 1,413,840 * Human Genome Sciences, Inc. 87,761 965,371 * Hutchinson Technology, Inc. 1,500 49,155 * Hypercom Corp. 18,900 114,912 * Identix, Inc. 6,288 49,864 * IDT Corp. 18,800 275,796 IHOP Corp. 5,900 249,983 IKON Office Solutions, Inc. 112,100 1,264,488 Imation Corp. 3,300 106,293 * IMCO Recycling, Inc. 6,000 96,960 * Incyte Corp. 27,400 281,398 * InFocus Corp. 27,400 183,580 * Infonet Services Corp. 143,300 285,167 Ingles Market, Inc. Class A 4,000 51,160 * Ingram Micro, Inc. 108,800 2,093,312 * Insight Communications Co., Inc. 40,300 341,341 * Insight Enterprises, Inc. 33,881 685,413 * Insituform Technologies, Inc. Class A 10,977 256,203 * Instinet Group, Inc. 163,976 982,216 * Integrated Device Technology, Inc. 4,600 52,210 * Integrated Electrical Services, Inc. 17,900 54,058 * Interface, Inc. Class A 24,800 245,520 * Interland, Inc. 180 565 Intermet Corp. 7,500 975 Interpool, Inc. 10,750 229,512 Intersil Corp. 700 11,270 * Iomega Corp. 25,700 116,935 * Ionics, Inc. 15,800 682,718 Irwin Financial Corp. 2,200 58,542 * Jacuzzi Brands, Inc. 13,800 128,892 * Jakks Pacific, Inc. 17,699 329,555 * JDA Software Group, Inc. 18,852 247,338 * Jo-Ann Stores, Inc. 15,800 434,816 * K2, Inc. 31,800 536,784 Kaman Corp. Class A 9,000 108,000 *# Kansas City Southern 47,700 811,377 * Keane, Inc. 3,300 51,150
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SHARES VALUE+ ------ ------ Kellwood Co. 19,200 $ 668,352 Kelly Services, Inc. Class A 25,200 766,080 * Kemet Corp. 66,000 584,760 Kennametal, Inc. 4,200 215,460 Kimball International, Inc. Class B 16,239 241,961 * Kindred Healthcare, Inc. 25,500 696,150 * Knight Trading Group, Inc. 64,431 735,158 La-Z-Boy, Inc. 2,200 33,770 * LaBranche & Co., Inc. 45,900 367,659 * Laidlaw International, Inc. 6,800 128,520 * Lakes Entertainment, Inc. 8,300 115,785 LandAmerica Financial Group, Inc. 14,900 795,660 Landry's Restaurants, Inc. 18,800 555,540 * Lattice Semiconductor Corp. 69,400 370,457 Lawson Products, Inc. 185 9,037 Liberty Corp. 12,700 553,720 * Linens 'n Things, Inc. 4,500 111,780 Lithia Motors, Inc. Class A 10,500 266,490 Lone Star Steakhouse & Saloon, Inc. 17,372 468,870 Longs Drug Stores Corp. 30,000 801,000 Longview Fibre Co. 39,200 681,296 Louisiana-Pacific Corp. 68,600 1,678,642 * LSI Logic Corp. 215,500 1,139,995 Lubrizol Corp. 36,100 1,247,255 * Luby's, Inc. 10,400 74,256 * M&F Worldwide Corp. 7,100 92,655 M/I Homes, Inc. 1,000 45,210 MAF Bancorp, Inc. 22,840 1,048,356 * Magnetek, Inc. 8,700 57,507 * Magnum Hunter Resources, Inc. 60,200 806,680 * Mastec, Inc. 8,800 73,832 * Maxxam, Inc. 2,600 77,974 * Maxygen, Inc. 3,900 39,351 MCG Capital Corp. 2,900 49,300 Media General, Inc. Class A 18,000 1,119,600 * MedQuist, Inc. 28,200 341,925 * Metris Companies, Inc. 40,500 468,990 Midland Co. 6,900 219,420 * Milacron, Inc. 19,167 57,309 Minerals Technologies, Inc. 13,600 902,360 * MIPS Technologies, Inc. 1,559 13,641 * MKS Instruments, Inc. 32,446 551,258 * Mobile Mini, Inc. 4,047 122,584 Modine Manufacturing Co. 26,924 865,607 * Mondavi (Robert) Corp. Class A 7,500 422,250 Movado Group, Inc. 12,000 220,800 Movie Gallery, Inc. 200 3,486 * MPS Group, Inc. 78,800 887,288 * MRV Communications, Inc. 16,522 63,758 * MSC.Software Corp. 5,000 47,550 Mueller Industries, Inc. 23,900 734,447 Myers Industries, Inc. 12,310 139,472 NACCO Industries, Inc. Class A 4,100 448,909 National Presto Industries, Inc. 2,700 122,418 * NCI Building Systems, Inc. 13,500 500,850 * NCO Group, Inc. 22,195 557,316 * Neoforma, Inc. 4,600 34,178 NetBank, Inc. 18,773 192,799 * NetIQ Corp. 43,858 538,138 * NetRatings, Inc. 11,490 229,800 * NewMarket Corp. 5,560 $ 106,696 * Newpark Resources, Inc. 57,600 329,472 * Newport Corp. 28,288 349,074 * Northwest Airlines Corp. 33,500 343,040 * OCA, Inc. 31,100 177,892 * Ocwen Financial Corp. 28,600 266,838 # Odyssey Re Holdings Corp. 49,600 1,197,840 * Offshore Logistics, Inc. 15,800 598,820 * Ohio Casualty Corp. 42,700 917,196 * Oil States International, Inc. 16,500 336,105 * OM Group, Inc. 2,800 86,072 * Oplink Communications, Inc. 62,000 127,100 * Oregon Steel Mills, Inc. 10,100 181,598 Overseas Shipholding Group, Inc. 30,000 1,970,700 Park Electrochemical Corp. 13,950 294,205 * Parker Drilling Co. 36,300 158,631 * Pathmark Stores, Inc. 11,800 65,018 * Paxson Communications Corp. 18,600 21,576 * Payless ShoeSource, Inc. 47,400 553,632 * Pegasus Solutions, Inc. 200 2,338 Pep Boys - Manny, Moe & Jack 40,300 634,725 PepsiAmericas, Inc. 65,300 1,378,483 * Per-Se Technologies, Inc. 11,800 162,722 Phillips-Van Heusen Corp. 21,500 586,950 * Photronics, Inc. 22,774 429,062 * Pico Holdings, Inc. 4,200 86,562 * Pinnacle Entertainment, Inc. 21,300 387,234 * Plains Exploration & Production Co. 1,200 33,636 * Plexus Corp. 26,809 368,624 * PMA Capital Corp. Class A 16,434 163,518 * PolyOne Corp. 36,900 340,587 Pope & Talbot, Inc. 1,900 31,920 * Powerwave Technologies, Inc. 42,100 340,505 Presidential Life Corp. 20,305 339,297 * PRG-Schultz International, Inc. 27,514 148,576 * Pride International, Inc. 81,500 1,594,140 * ProcureNet, Inc. 13,000 13 * Protection One, Inc. 3,900 1,014 Protective Life Corp. 34,500 1,443,825 Pulitzer, Inc. 6,000 381,660 Quanex Corp. 11,100 654,900 * Quanta Services, Inc. 88,200 680,022 * Quantum Corp. 18,100 51,766 * Radio One, Inc. 15,500 215,140 * RailAmerica, Inc. 25,400 325,120 Regal-Beloit Corp. 17,100 482,391 # Reinsurance Group of America, Inc. 24,900 1,155,858 Reliance Steel & Aluminum Co. 25,600 1,021,696 * Remec, Inc. 16,400 98,892 * Rent-Way, Inc. 9,700 82,256 Resource America, Inc. 12,200 359,046 * Retail Ventures, Inc. 13,300 97,489 Riggs National Corp. 13,800 277,656 * Riverstone Networks, Inc. 13,200 14,190 RLI Corp. 17,600 733,040 Rock-Tenn Co. Class A 24,500 395,430 * Rowan Companies, Inc. 65,800 1,704,220 * RTI International Metals, Inc. 14,900 321,095 Ruddick Corp. 31,800 693,558 Russ Berrie & Co., Inc. 5,600 127,344 Russell Corp. 25,100 460,334
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SHARES VALUE+ ------ ------ * Ryan's Restaurant Group, Inc. 29,100 $ 444,357 Ryerson Tull, Inc. 17,418 281,823 * Safeguard Scientifics, Inc. 66,500 133,665 * SafeNet, Inc. 15,600 556,296 Saks, Inc. 99,900 1,389,609 * ScanSoft, Inc. 66,372 242,258 Schulman (A.), Inc. 22,055 473,080 Schweitzer-Maudoit International, Inc. 10,500 362,880 SCPIE Holdings, Inc. 3,900 38,961 * SCS Transportation, Inc. 5,750 121,612 Seaboard Corp. 540 405,000 * SEACOR Holdings, Inc. 14,650 813,075 Selective Insurance Group, Inc. 19,400 868,926 * Sequa Corp. Class A 2,800 167,160 * Sequa Corp. Class B 1,300 78,325 * Sequenom, Inc. 13,200 11,748 * Service Corp. International 236,400 1,668,984 *# Shaw Group, Inc. 46,700 687,891 * Shiloh Industries, Inc. 5,300 68,794 * ShopKo Stores, Inc. 23,400 418,392 *# Silicon Graphics, Inc. 79,700 128,317 * Six Flags, Inc. 70,700 343,602 Skyline Corp. 3,300 136,455 * Skyworks Solutions, Inc. 86 854 Smith (A.O.) Corp. 16,750 503,338 * Sola International, Inc. 22,500 486,000 Sonic Automotive, Inc. 24,300 603,369 * SonicWALL, Inc. 49,600 305,040 * SOURCECORP, Inc. 10,200 169,626 South Jersey Industries, Inc. 9,600 493,536 * Spherion Corp. 45,800 360,904 * Spinnaker Exploration Co. 24,300 881,361 * SR Telecom, Inc. 21 64 StanCorp Financial Group, Inc. 22,600 1,786,530 Standard Motor Products, Inc. 7,700 120,043 Standard Pacific Corp. 23,800 1,333,038 Standard Register Co. 12,800 168,448 Starrett (L.S.) Co. Class A 2,000 39,760 Steelcase, Inc. Class A 35,500 472,150 Stepan Co. 3,500 89,145 Stewart & Stevenson Services, Inc. 20,000 400,000 * Stewart Enterprises, Inc. 75,400 559,468 Stewart Information Services Corp. 13,400 584,910 * Stillwater Mining Co. 46,800 555,048 * Stoneridge, Inc. 8,800 133,848 Stride Rite Corp. 26,300 289,563 *# Sunrise Senior Living, Inc. 17,800 764,510 * Swift Energy Corp. 22,400 679,616 SWS Group, Inc. 1,100 23,221 * Sycamore Networks, Inc. 207,882 779,558 * Systemax, Inc. 13,350 92,115 * Tech Data Corp. 40,700 1,847,373 Tecumseh Products Co. Class A 8,800 402,952 Tecumseh Products Co. Class B 2,200 96,360 * Teleglobe International Holdings, Ltd. 3,100 10,633 * Terra Industries, Inc. 51,000 418,200 * Tesoro Petroleum Corp. 45,900 1,520,208 Texas Industries, Inc. 16,900 1,014,000 The Marcus Corp. 14,400 329,040 * The Mens Warehouse, Inc. 1,900 $ 60,135 The Phoenix Companies, Inc. 66,100 806,420 * THQ, Inc. 29,337 629,572 Tidewater, Inc. 43,500 1,475,955 * Timco Aviation Services, Inc. 910 328 * Time Warner Telecom, Inc. 29,130 110,403 Timken Co. 62,600 1,627,600 Titan International, Inc. 8,100 101,088 *# Tower Automotive, Inc. 33,800 60,840 * Trammell Crow Co. 26,600 454,860 * Trans World Entertainment Corp. 15,200 171,456 *# Transmeta Corp. 2,000 3,380 * TransMontaigne, Inc. 6,500 35,295 Tredegar Industries, Inc. 29,300 545,859 *# Trenwick Group, Ltd. 38,857 466 * Triad Guaranty, Inc. 10,100 606,000 * Triad Hospitals, Inc. 29,300 1,075,017 * Trico Marine Services, Inc. 14,200 4,970 Trinity Industries, Inc. 35,600 1,258,460 * Triquint Semiconductor, Inc. 70,451 305,053 * Triumph Group, Inc. 11,100 450,216 * TriZetto Group, Inc. 12,500 88,500 * Tweeter Home Entertainment Group, Inc. 9,400 60,254 UICI 10,700 357,380 UMB Financial Corp. 15,953 893,528 * Unifi, Inc. 21,100 78,492 Unifirst Corp. 5,900 163,076 United Auto Group, Inc. 32,300 921,196 United Community Financial Corp. 22,800 261,972 * United Rentals, Inc. 56,200 1,004,294 * Universal American Financial Corp. 14,740 196,779 * Universal Compression Holdings, Inc. 23,860 889,978 Universal Forest Products, Inc. 5,800 250,328 * Universal Stainless & Alloy Products, Inc. 2,500 36,800 * URS Corp. 30,100 904,204 USEC, Inc. 63,300 666,549 USF Corp. 22,220 821,473 * Vail Resorts, Inc. 20,460 465,465 Valhi, Inc. 65,800 1,020,558 * Veritas DGC, Inc. 26,000 608,400 * Vignette Corp. 63,300 80,391 * Vishay Intertechnology, Inc. 106,000 1,548,660 Visteon Corp. 94,100 796,086 * Volt Information Sciences, Inc. 6,000 183,000 Watsco, Inc. Class A 50 1,654 Wausau-Mosinee Paper Corp. 39,700 712,615 Weis Markets, Inc. 18,700 718,080 Wellman, Inc. 12,500 128,625 Wesco Financial Corp. 2,775 1,069,069 * Wilson Greatbatch Technologies, Inc. 2,100 42,105 * Wolverine Tube, Inc. 4,800 50,976 Woodward Governor Co. 841 61,267 York International Corp. 29,000 1,069,230 * Zoran Corp. 28,100 332,985 --------------- TOTAL COMMON STOCKS (Cost $188,809,468) 203,487,286 ---------------
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SHARES VALUE+ ------ ------ RIGHTS/WARRANTS -- (0.1%) * Chiquita Brands International, Inc. Warrants 03/19/09 24,308 $ 133,694 * Imperial Credit Industries, Inc. Warrants 01/31/08 511 0 * Timco Aviation Services, Inc. Warrants 02/27/07 2,178 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $1,119,289) 133,694 --------------- FACE AMOUNT ------ (000) BONDS -- (0.0%) * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 (Cost $0) $ 1 0 --------------- TEMPORARY CASH INVESTMENTS -- (5.1%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $11,210,000 U.S. Treasury Bill, 03/10/05, valued at $11,141,619) to be repurchased $10,921,186 (Cost $10,920,598)^ 10,921 10,920,598 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $200,849,355) $ 214,541,578 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 136 THE U.S. SMALL CAP VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ COMMON STOCKS -- (94.4%) 1st Source Corp. 297,344 $ 7,805,280 * AAR Corp. 1,070,730 14,636,879 ABC Bancorp 18,280 378,396 * Ablest, Inc. 16,800 124,656 Abrams Industries, Inc. 10,000 39,000 * ABX Air, Inc. 726,200 5,707,932 * Accelrys, Inc. 832,759 5,213,071 * Aclara BioSciences, Inc. 461,715 1,929,969 * Acme Communications, Inc. 460,203 2,705,994 * ACT Teleconferencing, Inc. 196,686 222,255 * Actel Corp. 14,217 243,964 Action Performance Companies, Inc. 117,500 1,267,825 * ActivCard Corp. 24,943 198,546 * Active Power, Inc. 996,765 4,535,281 Adams Resources & Energy, Inc. 6,700 118,925 * Adaptec, Inc. 1,278,294 9,970,693 * Adept Technology, Inc. 94,800 156,420 * Advanced Digital Information Corp. 49,200 451,656 Advanced Marketing Services, Inc. 34,200 367,650 * Advanced Power Technology, Inc. 235,348 1,767,463 Advanta Corp. Class A 281,453 6,298,918 Advanta Corp. Class B Non-Voting 494,299 11,803,860 * Aehr Test Systems 89,200 194,456 * AEP Industries, Inc. 196,050 2,144,787 * Aether Systems, Inc. 1,351,051 5,025,910 * Aetrium, Inc. 69,748 251,093 * Aftermarket Technology Corp. 15,855 276,194 * Agile Software Corp. 227,921 1,905,420 Agilysys, Inc. 929,834 15,370,156 * Air Methods Corp. 210,894 1,533,199 * AirNet Systems, Inc. 312,700 1,031,910 * Airspan Networks, Inc. 94,500 518,805 * AK Steel Holding Corp. 2,252,816 29,083,855 *# Akamai Technologies, Inc. 355,127 4,598,895 Alamo Group, Inc. 158,700 3,316,830 *# Alaska Air Group, Inc. 1,004,900 31,383,027 * Alaska Communications Systems Group, Inc. 251,100 2,156,949 * Albany Molecular Research, Inc. 28,100 301,232 * Alderwoods Group, Inc. 75,400 797,732 # Aldila, Inc. 78,966 1,027,348 Alexander & Baldwin, Inc. 844,086 35,713,279 * All American Semiconductor, Inc. 29,260 178,486 Allen Organ Co. Class B 5,000 326,925 * Alliance Semiconductor Corp. 1,130,414 3,956,449 * Allied Defense Group, Inc. 148,100 3,033,088 * Allied Healthcare International, Inc. 228,600 1,229,868 * Allied Healthcare Products, Inc. 124,200 768,798 * Allied Holdings, Inc. 111,535 286,087 * Allied Motion Technologies, Inc. 45,300 310,350 * Allmerica Financial Corp. 300,700 9,787,785 * Allou HealthCare, Inc. Class A 2,000 0 * Alloy, Inc. 869,729 3,913,780 * Allscripts Healthcare Solutions, Inc. 309,631 3,049,865 * Almost Family, Inc. 13,700 168,510 * Alpha Technologies Group, Inc. 82,112 82,112 Alpharma, Inc. Class A 1,343,000 22,307,230 Ambassadors International, Inc. 159,500 $ 2,191,530 * AMC Entertainment, Inc. 407,200 7,871,176 * Amcast Industrial Corp. 149,800 82,390 * Amerco, Inc. 154,800 6,370,020 *# America West Holdings Corp. Class B 650,300 3,778,243 * American Banknote Corp. 745 104 * American Biltrite, Inc. 45,600 542,640 *# American Business Financial Services, Inc. 43,184 150,280 * American Dental Partners, Inc. 69,500 1,272,545 American Greetings Corp. Class A 1,214,100 32,319,342 American Italian Pasta Co. 31,300 602,838 * American Medical Security Group, Inc. 368,400 11,910,372 American Pacific Corp. 104,300 870,905 * American Physicians Capital, Inc. 281,057 9,362,009 American Physicians Services Group, Inc. 36,300 368,445 * American Retirement Corp. 269,200 2,140,140 American Shared Hospital Services 30,900 162,843 American Software, Inc. Class A 278,650 1,657,967 * American Technical Ceramics Corp. 83,100 831,831 Americana Bancorp 26,030 407,369 * AmeriServe Financial, Inc. 404,084 2,101,237 Ameron International Corp. 254,621 9,670,506 # AmerUs Group Co. 486,485 21,196,151 * Amistar Corp. 42,300 143,820 Ampco-Pittsburgh Corp. 200,200 2,696,694 Amrep Corp. 96,692 1,720,151 * Amtech Systems, Inc. 6,000 25,500 *# Anadigics, Inc. 922,617 3,109,219 * Analex Corp. 1,800 7,290 Analogic Corp. 95,938 4,347,910 * Analysts International Corp. 521,316 1,746,409 *# Analytical Surveys, Inc. 830 2,166 * Anaren, Inc. 480,476 6,454,715 Andersons, Inc. 96,900 2,217,072 * Angeion Corp. 315 813 Angelica Corp. 206,900 5,244,915 * Angelo & Maxie's, Inc. 25,350 18,886 * AnswerThink, Inc. 141,400 637,714 * APA Enterprises, Inc. 157,400 339,984 * Applica, Inc. 813,100 4,106,155 * Applied Extrusion Technologies, Inc. 306,500 52,105 * Applied Films Corp. 29,892 662,407 Applied Industrial Technologies, Inc. 645,600 26,889,240 * Applied Innovation, Inc. 51,000 182,580 * Applied Micro Circuits Corp. 1,007,300 3,706,864 * Apropos Technology, Inc. 389,416 1,164,354 * Aradigm Corp. 3,400 5,168 * Arch Capital Group, Ltd. 34,800 1,355,460 Arch Chemicals, Inc. 375,887 10,975,900 * Arena Pharmaceuticals, Inc. 802,721 4,495,318 * Argonaut Group, Inc. 785,721 15,620,133 * Argonaut Technologies, Inc. 8,000 7,440 * Ariba, Inc. 116,683 1,925,269 * Arlington Hospitality, Inc. 70,000 203,000
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SHARES VALUE+ ------ ------ *# Armstrong Holdings, Inc. 387,200 $ 1,006,720 * Arqule, Inc. 699,045 3,872,709 * Arris Group, Inc. 1,760,935 10,019,720 * Art Technology Group, Inc. 207,812 230,671 * Artesyn Technologies, Inc. 119,730 1,139,830 ASB Financial Corp. 13,100 291,475 * Ascential Software Corp. 347,588 4,751,528 * Ashworth, Inc. 434,297 3,930,388 * Aspen Technology, Inc. 346,300 1,998,151 *# Astea International, Inc. 13,200 94,644 * Astec Industries, Inc. 181,210 3,015,334 Astro-Med, Inc. 30,440 274,904 * Astronics Corp. 19,687 97,451 * Astronics Corp. Class B 7,756 38,586 *# AstroPower, Inc. 28,600 272 *# ATA Holdings Corp. 184,300 202,730 * Atari, Inc. 11,280 25,606 * Atlantic American Corp. 42,900 128,700 * Atlantis Plastics, Inc. 65,500 1,084,025 Atrion Corp. 36,150 1,634,703 * ATS Medical, Inc. 21,900 86,943 * Audiovox Corp. Class A 652,017 9,747,654 * Ault, Inc. 93,400 295,144 * Avalon Holding Corp. Class A 25,112 77,847 * Avanex Corp. 405,100 1,255,810 * Avatar Holdings, Inc. 75,500 3,568,885 *# Avici Systems, Inc. 326,203 2,332,351 * Avigen, Inc. 652,714 2,251,863 * AVTEAM, Inc. Class A 1,300 2 * Aware, Inc. 560,124 2,750,209 * AXT, Inc. 465,578 791,483 * Aztar Corp. 638,000 21,577,160 * AZZ, Inc. 81,100 1,236,775 * Badger Paper Mills, Inc. 10,400 44,096 Bairnco Corp. 114,700 1,341,990 * Baker (Michael) Corp. 61,900 1,163,720 Baldwin & Lyons, Inc. Class B 82,425 2,143,050 * Baldwin Technology Co., Inc. Class A 219,700 676,676 * Ballantyne of Omaha, Inc. 32,200 138,138 * Bally Total Fitness Holding Corp. 983,700 3,275,721 * Bancinsurance Corp. 76,470 567,407 Bandag, Inc. Class A 112,600 5,132,308 Banner Corp. 336,312 11,105,022 * Barrett Business Services, Inc. 76,000 1,140,760 * Barry (R.G.) Corp. 153,864 538,524 Bassett Furniture Industries, Inc. 378,155 7,453,435 Bay View Capital Corp. 168,614 2,900,161 # Beazer Homes USA, Inc. 66,700 8,270,800 # Belden CDT, Inc. 1,132,148 26,254,512 * Bell Industries, Inc. 161,863 471,021 * Bell Microproducts, Inc. 889,697 7,606,909 * Beverly Enterprises, Inc. 1,430,200 12,399,834 Beverly Hills Bancorp, Inc. 2,531 25,082 * BF Enterprises, Inc. 2,300 17,227 * Big 4 Ranch, Inc. 73,300 0 *# Big Lots, Inc. 33,200 385,120 * Bioanalytical Systems, Inc. 17,100 89,775 * Biosource International, Inc. 118,800 781,704 Black Box Corp. 115,427 4,926,424 Black Hills Corp. 3 92 Blair Corp. 262,290 9,180,150 # Blockbuster, Inc. Class A 255,400 $ 2,165,792 * Blonder Tongue Laboratories, Inc. 22,600 107,350 * Blue Martini Software, Inc. 186,891 519,370 * Bluegreen Corp. 887,098 14,104,858 * BNS Co. Class A 46,855 311,586 Bob Evans Farms, Inc. 241,609 6,100,627 * Boca Resorts, Inc. 1,159,264 27,752,780 * Bogen Communications International, Inc. 44,700 220,147 * Bolt Technology Corp. 13,700 71,788 * Bombay Co., Inc. 1,191,540 8,245,457 Bon-Ton Stores, Inc. 427,116 5,979,624 *# Bookham, Inc. 149,621 801,969 Books-A-Million, Inc. 313,700 2,892,314 * Boston Communications Group, Inc. 33,500 298,150 BostonFed Bancorp, Inc. 50,960 2,236,634 Bowl America, Inc. Class A 44,122 622,120 Bowne & Co., Inc. 1,154,813 17,784,120 * Boyds Collection, Ltd. 483,600 1,697,436 * BrightStar Information Technology Group, Inc. 83,400 1,668 * Brillian Corp. 122,950 378,686 Brown Shoe Company, Inc. 57,500 1,639,900 * Bruker BioSciences Corp. 137,950 635,949 * Brush Engineered Materials, Inc. 24,809 483,775 * BSQUARE Corp. 1,100 1,254 * BTU International, Inc. 91,200 271,776 * Buca, Inc. 606,708 3,640,248 * Buckeye Technologies, Inc. 1,157,298 14,338,922 Building Materials Holding Corp. 442,067 16,113,342 * Bull Run Corp. 8,560 3,167 Burlington Coat Factory Warehouse Corp. 1,364,501 31,806,518 * Bush Industries, Inc. Class A 1,800 153 * Butler International, Inc. 81,200 371,896 C&D Technologies, Inc. 68,100 1,180,173 * C-COR, Inc. 10,700 95,765 * CalAmp Corp. 4,500 43,065 Calgon Carbon Corp. 1,132,000 10,584,200 * California Coastal Communities, Inc. 71,400 1,591,506 California First National Bancorp 77,600 1,028,122 * Caliper Life Sciences, Inc. 863,975 6,039,185 Callaway Golf Co. 181,500 2,134,440 * Callon Petroleum Co. 552,700 7,743,327 # Cal-Maine Foods, Inc. 2,700 35,716 Cambrex Corp. 135,800 3,367,840 Camco Financial Corp. 19,083 290,634 * Cannon Express, Inc. 900 1 * Canterbury Consulting Group, Inc. 842 363 * Capital Pacific Holdings, Inc. 201,300 800,167 * Capital Senior Living Corp. 751,499 3,900,280 * Caprius, Inc. 1,439 216 * Capstone Turbine Corp. 62,150 116,220 * Captaris, Inc. 860,488 4,224,996 * Caraustar Industries, Inc. 824,851 13,271,853 * Cardiac Sciences, Inc. 115,544 244,953 *# Cardiotech International, Inc. 41,791 117,433 * CareCentric, Inc. 29,400 27,930 * Career Blazers, Inc. Trust Units 9,540 0 Carpenter Technology Corp. 717,262 41,923,964 * Carriage Services, Inc. 469,400 2,361,082
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SHARES VALUE+ ------ ------ * Carrington Laboratories, Inc. 121,900 $ 561,959 Cascade Corp. 65,150 2,090,663 Casey's General Stores, Inc. 292,952 5,674,480 * Castle (A.M.) & Co. 217,730 2,769,526 Castle Energy Corp. 185,100 2,332,260 * Casual Male Retail Group, Inc. 304,665 1,316,153 * Catalina Lighting, Inc. 22,040 198,360 * Catalytica Energy Systems, Inc. 231,300 485,730 * Cavalier Homes, Inc. 368,581 2,038,253 CDI Corp. 5,100 98,532 * Celadon Group, Inc. 65,390 1,399,346 * Celebrity, Inc. Escrow Shares 26,325 0 Celeritek, Inc. 395,988 1,429,517 * Cell Genesys, Inc. 3,800 27,892 * CellStar Corp. 565,254 2,063,177 * Centillium Communications, Inc. 20,979 52,867 * Central Garden & Pet Co. 580,109 22,450,218 Central Parking Corp. 1,067,311 16,201,781 * Century Business Services, Inc. 1,603,542 6,895,231 * Cenveo, Inc. 598,600 1,909,534 * Ceres Group, Inc. 518,427 2,592,135 CFS Bancorp, Inc. 333,167 4,591,041 Champion Industries, Inc. 104,200 390,750 * Championship Auto Racing Teams, Inc. 70,000 9,870 * Champps Entertainment, Inc. 348,546 2,767,455 * Channell Commercial Corp. 17,600 132,000 * Charming Shoppes, Inc. 3,370,430 31,513,520 *# Chart Industries, Inc. 3 141 *# Charter Communications, Inc. 116,600 251,856 Chesapeake Corp. 636,206 17,171,200 Chicago Rivet & Machine Co. 10,800 290,736 * Chiquita Brands International, Inc. 99,900 1,976,022 * Chromcraft Revington, Inc. 5,900 73,809 * Chronimed, Inc. 368,961 2,431,453 *# Chyron Corp. 10,800 5,940 * Ciber, Inc. 1,820,700 16,987,131 * CIENA Corp. 1,006,000 2,565,300 * Cincinnati Bell, Inc. 123,800 445,680 * Ciprico, Inc. 70,900 294,235 CIRCOR International, Inc. 475,515 9,914,488 * Cirrus Logic, Inc. 322,391 1,911,779 Citizens South Banking Corp. 2,500 32,750 *# Citizens, Inc. 99,306 640,528 * Clark, Inc. 606,028 10,090,366 * Clarus Corp. 391,100 3,392,792 * CMS Energy Corp. 743,769 7,586,444 * CNA Surety Corp. 367,195 4,795,567 Coachmen Industries, Inc. 518,700 8,335,509 * Coast Dental Services, Inc. 48,533 169,865 Coast Distribution System 97,600 663,680 * Coastcast Corp. 101,900 233,351 * Cobra Electronics Corp. 84,100 681,210 *# Coeur d'Alene Mines Corp. 213,200 978,588 * Cogent Communications Group, Inc. 5,154 4,072 * Cognitronics Corp. 7,700 24,486 * Coherent, Inc. 982,579 28,386,707 * Collins & Aikman Corp. 1,721,694 6,112,014 Collins Industries, Inc. 30,500 179,340 * Columbus McKinnon Corp. 163,365 1,292,217 * Comarco, Inc. 110,200 892,620 * Comdial Corp. 10,007 $ 11,508 * Comforce Corp. 58,000 134,560 * Comfort Systems USA, Inc. 1,245,500 8,967,600 Commerce Group, Inc. 5,200 308,828 *# Commerce One, Inc. 96,400 15,665 Commercial Federal Corp. 1,026,998 29,916,452 Commercial Metals Co. 848,366 38,464,914 * Commonwealth Industries, Inc. 229,662 3,006,276 Communications Systems, Inc. 17,300 202,064 Community Bank System, Inc. 99,700 2,761,690 Community West Bancshares 11,000 116,050 * Compex Technologies, Inc. 159,580 781,942 * CompuCredit Corp. 914,672 21,924,688 * Compudyne Corp. 8,138 57,788 * Computer Horizons Corp. 545,091 2,071,346 * Computer Network Technology Corp. 721,584 4,113,029 * Computer Task Group, Inc. 158,300 576,212 * CompX International, Inc. 37,300 598,665 * Concord Camera Corp. 794,700 2,098,008 * Conexant Systems, Inc. 383,556 763,276 * Congoleum Corp. Class A 97,400 553,232 * Conmed Corp. 455,261 13,188,911 *# Consolidated Freightways Corp. 24,700 40 * Consolidated Graphics, Inc. 262,594 12,420,696 * Consumer Portfolio Services, Inc. 26,000 112,840 *# Continental Airlines, Inc. 2,193,500 24,435,590 * Continental Materials Corp. 4,600 122,360 * Convera Corp. 35,985 167,690 *# Cooker Restaurant Corp. 109,768 384 Cooper Tire & Rubber Co. 840,900 17,171,178 Cooperative Bankshares, Inc. 19,000 524,400 * Copper Mountain Networks, Inc. 1,100 3,453 * Corautus Genetics, Inc. 642 3,499 * Core Molding Technologies, Inc. 500 1,335 *# Corixa Corp. 126,900 475,875 Corn Products International, Inc. 532,800 28,994,976 * Cornell Companies, Inc. 437,448 6,408,613 * Correctional Services Corp. 247,312 687,527 * Corrpro Companies, Inc. 88,475 101,746 * Cosine Communications, Inc. 295,653 907,655 * Cost-U-Less, Inc. 35,000 206,850 Cotton States Life Insurance Co. 8,300 166,830 * Covenant Transport, Inc. Class A 394,581 7,583,847 CPAC, Inc. 82,200 424,974 * Credence Systems Corp. 897,936 6,860,231 * Credit Acceptance Corp. 570,560 14,121,360 * Criticare Systems, Inc. 91,000 242,060 * Cross (A.T.) Co. Class A 234,300 1,115,268 * Cross Country Healthcare, Inc. 416,421 7,391,473 * Crossroads Systems, Inc. 22,000 29,700 * Crown Andersen, Inc. 22,900 32,060 * Crown Financial Group, Inc. 44,700 14,751 * Crown Media Holdings, Inc. 182,629 1,618,093 *# CryoLife, Inc. 93,400 665,008 * CSP, Inc. 40,800 359,040 CSS Industries, Inc. 252,150 8,101,579 CT Communications, Inc. 260,187 3,442,274 CTS Corp. 1,068,400 14,273,824 * Culp, Inc. 364,718 2,195,602 * Cumulus Media, Inc. Class A 706,152 10,790,003 * CuraGen Corp. 1,282,036 7,730,677
139
SHARES VALUE+ ------ ------ * Curative Health Services, Inc. 4,400 $ 25,124 * Curis, Inc. 20 81 Curtiss-Wright Corp. 151,900 9,053,240 Cutter & Buck, Inc. 310,737 4,623,767 * Cybersource Corp. 152,337 1,075,499 * Cybex International, Inc. 114,200 496,770 *# CytRx Corp. 2,800 3,388 D&E Communications, Inc. 140,087 1,835,140 D&K Healthcare Resources, Inc. 449,849 3,265,904 * Daisytek International Corp. 37 0 *# Dan River, Inc. Class A 366,100 16,108 * Danielson Holding Corp. 128,450 1,049,436 * Data I/O Corp. 86,400 287,712 * Data Systems & Software, Inc. 91,400 100,540 * Datalink Corp. 184,900 351,125 * Dataram Corp. 28,010 167,220 * Dave & Busters, Inc. 182,140 3,406,018 * Dawson Geophysical Co. 72,400 1,690,540 Deb Shops, Inc. 31,049 765,358 Decorator Industries, Inc. 22,132 174,400 * Del Global Technologies Corp. 69,917 178,988 * Delphax Technologies, Inc. 70,700 289,092 Delphi Financial Group, Inc. Class A 842,263 39,131,539 Delta Apparel, Inc. 104,000 2,376,400 Delta Financial Corp. 4,900 49,490 Delta Natural Gas Co., Inc. 27,300 702,975 * Delta Woodside Industries, Inc. 130,000 85,800 * Denali, Inc. 69,500 6,950 * Detrex Corp. 12,800 23,680 * Devcon International Corp. 52,300 810,650 * Diedrich Coffee, Inc. 13 58 * Digimarc Corp. 111,584 1,027,689 *# Digital Angel Corp. 354,350 2,264,296 * Digitas, Inc. 13,555 111,287 DIMON, Inc. 1,501,167 9,772,597 * Discovery Partners International, Inc. 526,095 2,420,037 * Distributed Energy Systems Corp. 905,845 2,427,665 * Diversified Corporate Resources, Inc. 1,600 1,382 * Dixie Group, Inc. 363,899 5,833,301 * Dixon Ticonderoga Co. 30,150 184,216 * Dollar Thrifty Automotive Group, Inc. 830,800 22,340,212 * Dominion Homes, Inc. 72,100 1,489,586 Donegal Group, Inc. Class A 62,496 1,343,664 Donegal Group, Inc. Class B 35,448 700,098 * DoubleClick, Inc. 133,430 1,000,725 Dover Motorsports, Inc. 358,700 1,743,282 Downey Financial Corp. 100 5,774 * drugstore.com, Inc. 211,400 687,050 * DT Industries, Inc. 214,200 535 * Duckwall-ALCO Stores, Inc. 103,200 1,728,600 * Ducommun, Inc. 123,079 3,120,053 * DuPont Photomasks, Inc. 566,658 14,948,438 * Dura Automotive Systems, Inc. 588,084 5,351,564 *# DVI, Inc. 217,600 348 * Dyax Corp. 216,796 1,719,192 *# Dynegy, Inc. 119,900 677,435 * E Com Ventures, Inc. 6,250 74,312 * E.piphany, Inc. 1,224,137 5,533,099 Eastern Co. 29,400 556,836 * EasyLink Services Corp. 640 902 * Echelon Corp. 12,500 $ 94,500 Ecology & Environment, Inc. Class A 28,100 247,280 * Edelbrock Corp. 93,940 1,559,404 * Eden Bioscience Corp. 58,150 41,286 * Edgewater Technology, Inc. 248,188 1,037,426 EFC Bancorp, Inc. 5,300 135,945 Electro Rent Corp. 380,559 5,396,327 * Electroglas, Inc. 485,533 1,582,838 * Electronics for Imaging, Inc. 53,246 890,806 * eLoyalty Corp. 51,900 261,057 * ELXSI Corp. 27,900 90,675 * EMAK Worldwide, Inc. 1,100 10,847 EMC Insurance Group, Inc. 150,700 3,271,697 * EMCOR Group, Inc. 61,100 2,824,042 * EMCORE Corp. 102,131 271,668 * Emisphere Technologies, Inc. 145,827 447,251 * Emmis Communications Corp. Class A 29,730 549,708 Empire District Electric Co. 12,400 281,604 * EMS Technologies, Inc. 272,650 4,277,878 * En Pointe Technologies, Inc. 39,500 112,575 * Encore Medical Corp. 96,200 605,579 * Endologix, Inc. 110,800 715,768 * Enesco Group, Inc. 463,300 3,419,154 * EnPro Industries, Inc. 77,100 2,215,854 * Entravision Communications Corp. 1,938,498 15,895,684 * Entrust, Inc. 103,343 385,469 * Environmental Elements Corp. 800 80 * Environmental Technologies Corp. 35,800 143 * ePlus, Inc. 172,151 2,174,267 * ePresence, Inc. Escrow Shares 312,600 40,638 Espey Manufacturing & Electronics Corp. 3,800 98,990 * ESS Technology, Inc. 22,700 160,035 * Esterline Technologies Corp. 660,193 23,502,871 * Evans & Sutherland Computer Corp. 181,900 1,202,359 *# Evergreen Solar, Inc. 131,700 446,331 * Exabyte Corp. 12,100 3,751 * Exar Corp. 1,237,160 17,295,497 * Exelixis, Inc. 96,974 869,857 * Extended Systems, Inc. 11,800 30,090 * EZCORP, Inc. Class A Non-Voting 237,900 2,543,151 * Fab Industries, Inc. 82,381 327,876 * Factory 2-U Stores, Inc. 12,300 135 * Fairchild Corp. Class A 680,929 2,042,787 * Falcon Products, Inc. 161,900 141,258 *# FalconStor Software, Inc. 47,700 373,491 * Famous Dave's of America, Inc. 118,684 1,319,766 FBL Financial Group, Inc. Class A 665,575 18,915,641 * Featherlite, Inc. 26,500 106,265 Fedders Corp. 50,600 151,800 Federal Screw Works 3,125 107,531 *# Federal-Mogul Corp. 823,500 304,695 * Fibermark, Inc. 950 15 * Fidelity Federal Bancorp 20,000 35,200 Fidelity Southern Corp. 86,900 1,575,497 * Finishmaster, Inc. 120,000 1,552,800 * Finlay Enterprises, Inc. 220,200 4,276,284 * Firebrand Financial Group, Inc. 86,400 3,456 * First Aviation Services, Inc. 9,000 36,090 First Citizens BancShares, Inc. 10,300 1,401,469
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SHARES VALUE+ ------ ------ * First Consulting Group, Inc. 8,444 $ 46,189 First Defiance Financial Corp. 128,500 3,515,760 First Federal Bancshares of Arkansas, Inc. 112,100 2,440,417 * First Horizon Pharmaceutical Corp. 363,431 7,108,710 First Indiana Corp. 293,523 6,800,928 * First Investors Financial Services Group, Inc. 120,900 541,632 First Keystone Financial, Inc. 37,300 844,845 First Merchants Corp. 400 10,780 First Midwest Financial, Inc. 32,400 813,564 First Niagara Financial Group, Inc. 42,406 612,343 First Place Financial Corp. 356,465 8,020,462 First Republic Bank 61,978 3,185,049 * Fischer Imaging Corp. 39,500 144,175 * Five Star Quality Care, Inc. 19,600 132,888 * Flanders Corp. 305,400 3,047,892 Flexsteel Industries, Inc. 90,400 1,582,904 Florida Public Utilities Co. 1,800 33,192 * Flow International Corp. 34,100 94,457 Flowers Foods, Inc. 68,462 2,090,145 * Flowserve Corp. 1,807,840 45,593,725 FNB Financial Services Corp. 17,375 364,875 * Foodarama Supermarkets, Inc. 12,900 522,450 *# Footstar, Inc. 509,400 1,935,720 * Forest Oil Corp. 381,625 12,986,699 * Forgent Networks, Inc. 367,800 625,260 * Foster (L.B.) Co. Class A 162,400 1,429,120 * Foster Wheeler, Ltd. 46,355 659,632 * FPIC Insurance Group, Inc. 309,696 10,229,259 Frankfort First Bancorp, Inc. 24,650 600,720 * Franklin Covey Co. 341,800 680,182 * Franklin Electronic Publishers, Inc. 112,300 494,120 Frequency Electronics, Inc. 97,600 1,459,120 * Fresh Brands, Inc. 2,900 22,040 * Fresh Choice, Inc. 65,100 27,993 Friedman Industries, Inc. 108,395 886,671 * Friedmans, Inc. Class A 592,200 997,857 * Frontier Airlines, Inc. 994,331 11,663,503 * Frozen Food Express Industries, Inc. 472,909 5,580,326 * FSI International, Inc. 622,219 2,799,985 *# FuelCell Energy, Inc. 216,071 2,171,514 Fuller (H.B.) Co. 36,000 1,030,320 Furniture Brands International, Inc. 197,300 4,792,417 * G-III Apparel Group, Ltd. 98,600 606,390 *# Gadzooks, Inc. 238,170 385,835 * Gaiam, Inc. 19,084 100,191 GameTech International, Inc. 79,900 306,097 *# Gaming Partners International Corp. 31,800 729,810 * Gateway, Inc. 1,118,300 7,615,623 # GATX Corp. 1,577,900 46,453,376 * Gaylord Entertainment Co. 1,261,985 44,472,351 * Gehl Co. 170,012 3,738,564 *# Genaissance Pharmaceuticals, Inc. 109,600 168,784 Gencorp, Inc. 1,190,640 20,014,658 * Gene Logic, Inc. 995,636 3,355,293 * General DataComm Industries, Inc. 90 54 * Genesee & Wyoming, Inc. 218,636 6,027,795 * Genesis HealthCare Corp. 22,188 715,563 * Genesis Microchip, Inc. 228,756 3,731,010 * Gerber Scientific, Inc. 647,700 5,084,445 * Giant Group, Ltd. 50,600 $ 78,430 * Giant Industries, Inc. 403,100 11,286,800 Gibraltar Industries, Inc. 298,200 7,183,638 * Giga-Tronics, Inc. 28,800 66,240 Glatfelter (P.H.) Co. 1,433,000 20,534,890 * Glenayre Technologies, Inc. 996,900 1,824,327 * Globecomm Systems, Inc. 162,400 1,019,872 * Glowpoint, Inc. 160,300 193,963 *# GoAmerica, Inc. 559 6,837 Golden Enterprises, Inc. 17,200 48,160 *# Goodyear Tire & Rubber Co. 527,900 6,662,098 Goody's Family Clothing, Inc. 567,900 5,531,346 Gorman-Rupp Co. 3,900 89,310 * Gottschalks, Inc. 223,900 2,015,100 *# GP Strategies Corp. 235,265 1,670,381 Graham Corp. 25,950 341,242 Granite Construction, Inc. 14,900 395,446 * Graphic Packaging Corp. 431,500 3,521,040 Gray Television, Inc. 1,388,950 20,834,250 Gray Television, Inc. Class A 40,650 563,815 Great American Financial Resources, Inc. 221,500 3,867,390 * Great Atlantic & Pacific Tea Co., Inc. 1,259,500 9,521,820 * Greenbriar Corp. 1,070 3,579 * Griffin Land & Nurseries, Inc. Class A 25,000 660,000 * Group 1 Automotive, Inc. 758,800 22,392,188 * GTC Biotherapeutics, Inc. 379,069 579,976 * GTSI Corp. 274,055 2,778,918 Guaranty Federal Bancshares, Inc. 15,300 363,987 * Guilford Pharmaceuticals, Inc. 321,413 1,812,769 * Gulfmark Offshore, Inc. 441,761 9,193,046 * Ha-Lo Industries, Inc. 223,600 157 Haggar Corp. 102,925 2,274,642 * Hain Celestial Group, Inc. 538,475 10,462,569 * Halifax Corp. 24,000 134,880 * Hampshire Group, Ltd. 19,100 595,442 Hancock Fabrics, Inc. 19,600 195,216 Handleman Co. 379,276 8,040,651 * Hanger Orthopedic Group, Inc. 730,600 5,698,680 * Hanover Compressor Co. 2,753,615 40,202,779 Hardinge, Inc. 148,600 1,664,320 Harleysville Group, Inc. 854,465 20,541,339 * Harolds Stores, Inc. 2,000 2,620 * Hartmarx Corp. 696,000 5,616,720 * Harvard Bioscience, Inc. 272,943 1,083,584 * Hastings Entertainment, Inc. 353,500 2,888,095 * Hastings Manufacturing Co. 1,700 2,907 Haverty Furniture Co., Inc. 188,300 3,794,245 * Hawaiian Holdings, Inc. 498,455 3,120,328 * Hawk Corp. 184,600 1,559,870 * HealthTronics Surgical Services, Inc. 561,463 4,194,129 Hector Communications Corp. 10,600 224,720 *# HEI, Inc. 1,400 3,416 Heico Corp. 307,000 6,569,800 Heico Corp. Class A 23,951 393,036 Helmerich & Payne, Inc. 496,500 16,200,795 * Herley Industries, Inc. 189,689 3,905,707 * Hexcel Corp. 599,250 9,138,562 HF Financial Corp. 54,615 1,011,743 HMN Financial, Inc. 74,300 2,374,628 * HMS Holdings Corp. 345,007 2,421,949
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SHARES VALUE+ ------ ------ * Hoenig Group Escrow Shares 104,700 $ 24,081 Holly Corp. 326,200 9,189,054 * Hollywood Media Corp. 283,500 1,272,915 * Home Products International, Inc. 125,550 279,976 * HomeStore, Inc. 49,000 127,400 Hooper Holmes, Inc. 580,200 3,046,050 Horace Mann Educators Corp. 1,256,845 23,880,055 * Horizon Health Corp. 109,600 2,629,304 *# Horizon Offshore, Inc. 668,252 233,888 * Houston Exploration Co. 686,942 41,147,826 Hudson River Bancorp, Inc. 72 1,458 *# Hudson Technologies, Inc. 54,900 43,920 * Huffy Corp. 378,995 76,746 Hughes Supply, Inc. 601,816 19,787,710 * Human Genome Sciences, Inc. 19,845 218,295 * Hurco Companies, Inc. 8,100 129,681 * Hutchinson Technology, Inc. 900 29,493 * Hypercom Corp. 1,422,800 8,650,624 * I-many, Inc. 397,000 535,950 * Ibis Technology Corp. 3,400 8,636 * ICO, Inc. 264,200 800,526 * Identix, Inc. 139,148 1,103,444 * IDT Corp. 695,022 10,195,973 * IDT Corp. Class B 141,500 2,174,855 * iGATE Capital Corp. 568,708 2,274,832 IKON Office Solutions, Inc. 1,582,500 17,850,600 * Illumina, Inc. 275,000 2,090,000 * Image Entertainment, Inc. 25,200 152,964 Imation Corp. 152,400 4,908,804 * IMCO Recycling, Inc. 466,400 7,537,024 * ImmunoGen, Inc. 308,546 2,412,830 * IMPCO Technologies, Inc. 227,000 1,507,280 *# Imperial Sugar Co. 282,800 0 * Imperial Sugar Co. 162,984 3,192,857 * Impreso, Inc. 6,500 16,633 * Incyte Corp. 822,221 8,444,210 Independence Holding Co. 104,148 1,884,037 * Industrial Distribution Group, Inc. 289,550 2,383,286 * INEI Corp. 2,700 1,431 Infinity Property & Casualty Corp. 10,700 395,900 * InFocus Corp. 1,251,888 8,387,650 * Infonet Services Corp. 135,200 269,048 * Inforte Corp. 357,674 2,417,876 * Infosonics Corp. 37,100 123,914 Ingles Market, Inc. Class A 368,822 4,717,233 * Innotrac Corp. 126,700 1,070,615 * Innovative Clinical Solutions, Ltd. 8,426 46 * Innovex, Inc. 175,311 874,802 *# Input/Output, Inc. 481,100 4,219,247 * Insight Communications Co., Inc. 1,361,516 11,532,041 * Insight Enterprises, Inc. 414,600 8,387,358 * Insituform Technologies, Inc. Class A 1,308 30,529 *# Insmed, Inc. 38,125 59,856 * Instinet Group, Inc. 455,900 2,730,841 * Insurance Auto Auctions, Inc. 377,508 8,376,903 * InsWeb Corp. 23,166 57,220 * IntegraMed America, Inc. 56,400 395,364 * Integrated Electrical Services, Inc. 1,048,500 3,166,470 * Integrated Information Systems, Inc. 4,620 601 * Integrated Silicon Solution, Inc. 43,018 329,518 * Intelligent Systems Corp. 52,375 120,462 * Intelligroup, Inc. 70,900 $ 96,424 * Interface, Inc. Class A 1,251,722 12,392,048 * Interland, Inc. 457,395 1,436,220 Intermet Corp. 684,606 88,999 International Aluminum Corp. 55,800 1,835,820 * International Shipholding Corp. 80,650 1,208,943 * Internet Commerce Corp. 50,000 67,500 Interpool, Inc. 591,600 12,630,660 * Interstate Hotels & Resorts, Inc. 194,340 923,115 * Interwoven, Inc. 36,323 352,333 *# Intrusion, Inc. 23,600 34,008 Investors Title Co. 18,200 638,001 * Iomega Corp. 1,546,300 7,035,665 *# Ionics, Inc. 756,700 32,697,007 *# IPIX Corp. 7,500 48,750 * Iridex Corp. 89,000 362,230 * ITLA Capital Corp. 147,000 8,030,610 * iVillage, Inc. 100 474 * IXYS Corp. 99,382 923,259 * J Net Enterprises, Inc. 108,700 288,055 * J. Alexander's Corp. 107,200 755,760 * Jaclyn, Inc. 26,900 178,885 * Jaco Electronics, Inc. 105,869 458,413 * Jacuzzi Brands, Inc. 929,800 8,684,332 * Jakks Pacific, Inc. 809,899 15,080,319 * JDA Software Group, Inc. 681,887 8,946,357 * Jo-Ann Stores, Inc. 148,800 4,094,976 * Johnson Outdoors, Inc. 121,800 2,464,014 * JPS Industries, Inc. 43,200 161,784 * K-Tron International, Inc. 6,300 158,130 * K2, Inc. 1,564,110 26,402,177 * Kadant, Inc. 444,160 8,994,240 * Kaiser Aluminum Corp. 665 27 Kaman Corp. Class A 702,631 8,431,572 *# Kansas City Southern 2,093,600 35,612,136 * Katy Industries, Inc. 133,000 718,200 * KBK Capital Corp. 6,675 5,006 *# Keane, Inc. 65,400 1,013,700 * Keith Companies, Inc. 34,290 584,644 Kellwood Co. 920,617 32,046,678 Kelly Services, Inc. Class A 72,795 2,212,968 * Kemet Corp. 2,804,984 24,852,158 * Kendle International, Inc. 389,543 3,229,311 * Kennedy-Wilson, Inc. 43,900 314,982 Kewaunee Scientific Corp. 31,100 282,699 * Key Technology, Inc. 19,200 182,976 * Key Tronic Corp. 151,900 481,523 * Keynote Systems, Inc. 288,000 3,666,240 * Keystone Consolidated Industries, Inc. 18,342 1,101 Kimball International, Inc. Class B 651,332 9,704,847 * Kindred Healthcare, Inc. 1,090,681 29,775,591 *# KIT Manufacturing Co. 1,400 1 Knape & Vogt Manufacturing Co. 37,434 464,930 * Knight Trading Group, Inc. 571,783 6,524,044 * Koala Corp. 41,100 3,905 La-Z-Boy, Inc. 103,100 1,582,585 * LaBranche & Co., Inc. 1,270,440 10,176,224 * LaCrosse Footwear, Inc. 29,400 289,590 * Ladish Co., Inc. 299,510 3,303,595 * Lakes Entertainment, Inc. 273,494 3,815,241
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SHARES VALUE+ ------ ------ * Lancer Corp. 108,400 $ 1,278,036 LandAmerica Financial Group, Inc. 599,112 31,992,581 Landry's Restaurants, Inc. 924,835 27,328,874 * Lantronix, Inc. 139,900 137,102 * Lattice Semiconductor Corp. 765,071 4,083,949 Lawson Products, Inc. 45,014 2,198,934 * Lazare Kaplan International, Inc. 126,800 1,255,320 * LCC International, Inc. Class A 201,056 1,023,375 * Learning Care Group, Inc. 43,500 132,675 * Lesco, Inc. 217,900 2,614,800 * Level 8 Systems, Inc. 5,966 430 * Liberate Technologies, Inc. 662,100 1,493,036 Liberty Corp. 407,150 17,751,740 * Lightbridge, Inc. 361,386 1,694,900 *# LightPath Technologies, Inc. 31,300 129,895 * Lin TV Corp. 137,800 2,483,156 * Linens 'n Things, Inc. 256,400 6,368,976 * Lipid Sciences, Inc. 86,802 401,025 Lithia Motors, Inc. Class A 509,075 12,920,324 * LMI Aerospace, Inc. 29,100 215,049 LNR Property Corp. 600,693 37,573,347 * Lodgenet Entertainment Corp. 26,000 400,920 * Lodgian, Inc. 944 10,016 * Logic Devices, Inc. 92,700 124,218 * LogicVision, Inc. 157,400 325,818 Lone Star Steakhouse & Saloon, Inc. 680,376 18,363,348 Longs Drug Stores Corp. 1,272,500 33,975,750 Longview Fibre Co. 1,663,940 28,919,277 * LOUD Technologies, Inc. 1,000 1,950 # Louisiana-Pacific Corp. 513,200 12,558,004 LSB Corp. 3,500 64,610 LSI Industries, Inc. 366,457 3,642,583 * LTX Corp. 1,700 12,138 * Luby's, Inc. 715,200 5,106,528 Lufkin Industries, Inc. 104,600 4,211,196 * Lydall, Inc. 507,300 5,671,614 * Lynch Corp. 6,200 86,800 * M&F Worldwide Corp. 572,976 7,477,337 M/I Homes, Inc. 45,400 2,052,534 * Mac-Gray Corp. 287,700 2,200,905 * Madden (Steven), Ltd. 3,000 56,580 MAF Bancorp, Inc. 88,083 4,043,010 *# Magic Lantern Group, Inc. 28,600 11,726 * Magna Entertainment Corp. 158,300 949,800 * Magnetek, Inc. 804,600 5,318,406 *# Magnum Hunter Resources, Inc. 2,664,928 35,710,035 * Main Street Restaurant Group, Inc. 258,064 374,193 Maine & Maritimes Corp. 400 10,200 * MAIR Holdings, Inc. 538,551 4,954,669 * Management Network Group, Inc. 191,954 380,069 * Manchester Technologies, Inc. 178,300 873,670 * Manugistic Group, Inc. 587,363 1,615,248 * Mapinfo Corp. 14,003 167,336 * Marisa Christina, Inc. 94,000 116,560 Maritrans, Inc. 108,500 1,958,425 * Marlton Technologies, Inc. 96,500 67,550 # Marsh Supermarkets, Inc. Class A 36,900 438,741 Marsh Supermarkets, Inc. Class B 59,400 759,726 * Marten Transport, Ltd. 200 4,390 MASSBANK Corp. 63,149 2,342,828 # Massey Energy Co. 691,887 24,299,071 * Mastec, Inc. 1,192,600 $ 10,005,914 * Material Sciences Corp. 413,667 6,916,512 * Matrix Bancorp, Inc. 5,000 60,000 * Matrix Service Co. 11,200 83,440 * Maxco, Inc. 38,500 134,365 Maxcor Financial Group, Inc. 103,500 941,850 *# Maxim Pharmaceuticals, Inc. 136,553 397,369 * Maxtor Corp. 31,100 118,802 * Maxxam, Inc. 105,500 3,163,945 * Maxygen, Inc. 120,411 1,214,947 * Mayor's Jewelers, Inc. 291,200 183,456 * McDATA Corp. 5,300 29,945 MCG Capital Corp. 15,332 260,644 McRae Industries, Inc. Class A 32,700 457,800 *# MCSi, Inc. 27,200 137 * MDI, Inc. 187,600 165,088 * Meade Instruments Corp. 561,529 1,780,047 * Meadow Valley Corp. 44,064 117,431 * Meadowbrook Insurance Group, Inc. 439,000 2,225,730 * MedCath Corp. 277,864 6,035,206 Media General, Inc. Class A 49,100 3,054,020 *# Medialink Worldwide, Inc. 63,000 196,497 * Medical Resources, Inc. 1,619 0 * Medical Staffing Network Holdings, Inc. 4,900 42,189 * Medicore, Inc. 58,600 393,206 * MedQuist, Inc. 471,073 5,711,760 Merchants Group, Inc. 23,900 579,575 Mercury Air Group, Inc. 39,650 156,618 * Meridian Resource Corp. 33,600 229,488 * Merisel, Inc. 3,600 17,280 * Merix Corp. 38,703 421,089 * Merrimac Industries, Inc. 35,170 323,564 * Mesa Air Group, Inc. 1,700 11,934 * Mestek, Inc. 13,500 244,620 * Meta Group, Inc. 8,700 46,284 * Metals USA, Inc. 30,859 578,606 * MetaSolv, Inc. 587,437 1,433,346 * Metris Companies, Inc. 1,837,600 21,279,408 *# Metro One Telecommunications, Inc. 461,619 775,520 MFB Corp. 17,700 500,910 * MFRI, Inc. 59,900 419,300 MGP Ingredients, Inc. 117,152 1,094,200 * Michael Anthony Jewelers, Inc. 93,900 192,965 * Micro Component Technology, Inc. 16,400 10,660 * Micro Linear Corp. 189,700 874,517 * MicroFinancial, Inc. 125,000 488,750 * Microtek Medical Holdings, Inc. 605,391 2,469,995 * Microtune, Inc. 147,400 881,452 Midland Co. 49,800 1,583,640 *# Midway Games, Inc. 11,900 128,996 * Midwest Air Group, Inc. 569,902 1,709,706 * Mikohn Gaming Corp. 167,400 1,364,310 * Milacron, Inc. 1,148,968 3,435,414 * MIM Corp. 13,100 84,757 Minerals Technologies, Inc. 227,800 15,114,530 * MIPS Technologies, Inc. 340,800 2,982,000 * Misonix, Inc. 114,490 722,432 * Mission Resources Corp. 523,010 3,247,892 * Mitcham Industries, Inc. 143,200 1,074,000 * MKS Instruments, Inc. 216,621 3,680,391
143
SHARES VALUE+ ------ ------ * Mobile Mini, Inc. 417,321 $ 12,640,653 Modine Manufacturing Co. 267,546 8,601,604 * Mod-Pac Corp. 9,843 119,100 * Mod-Pac Corp. Class B 3,878 46,924 * Modtech Holdings, Inc. 428,114 3,493,410 * Mondavi (Robert) Corp. Class A 331,025 18,636,708 * Monterey Pasta Co. 472,200 1,511,040 * Moore Handley, Inc. 2,000 6,450 * Mothers Work, Inc. 1,600 20,624 * Motorcar Parts of America, Inc. 71,200 522,252 Movado Group, Inc. 527,300 9,702,320 Movie Gallery, Inc. 10,050 175,172 * MPS Group, Inc. 3,452,600 38,876,276 * MRV Communications, Inc. 706,900 2,727,927 * MSC.Software Corp. 949,639 9,031,067 *# MTI Technology Corp. 300 582 * MTM Technologies, Inc. 6,200 26,040 Mueller (Paul) Co. 2,300 68,402 Mueller Industries, Inc. 1,066,588 32,776,249 Myers Industries, Inc. 480,533 5,444,439 NACCO Industries, Inc. Class A 116,800 12,788,432 *# Nanogen, Inc. 180,200 809,098 * Nanometrics, Inc. 384,220 6,251,259 *# Napco Security Systems, Inc. 109,440 1,083,456 Nash Finch Co. 380,824 14,132,379 * Nashua Corp. 116,000 1,218,000 * Nassda Corp. 4,224 18,079 * NATCO Group, Inc. Class A 30,800 261,184 * Nathan's Famous, Inc. 107,000 893,450 National Home Health Care Corp. 53,533 615,094 * National Patent Development Corp. 235,265 404,656 National Presto Industries, Inc. 135,950 6,163,973 * National Research Corp. 73,687 1,178,992 * National RV Holdings, Inc. 238,050 2,316,227 * National Technical Systems, Inc. 128,684 683,312 * National Western Life Insurance Co. Class A 24,300 3,941,217 * Natrol, Inc. 122,500 414,050 * Natural Alternatives International, Inc. 81,500 766,100 * Nature Vision, Inc. 2,100 13,629 * Natus Medical, Inc. 159,500 1,148,400 * Navidec, Inc. 4,188 18,008 * Navigant International, Inc. 485,933 5,335,544 * Navigators Group, Inc. 66,152 1,868,794 * NCI Building Systems, Inc. 558,398 20,716,566 * NCO Group, Inc. 1,019,185 25,591,748 * Neoforma, Inc. 274,706 2,041,066 *# NeoMagic Corp. 349,000 296,650 * NES Rentals Holdings, Inc. 448 4,950 * Net2Phone, Inc. 736,843 2,527,371 NetBank, Inc. 302,082 3,102,382 * NetIQ Corp. 1,756,973 21,558,059 * NetManage, Inc. 83,916 478,321 * NetRatings, Inc. 520,510 10,410,200 * Netscout System, Inc. 41,683 315,540 * Network Engines, Inc. 1,000 2,330 * Network Equipment Technologies, Inc. 500,900 4,763,559 * Neurogen Corp. 95,638 836,833 * New Brunswick Scientific Co., Inc. 103,193 557,242 * New Horizons Worldwide, Inc. 112,075 390,021 * NewMarket Corp. 312,420 $ 5,995,340 * Newpark Resources, Inc. 600,500 3,434,860 * Newport Corp. 1,099,118 13,563,116 Niagara Corp. 132,200 1,050,990 * Nitches, Inc. 4,047 26,585 * NMS Communications Corp. 203,900 1,302,513 * NMT Medical, Inc. 123,900 525,336 * Nobel Learning Communities, Inc. 83,500 605,375 * Noel Group, Inc. 95,400 620 # Noland Co. 3,000 129,540 * Norstan, Inc. 247,900 949,457 * North America Galvanizing & Coatings, Inc. 73,400 142,396 * North American Scientific, Inc. 87,535 393,908 North Central Bancshares, Inc. 39,900 1,549,118 Northeast Bancorp 21,200 481,240 Northeast Pennsylvania Financial Corp. 3,200 54,368 * Northland Cranberries, Inc. 500 405 Northrim BanCorp, Inc. 0 14 * Northwest Pipe Co. 91,800 1,753,380 * NovaMed, Inc. 60,989 289,698 * Nu Horizons Electronics Corp. 525,413 4,361,453 * NumereX Corp. Class A 77,800 371,884 NWH, Inc. 52,900 790,855 * NYFIX, Inc. 424,763 2,714,236 NYMAGIC, Inc. 125,800 3,085,874 * O'Charleys, Inc. 8,200 155,800 * O.I. Corp. 51,900 559,430 * Obie Media Corp. 70,500 482,925 *# OCA, Inc. 1,642,700 9,396,244 * Ocwen Financial Corp. 677,430 6,320,422 * Odd Job Stores, Inc. 175,300 394,425 * Offshore Logistics, Inc. 758,300 28,739,570 *# Oglebay Norton Co. 44,856 12,986 Ohio Art Co. 3,500 21,613 * Ohio Casualty Corp. 1,923,814 41,323,525 * Oil States International, Inc. 576,181 11,736,807 Oil-Dri Corp. of America 47,700 763,200 * Olympic Steel, Inc. 244,300 6,596,100 * OM Group, Inc. 212,600 6,535,324 * Omega Protein Corp. 620,800 5,220,928 * Omnova Solutions, Inc. 169,535 968,045 * Omtool, Ltd. 52,514 433,766 * On Assignment, Inc. 574,282 2,997,752 * One Price Clothing Stores, Inc. 42,786 128 *# Oneida, Ltd. 179,800 454,894 # Onyx Acceptance Corp. 107,900 3,007,173 * Opinion Research Corp. 89,900 567,719 * Oplink Communications, Inc. 158,500 324,925 * OPTi, Inc. 168,800 243,072 * Optical Cable Corp. 1,591 8,623 * Oregon Steel Mills, Inc. 630,912 11,343,798 * Orthologic Corp. 336,700 1,929,291 * Oscient Pharmaceutical Corp. 37,018 120,679 * OSI Systems, Inc. 505,557 10,980,698 * Osteotech, Inc. 9,200 50,048 Outlook Group Corp. 59,300 422,809 Overseas Shipholding Group, Inc. 754,775 49,581,170 * OYO Geospace Corp. 147,500 2,336,400 * Pacific Premier Bancorp, Inc. 29,840 425,220
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SHARES VALUE+ ------ ------ * Palm Harbor Homes, Inc. 8,327 $ 129,984 * PAR Technology Corp. 150,700 1,781,274 * Paradyne Networks Corp. 11,300 43,844 Park Electrochemical Corp. 214,150 4,516,424 * Parker Drilling Co. 2,494,100 10,899,217 * Park-Ohio Holdings Corp. 24,052 540,689 Parkvale Financial Corp. 40,825 1,274,148 * Parlex Corp. 165,300 1,008,330 * Parlux Fragrances, Inc. 212,495 3,810,035 * Pathmark Stores, Inc. 917,840 5,057,298 * Patrick Industries, Inc. 96,250 1,062,600 PAULA Financial 90,600 181,200 * Paxson Communications Corp. 462,700 536,732 * Payless Cashways, Inc. 4,184 8 * Payless ShoeSource, Inc. 1,235,500 14,430,640 * PC Connection, Inc. 499,993 3,514,951 * PC-Tel, Inc. 416,515 3,361,276 * Pediatric Services of America, Inc. 220,500 2,273,355 * Peerless Manufacturing Co. 20,100 300,495 * Peerless Systems Corp. 120,900 172,887 * Pegasus Solutions, Inc. 694,397 8,117,501 * Pemstar, Inc. 690,271 1,056,805 Penford Corp. 79,800 1,340,640 *# Penn Treaty American Corp. 235,200 423,360 Penn-America Group, Inc. 338,675 5,015,777 Pep Boys - Manny, Moe & Jack 1,917,700 30,203,775 * Perceptron, Inc. 246,900 1,696,203 *# Performance Food Group Co. 45,387 1,190,955 * Pericom Semiconductor Corp. 469,792 4,124,774 * Perry Ellis International, Inc. 146,507 2,796,819 * Per-Se Technologies, Inc. 364,566 5,027,365 * Pervasive Software, Inc. 6,000 23,940 * Petrocorp, Inc. Escrow Shares 102,600 6,156 * Pharmacopia Drug Discovery, Inc. 150,545 870,150 * PharmChem, Inc. 51,300 1,000 Phillips-Van Heusen Corp. 967,900 26,423,670 * Phoenix Technologies, Ltd. 184,401 1,495,492 * Photronics, Inc. 337,763 6,363,455 * Pico Holdings, Inc. 184,820 3,809,140 Pinnacle Bancshares, Inc. 10,400 158,080 * Pinnacle Entertainment, Inc. 508,400 9,242,712 * Piper Jaffray Companies, Inc. 95,700 4,403,157 * Planar Systems, Inc. 17,800 189,748 * PLATO Learning, Inc. 22,932 160,295 * Play By Play Toys and Novelties, Inc. 1,400 3 * Plexus Corp. 349,497 4,805,584 * PMA Capital Corp. Class A 613,520 6,104,524 Pocahontas Bancorp, Inc. 69,800 1,092,370 *# PolyOne Corp. 473,501 4,370,414 * Pomeroy IT Solutions, Inc. 382,543 5,225,537 Pope & Talbot, Inc. 240,000 4,032,000 PowerCerv Corp. 20,666 6,200 * Power-One, Inc. 488 4,485 * Powerwave Technologies, Inc. 613,937 4,965,522 * PPT Vision, Inc. 89,000 78,320 * PRAECIS Pharmaceuticals, Inc. 926,447 1,954,803 Preformed Line Products Co. 14,300 403,975 * Premier Financial Bancorp 1,100 12,155 Presidential Life Corp. 928,701 15,518,594 * Pressure BioSciences, Inc. 56,400 172,020 * PRG-Schultz International, Inc. 554,349 2,993,485 * Price Communications Corp. 107,900 $ 1,954,069 *# Pricesmart, Inc. 91,659 728,689 * Printronix, Inc. 90,000 1,515,600 * Procom Technology, Inc. 5,400 7,128 * ProcureNet, Inc. 22,400 22 Programmers Paradise, Inc. 45,200 513,020 * Protection One, Inc. 403,400 104,884 Providence & Worcester Railroad Co. 47,100 579,330 Provident Financial Holdings, Inc. 55,200 1,611,840 * Province Healthcare Co. 65,913 1,479,088 * PTEK Holdings, Inc. 356,039 3,749,091 Pulitzer, Inc. 198,300 12,613,863 * Pure World, Inc. 100,500 170,850 Pyramid Breweries, Inc. 110,100 236,715 * QEP Co., Inc. 20,600 324,656 Quaker Fabric Corp. 522,715 3,005,611 * Quality Dining, Inc. 217,600 683,264 Quanex Corp. 513,302 30,284,818 * Quanta Services, Inc. 3,321,450 25,608,380 * Quantum Corp. 498,800 1,426,568 * Quantum Fuel Systems Technologies Worldwide, Inc. 11,250 69,863 * QuickLogic Corp. 413,565 1,009,099 * Quigley Corp. 14,400 116,352 * Quovadx, Inc. 501,945 958,715 * R&B, Inc. 121,800 3,045,000 * Radiologix, Inc. 227,692 853,845 * RadiSys Corp. 9,807 138,181 * RailAmerica, Inc. 1,176,038 15,053,286 * Raindance Communictions, Inc. 2,100 4,851 Raytech Corp. 26,800 49,580 * RCM Technologies, Inc. 234,100 1,193,910 * Reading International, Inc. Class A 213,799 1,798,050 * Reading International, Inc. Class B 14,660 120,945 * RealNetworks , Inc. 300 1,890 *# Redhook Ale Brewery, Inc. 126,500 442,750 * Refac 11,357 48,722 Regal-Beloit Corp. 776,083 21,893,301 * Regent Communications, Inc. 1,370,528 7,825,715 * Register.com, Inc. 78,955 459,518 * Reliability, Inc. 100,400 79,316 # Reliance Steel & Aluminum Co. 687,663 27,444,630 *# Relm Wireless Corp. 59,254 121,471 * Remec, Inc. 784,042 4,727,773 * RemedyTemp, Inc. 184,200 2,029,884 * Rent-Way, Inc. 734,800 6,231,104 * Reptron Electronics, Inc. 2,856 20,992 * Republic First Bancorp, Inc. 73,203 1,120,006 * Res-Care, Inc. 528,510 7,927,650 Resource America, Inc. 485,676 14,293,445 * Restoration Hardware, Inc. 24,723 125,840 * Retail Ventures, Inc. 1,056,073 7,741,015 * Rex Stores Corp. 350,850 6,174,960 * Rexhall Industries, Inc. 38,798 16,683 Richardson Electronics, Ltd. 6,300 70,245 Riggs National Corp. 840,134 16,903,496 * Riverside Group, Inc. 1,500 12 * Riverstone Networks, Inc. 9,900 10,643 Riverview Bancorp, Inc. 56,600 1,219,221 * Riviera Holdings Corp. 5,500 148,500 * Riviera Tool Co. 16,500 40,425
145
SHARES VALUE+ ------ ------ RLI Corp. 209,779 $ 8,737,295 * Roadhouse Grill, Inc. 88,500 13,275 Roanoke Electric Steel Corp. 140,900 2,534,791 Robbins & Myers, Inc. 467,200 11,278,208 *# Robotic Vision Systems, Inc. 14,000 6,440 * Rochester Medical Corp. 27,100 243,900 Rock of Ages Corp. 87,600 649,204 * Rockford Corp. 173,400 379,746 Rock-Tenn Co. Class A 1,136,292 18,339,753 * Rocky Shoes & Boots, Inc. 71,400 1,485,120 * RTI International Metals, Inc. 678,950 14,631,373 * RTW, Inc. 93,850 856,851 * Rubio's Restaurants, Inc. 168,769 2,241,252 Ruddick Corp. 71,791 1,565,762 * Rudolph Technologies, Inc. 1,200 19,200 * Rural/Metro Corp. 134,500 464,025 * Rush Enterprises, Inc. Class A 105,400 1,599,972 * Rush Enterprises, Inc. Class B 105,400 1,699,048 Russ Berrie & Co., Inc. 132,200 3,006,228 Russell Corp. 1,043,900 19,145,126 * Ryan's Restaurant Group, Inc. 438,164 6,690,764 Ryerson Tull, Inc. 814,339 13,176,005 * S&K Famous Brands, Inc. 78,600 1,259,172 * Safeguard Scientifics, Inc. 993,100 1,996,131 * SafeNet, Inc. 298,243 10,635,345 * Safety Components International, Inc. 1,155 16,170 *# Salton, Inc. 368,400 2,250,924 * San Filippo (John B.) & Son, Inc. 2,000 44,400 * Sands Regent Casino Hotel 15,492 185,129 * Sangamo BioSciences, Inc. 14,100 65,847 * SatCon Technology Corp. 101,000 205,030 Saucony, Inc. Class B 45,800 1,128,512 Sauer-Danfoss, Inc. 25,900 514,374 * SBS Technologies, Inc. 258,952 3,381,913 * ScanSoft, Inc. 172,704 630,370 * Scheid Vineyards, Inc. 34,100 194,711 * Schieb (Earl), Inc. 75,600 223,020 * Schlotzsky's, Inc. 164,000 6,150 * Scholastic Corp. 20,696 681,726 * Schuff International, Inc. 106,600 294,216 Schulman (A.), Inc. 834,581 17,901,762 Schweitzer-Maudoit International, Inc. 84,100 2,906,496 * SCM Microsystems, Inc. 339,761 1,158,585 * Scope Industries 8,100 565,380 SCPIE Holdings, Inc. 150,800 1,506,492 * SCS Transportation, Inc. 480,278 10,157,880 Seaboard Corp. 26,240 19,680,000 * Seabulk International, Inc. 557,000 6,639,440 * SEACOR Holdings, Inc. 619,666 34,391,463 * Secom General Corp. 11,500 14,145 * SED International Holdings, Inc. 11,350 10,499 * SEEC, Inc. 2,200 495 * Segue Software, Inc. 68,200 332,134 * Selas Corp. of America 76,500 159,120 * Selectica, Inc. 930,002 3,580,508 Selective Insurance Group, Inc. 874,647 39,175,439 * Semitool, Inc. 69,557 623,231 *# SEMX Corp. 25,500 3,188 * Seneca Foods Corp. Class B 10,500 195,773 * Sequa Corp. Class A 94,900 $ 5,665,530 * Sequa Corp. Class B 28,900 1,741,225 * Sequenom, Inc. 684,151 608,894 * Service Corp. International 4,053,908 28,620,590 * Servotronics, Inc. 400 1,700 * Sharper Image Corp. 18,475 353,981 *# Shaw Group, Inc. 2,041,098 30,065,374 * Shiloh Industries, Inc. 158,100 2,052,138 * Shoe Carnival, Inc. 403,465 5,261,184 * Shoe Pavilion, Inc. 9,500 25,840 * Sholodge, Inc. 71,600 327,212 * ShopKo Stores, Inc. 851,000 15,215,880 * SIFCO Industries, Inc. 74,715 313,803 * Sight Resource Corp. 3,700 20 * Sigmatron International, Inc. 16,800 228,312 *# Silicon Graphics, Inc. 1,681,500 2,707,215 Simmons First National Corp. Class A 88,193 2,557,597 * SimpleTech, Inc. 302,867 1,505,249 * Sipex Corp. 490,068 2,695,374 * Sitel Corp. 855,100 1,898,322 * Six Flags, Inc. 2,977,300 14,469,678 * Skechers U.S.A., Inc. Class A 279,132 3,240,723 Skyline Corp. 118,700 4,908,245 Skywest, Inc. 32,400 616,572 * Skyworks Solutions, Inc. 811,161 8,054,829 * SL Industries, Inc. 100 1,391 * Smart & Final Food, Inc. 148,600 2,151,728 * SmartDisk Corp. 1,000 290 * Smith & Wollensky Restaurant Group, Inc. 160,400 744,256 Smith (A.O.) Corp. 695,500 20,899,775 Smith (A.O.) Corp. Convertible Class A 70,050 2,105,003 * Smithway Motor Xpress Corp. Class A 73,800 535,050 * Sola International, Inc. 530,100 11,450,160 * Somera Communications, Inc. 93,400 103,674 Sonic Automotive, Inc. 947,993 23,538,666 *# Sonic Foundry, Inc. 22,800 40,584 * Sonic Innovations, Inc. 11,968 48,710 * SonicWALL, Inc. 1,217,220 7,485,903 Sound Federal Bancorp, Inc. 3,840 58,372 * SOURCECORP, Inc. 491,436 8,172,581 South Jersey Industries, Inc. 439,391 22,589,091 * Southern Energy Homes, Inc. 180,800 835,296 * Southwall Technologies, Inc. 131,500 147,280 Southwest Gas Corp. 1,700 43,180 * Spacehab, Inc. 122,200 281,060 Span-American Medical System, Inc. 24,000 276,000 * SPAR Group, Inc. 6,000 9,114 * Spartan Stores, Inc. 288,619 1,500,819 * Sparton Corp. 126,528 1,229,854 * Spectrum Control, Inc. 173,800 1,296,548 * Spherion Corp. 1,918,189 15,115,329 * Spinnaker Exploration Co. 1,117,266 40,523,238 * Sport Chalet, Inc. 45,900 596,746 * Sport Supply Group, Inc. 105,400 216,070 * Sport-Haley, Inc. 60,800 279,984 * SportsLine.com, Inc. 222,300 384,579
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SHARES VALUE+ ------ ------ *# SR Telecom, Inc. 11,987 $ 36,321 * SRI/Surgical Express, Inc. 52,500 274,050 * Stage Stores, Inc. 28,886 1,184,037 * Stamps.com, Inc. 13,048 201,853 Standard Commercial Corp. 417,680 7,860,738 * Standard Management Corp. 134,600 484,560 * Standard Microsystems Corp. 17,100 420,318 Standard Motor Products, Inc. 473,850 7,387,322 Standard Register Co. 732,799 9,643,635 Star Buffet, Inc. 7,200 42,624 Starrett (L.S.) Co. Class A 64,600 1,284,248 State Financial Services Corp. Class A 55,141 1,626,660 # Steel Dynamics, Inc. 716,388 29,035,206 Steel Technologies, Inc. 395,313 11,574,765 * SteelCloud, Inc. 5,900 11,741 * Steinway Musical Instruments, Inc. 214,300 6,058,261 * Stellent, Inc. 558,711 4,385,881 Stepan Co. 129,000 3,285,630 Stephan Co. 51,500 209,090 * Sterling Construction Co., Inc. 700 3,360 Stewart & Stevenson Services, Inc. 841,400 16,828,000 * Stewart Enterprises, Inc. 3,241,201 24,049,711 Stewart Information Services Corp. 594,300 25,941,195 * Stifel Financial Corp. 47,029 1,131,047 * Stillwater Mining Co. 1,146,980 13,603,183 * Stone Energy Corp. 109,100 5,234,618 * Stoneridge, Inc. 667,200 10,148,112 * StorageNetworks, Inc. Escrow Shares 362,800 9,832 * Stratagene Corp. 35,039 240,333 * Strategic Diagnostics, Inc. 3,550 8,982 * Strategic Distribution, Inc. 65,178 739,770 * Stratos International, Inc. 240,913 978,107 * Stratus Properties, Inc. 94,450 1,401,638 Stride Rite Corp. 1,197,500 13,184,475 * Suburban Lodges of America, Inc. Escrow Shares 241,100 0 Summa Industries, Inc. 41,800 379,544 * SumTotal Systems, Inc. 11,597 63,668 * Suncoast Naturals, Inc. 624 119 * Sundance Homes, Inc. 25,500 89 * SunLink Health Systems, Inc. 65,400 343,350 *# Sunrise Senior Living, Inc. 657,700 28,248,215 Sunrise Telecom, Inc. 3,200 8,480 * Suntron Corp. 92,475 305,168 * Superior Consultant Holdings Corp. 3,000 19,680 # Superior Industries International, Inc. 155,500 4,392,875 Superior Uniform Group, Inc. 136,600 1,901,472 Supreme Industries, Inc. 56,610 346,453 SureWest Communications 1,800 51,246 * Swift Energy Corp. 894,205 27,130,180 SWS Group, Inc. 267,400 5,644,814 * Sycamore Networks, Inc. 1,528,773 5,732,899 * Sykes Enterprises, Inc. 804,729 5,431,921 * Symmetricom, Inc. 165,741 1,790,003 * Syms Corp. 343,900 4,260,921 * Synalloy Corp. 88,350 861,413 Sypris Solutions, Inc. 319,041 5,190,797 * Systemax, Inc. 473,900 3,269,910 * T-3 Energy Services, Inc. 880 5,887 *# Tag-It Pacific, Inc. 44,600 $ 200,700 *# Taitron Components, Inc. 6,500 16,185 * TALK America Holdings, Inc. 29,600 187,072 Tandy Brand Accessories, Inc. 63,700 910,209 * Tarrant Apparel Group 287,100 534,006 Tasty Baking Co. 241,200 2,018,844 TB Wood's Corp. 92,900 503,518 *# TeamStaff, Inc. 86,000 171,140 * Technical Communications Corp. 6,300 41,895 * Technitrol, Inc. 58,200 1,003,950 * Technology Solutions Corp. 54,800 51,512 * TechTeam Global, Inc. 234,500 2,204,300 Tecumseh Products Co. Class A 432,899 19,822,445 Tecumseh Products Co. Class B 15,600 683,280 * Tegal Corp. 66,300 86,853 * Teleglobe International Holdings, Ltd. 126,155 432,712 * TeleTech Holdings, Inc. 15,524 151,669 * Terayon Communication Systems, Inc. 121,300 241,387 * Terex Corp. 794,713 36,429,644 *# Terra Industries, Inc. 2,151,200 17,639,840 * Tesoro Petroleum Corp. 1,637,600 54,237,312 Texas Industries, Inc. 671,957 40,317,420 TF Financial Corp. 36,200 1,172,337 * The Banc Corp. 113,337 890,829 * The Lamson & Sessions Co. 166,100 1,503,205 The Marcus Corp. 625,200 14,285,820 * The Mens Warehouse, Inc. 53,000 1,677,450 * The Mosaic Co. 102,203 1,776,288 # The Phoenix Companies, Inc. 1,918,400 23,404,480 * The Rowe Companies 9,400 47,470 * The Sports Authority, Inc. 91,200 2,600,112 * The Sports Club Co., Inc. 115,700 195,533 * Theragenics Corp. 935,100 3,927,420 * TheStreet.com, Inc. 259,000 1,126,650 * Third Wave Technologies, Inc. 121,541 979,620 Thomas Industries, Inc. 1,400 54,852 * Thoratec Corp. 3,357 33,570 * THQ, Inc. 40,085 860,224 * Three-Five Systems, Inc. 674,600 1,308,724 * TIBCO Software, Inc. 1,395 16,043 *# Tickets.com, Inc. 14,500 10,875 * Tier Technologies, Inc. Class B 12,400 109,492 * TII Network Technologies, Inc. 98,200 143,372 Timberland Bancorp, Inc. 56,400 1,381,800 * Timco Aviation Services, Inc. 11,922 4,292 * Time Warner Telecom, Inc. 321,103 1,216,980 * Tipperary Corp. 126,900 597,699 # Titan International, Inc. 260,900 3,256,032 * Titan Pharmaceuticals, Inc. 304,598 761,495 * TL Administration Corp. 1,700 30 Todd Shipyards Corp. 81,650 1,398,665 * Todhunter International, Inc. 73,100 871,352 * Tollgrade Communications, Inc. 14,567 155,721 *# Torch Offshore, Inc. 276,800 547,787 *# Tower Automotive, Inc. 1,817,750 3,271,950 Traffix, Inc. 250,900 1,643,395 * Trailer Bridge, Inc. 111,200 722,800 * Trammell Crow Co. 346,200 5,920,020 * Trans World Entertainment Corp. 1,067,874 12,045,619 * Transcat, Inc. 60,000 180,000
147
SHARES VALUE+ ------ ------ * Transgenomic, Inc. 41,488 $ 50,615 Trans-Lux Corp. 2,746 17,300 *# Transmeta Corp. 59,900 101,231 * TransMontaigne, Inc. 639,824 3,474,244 * Transport Corp. of America 20,000 147,200 *# Transpro, Inc. 191,600 1,165,886 * Transtechnology Corp. 97,300 734,615 * TRC Companies, Inc. 9,700 173,048 Tredegar Industries, Inc. 1,206,800 22,482,684 *# Trenwick Group, Ltd. 199,776 2,397 *# Trestle Holdings, Inc. 5,240 8,515 * Triad Guaranty, Inc. 58,324 3,499,440 *# Trico Marine Services, Inc. 684,930 239,726 Trinity Industries, Inc. 1,308,800 46,266,080 * Tripos, Inc. 7,200 37,368 * Triquint Semiconductor, Inc. 783,552 3,392,780 * Triumph Group, Inc. 509,917 20,682,234 * TriZetto Group, Inc. 825,529 5,844,745 *# Trump Hotels & Casino Resorts, Inc. 271,100 225,013 * Tumbleweed Communications Corp. 37,100 129,850 * Tut Systems, Inc. 13,500 53,325 * Tweeter Home Entertainment Group, Inc. 750,552 4,811,038 Twin Disc, Inc. 37,400 939,114 * U.S. Concrete, Inc. 556,554 4,046,148 *# U.S. Diagnostic, Inc. 20,800 2 * U.S. Energy Corp. Wyoming 25,700 76,843 * U.S. Xpress Enterprises, Inc. Class A 163,490 4,250,740 UICI 976,000 32,598,400 *# Ultimate Electronics, Inc. 600 1,836 UMB Financial Corp. 587,820 32,923,798 *# Unapix Entertainment, Inc. 9,300 38 * Unico American Corp. 72,700 543,069 * Unifi, Inc. 1,634,466 6,080,214 Unifirst Corp. 276,600 7,645,224 * United American Healthcare Corp., 17,950 110,393 United Auto Group, Inc. 1,480,400 42,221,008 United Community Financial Corp. 773,935 8,892,513 United Fire & Casualty Co. 44,450 2,960,370 * United Rentals, Inc. 1,818,000 32,487,660 * United Retail Group, Inc. 304,501 1,263,679 * Universal Access Global Holdings, Inc. 50 7 * Universal American Financial Corp. 133,566 1,783,106 * Universal Compression Holdings, Inc. 994,984 37,112,903 Universal Corp. 40,300 1,961,804 Universal Forest Products, Inc. 73,043 3,152,536 * Universal Stainless & Alloy Products, Inc. 118,900 1,750,208 Unizan Financial Corp. 18,431 475,151 * Urologix, Inc. 45,500 323,960 *# URS Corp. 1,379,596 41,443,064 * USA Truck, Inc. 71,600 887,124 USEC, Inc. 2,683,002 28,252,011 USF Corp. 880,801 32,563,213 *# V.I. Technologies, Inc. 100 67 * Vail Resorts, Inc. 1,011,723 23,016,698 *# Valence Technology, Inc. 4,800 17,280 Valhi, Inc. 176,952 2,744,526 Valley National Gases, Inc. 13,800 176,640 * Valpey Fisher Corp. 10,350 $ 35,190 * ValueClick, Inc. 36,264 467,806 * Vastera, Inc. 706,795 1,307,571 * Verilink Corp. 119,978 419,923 * Veritas DGC, Inc. 1,075,700 25,171,380 * Verso Technologies, Inc. 315,828 255,821 * VerticalBuyer Inc. 7,773 233 Vesta Insurance Group, Inc. 1,141,300 4,291,288 Viad Corp. 50,300 1,206,697 * Vical, Inc. 513,518 2,208,127 * Vicon Industries, Inc. 71,500 404,690 * Viewpoint Corp. 1,400 3,668 * Vignette Corp. 927,600 1,178,052 Vintage Petroleum, Inc. 818,635 19,851,899 * Virco Manufacturing Corp. 60,786 468,052 Visteon Corp. 3,485,965 29,491,264 * Visual Networks, Inc. 26,900 86,618 *# Vitech America, Inc. 700 2 * Vitesse Semiconductor, Inc. 800 2,608 * Volt Information Sciences, Inc. 402,800 12,285,400 Vulcan International Corp. 11,200 504,000 *# Vyyo, Inc. 142,014 1,029,602 * Warnaco Group, Inc. 39,404 782,957 Washington Savings Bank FSB 31,750 428,625 Waste Industries USA, Inc. 238,100 2,731,007 * WatchGuard Technologies, Inc. 1,021,602 4,188,568 * Water Pik Technologies, Inc. 106,700 1,835,240 * Waterlink, Inc. 1,100 0 Watsco, Inc. Class A 31,600 1,045,012 Wausau-Mosinee Paper Corp. 1,221,099 21,918,727 * WCI Communities, Inc. 186,100 4,767,882 * Webb Interactive Services, Inc. 4,200 1,722 * Webco Industries, Inc. 93,900 704,250 * Weider Nutrition International, Inc. 166,500 705,960 Weis Markets, Inc. 26,400 1,013,760 Wellco Enterprises, Inc. 100 1,480 Wellman, Inc. 864,400 8,894,676 *# Wells-Gardner Electronics Corp. 61,241 323,352 * Westaff, Inc. 192,900 588,345 Westbank Corp. 1,143 21,054 * Westcoast Hospitality Corp. 290,000 1,470,300 * Western Power & Equipment Corp. 4,091 6,750 * White Electronics Designs Corp. 11,000 73,700 * Whitehall Jewelers, Inc. 374,500 3,100,860 *# WHX Corp. 114,633 89,414 * Wickes, Inc. 49,400 222 * Wild Oats Markets, Inc. 19,100 136,756 * Williams Industries, Inc. 3,400 11,900 * Willis Lease Finance Corp. 132,900 1,182,810 * Wilshire Enterprises, Inc. 113,590 684,948 * Wilson Greatbatch Technologies, Inc. 25,800 517,290 * Wilsons The Leather Experts, Inc. 477,301 2,386,505 * Wind River Systems, Inc. 79,487 961,793 # Winn-Dixie Stores, Inc. 149,300 597,200 * Wireless WebConnect!, Inc. 4,500 13 * Wolverine Tube, Inc. 477,600 5,072,112 Woodhead Industries, Inc. 490 7,389 Woodward Governor Co. 3,665 266,995 * Worldwide Restaurant Concepts, Inc. 794,905 2,599,339 * Xanser Corp. 259,400 731,508
148
SHARES VALUE+ ------ ------ * Xeta Corp. 30,500 $ 90,585 * Zapata Corp. 31,610 1,992,062 * Zhone Technologies, Inc. 16,984 41,441 Ziegler Companies, Inc. 8,200 162,975 *# Zoltek Companies, Inc. 308,448 2,837,722 * Zomax, Inc. 1,040,946 3,580,854 * Zones, Inc. 173,400 1,062,942 * Zoran Corp. 633,599 7,508,148 * Zygo Corp. 440,078 5,113,706 * ZymeTx, Inc. 1,100 47 --------------- TOTAL COMMON STOCKS (Cost $4,679,994,078) 6,192,873,354 --------------- RIGHTS/WARRANTS -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 257 0 * American Banknote Corp. Warrants Series 2 10/01/07 257 0 *# Angeion Corp. Warrants 10/31/07 315 16 * Chart Industries, Inc. Warrants 09/15/10 3 46 * Chiquita Brands International, Inc. Warrants 03/19/09 142,110 781,605 * CSF Holding, Inc. Litigation Rights 12/30/99 40,500 0 * Del Global Technologies Corp. Warrants 03/28/08 19,927 21,920 *# Foster Wheelers, Ltd. Warrants 09/24/07 927,100 0 * Imperial Credit Industries, Inc. Warrants 01/31/08 4,082 1 * Imperial Sugar Co. Warrants 08/29/08 9,694 21,327 * Lodgian, Inc. Class A Warrants 11/25/07 3,433 120 * Lodgian, Inc. Class B Warrants 11/25/09 10,609 398 * Magnum Hunter Resources, Inc. Warrants 03/21/05 9,740 5,941 * Milltope Group, Inc. Contigent Value Rights 53,600 0 PMR Corp. Contingent Value Rights 08/05/04 105,000 105 * Timco Aviation Services, Inc. Warrants 12/31/07 25,879 3 --------------- TOTAL RIGHTS/WARRANTS (Cost $6,107,175) 831,482 ---------------
FACE AMOUNT VALUE+ ------ ------ (000) BONDS -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 $ 40 $ 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 6 0 --------------- TOTAL BONDS (Cost $0) 0 --------------- TEMPORARY CASH INVESTMENTS -- (5.6%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $275,171,000 U.S. Treasury Notes 4.75%, maturities ranging from 01/01/08 to 05/15/14, valued at $280,885,271) to be repurchased at $277,574,692 (Cost $277,559,735)^ 277,560 277,559,735 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $88,657,000 FHLMC Notes 4.20%, 10/20/09, valued at $89,037,339) to be repurchased at $88,115,601 (Cost $88,111,000) 88,111 88,111,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $365,670,735) 365,670,735 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $5,051,771,988) $ 6,559,375,571 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 149 THE U.S. SMALL CAP SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ COMMON STOCKS -- (91.8%) * 1-800 CONTACTS, Inc. 30,578 $ 626,543 * 1-800-FLOWERS.COM, Inc. 67,023 556,291 1st Independence Financial Group, Inc. 1,100 20,735 1st Source Corp. 44,731 1,174,189 # 21st Century Holding Co. 1,650 21,631 21st Century Insurance Group 184,700 2,397,406 * 24/7 Real Media, Inc. 3,180 12,020 * 3-D Systems Corp. 24,600 396,306 * 4Kids Entertainment, Inc. 31,200 637,416 *# 8X8, Inc. 19,200 70,848 *# 99 Cents Only Stores 159,900 2,385,708 * @Road, Inc. 125,400 756,162 * A. B. Watley Group, Inc. 9,400 2,256 * A.C. Moore Arts & Crafts, Inc. 44,800 1,289,792 * A.D.A.M., Inc. 700 2,590 *# aaiPharma, Inc. 47,250 146,002 * Aames Investment Corp. 33 360 * AAON, Inc. 13,100 208,290 * AAR Corp. 74,183 1,014,082 Aaron Rents, Inc. 40,100 972,826 Aaron Rents, Inc. Class A 8,550 187,672 * Abaxis, Inc. 18,300 229,482 ABC Bancorp 8,310 172,017 * Abgenix, Inc. 204,317 2,073,818 * Abiomed, Inc. 50,270 763,099 * Able Laboratories, Inc. 39,700 863,475 * Ablest, Inc. 2,100 15,582 ABM Industries, Inc. 111,600 2,449,620 Abrams Industries, Inc. 200 780 * ABX Air, Inc. 66,600 523,476 * Acacia Research-Acacia Technologies 20,960 95,368 * Acacia Research-CombiMatrix 18,034 60,594 * Accelrys, Inc. 56,300 352,438 *# Access Pharmaceuticals, Inc. 35,600 124,600 * Acclaim Entertainment, Inc. 12,500 121 * Accredited Home Lenders Holding Co. 27,382 1,176,057 * Accredo Health, Inc. 108,400 2,934,388 * ACE Cash Express, Inc. 30,342 809,373 * ACE*COMM Corp. 7,500 16,500 Aceto Corp. 36,950 628,150 * Aclara BioSciences, Inc. 60,271 251,933 * Acme Communications, Inc. 36,700 215,796 Acme United Corp. 3,400 41,310 * ACT Manufacturing, Inc. 800 4 * ACT Teleconferencing, Inc. 27,900 31,527 * Actel Corp. 58,135 997,597 Action Performance Companies, Inc. 42,200 455,338 * ActivCard Corp. 92,943 739,826 * Active Power, Inc. 96,856 440,695 * Actuant Corp. 54,680 2,571,054 * Actuate Corp. 141,900 336,303 Acuity Brands, Inc. 27,700 815,211 Adams Resources & Energy, Inc. 4,200 74,550 * Adaptec, Inc. 239,400 1,867,320 * ADDvantage Technologies Group, Inc. 4,200 22,050 * ADE Corp. 13,300 245,518 * Adept Technology, Inc. 7,000 $ 11,550 * Administaff, Inc. 59,900 892,510 * Adolor Corp. 89,400 1,236,402 * Advanced Digital Information Corp. 146,200 1,342,116 * Advanced Energy Industries, Inc. 75,200 642,960 * Advanced Magnetics, Inc. 12,300 172,815 Advanced Marketing Services, Inc. 42,250 454,187 *# Advanced Medical Optics, Inc. 77,000 3,201,660 * Advanced Neuromodulation Systems, Inc. 46,398 1,674,968 * Advanced Nutraceuticals, Inc. 700 2,450 *# Advanced Photonix, Inc. 9,000 14,940 * Advanced Power Technology, Inc. 22,995 172,692 Advanta Corp. Class A 22,117 494,978 Advanta Corp. Class B Non-Voting 42,042 1,003,963 * Advent Software, Inc. 76,385 1,528,464 Advo, Inc. 70,250 2,466,477 * Aehr Test Systems 7,100 15,478 * AEP Industries, Inc. 13,000 142,220 * AeroCentury Corp. 300 825 * Aeroflex, Inc. 171,250 2,097,812 * Aeropostale, Inc. 100,850 2,874,225 * Aerosonic Corp. 3,900 22,893 * Aether Systems, Inc. 97,242 361,740 * Aetrium, Inc. 9,300 33,480 *# AFC Enterprises, Inc. 39,800 958,384 * Affiliated Managers Group, Inc. 55,050 3,489,069 * Aftermarket Technology Corp. 45,950 800,449 * Agile Software Corp. 120,771 1,009,646 *# Agility Capital, Inc. 5,900 38 Agilysys, Inc. 74,088 1,224,675 * Air Methods Corp. 23,570 171,354 * AirGate PCS, Inc. 5,100 165,597 * AirNet Systems, Inc. 22,200 73,260 * Airspan Networks, Inc. 83,300 457,317 * Airtran Holdings, Inc. 196,800 2,326,176 * AK Steel Holding Corp. 250,200 3,230,082 *# Akamai Technologies, Inc. 82,588 1,069,515 *# Akorn, Inc. 19,500 81,120 *# Aksys, Ltd. 67,191 444,133 Alabama National Bancorporation 38,689 2,446,305 Alamo Group, Inc. 12,500 261,250 * Alaska Air Group, Inc. 68,000 2,123,640 * Alaska Communications Systems Group, Inc. 22,200 190,698 Albany International Corp. Class A 68,872 2,303,768 * Albany Molecular Research, Inc. 71,360 764,979 Albemarle Corp. 78,881 3,142,619 * Alderwoods Group, Inc. 6,000 63,480 Aldila, Inc. 4,633 60,275 Alexander & Baldwin, Inc. 72,795 3,079,956 * Alexion Pharmaceuticals, Inc. 63,500 1,313,180 Alfa Corp. 184,078 2,788,782 * Alico, Inc. 7,000 390,320 * Align Technology, Inc. 135,310 1,430,227 * Alkermes, Inc. 206,211 2,843,650 * All American Semiconductor, Inc. 4,000 24,400 Allegheny Technologies, Inc. 130,813 2,877,886
150
SHARES VALUE+ ------ ------ Allen Organ Co. Class B 800 $ 52,308 ALLETE, Inc. 68,000 2,475,200 * Alliance Gaming Corp. 117,360 1,418,882 * Alliance Imaging, Inc. 111,000 1,043,400 * Alliance Semiconductor Corp. 79,000 276,500 * Allied Defense Group, Inc. 12,400 253,952 * Allied Healthcare International, Inc. 36,000 193,680 * Allied Healthcare Products, Inc. 6,700 41,473 * Allied Holdings, Inc. 8,300 21,289 * Allied Motion Technologies, Inc. 2,900 19,868 * Allmerica Financial Corp. 27,600 898,380 * Allos Therapeutics, Inc. 61,410 128,961 * Allou HealthCare, Inc. Class A 100 0 * Alloy, Inc. 71,200 320,400 * Allscripts Healthcare Solutions, Inc. 91,149 897,818 * Almost Family, Inc. 1,600 19,680 * Alpha Technologies Group, Inc. 7,100 7,100 Alpharma, Inc. Class A 93,400 1,551,374 Alpine Group, Inc. 13,500 29,025 * Alteon, Inc. 61,700 51,211 * Altiris, Inc. 61,300 1,716,400 Ambassadors Group, Inc. 9,800 340,844 Ambassadors International, Inc. 9,800 134,652 * AMC Entertainment, Inc. 64,200 1,240,986 * Amcast Industrial Corp. 8,500 4,675 AMCOL International Corp. 67,500 1,363,500 Amcore Financial, Inc. 57,060 1,856,162 * Amedisys, Inc. 33,393 1,099,298 * AMEN Properties, Inc. 1,975 7,702 * Amerco, Inc. 13,900 571,985 * America Services Group, Inc. 24,758 620,188 *# America West Holdings Corp. Class B 80,800 469,448 * American Banknote Corp. 88 12 * American Biltrite, Inc. 3,400 40,460 *# American Business Financial Services, Inc. 5,074 17,658 * American Claims Evaluation, Inc. 1,000 2,430 * American Dental Partners, Inc. 10,500 192,255 American Ecology Corp. 14,350 173,348 American Greetings Corp. Class A 83,900 2,233,418 *# American Healthways, Inc. 75,600 2,521,260 * American Independence Corp. 8,400 124,152 # American Italian Pasta Co. 40,100 772,326 * American Locker Group, Inc. 300 3,855 * American Medical Security Group, Inc. 27,400 885,842 * American Medical Systems Holdings, Inc. 77,433 2,954,843 American Pacific Corp. 7,100 59,285 * American Physicians Capital, Inc. 19,400 646,214 American Physicians Services Group, Inc. 100 1,015 * American Retirement Corp. 56,600 449,970 * American Science & Engineering, Inc. 17,200 635,712 American Shared Hospital Services 5,100 26,877 American Software, Inc. Class A 46,205 274,920 American States Water Co. 38,350 997,483 * American Superconductor Corp. 63,799 883,361 * American Technical Ceramics Corp. 8,000 80,080 # American Vanguard Corp. 621 23,753 * American West Bancorporation 3,552 74,592 American Woodmark Corp. 37,876 1,523,751 Americana Bancorp 2,712 $ 42,443 * America's Car-Mart, Inc. 18,000 660,600 *# AMERIGROUP Corp. 49,500 3,415,500 * AmeriServe Financial, Inc. 29,200 151,840 Ameristar Casinos, Inc. 62,362 2,510,070 Ameron International Corp. 18,600 706,428 AmerUs Group Co. 46,844 2,040,993 * Amistar Corp. 1,600 5,440 * Amkor Technology, Inc. 151,073 830,901 * AML Communications, Inc. 7,800 7,098 * AMN Healthcare Services, Inc. 65,100 1,041,600 Ampco-Pittsburgh Corp. 9,600 129,312 * Ampex Corp. Class A 5,925 67,545 *# AMR Corp. 82,700 746,781 Amrep Corp. 6,500 115,635 * Amsurg Corp. 69,833 1,795,419 * Amtech Systems, Inc. 1,900 8,075 * AMX Corp. 11,000 194,150 *# Anadigics, Inc. 69,900 235,563 * Analex Corp. 29,000 117,450 Analogic Corp. 29,400 1,332,408 * Analysts International Corp. 52,200 174,870 *# Analytical Surveys, Inc. 730 1,905 * Anaren, Inc. 44,500 597,813 Anchor Bancorp Wisconsin, Inc. 53,040 1,549,298 Andersons, Inc. 8,200 187,616 * Andrx Group 2,600 46,280 * Angeion Corp. 215 555 Angelica Corp. 16,100 408,135 * Angelo & Maxie's, Inc. 2,016 1,502 * AngioDynamics, Inc. 7,332 117,312 * Anika Therapeutics, Inc. 9,900 93,555 # Anixter International, Inc. 81,400 3,071,222 * Ansoft Corp. 29,635 534,023 * AnswerThink, Inc. 100,625 453,819 * Ansys, Inc. 71,200 2,185,128 * Anteon International Corp. 82,400 3,050,448 * Anthony & Sylvan Pools Corp. 3,768 20,159 *# Antigenics, Inc. 104,613 985,454 * AP Pharma, Inc. 45,823 56,821 * APA Enterprises, Inc. 11,800 25,488 * APAC Customer Services, Inc. 106,450 180,965 * Aphton Corp. 86,739 286,239 Apogee Enterprises, Inc. 62,815 915,843 *# Apogee Technology, Inc. 5,400 20,628 * Applera Corp. - Celera Genomics Group 2,900 40,832 * Applica, Inc. 55,400 279,770 * Applied Extrusion Technologies, Inc. 21,500 3,655 * Applied Films Corp. 33,261 737,064 * Applied Imaging Corp. 15,100 6,946 Applied Industrial Technologies, Inc. 43,100 1,795,115 * Applied Innovation, Inc. 15,100 54,058 * Applied Micro Circuits Corp. 133,400 490,912 Applied Signal Technologies, Inc. 25,700 975,572 * Applix, Inc. 26,500 117,395 * Apria Healthcare Group, Inc. 55,300 1,696,051 * Apropos Technology, Inc. 36,800 110,032 Aptargroup, Inc. 38,500 2,023,175 * aQuantive, Inc. 141,025 1,225,507 * Aquila, Inc. 533,900 1,868,650
151
SHARES VALUE+ ------ ------ * Aradigm Corp. 82,790 $ 125,841 * Arch Capital Group, Ltd. 5,900 229,805 Arch Chemicals, Inc. 53,822 1,571,602 Arctic Cat, Inc. 32,230 860,863 *# Ardent Communications, Inc. 12,900 19 * Arena Pharmaceuticals, Inc. 56,778 317,962 * ARGON ST, Inc. 14,214 367,574 * Argonaut Group, Inc. 61,101 1,214,688 * Argonaut Technologies, Inc. 11,600 10,788 * Argosy Gaming Corp. 64,800 3,017,088 * Ariad Pharmaceuticals, Inc. 120,706 696,474 * Ariba, Inc. 145,121 2,394,496 Ark Restaurants Corp. 2,700 81,135 Arkansas Best Corp. 57,300 2,470,776 * Arlington Hospitality, Inc. 4,900 14,210 * Armor Holdings, Inc. 72,100 3,112,557 *# Armstrong Holdings, Inc. 4,400 11,440 *# Arotech Corp. 90,691 159,616 * Arqule, Inc. 64,374 356,632 * Array BioPharma, Inc. 66,103 552,621 # Arrhythmia Research Technology, Inc. 5,800 146,740 * Arris Group, Inc. 200,000 1,138,000 Arrow Financial Corp. 10,239 328,774 Arrow International, Inc. 100,700 3,045,168 * Art Technology Group, Inc. 121,085 134,404 Artesian Resources Corp. Class A 1,815 52,726 * Artesyn Technologies, Inc. 82,300 783,496 * Arthrocare Corp. 49,692 1,504,177 * Artisan Components, Inc. 43,700 1,507,650 *# Artisoft, Inc 2,400 5,760 * Art's-Way Manufacturing Co., Inc. 200 1,220 * ASA International. Ltd. 640 2,931 ASB Financial Corp. 1,000 22,250 * Asbury Automotive Group, Inc. 143,200 1,987,616 * Ascential Software Corp. 66,079 903,300 * Ashworth, Inc. 30,071 272,143 * Ask Jeeves, Inc. 83,900 2,167,976 * Aspect Communications Corp. 136,183 1,477,586 * Aspect Medical Systems, Inc. 47,000 1,146,800 * Aspen Technology, Inc. 92,664 534,671 Associated Banc-Corp 12,348 410,324 * Astea International, Inc. 2,900 20,793 * Astec Industries, Inc. 44,700 743,808 Astro-Med, Inc. 9,830 88,775 * Astronics Corp. 5,500 27,225 * Astronics Corp. Class B 2,225 11,069 *# AstroPower, Inc. 6,550 62 * ASV, Inc. 29,016 1,216,641 * Asyst Technologies, Inc. 104,400 434,304 *# ATA Holdings Corp. 24,879 27,367 * Atari, Inc. 218,209 495,334 *# AtheroGenics, Inc. 85,200 2,020,092 * Atlantic American Corp. 21,100 63,300 * Atlantic Premium Brands, Ltd. 2,000 2,400 * Atlantis Plastics, Inc. 4,400 72,820 * ATMI, Inc. 72,133 1,660,502 Atmos Energy Corp. 73,600 1,986,464 * ATP Oil & Gas Corp. 56,500 805,125 Atrion Corp. 1,700 76,874 * ATS Medical, Inc. 8,200 32,554 * Atwood Oceanics, Inc. 34,600 1,814,078 * Audiovox Corp. Class A 44,900 $ 671,255 * August Technology Corp. 40,900 345,605 * Ault, Inc. 4,500 14,220 * Aura Systems, Inc. 5,295 201 *# Authentidate Holding Corp. 75,700 525,358 * autobytel.com, Inc. 91,700 667,576 * Avalon Holding Corp. Class A 1,550 4,805 * Avanex Corp. 320,595 993,844 * AVANIR Pharmaceuticals Class A 216,500 738,265 * Avant Immunotherapeutics, Inc. 141,134 261,098 * Avatar Holdings, Inc. 8,700 411,249 Avatech Solutions, Inc 1,851 648 *# AVI BioPharma, Inc. 75,600 164,808 * Aviall, Inc. 74,500 1,694,130 * Avici Systems, Inc. 27,943 199,792 * Avid Technology, Inc. 45,100 2,573,857 * Avigen, Inc. 46,864 161,681 Avista Corp. 111,400 1,982,920 * Avocent Corp. 52,600 1,995,118 * AVTEAM, Inc. Class A 200 0 * Aware, Inc. 49,159 241,371 * Axcelis Technologies, Inc. 219,900 1,605,270 * Axesstel, Inc. 6,200 23,560 * AXM Pharma, Inc. 2,300 5,290 * Axonyx, Inc. 1,300 9,568 * AXS-One, Inc. 64,600 183,464 * Axsys Technologies, Inc. 7,050 127,464 * AXT, Inc. 38,700 65,790 * Aztar Corp. 79,600 2,692,072 * AZZ, Inc. 8,200 125,050 Badger Meter, Inc. 3,200 182,912 * Badger Paper Mills, Inc. 1,000 4,240 Bairnco Corp. 7,300 85,410 * Baker (Michael) Corp. 7,600 142,880 Balchem Corp. 4,700 144,807 Baldor Electric Co. 75,733 2,088,716 Baldwin & Lyons, Inc. Class B 12,625 328,250 * Baldwin Technology Co., Inc. Class A 13,300 40,964 * Ballantyne of Omaha, Inc. 11,900 51,051 *# Bally Total Fitness Holding Corp. 78,200 260,406 * Bancinsurance Corp. 5,700 42,294 Bandag, Inc. 20,100 1,002,387 Bandag, Inc. Class A 9,600 437,568 Bank of Granite Corp. 16,400 355,880 Bank of The Ozarks, Inc. 15,200 541,880 BankAtlantic Bancorp, Inc. Class A 11,285 214,415 * Bankrate, Inc. 7,000 111,720 * BankUnited Financial Corp. Class A 69,175 2,126,439 Banner Corp. 25,751 850,298 Banta Corp. 57,300 2,549,850 Barnes Group, Inc. 53,200 1,392,776 Barnwell Industries, Inc. 400 21,180 * Barrett Business Services, Inc. 5,800 87,058 * Barry (R.G.) Corp. 9,500 33,250 Bassett Furniture Industries, Inc. 26,099 514,411 Bay View Capital Corp. 14,455 248,626 * BayCorp Holdings, Ltd. 484 6,123 * BE Aerospace, Inc. 103,510 1,096,895 * Beasley Broadcast Group, Inc. 16,698 293,050 # Beazer Homes USA, Inc. 12,553 1,556,572 Bebe Stores, Inc. 85,400 3,098,312
152
SHARES VALUE+ ------ ------ BEI Technologies, Inc. 34,000 $ 997,900 Bel Fuse, Inc. Class A 2,600 76,180 Bel Fuse, Inc. Class B 5,250 179,707 Belden CDT, Inc. 83,439 1,934,950 * Bell Industries, Inc. 8,900 25,899 * Bell Microproducts, Inc. 63,600 543,780 * Benchmark Electronics, Inc. 89,000 3,119,450 * Benihana, Inc. 1,000 14,250 * Benihana, Inc. Class A 150 2,115 * Bentley Pharmaceuticals, Inc. 47,860 422,125 Berry Petroleum Corp. Class A 48,400 2,240,920 * Beverly Enterprises, Inc. 248,700 2,156,229 Beverly Hills Bancorp, Inc. 437 4,331 * BFC Financial Corp. 1,300 14,664 * Big 4 Ranch, Inc. 3,200 0 * Big City Radio, Inc. 3,400 399 * Big Dog Holdings, Inc. 1,500 9,420 *# Big Lots, Inc. 16,400 190,240 * BindView Development Corp. 107,800 382,690 * Bioanalytical Systems, Inc. 4,600 24,150 * BioCryst Pharmaceuticals, Inc. 49,900 329,340 * Bioenvision, Inc. 64,800 667,440 * Bio-Imaging Technologies, Inc. 24,300 105,705 # BioLase Technology, Inc. 55,808 504,504 * Bio-Logic Systems Corp. 4,200 34,272 * BioMarin Pharmaceutical, Inc. 148,085 789,293 * Bio-Rad Laboratories, Inc. Class A 20,000 1,134,000 * Bio-Reference Laboratories, Inc. 28,746 472,009 * BioSante Pharmaceuticals, Inc. 41,400 416,898 *# Biosite, Inc. 36,545 2,035,191 * Biosource International, Inc. 9,600 63,168 * Biospecifics Technologies Corp. 4,500 7,425 * BioSphere Medical, Inc. 32,800 101,680 * BioTime, Inc. 11,000 14,520 * Bioveris Corp. 30,900 190,962 * Bitstream, Inc. 8,400 24,360 BIW, Ltd. 800 15,720 * BJ's Restaurants, Inc. 45,344 678,346 Black Box Corp. 39,400 1,681,592 Black Hills Corp. 74,659 2,292,778 Blair Corp. 18,000 630,000 # Blockbuster, Inc. Class A 119,800 1,015,904 * Blonder Tongue Laboratories, Inc. 9,800 46,550 * Blount International, Inc. 89,200 1,554,756 * Blue Coat Systems, Inc. 25,886 432,037 * Blue Martini Software, Inc. 26,600 73,921 * Bluegreen Corp. 59,865 951,853 Blyth, Inc. 94,100 2,758,071 * BNS Co. Class A 4,120 27,398 Bob Evans Farms, Inc. 79,438 2,005,809 * Boca Resorts, Inc. 84,545 2,024,007 * Bogen Communications International, Inc. 12,500 61,562 * Bolt Technology Corp. 5,400 28,296 * Bombay Co., Inc. 82,400 570,208 * Bone Care International, Inc. 44,709 1,042,614 * Bontex, Inc. 200 52 Bon-Ton Stores, Inc. 29,617 414,638 *# Bookham, Inc. 12,447 66,716 Books-A-Million, Inc. 18,300 168,726 * Borland Software Corp. 185,000 2,162,650 Boston Acoustics, Inc. 4,600 $ 63,250 * Boston Beer Co., Inc. Class A 22,100 481,338 * Boston Communications Group, Inc. 39,700 353,330 Boston Private Financial Holdings, Inc. 62,900 1,703,961 BostonFed Bancorp, Inc. 4,300 188,727 * Bottomline Technologies, Inc. 40,306 471,580 Bowne & Co., Inc. 81,100 1,248,940 * Boyds Collection, Ltd. 123,017 431,790 * Bradley Pharmaceuticals, Inc. 37,051 655,803 Brady Co. Class A 49,200 3,006,120 * Breed Technologies, Inc. 36,800 515 Bridgford Foods Corp. 10,400 88,036 * Brigham Exploration Co. 96,446 901,770 * Bright Horizons Family Solutions, Inc. 6,600 414,150 * Brightpoint, Inc. 41,400 791,154 * BrightStar Information Technology Group, Inc. 10,700 214 * Brillian Corp. 7,049 21,711 * Brilliant Digital Entertainment, Inc. 5,400 324 *# BriteSmile, Inc. 785 5,440 * Broadview Media, Inc. 200 1,280 *# BroadVision, Inc. 71,877 165,317 *# Broadwing Corp. 2,700 17,928 *# Brocade Communications Systems, Inc. 99,500 689,535 # Brookline Bancorp, Inc. 136,055 2,204,091 * Brooks Automation, Inc. 102,439 1,572,439 * Brookstone, Inc. 46,792 856,294 * Brooktrout, Inc. 29,907 366,660 Brown Shoe Company, Inc. 41,800 1,192,136 * Bruker BioSciences Corp. 194,472 896,516 * Brush Engineered Materials, Inc. 43,600 850,200 Bryn Mawr Bank Corp. 1,600 31,872 * BSQUARE Corp. 500 570 * BTU International, Inc. 12,900 38,442 * Buca, Inc. 44,571 267,426 * Buckeye Technologies, Inc. 85,883 1,064,090 Buckle, Inc. 30,000 924,000 Building Materials Holding Corp. 31,198 1,137,167 * Bull Run Corp. 3,700 1,369 Burlington Coat Factory Warehouse Corp. 101,949 2,376,431 * Bush Industries, Inc. Class A 700 59 * Butler International, Inc. 8,400 38,472 C&D Technologies, Inc. 58,300 1,010,339 C&F Financial Corp. 300 11,871 * C-COR, Inc. 99,000 886,050 *# C-Phone Corp. 8,900 116 * Cabot Microelectronics Corp. 57,000 2,106,150 Cabot Oil & Gas Corp. 65,800 3,183,404 * Cache, Inc. 35,950 593,534 * CACI International, Inc. Class A 5,700 354,141 Cadmus Communications Corp. 8,900 123,541 * Cagle's, Inc. Class A 2,000 22,020 * Cal Dive International, Inc. 80,000 3,444,800 * CalAmp Corp. 50,728 485,467 Calavo Growers, Inc. 26,043 304,964 Calgon Carbon Corp. 89,800 839,630 * California Coastal Communities, Inc. 10,000 222,900 California First National Bancorp 10,400 137,790 * California Micro Devices Corp. 49,400 429,780
153
SHARES VALUE+ ------ ------ * California Pizza Kitchen, Inc. 44,100 $ 1,104,705 California Water Service Group 42,200 1,475,734 * Caliper Life Sciences, Inc. 67,924 474,789 Callaway Golf Co. 173,000 2,034,480 * Callidus Software 32,000 145,280 * Callon Petroleum Co. 39,762 557,066 * Calloway's Nursery, Inc. 1,200 420 # Cal-Maine Foods, Inc. 49,100 649,495 *# Calpine Corp. 17,500 67,900 * Calton, Inc. 4,480 1,613 * CAM Commerce Solutions, Inc. 3,000 48,357 Cambrex Corp. 60,000 1,488,000 Camco Financial Corp. 7,516 114,469 * CancerVax Corp. 64,300 608,921 * Candela Corp. 51,710 505,724 * Candie's, Inc. 62,574 291,595 * Candlewood Hotel Co., Inc. 1,500 86 * Cannon Express, Inc. 200 0 * Cannondale Corp. 300 19 * Cantel Medical Corp. 22,440 672,302 * Canterbury Consulting Group, Inc. 1,571 677 * Canyon Resources Corp. 63,900 77,319 Capital Corp. of the West 5,046 259,819 * Capital Crossing Bank 11,800 315,178 * Capital Pacific Holdings, Inc. 14,500 57,637 * Capital Senior Living Corp. 58,900 305,691 Capital Southwest Corp. 300 23,640 Capitol Bancorp, Ltd. 8,564 297,171 * Caprius, Inc. 548 82 * Capstone Turbine Corp. 78,300 146,421 * Captaris, Inc. 69,100 339,281 * Captiva Software Corp. 4,400 43,032 * Caraco Pharmaceutical Laboratories, Ltd. 56,350 411,355 * Caraustar Industries, Inc. 64,684 1,040,766 CARBO Ceramics, Inc. 36,700 2,851,590 * Cardiac Sciences, Inc. 144,900 307,188 * Cardima, Inc. 1,300 481 * Cardinal Financial Corp. 12,705 127,304 * CardioDynamics International Corp. 112,034 511,995 * CardioGenesis Corp. 1,800 738 *# Cardiotech International, Inc. 40,663 114,263 * Career Blazers, Inc. Trust Units 800 0 Carmike Cinemas, Inc. 27,828 1,041,880 Carpenter Technology Corp. 54,700 3,197,215 * Carreker Corp. 21,871 184,591 * Carriage Services, Inc. 38,900 195,667 * Carrier Access Corp. 77,789 702,435 * Carrington Laboratories, Inc. 9,800 45,178 * Carrizo Oil & Gas, Inc. 14,100 136,347 Cascade Corp. 28,000 898,520 Cascade Natural Gas Corp. 25,900 553,742 * Casella Waste Systems, Inc. Class A 53,549 809,125 Casey's General Stores, Inc. 115,110 2,229,681 Cash America International, Inc. 65,100 1,669,815 * Castle (A.M.) & Co. 15,437 196,359 Castle Energy Corp. 11,700 147,420 * Casual Male Retail Group, Inc. 78,700 339,984 * Catalina Lighting, Inc. 1,760 15,840 Catalina Marketing Corp. 111,300 3,127,530 * Catalyst Semiconductor, Inc. 41,940 249,962 * Catalytica Energy Systems, Inc. 19,891 $ 41,771 * Catapult Communications Corp. 33,091 898,090 Cato Corp. Class A 46,600 1,243,288 * Cavalier Homes, Inc. 39,360 217,661 # Cavalry Bancorp, Inc. 500 10,644 * Cavco Industries, Inc. 3,852 155,236 CCA Industries, Inc. 15,166 166,826 * CCC Information Services Group, Inc. 56,648 1,183,943 * CD Warehouse, Inc. 3,300 6 * CD&L, Inc. 2,600 4,368 CDI Corp. 43,600 842,352 * CEC Entertainment Inc. 76,950 3,131,095 * Celadon Group, Inc. 21,500 460,100 * Celebrity, Inc. Escrow Shares 1,300 0 Celeritek, Inc. 29,000 104,690 * Cell Genesys, Inc. 94,552 694,012 *# Cell Therapeutics, Inc. 116,400 870,672 * Cellegy Pharmaceuticals, Inc. 53,521 264,929 * CellStar Corp. 43,048 157,125 * Centene Corp. 47,200 2,525,200 * Centennial Communications Corp. 49,800 329,178 Center Bancorp, Inc. 1,890 24,343 Center Financial Corp. 12,960 266,846 * Centillium Communications, Inc. 83,989 211,652 * Centra Software, Inc. 45,500 98,726 Central Bancorp, Inc. 1,600 49,560 * Central European Distribution Corp. 37,627 989,214 * Central Garden & Pet Co. 42,600 1,648,620 Central Pacific Financial Corp. 64,500 2,156,235 Central Parking Corp. 80,537 1,222,552 Central Vermont Public Service Corp. 27,900 629,982 * Century Aluminum Co. 73,590 1,885,376 Century Bancorp, Inc. Class A 1,000 31,060 * Century Business Services, Inc. 165,357 711,035 *# Cenuco, Inc. 27,800 202,384 * Cenveo, Inc. 108,100 344,839 * Cepheid, Inc. 96,406 887,899 * Ceradyne, Inc. 37,150 1,835,210 CERBCO, Inc. Class A 200 1,908 * Ceres Group, Inc. 73,995 369,975 *# Cerner Corp. 25,573 1,348,209 * Cerus Corp. 50,900 132,849 * CEVA, Inc. 13,363 107,171 CFS Bancorp, Inc. 23,720 326,862 CH Energy Group, Inc. 36,300 1,686,861 * Chad Therapeutics, Inc. 10,000 45,300 *# Champion Enterprises, Inc. 164,700 1,890,756 Champion Industries, Inc. 9,674 36,277 * Championship Auto Racing Teams, Inc. 8,900 1,255 * Champps Entertainment, Inc. 28,340 225,020 * Channell Commercial Corp. 6,600 49,500 * Charles and Colvard, Ltd. 30,500 290,939 * Charles River Associates, Inc. 9,000 388,260 * Charles River Laboratories International, Inc. 22,342 1,044,488 * Charlotte Russe Holding, Inc. 49,700 579,005 * Charming Shoppes, Inc. 264,873 2,476,563 *# Chart Industries, Inc. 23 1,081 *# Charter Communications, Inc. 477,985 1,032,448 Charter Financial Corp. 22,811 933,198
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SHARES VALUE+ ------ ------ Chase Corp. 4,000 $ 62,600 * Chattem, Inc. 45,500 1,648,010 * Chaus (Bernard), Inc. 1,300 1,170 * Checkers Drive-In Restaurants, Inc. 25,907 320,729 * Checkpoint Systems, Inc. 86,400 1,594,944 Chemed Corp. 28,600 1,774,344 Chemical Financial Corp. 55,099 2,308,648 *# Cheniere Energy, Inc. 43,900 2,496,154 Cherokee, Inc. 8,100 238,140 Chesapeake Corp. 44,102 1,190,313 Chesapeake Utilities Corp. 12,600 326,340 Chester Valley Bancorp, Inc. 603 12,892 Chicago Rivet & Machine Co. 200 5,384 * chinadotcom Corp. Class A 4,282 18,884 * Chiquita Brands International, Inc. 93,896 1,857,263 Chittenden Corp. 106,153 3,129,390 * Cholestech Corp. 32,700 261,600 * Chordiant Software, Inc. 162,100 332,305 Christopher & Banks Corp. 82,213 1,622,062 *# ChromaVision Medical Systems, Inc. 20,200 34,340 * Chromcraft Revington, Inc. 6,000 75,060 * Chronimed, Inc. 24,201 159,485 Churchill Downs, Inc. 14,400 668,880 *# Chyron Corp. 33,400 18,370 * Ciber, Inc. 138,612 1,293,250 * CIENA Corp. 66,100 168,555 * Cimarex Energy Co. 14,004 562,681 * Cincinnati Bell, Inc. 564,100 2,030,760 * Ciphergen Biosystems, Inc. 67,103 216,072 * Ciprico, Inc. 4,900 20,335 CIRCOR International, Inc. 34,990 729,541 * Cirrus Logic, Inc. 194,018 1,150,527 Citizens Banking Corp. 78,033 2,738,958 Citizens South Banking Corp. 17,229 225,700 *# Citizens, Inc. 85,085 548,804 City Holding Co. 38,184 1,409,753 * CKE Restaurants, Inc. 132,700 1,660,077 Clarcor, Inc. 58,800 3,088,176 * Clark, Inc. 42,824 713,020 * Clarus Corp. 33,800 293,215 * Clayton Williams Energy, Inc. 9,200 210,588 * Clean Harbors, Inc. 32,400 405,972 * ClearOne Communications, Inc. 11,000 46,475 Cleco Corp. 108,300 2,144,340 # Cleveland-Cliffs, Inc. 23,500 2,277,150 Clinical Data, Inc. 1,787 22,749 * Closure Medical Corp. 33,027 587,550 * CMGI, Inc. 66,700 102,051 * CMS Energy Corp. 273,775 2,792,505 * CNA Surety Corp. 74,718 975,817 * CNE Group, Inc. 2,000 800 *# CNET Networks, Inc. 330,100 3,076,532 CNS, Inc. 31,520 380,446 Coachmen Industries, Inc. 36,100 580,127 * Coast Dental Services, Inc. 2,066 7,231 Coast Distribution System 5,600 38,080 * Coastcast Corp. 7,600 17,404 CoBiz, Inc. 12,825 282,150 * Cobra Electronics Corp. 6,100 49,410 Coca-Cola Bottling Co. Consolidated 6,000 314,520 * Coeur d'Alene Mines Corp. 490,500 2,251,395 * Cogent Communications Group, Inc. 6,713 $ 5,303 Cognex Corp. 105,800 2,729,640 * Cognitronics Corp. 4,250 13,515 * Coherent, Inc. 69,078 1,995,663 Cohu, Inc. 49,013 821,458 * Coinstar, Inc. 49,300 1,282,786 * Coldwater Creek, Inc. 35,775 937,305 * Collagenex Pharmaceuticals, Inc. 33,000 188,100 * Collins & Aikman Corp. 186,360 661,578 Collins Industries, Inc. 7,000 41,160 Columbia Banking System, Inc. 32,787 832,462 * Columbia Laboratories, Inc. 91,900 178,286 * Columbus McKinnon Corp. 34,300 271,313 * Comarco, Inc. 10,200 82,620 * Comdial Corp. 600 690 * Comforce Corp. 13,277 30,803 * Comfort Systems USA, Inc. 89,100 641,520 Commerce Group, Inc. 26,100 1,550,079 *# Commerce One, Inc. 51,000 8,287 Commercial Bancshares, Inc. 5,665 213,854 Commercial Capital Bancorp, Inc. 34,625 826,152 Commercial Federal Corp. 89,900 2,618,787 Commercial Metals Co. 67,200 3,046,848 Commercial National Financial Corp. 3,200 75,200 * Commonwealth Industries, Inc. 28,815 377,188 * Commonwealth Telephone Enterprises, Inc. 48,400 2,355,144 * CommScope, Inc. 124,400 2,403,408 Communications Systems, Inc. 8,200 95,776 Community Bank System, Inc. 70,300 1,947,310 Community Bankshares, Inc. 210 3,828 Community Trust Bancorp, Inc. 15,103 505,648 Community West Bancshares 5,500 58,025 * Competitive Technologies, Inc. 6,100 42,395 * Compex Technologies, Inc. 27,454 134,525 * CompuCredit Corp. 105,656 2,532,574 *# Compudyne Corp. 17,704 125,716 * Computer Horizons Corp. 37,400 142,120 * Computer Network Technology Corp. 59,600 339,720 Computer Programs & Systems, Inc. 24,100 520,560 * Computer Task Group, Inc. 37,600 136,864 * CompX International, Inc. 5,100 81,855 * Comstock Resources, Inc. 79,900 1,734,629 * Comtech Telecommunications Corp. 32,700 1,029,396 # Concepts Direct, Inc. 700 392 * Conceptus, Inc. 58,836 525,405 * Concord Camera Corp. 52,056 137,428 * Concord Communications, Inc. 42,100 391,109 * Concur Technologies, Inc. 75,632 710,941 * Concurrent Computer Corp. 106,000 201,400 * Conexant Systems, Inc. 226,933 451,597 * Congoleum Corp. Class A 3,600 20,448 * Conmed Corp. 68,654 1,988,906 Connecticut Water Services, Inc. 7,600 211,508 * Connetics Corp. 81,700 1,708,347 * Conrad Industries, Inc. 7,200 13,320 * Consolidated Freightways Corp. 550 1 * Consolidated Graphics, Inc. 31,382 1,484,369 Consolidated-Tokoma Land Co. 6,100 244,732 * Constar International, Inc. 20,900 125,400 * Consumer Portfolio Services, Inc. 3,300 14,322
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SHARES VALUE+ ------ ------ *# Continental Airlines, Inc. 152,900 $ 1,703,306 * Continental Materials Corp. 200 5,320 * Convera Corp. 78,426 365,465 * Convergence Systems, Inc. 1 45 *# Cooker Restaurant Corp. 6,500 23 Cooper Tire & Rubber Co. 83,900 1,713,238 Cooperative Bankshares, Inc. 1,400 38,640 * Copart, Inc. 74,032 1,599,091 *# Copper Mountain Networks, Inc. 15,010 47,116 * Corautus Genetics, Inc. 1,542 8,404 * Core Molding Technologies, Inc. 7,700 20,559 * Corillian Corp. 87,677 509,403 * Corinthian Colleges, Inc. 137,000 2,387,225 * Corio, Inc. 108,600 180,276 *# Corixa Corp. 128,288 481,080 Corn Products International, Inc. 47,600 2,590,392 * Cornell Companies, Inc. 30,300 443,895 * Correctional Services Corp. 20,512 57,023 * Corrections Corporation of America 80,900 3,195,550 * Corrpro Companies, Inc. 7,275 8,366 Corus Bankshares, Inc. 64,044 3,117,021 * Corvel Corp. 10,900 345,748 * Cosine Communications, Inc. 22,621 69,446 * Cost Plus, Inc. 50,275 1,597,739 * CoStar Group, Inc. 41,911 1,835,702 * Cost-U-Less, Inc. 3,000 17,730 Cotton States Life Insurance Co. 6,330 127,233 Courier Corp. 4,275 216,229 * Covansys Corp. 48,200 648,772 * Covenant Transport, Inc. Class A 28,030 538,737 * Covista Communications, Inc. 3,000 5,940 CPAC, Inc. 5,120 26,470 * CPI Aerostructures, Inc. 11,866 122,220 CPI Corp. 11,200 158,480 Craftmade International, Inc. 11,300 200,010 Crawford & Co. Class A 27,300 204,750 Crawford & Co. Class B 25,300 198,605 * Cray, Inc. 189,048 663,558 * Credence Systems Corp. 202,147 1,544,403 * Credit Acceptance Corp. 90,319 2,235,395 * Critical Path, Inc. 33,200 36,520 * Criticare Systems, Inc. 25,400 67,564 Crompton Corp. 263,600 2,954,956 * Cross (A.T.) Co. Class A 14,700 69,972 * Cross Country Healthcare, Inc. 71,557 1,270,137 * Crossroads Systems, Inc. 42,500 57,375 * Crown Andersen, Inc. 1,000 1,400 * Crown Financial Group, Inc. 4,200 1,386 * Crown Holdings, Inc. 14,400 184,320 * Crown Media Holdings, Inc. 168,253 1,490,722 *# CryoLife, Inc. 53,600 381,632 * CSG Systems International, Inc. 117,432 2,133,739 * CSK Auto Corp. 104,100 1,596,894 * CSP, Inc. 3,500 30,800 CSS Industries, Inc. 12,900 414,477 CT Communications, Inc. 41,560 549,839 * CTI Molecular Imaging, Inc. 23,500 314,430 CTS Corp. 82,659 1,104,324 Cubic Corp. 61,500 1,568,250 * Cubist Pharmaceuticals, Inc. 92,725 1,112,700 * Culp, Inc. 25,400 152,908 * Cumulus Media, Inc. Class A 131,893 $ 2,015,325 * CUNO, Inc. 39,008 2,556,194 * CuraGen Corp. 115,160 694,415 * Curative Health Services, Inc. 27,900 159,309 * Curis, Inc. 107,349 434,763 Curtiss-Wright Corp. 11,600 691,360 Cutter & Buck, Inc. 25,124 373,845 * CV Therapeutics, Inc. 72,605 1,574,076 CVB Financial Corp. 111,315 3,025,542 * Cyberguard Corp. 65,822 406,122 *# Cyberonics, Inc. 54,800 1,017,636 * Cyberoptics Corp. 19,400 272,764 * Cybersource Corp. 78,100 551,386 * Cybex International, Inc. 8,700 37,845 * Cycle Country Accessories Corp. 11,300 55,031 *# Cygnus, Inc. 100 10 * Cymer, Inc. 84,586 2,573,106 * Cypress Bioscience, Inc. 66,060 769,599 * Cypress Semiconductor Corp. 288,800 2,844,680 * Cytogen Corp. 35,670 351,349 *# CytRx Corp. 1,700 2,057 D&E Communications, Inc. 34,574 452,919 D&K Healthcare Resources, Inc. 31,930 231,812 * Daily Journal Corp. 200 7,158 * Daktronics, Inc. 43,479 1,126,976 *# Dan River, Inc. Class A 22,900 1,008 * Danielson Holding Corp. 107,650 879,500 * Darling International, Inc. 147,000 605,640 * Data I/O Corp. 7,600 25,308 * Data Systems & Software, Inc. 7,300 8,030 * Datalink Corp. 13,300 25,257 * Dataram Corp. 19,800 118,206 Datascope Corp. 34,034 1,364,423 * Datastream Systems, Inc. 20,100 118,590 *# Datatec Systems, Inc. 7,000 38 *# DataTRAK International, Inc. 5,200 59,280 * Datawatch Corp. 4,132 15,908 * Dave & Busters, Inc. 13,200 246,840 * Dawson Geophysical Co. 5,400 126,090 * Daxor Corp. 4,600 97,060 Deb Shops, Inc. 19,299 475,720 *# Deckers Outdoor Corp. 9,200 400,384 Decorator Industries, Inc. 2,762 21,765 * Del Global Technologies Corp. 10,927 27,973 * Del Laboratories, Inc. 9,506 325,580 * Delphax Technologies, Inc. 6,100 24,943 Delphi Financial Group, Inc. Class A 60,250 2,799,215 Delta & Pine Land Co. 88,500 2,362,950 *# Delta Air Lines, Inc. 288,900 2,013,633 Delta Apparel, Inc. 5,240 119,734 Delta Financial Corp. 46,500 469,650 Delta Natural Gas Co., Inc. 6,200 159,650 * Delta Petroleum Corp. 38,460 604,976 * Delta Woodside Industries, Inc. 5,850 3,861 Deltic Timber Corp. 27,971 1,264,289 * Denali, Inc. 4,300 430 * Denbury Resources, Inc. 115,600 3,346,620 * Dendreon Corp. 134,381 1,318,278 * Dendrite International, Inc. 95,774 1,634,862 * Department 56, Inc. 30,900 523,137 *# DepoMed, Inc. 79,700 371,402
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SHARES VALUE+ ------ ------ * Detrex Corp. 500 $ 925 * Devcon International Corp. 3,600 55,800 * DeVry, Inc. 4,100 69,126 * DHB Industries, Inc. 93,900 1,746,540 Diagnostic Products Corp. 64,000 3,097,600 * DiamondCluster International, Inc. 78,484 959,859 * Diedrich Coffee, Inc. 4,025 17,992 * Digene Corp. 45,800 1,107,581 * Digi International, Inc. 49,792 766,299 * Digimarc Corp. 43,365 399,392 * Digital Angel Corp. 73,800 471,582 * Digital Generation Systems, Inc. 114,900 155,115 * Digital Impact, Inc. 56,900 66,573 * Digital Insight Corp. 81,500 1,330,487 * Digital Lightwave, Inc. 49,700 68,089 * Digital River, Inc. 74,600 3,127,232 * Digitas, Inc. 195,977 1,608,971 Dime Community Bancshares 84,900 1,557,915 DIMON, Inc. 103,829 675,927 * Diodes, Inc. 12,150 302,170 * Dionex Corp. 47,515 2,726,886 * Discovery Laboratories, Inc. 5,700 39,786 * Discovery Partners International, Inc. 59,253 272,564 * Display Technologies, Inc. 11,330 17 * Distributed Energy Systems Corp. 70,550 189,074 * Ditech Communications Corp. 78,155 1,231,723 * Diversa Corp. 99,878 845,967 * Diversified Corporate Resources, Inc. 800 691 * Dixie Group, Inc. 25,400 407,162 * Dixon Ticonderoga Co. 1,900 11,609 * DJ Orthopedics, Inc. 50,800 1,024,636 * DLB Oil & Gas, Inc. 1,300 0 * DocuCorp International, Inc. 24,653 220,151 * Document Sciences Corp. 14,200 75,544 * Dollar Thrifty Automotive Group, Inc. 57,200 1,538,108 * Dominion Homes, Inc. 5,800 119,828 Donegal Group, Inc. Class A 6,066 130,419 Donegal Group, Inc. Class B 2,933 57,927 * Dot Hill Systems Corp. 100,260 661,716 * DoubleClick, Inc. 288,282 2,162,115 * DOV Pharmaceutical, Inc. 48,928 905,657 Dover Downs Gaming & Entertainment, Inc. 9,910 111,884 Dover Motorsports, Inc. 37,100 180,306 Downey Financial Corp. 36,476 2,106,124 * DPAC Technologies Corp. 20,300 10,556 * Drew Industries, Inc. 23,600 786,116 * Dril-Quip, Inc. 38,900 928,543 * DRS Technologies, Inc. 48,500 2,071,920 * drugstore.com, Inc. 183,900 597,675 * DSP Group, Inc. 65,500 1,452,790 * DT Industries, Inc. 10,300 26 * Duckwall-ALCO Stores, Inc. 4,100 68,675 * Ducommun, Inc. 22,900 580,515 * DuPont Photomasks, Inc. 40,255 1,061,927 Duquesne Light Holdings, Inc. 104,700 1,846,908 * Dura Automotive Systems, Inc. 41,300 375,830 * DuraSwitch Industries, Inc. 10,500 22,575 * Duratek, Inc. 13,500 310,635 * Durect Corp. 103,160 231,078 * DUSA Pharmaceuticals, Inc. 38,800 514,876 * Dyax Corp. 72,100 $ 571,753 * Dycom Industries, Inc. 97,066 2,828,503 *# Dynacq Healthcare, Inc. 22,200 119,880 * Dynamex, Inc. 26,300 529,156 *# Dynamic Materials Corp. 2,000 30,600 * Dynamics Research Corp. 16,098 268,998 *# Dynegy, Inc. 63,200 357,080 * E Com Ventures, Inc. 2,175 25,861 * E-Loan, Inc. 140,700 379,890 E-Z-EM, Inc. 8,562 124,577 * E.piphany, Inc. 160,211 724,154 # Eagle Materials, Inc. 22,200 1,739,814 Eagle Materials, Inc. Class B 20,500 1,549,800 *# EarthLink, Inc. 169,975 1,842,529 Eastern Co. 4,950 93,753 * EasyLink Services Corp. 7,969 11,236 * Echelon Corp. 88,406 668,349 * Eclipsys Corp. 17,600 342,320 * eCollege.com 46,875 550,781 Ecology & Environment, Inc. Class A 2,000 17,600 * Edelbrock Corp. 5,470 90,802 * Eden Bioscience Corp. 9,900 7,029 *# EDGAR Online, Inc. 14,700 18,522 * Edge Petroleum Corp. 29,900 457,470 * Edgewater Technology, Inc. 11,569 48,358 EDO Corp. 46,000 1,401,620 * Education Lending Group, Inc. 1,000 14,060 Educational Development Corp. 1,800 18,396 EFC Bancorp, Inc. 4,600 117,990 * EFJ, Inc. 7,800 63,024 * eFunds Corp. 110,806 2,639,399 * EGL, Inc. 95,396 3,218,661 * El Paso Electric Co. 108,600 1,949,370 Electro Rent Corp. 55,779 790,946 * Electro Scientific Industries, Inc. 35,500 689,410 * Electroglas, Inc. 49,100 160,066 * Electronics Boutique Holdings Corp. 54,830 2,135,628 * Electronics for Imaging, Inc. 120,200 2,010,946 * Elizabeth Arden, Inc. 62,000 1,413,600 ElkCorp 45,600 1,349,760 * eLoyalty Corp. 6,700 33,701 * ELXSI Corp. 1,800 5,850 * EMAK Worldwide, Inc. 5,700 56,208 * Embarcadero Technologies, Inc. 63,250 559,130 * Embrex, Inc. 16,700 221,275 EMC Insurance Group, Inc. 11,300 245,323 * EMCOR Group, Inc. 34,000 1,571,480 * EMCORE Corp. 78,911 209,903 * Emerging Vision, Inc. 25,700 4,883 * Emeritus Corp. 14,100 133,950 * Emerson Radio Corp. 59,722 185,138 * Emisphere Technologies, Inc. 41,656 127,759 * Emmis Communications Corp. Class A 118,100 2,183,669 Empire District Electric Co. 58,700 1,333,077 * EMS Technologies, Inc. 24,974 391,842 * Emulex Corp. 190,300 2,690,842 * En Pointe Technologies, Inc. 6,500 18,525 * Encore Acquisition Co. 74,900 2,637,229 * Encore Capital Grooup, Inc. 48,500 1,216,380 * Encore Medical Corp. 98,500 620,057
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SHARES VALUE+ ------ ------ * Encore Wire Corp. 48,497 $ 653,497 * Encysive Pharmaceuticals, Inc. 131,198 1,423,498 * Endeavour International Corp. 98,000 420,420 * Endocardial Solutions, Inc. 46,500 528,705 *# Endocare, Inc. 25,800 62,049 * Endologix, Inc. 73,000 471,580 * Energy Conversion Devices, Inc. 56,439 1,256,332 * Energy Partners, Ltd. 75,400 1,460,498 * Energy West, Inc. 3,900 23,166 EnergySouth, Inc. 16,178 465,765 * Enesco Group, Inc. 32,700 241,326 Engineered Support Systems, Inc. 58,609 3,223,495 * ENGlobal Corp. 1,700 2,516 *# Enlighten Software Solutions, Inc. 1,600 2 Ennis, Inc. 37,800 750,330 * Enpath Medical, Inc. 11,600 110,896 * EnPro Industries, Inc. 46,600 1,339,284 * Entegris, Inc. 168,438 1,647,324 * Enterrasys Networks, Inc. 378,100 661,675 * Entravision Communications Corp. 136,817 1,121,899 *# Entremed, Inc. 69,800 166,822 * Entrust, Inc. 144,200 537,866 * Environmental Elements Corp. 1,000 100 * Environmental Technologies Corp. 3,700 15 * Environmental Tectonics Corp. 7,100 46,150 * Enzo Biochem, Inc. 74,504 1,434,202 * Enzon Pharmaceuticals, Inc. 51,600 698,664 *# EP Medsystems, Inc. 14,900 51,107 * EpicEdge, Inc. 13,100 39 * Epicor Software Corp. 116,287 1,833,846 *# Epimmune, Inc. 22,900 30,915 * EPIQ Systems, Inc. 41,050 615,339 * EPIX Pharmaceuticals, Inc. 52,928 931,533 * ePlus, Inc. 18,890 238,581 * ePresence, Inc. Escrow Shares 25,100 3,263 *# Equimed Inc. Nevis 2,250 0 * Equinix, Inc. 42,000 1,632,960 *# eResearch Technology, Inc. 119,810 1,765,999 * Ergo Science Corp. 7,150 16,087 ESB Financial Corp. 11,762 165,962 * Escalon Medical Corp. 3,200 27,520 * ESCO Technologies, Inc. 29,800 2,181,360 * eSpeed, Inc. 68,800 769,872 Espey Manufacturing & Electronics Corp. 400 10,420 * ESS Technology, Inc. 87,100 614,055 * Esterline Technologies Corp. 48,500 1,726,600 Ethan Allen Interiors, Inc. 78,300 3,088,935 * Euronet Worldwide, Inc. 72,727 1,789,084 * European Micro Holdings, Inc. 4,600 138 * Evans & Sutherland Computer Corp. 10,400 68,744 * Evans Systems, Inc. 2,500 106 * Evercel, Inc. 766 709 *# Evergreen Solar, Inc. 109,300 370,418 * Everlast Worldwide, Inc. 1,500 5,370 * Evolving Systems, Inc. 12,600 44,981 * Exabyte Corp. 700 217 * Exact Sciences Corp. 59,605 206,233 * Exactech, Inc. 10,800 203,472 * Exar Corp. 93,208 1,303,048 * Excel Technology, Inc. 26,472 688,272 * Exelixis, Inc. 165,918 $ 1,488,284 * Exponent, Inc. 6,700 186,193 * ExpressJet Holdings, Inc. 119,600 1,394,536 * Extended Systems, Inc. 11,100 28,305 * Extreme Networks, Inc. 277,921 1,898,200 * EZCORP, Inc. Class A Non-Voting 10,800 115,452 * Ezenia! Inc. 200 204 * F5 Networks, Inc. 76,000 3,271,800 * Fab Industries, Inc. 5,200 20,696 Factset Research Systems, Inc. 57,000 2,944,050 * Fairchild Corp. Class A 48,352 145,056 * Falcon Products, Inc. 11,500 10,034 *# FalconStor Software, Inc. 108,105 846,462 * Famous Dave's of America, Inc. 26,825 298,294 * Fargo Electronics 28,800 426,816 Farmer Brothers Co. 19,000 504,640 * Faro Technologies, Inc. 31,660 861,152 FBL Financial Group, Inc. Class A 61,600 1,750,672 * Featherlite, Inc. 6,500 26,065 Fedders Corp. 61,510 184,530 * Federal Agriculture Mortgage Corporation 500 11,330 Federal Screw Works 1,562 53,748 # Federal Signal Corp. 110,700 1,904,040 *# Federal-Mogul Corp. 57,900 21,423 * FEI Co. 76,558 1,637,576 * Female Health Co. 9,300 17,205 # Ferro Corp. 96,400 2,205,632 FFLC Bancorp, Inc. 5,400 176,202 * Fibermark, Inc. 100 2 * Fiberstars, Inc. 15,500 139,500 Fidelity Bankshares, Inc. 34,832 1,429,157 * Fidelity Federal Bancorp 2,500 4,400 Fidelity Southern Corp. 8,800 159,544 * Filenet Corp. 90,680 2,431,131 * Financial Federal Corp. 39,800 1,530,708 * Financial Industries Corp. 12,482 99,232 * FindWhat.com 69,300 1,336,104 * Finisar Corp. 333,296 609,932 Finish Line, Inc. Class A 97,834 1,800,146 * Finishmaster, Inc. 800 10,352 * Finlay Enterprises, Inc. 19,000 368,980 * Firebrand Financial Group, Inc. 9,100 364 * First Acceptance Corp. 1,500 13,050 First Albany Companies, Inc. 9,098 83,611 * First Aviation Services, Inc. 6,200 24,862 First Bancorp 9,315 263,801 * First Cash Financial Services, Inc. 35,681 929,133 First Charter Corp. 68,508 1,876,434 First Citizens BancShares, Inc. 1,300 176,884 First Commonwealth Financial Corp. 159,751 2,452,178 First Community Bancorp 35,700 1,500,114 First Community Bancshares, Inc. 24,561 874,863 * First Consulting Group, Inc. 55,703 304,695 First Defiance Financial Corp. 6,859 187,662 First Federal Bancshares of Arkansas, Inc. 5,800 126,266 First Financial Bancorp 100,457 1,715,806 First Financial Bankshares, Inc. 15,395 669,682 First Financial Corp. 2,550 92,616 First Financial Holdings, Inc. 28,464 931,911
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SHARES VALUE+ ------ ------ First Franklin Corp. 300 $ 6,075 * First Health Group Corp. 17,731 315,966 * First Horizon Pharmaceutical Corp. 82,864 1,620,820 First Indiana Corp. 35,881 831,363 * First Investors Financial Services Group, Inc. 5,400 24,192 First Keystone Financial, Inc. 2,000 45,300 First M&F Corp. 2,100 71,400 * First Mariner Bancorp 4,900 84,231 First Merchants Corp. 41,108 1,107,861 First Midwest Bancorp, Inc. 7,375 276,857 First Midwest Financial, Inc. 2,400 60,264 First Mutual Bancshares, Inc. 5,013 124,548 First National Bankshares of Florida 29,169 749,352 First Niagara Financial Group, Inc. 187,028 2,700,684 First Oak Brook Bancshares, Inc. 3,150 103,320 First PacTrust Bancorp, Inc. 8,200 214,020 First Place Financial Corp. 30,746 691,785 First Republic Bank 36,750 1,888,582 First State Bancorporation 16,776 630,274 First United Corp. 3,500 71,225 * First Virtual Communications, Inc. 1,650 272 Firstbank Corp. 2,835 83,488 FirstBank NW Corp. 2,928 84,839 * FirstCity Financial Corp. 25,500 228,225 * FirstFed Financial Corp. 37,700 1,983,774 *# Firstwave Technologies, Inc. 2,600 5,304 * Fischer Imaging Corp. 9,100 33,215 * Five Star Quality Care, Inc. 18,800 127,464 Flag Financial Corp. 6,500 92,625 Flagstar Bancorp, Inc. 141,100 3,074,569 Flamemaster Corp. 27 972 * Flanders Corp. 60,260 601,395 * Fleetwood Enterprises, Inc. 127,400 1,726,270 Flexsteel Industries, Inc. 6,100 106,811 Florida East Coast Industries, Inc. 64,400 2,746,660 Florida Public Utilities Co. 3,866 71,289 * Flow International Corp. 33,300 92,241 Flowers Foods, Inc. 100,825 3,078,187 * Flowserve Corp. 123,000 3,102,060 Flushing Financial Corp. 44,114 937,422 *# FLYi, Inc. 68,000 127,840 * FMC Corp. 58,800 2,913,540 FMS Financial Corp. 3,300 59,218 FNB Corp. 2,700 52,785 # FNB Corp. 106,420 2,259,297 FNB Financial Services Corp. 2,625 55,125 * Foamex International, Inc. 56,123 228,421 * FOCUS Enhancements, Inc. 3,132 3,570 * Foodarama Supermarkets, Inc. 1,100 44,550 Foothill Independent Bancorp 6,555 151,224 * Footstar, Inc. 27,600 104,880 * Forest Oil Corp. 70,670 2,404,900 * Forgent Networks, Inc. 39,400 66,980 * Forrester Research, Inc. 50,917 830,965 * Forward Air Corp. 49,550 2,296,642 * Foster (L.B.) Co. Class A 10,000 88,000 * Foster Wheeler, Ltd. 2,030 28,887 * Foundry Networks, Inc. 39,500 527,325 * Fountain Powerboat Industries, Inc. 4,700 24,675 *# FPIC Insurance Group, Inc. 22,946 757,906 Frankfort First Bancorp, Inc. 850 $ 20,714 * Frankfort Tower Industries, Inc. 13,100 18 * Franklin Covey Co. 19,300 38,407 Franklin Electric Co., Inc. 21,600 878,256 * Franklin Electronic Publishers, Inc. 7,900 34,760 # Fred's, Inc. 90,350 1,565,765 # Fremont General Corp. 13,200 314,160 Frequency Electronics, Inc. 8,300 124,085 * Fresh Brands, Inc. 5,100 38,760 * Fresh Choice, Inc. 5,900 2,537 Friedman Industries, Inc. 6,158 50,372 * Friedmans, Inc. Class A 35,240 59,379 * Friendly Ice Cream Corp. 7,300 65,335 Frisch's Restaurants, Inc. 4,900 116,718 * Frontier Airlines, Inc. 81,761 959,057 Frontier Oil Corp. 61,900 1,649,635 * Frozen Food Express Industries, Inc. 39,207 462,643 * FSI International, Inc. 63,100 283,950 * FTI Consulting, Inc. 98,025 1,977,164 *# FuelCell Energy, Inc. 105,854 1,063,833 Fuller (H.B.) Co. 65,809 1,883,454 Furniture Brands International, Inc. 125,900 3,058,111 *# FX Energy, Inc. 19,400 194,776 G & K Services, Inc. Class A 44,790 1,839,973 * G-III Apparel Group, Ltd. 6,700 41,205 Gabelli Asset Management, Inc. 13,700 663,080 *# Gadzooks, Inc. 13,600 22,032 * Gaiam, Inc. 5,500 28,875 * Galaxy Nutritional Foods, Inc. 11,500 20,470 * GameStop Corp. 46,700 984,903 GameTech International, Inc. 11,100 42,524 * Gaming Partners International Corp. 4,100 94,095 * Gardenburger, Inc. 4,000 400 * Gardner Denver Machinery, Inc. 45,688 1,571,667 * Gartner Group, Inc. 190,100 2,262,190 * Gartner, Inc. 1,200 14,064 * Gateway Financial Holdings, Inc. 2,200 34,320 * Gateway, Inc. 136,400 928,884 GATX Corp. 108,500 3,194,240 * Gaylord Entertainment Co. 87,363 3,078,672 GB & T Bancshares, Inc. 875 22,199 * Gehl Co. 11,800 259,482 * Genaera Corp. 23,000 83,030 *# Genaissance Pharmaceuticals, Inc. 64,350 99,099 Gencorp, Inc. 99,711 1,676,142 * Gene Logic, Inc. 70,572 237,828 * Genecor International, Inc. 135,869 2,201,078 * Genelabs Technologies, Inc. 107,510 76,332 * General Binding Corp. 13,300 177,289 * General Cable Corp. 90,300 1,228,080 * General Communications, Inc. Class A 122,881 1,258,301 * General DataComm Industries, Inc. 1,010 601 * General Employment Enterprises, Inc. 3,100 8,711 * Genesco, Inc. 50,700 1,499,706 * Genesee & Wyoming, Inc. 55,750 1,537,027 * Genesee Corp. Class B 200 420 * Genesis HealthCare Corp. 44,650 1,439,962 * Genesis Microchip, Inc. 37,462 611,005 * Geneva Financial Corp. 2,600 2,080 * Genlyte Group, Inc. 31,500 2,525,355 * Genta, Inc. 174,220 226,486
159
SHARES VALUE+ ------ ------ * Gentiva Health Services, Inc. 13,950 $ 232,267 * Genus, Inc. 71,321 124,099 * GenVec, Inc. 116,369 225,756 Georgia Gulf Corp. 69,500 4,001,810 * Gerber Scientific, Inc. 49,500 388,575 *# Geron Corp. 104,909 729,118 Gevity HR, Inc. 61,910 1,096,426 * Giant Group, Ltd. 2,200 3,410 * Giant Industries, Inc. 27,600 772,800 Gibraltar Industries, Inc. 27,900 672,111 * Giga-Tronics, Inc. 4,600 10,580 Glacier Bancorp, Inc. 56,317 1,949,131 * Glacier Water Services, Inc. 3,600 94,680 Glatfelter (P.H.) Co. 100,900 1,445,897 * Glenayre Technologies, Inc. 119,827 219,283 * Global e-Point, Inc. 3,008 9,174 * Global Imaging Systems, Inc. 53,071 1,985,917 * Global Payment Technologies, Inc. 5,500 27,995 *# Global Power Equipment Group, Inc. 106,500 925,485 * Globecomm Systems, Inc. 16,500 103,620 * Glowpoint, Inc. 49,850 60,318 *# GoAmerica, Inc. 56 685 Gold Banc Corp. 63,565 950,932 Golden Enterprises, Inc. 11,800 33,040 * Goodrich Petroleum Corp. 46,900 757,435 *# Goodyear Tire & Rubber Co. 113,200 1,428,584 Goody's Family Clothing, Inc. 43,942 427,995 * GoRemote Internet Communications, Inc. 64,900 116,820 Gorman-Rupp Co. 9,968 228,267 * Gottschalks, Inc. 12,700 114,300 * GP Strategies Corp. 14,560 103,376 * Graftech International, Ltd. 224,000 2,136,960 Graham Corp. 1,000 13,150 Granite Construction, Inc. 95,700 2,539,878 * Graphic Packaging Corp. 195,000 1,591,200 Gray Television, Inc. 100,860 1,512,900 Gray Television, Inc. Class A 6,800 94,316 Great American Financial Resources, Inc. 18,300 319,518 * Great Atlantic & Pacific Tea Co., Inc. 88,700 670,572 # Great Lakes Chemical Corp. 111,700 3,272,810 Great Southern Bancorp, Inc. 13,600 557,600 # Greater Bay Bancorp 92,446 2,685,556 Greater Communications Bancorp 3,690 54,612 * Green Mountain Coffee, Inc. 15,630 374,807 Green Mountain Power Corp. 10,900 295,935 * Greenbriar Corp. 674 2,255 Greenbrier Companies, Inc. 14,100 419,334 Greene County Bancshares, Inc. 1,900 48,773 * Greens Worldwide, Inc. 2,502 45 Grey Global Group, Inc. 200 219,404 *# Grey Wolf, Inc. 432,400 2,378,200 * Griffin Land & Nurseries, Inc. Class A 2,200 58,080 * Griffon Corp. 67,480 1,692,398 * Group 1 Automotive, Inc. 52,600 1,552,226 * Grubb & Ellis Co. 14,900 67,050 * GSI Commerce, Inc. 93,902 1,420,737 * GSV, Inc. 1,800 450 * GTC Biotherapeutics, Inc. 59,964 91,745 * GTSI Corp. 19,220 194,891 Guaranty Bancshares, Inc. 3,000 $ 65,100 Guaranty Federal Bancshares, Inc. 3,000 71,370 * Guess, Inc. 101,380 1,470,010 * Guilford Pharmaceuticals, Inc. 100,814 568,591 * Guitar Center, Inc. 58,200 2,815,716 Gulf Island Fabrication, Inc. 27,931 594,092 * Gulfmark Offshore, Inc. 43,800 911,478 * Gymboree Corp. 70,700 833,553 * Ha-Lo Industries, Inc. 64,900 45 * Haemonetics Corp. 58,000 2,024,200 Haggar Corp. 6,300 139,230 * Hain Celestial Group, Inc. 81,688 1,587,198 * Halifax Corp. 1,000 5,620 * Hammons (John Q.) Hotels, Inc. Class A 5,200 74,880 * Hampshire Group, Ltd. 4,000 124,700 Hancock Fabrics, Inc. 43,100 429,276 Hancock Holding Co. 74,792 2,542,928 Handleman Co. 53,023 1,124,088 * Hanger Orthopedic Group, Inc. 49,552 386,506 Hanmi Financial Corp. 5,500 204,490 * Hanover Compressor Co. 197,300 2,880,580 Harbor Florida Bancshares, Inc. 54,691 1,919,654 Hardinge, Inc. 8,800 98,560 Harland (John H.) Co. 63,000 2,224,530 Harleysville Group, Inc. 65,543 1,575,654 Harleysville National Corp. 60,344 1,699,287 * Harmonic, Inc. 166,146 1,290,954 * Harolds Stores, Inc. 2,308 3,023 * Harris Interactive, Inc. 139,300 924,952 * Hartmarx Corp. 33,600 271,152 * Harvard Bioscience, Inc. 64,100 254,477 * Harvest Natural Resources, Inc. 82,900 1,512,925 * Hastings Entertainment, Inc. 22,800 186,276 * Hastings Manufacturing Co. 700 1,197 * Hauppauge Digital, Inc. 8,800 48,303 Haverty Furniture Co., Inc. 15,700 316,355 Haverty Furniture Co., Inc. Class A 400 7,920 * Hawaiian Holdings, Inc. 29,875 187,017 * Hawk Corp. 8,500 71,825 Hawkins, Inc. 10,200 121,380 * Headwaters, Inc. 77,300 2,475,919 *# HealthAxis, Inc. 750 2,161 Healthcare Services Group, Inc. 16,650 345,321 * HealthExtras, Inc. 74,876 1,195,770 * HealthTronics Surgical Services, Inc. 47,439 354,369 Heartland Express, Inc. 143,904 3,160,132 Heartland Financial USA, Inc. 5,779 127,543 * Hecla Mining Co. 272,000 1,846,880 Hector Communications Corp. 3,500 74,200 * HEI, Inc. 6,000 14,640 Heico Corp. 22,700 485,780 Heico Corp. Class A 8,065 132,347 * Heidrick & Struggles International, Inc. 42,600 1,465,440 Helix Technology Corp. 60,053 904,999 Helmerich & Payne, Inc. 97,600 3,184,688 *# Hemispherx Biopharma, Inc. 95,100 149,307 Henry Jack & Associates, Inc. 6,942 133,842 *# Hercules, Inc. 208,900 3,112,610 * Heritage Commerce Corp. 2,800 54,768 Heritage Financial Corp. 7,500 162,825
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SHARES VALUE+ ------ ------ * Herley Industries, Inc. 31,000 $ 638,290 * Hexcel Corp. 89,300 1,361,825 HF Financial Corp. 3,630 67,246 * Hi-Shear Technology Corp. 8,600 47,386 * Hi-Tech Pharmacal, Inc. 17,650 288,577 * HI/FN, Inc. 10,400 83,200 * Hibbett Sporting Goods, Inc. 53,870 1,334,360 Hickory Tech Corp. 13,900 147,757 Hilb Rogal Hamilton Co. 81,700 2,834,173 * Hines Horticulture, Inc. 22,000 84,700 Hirsch International Corp. Class A 3,300 3,795 HMN Financial, Inc. 4,400 140,624 * HMS Holdings Corp. 44,088 309,498 * Hoenig Group Escrow Shares 7,900 1,817 Hollinger International, Inc. Class A 100,900 1,889,857 * Hollis-Eden Pharmaceuticals, Inc. 44,353 449,739 Holly Corp. 37,200 1,047,924 * Hollywood Entertainment Corp. 130,573 1,656,971 * Hollywood Media Corp. 64,546 289,812 * Hologic, Inc. 47,200 1,179,528 Home Federal Bancorp 4,300 104,705 Home Loan Financial Corp. 1,700 35,283 * Home Products International, Inc. 7,800 17,394 * HomeStore, Inc. 158,935 413,231 Hooper Holmes, Inc. 145,400 763,350 HopFed Bancorp, Inc. 2,100 35,994 Horace Mann Educators Corp. 98,138 1,864,622 Horizon Financial Corp. 22,649 464,531 * Horizon Health Corp. 9,900 237,501 *# Horizon Offshore, Inc. 48,983 17,144 * Hot Topic, Inc. 106,900 1,749,953 * Houston Exploration Co. 49,997 2,994,820 * Hub Group, Inc. Class A 7,000 304,500 * Hudson Highland Group, Inc. 2,130 58,170 Hudson River Bancorp, Inc. 51,564 1,044,171 * Hudson Technologies, Inc. 5,100 4,080 * Huffy Corp. 27,005 5,469 Hughes Supply, Inc. 34,438 1,132,321 * Human Genome Sciences, Inc. 44,310 487,410 * Hurco Companies, Inc. 5,600 89,656 *# Hutchinson Technology, Inc. 60,000 1,966,200 * Huttig Building Products, Inc. 5,300 45,739 * Hydril Co. 37,900 1,777,889 * Hypercom Corp. 119,200 724,736 * HyperFeed Technologies, Inc. 1,450 3,987 * Hyperion Solutions Corp. 66,313 2,971,486 * I-Flow Corp. 46,800 960,804 * I-many, Inc. 47,700 64,395 * I-Sector Corp. 10,400 75,920 *# I-Trax, Inc. 58,600 77,352 *# I.C. Isaacs & Co., Inc. 7,200 27,000 IBERIABANK Corp. 18,953 1,224,364 * Ibis Technology Corp. 22,500 57,150 *# iCAD, Inc. 3,600 17,280 * ICO, Inc. 14,320 43,390 * ICT Group, Inc. 19,274 164,793 *# ICU Medical, Inc. 31,250 779,687 IDACORP, Inc. 87,800 2,828,916 * Identix, Inc. 201,112 1,594,818 * IDT Corp. 45,278 664,228 * IDT Corp. Class B 40,900 628,633 * IDX Systems Corp. 69,851 $ 2,453,167 * iGATE Capital Corp. 118,527 474,108 * IGI, Inc. 2,100 2,436 * Igo Escrow Share 4,100 0 IHOP Corp. 46,500 1,970,205 * II-VI, Inc. 33,370 1,439,915 IKON Office Solutions, Inc. 136,960 1,544,909 * ILEX Oncology, Inc. 62,400 1,551,264 * Illumina, Inc. 86,842 659,999 # ILX Resorts, Inc. 2,900 33,698 * Image Entertainment, Inc. 42,000 254,940 *# ImageWare Systems, Inc. 5,500 16,060 Imation Corp. 80,600 2,596,126 * IMCO Recycling, Inc. 30,900 499,344 *# Immersion Corp. 53,700 287,832 *# Immtech International, Inc. 25,000 350,250 * Immucor, Inc. 68,812 2,212,306 * ImmunoGen, Inc. 91,853 718,290 * Immunomedics, Inc. 124,400 349,564 * IMPAC Medical Systems, Inc. 10,400 174,200 * Impath, Inc. 21,600 97,200 * Impax Laboratoroes, Inc. 128,644 1,610,623 * IMPCO Technologies, Inc. 42,920 284,989 *# Imperial Sugar Co. 14,551 0 * Imperial Sugar Co. 22,020 431,372 * Implant Sciences Corp. 16,600 179,114 * Impreso, Inc. 5,300 13,563 * Incyte Corp. 166,230 1,707,182 Independence Holding Co. 4,950 89,545 Independent Bank Corp. MA 35,203 1,216,616 Independent Bank Corp. MI 47,745 1,437,124 * Indevus Pharmaceuticals, Inc. 105,694 730,346 * Index Development Partners, Inc. 4,600 3,358 * Indus International, Inc. 34,900 66,310 * Industrial Distribution Group, Inc. 20,600 169,559 * INEI Corp. 100 53 Infinity Property & Casualty Corp. 45,546 1,685,202 *# Infinity, Inc. 20,698 131,619 *# Infocrossing, Inc. 41,991 705,449 * InFocus Corp. 87,989 589,526 * Infonet Services Corp. 133,400 265,466 * Informatica Corp. 198,300 1,546,740 *# Information Architects Corp. 1,080 130 * Inforte Corp. 24,600 166,296 * Infosonics Corp. 2,400 8,016 * InfoSpace, Inc. 64,046 2,837,238 * infoUSA, Inc. 122,875 1,352,854 Ingles Market, Inc. Class A 25,480 325,889 * InKine Pharmaceutical Co., Inc. 21,400 112,029 * Innodata Isogen, Inc. 51,300 357,561 * Innotrac Corp. 11,600 98,020 * Innovative Clinical Solutions, Ltd. 968 5 * Innovative Solutions & Support, Inc. 12,700 388,747 * Innovex, Inc. 41,600 207,584 * Input/Output, Inc. 175,100 1,535,627 * Insight Communications Co., Inc. 109,775 929,794 * Insight Enterprises, Inc. 108,179 2,188,461 * Insightful Corp. 6,300 17,262 * Insignia Systems, Inc. 19,250 23,677 *# Insite Vision, Inc. 18,000 11,880 * Insituform Technologies, Inc. Class A 61,519 1,435,853
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SHARES VALUE+ ------ ------ *# Insmed, Inc. 69,118 $ 108,515 * Inspire Pharmaceuticals, Inc. 86,569 1,550,451 * Instinet Group, Inc. 36,500 218,635 * Insurance Auto Auctions, Inc. 26,561 589,389 * InsWeb Corp. 1,633 4,034 Integra Bank Corp. 39,881 912,477 *# Integra LifeSciences Holdings 66,200 2,250,138 Integral Systems, Inc. 9,200 183,908 * Integral Vision, Inc. 2,200 3,190 * IntegraMed America, Inc. 3,100 21,731 *# Integrated Biopharma, Inc. 27,200 193,392 * Integrated Device Technology, Inc. 230,013 2,610,648 * Integrated Electrical Services, Inc. 76,000 229,520 * Integrated Information Systems, Inc. 820 107 * Integrated Silicon Solution, Inc. 79,894 611,988 *# Intelli-Check, Inc. 22,600 91,530 * Intellidata Technologies Corp. 46,978 18,321 * Intelligent Systems Corp. 4,500 10,350 * Intelligroup, Inc. 31,400 42,704 *# Intellisync Corp. 122,786 221,015 Inter Parfums, Inc. 18,550 310,341 * Interactive Intelligence, Inc. 34,900 151,815 Interchange Financial Services Corp. 12,600 336,420 * Interdigital Communications Corp. 126,900 2,582,415 * Interep National Radio Sales, Inc. 700 560 * Interface, Inc. Class A 100,306 993,029 * Interferon Scientific, Inc. 2,435 79 * Intergraph Corp. 84,200 2,206,040 * Interland, Inc. 36,110 113,385 * Interlink Electronics, Inc. 9,700 87,009 * Intermagnetics General Corp. 64,342 1,896,159 Intermet Corp. 47,300 6,149 * InterMune, Inc. 74,700 927,027 International Aluminum Corp. 2,100 69,090 * International Microcomputer Software, Inc. 5,100 5,253 * International Shipholding Corp. 6,100 91,439 *# Internet Commerce Corp. 4,000 5,400 * Internet Security Systems, Inc. 108,600 2,629,206 *# Interpharm Holdings, Inc. 53,300 162,565 * Interphase Corp. 5,400 37,800 Interpool, Inc. 38,000 811,300 # Interstate Bakeries Corp. 81,300 469,507 * Interstate Hotels & Resorts, Inc. 53,840 255,740 Inter-Tel, Inc. 59,300 1,679,376 * Intervoice, Inc. 82,818 1,076,634 * Interwoven, Inc. 89,707 870,158 * Intest Corp. 8,600 41,710 * Intevac, Inc. 12,000 84,600 * IntraBiotics Pharmaceuticals, Inc. 19,300 70,831 * Intrado, Inc. 37,300 504,296 * Intraware, Inc. 14,200 16,472 *# Introgen Therapeutics, Inc. 61,186 427,078 * Intrusion, Inc. 4,050 5,836 * Intuitive Surgical, Inc. 77,423 2,781,808 Invacare Corp. 54,300 2,742,693 * Inverness Medical Innovations, Inc. 7,461 181,302 * Investment Technology Group, Inc. 102,900 1,724,604 * INVESTools, Inc. 8,483 24,516 Investors Title Co. 1,400 49,077 *# Invision Technologies, Inc. 27,200 1,318,656 * Iomed, Inc. 15,100 $ 36,240 * Iomega Corp. 117,495 534,602 * Ion Networks, Inc. 100 26 *# Ionatron, Inc. 17,500 168,000 *# Ionics, Inc. 52,000 2,246,920 * iPass, Inc. 41,500 269,335 *# IPIX Corp. 4,350 28,275 * Iridex Corp. 6,800 27,676 * IRIS International, Inc. 36,024 296,874 Irwin Financial Corp. 65,200 1,734,972 * Isis Pharmaceuticals, Inc. 126,800 598,496 *# Island Pacific, Inc. 73,700 29,480 * Isle of Capri Casinos, Inc. 66,464 1,630,362 *# Isolagen, Inc. 78,000 592,020 * Ista Pharmaceuticals, Inc. 35,300 353,353 * Iteris, Inc. 520 1,825 * ITLA Capital Corp. 5,800 316,854 * Itron, Inc. 48,200 1,043,530 * iVillage, Inc. 155,622 738,426 * Ixia 133,647 1,884,423 * IXYS Corp. 72,524 673,748 * J & J Snack Foods Corp. 20,689 971,142 * J Net Enterprises, Inc. 8,400 22,260 * J. Alexander's Corp. 9,200 64,860 * J. Jill Group, Inc. 46,255 798,824 * j2 Global Communication, Inc. 53,432 1,862,105 * Jack in the Box, Inc. 81,000 3,060,180 * Jaclyn, Inc. 1,300 8,645 * Jaco Electronics, Inc. 5,659 24,506 * Jacuzzi Brands, Inc. 173,578 1,621,219 * Jakks Pacific, Inc. 57,326 1,067,410 * Jarden Corp. 63,150 2,423,065 * JDA Software Group, Inc. 63,412 831,965 * Jennifer Convertibles, Inc. 1,300 4,030 JLG Industries, Inc. 101,200 1,760,880 * JMAR Industries, Inc. 23,700 34,839 * Jo-Ann Stores, Inc. 48,975 1,347,792 * Johnson Outdoors, Inc. 6,700 135,541 * Jones Lang LaSalle, Inc. 74,900 2,688,910 *# Jos. A. Bank Clothiers, Inc. 30,800 810,040 * Journal Register Co. 95,800 1,811,578 * JPS Industries, Inc. 9,200 34,454 Juno Lighting, Inc. 980 39,298 * Jupitermedia Corp. 71,669 1,201,889 K-Swiss, Inc. Class A 59,200 1,603,846 * K-Tron International, Inc. 2,400 60,240 * K-V Pharmaceutical Co. Class A 76,050 1,429,740 * K-V Pharmaceutical Co. Class B 20,975 415,305 * K2, Inc. 107,263 1,810,599 * Kadant, Inc. 30,320 613,980 Kaman Corp. Class A 49,600 595,200 * Kansas City Southern 144,200 2,452,842 * Katy Industries, Inc. 8,300 44,820 Kaydon Corp. 61,700 2,004,016 * KBK Capital Corp. 2,000 1,500 * KCS Energy, Inc. 112,200 1,607,826 * Keane, Inc. 142,064 2,201,992 * Keith Companies, Inc. 11,400 194,370 Keithley Instruments, Inc. 32,300 611,116 Kellwood Co. 62,676 2,181,752 Kelly Services, Inc. Class A 70,048 2,129,459
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SHARES VALUE+ ------ ------ * Kemet Corp. 198,923 $ 1,762,458 * Kendle International, Inc. 29,103 241,264 Kennametal, Inc. 31,100 1,595,430 * Kennedy-Wilson, Inc. 8,800 63,140 Kenneth Cole Productions, Inc. Class A 27,250 804,420 *# Kensey Nash Corp. 26,454 826,952 * Kera Vision, Inc. 4,300 9 Kewaunee Scientific Corp. 2,000 18,180 * Key Energy Group, Inc. 248,100 3,106,212 * Key Technology, Inc. 4,700 44,791 * Key Tronic Corp. 8,600 27,262 * Keynote Systems, Inc. 18,600 236,778 * Keystone Automotive Industries, Inc. 34,474 807,726 * Keystone Consolidated Industries, Inc. 2,100 126 * Kforce, Inc. 83,910 1,005,242 *# KFX, Inc. 133,800 2,015,028 Kimball International, Inc. Class B 53,700 800,130 * Kindred Healthcare, Inc. 82,978 2,265,299 * Kirby Corp. 56,500 2,571,880 * Kirkland's, Inc. 17,200 165,120 Knape & Vogt Manufacturing Co. 2,290 28,442 * Knight Trading Group, Inc. 184,336 2,103,274 * Knight Transportation, Inc. 129,653 3,124,637 * Koala Corp. 6,500 617 * Komag, Inc. 62,409 1,045,351 * Kopin Corp. 159,791 648,751 * Korn/Ferry International 88,900 1,656,207 *# Kos Pharmaceuticals, Inc. 81,100 3,452,427 * Kosan Biosciences, Inc. 66,524 428,415 Koss Corp. 3,600 72,000 *# Krispy Kreme Doughnuts, Inc. 140,800 1,417,856 Kronos Worldwide, Inc. 9,860 452,574 * Kronos, Inc. 59,000 2,981,860 * Kulicke & Soffa Industries, Inc. 117,834 881,398 * KVH Industries, Inc. 33,228 335,603 * Kyphon, Inc. 90,100 2,167,806 * La Jolla Pharmceutical Co. 132,600 186,966 La-Z-Boy, Inc. 116,000 1,780,600 * LaBarge, Inc. 34,600 415,200 * LabOne, Inc. 39,284 1,184,413 * Labor Ready, Inc. 95,400 1,514,952 * LaBranche & Co., Inc. 106,600 853,866 Laclede Group, Inc. 47,800 1,539,160 * LaCrosse Footwear, Inc. 5,800 57,130 * Ladish Co., Inc. 19,500 215,085 Lakeland Bancorp, Inc. 13,119 238,110 * Lakeland Industries, Inc. 2,420 47,553 * Lakes Entertainment, Inc. 37,650 525,217 Lance, Inc. 68,100 1,269,384 * Lancer Corp. 9,325 109,942 LandAmerica Financial Group, Inc. 41,800 2,232,120 Landauer, Inc. 20,500 950,790 * Landec Corp. 53,190 334,033 Landry's Restaurants, Inc. 63,500 1,876,425 * Lannet Co., Inc. 53,030 492,118 * Lantronix, Inc. 15,000 14,700 *# Large Scale Biology Corp. 42,800 46,224 *# LaserCard Corp. 26,290 261,323 * Laserscope 47,450 1,543,074 * Lattice Semiconductor Corp. 233,351 $ 1,245,628 * Laureate Education, Inc. 51,951 2,046,350 Lawson Products, Inc. 9,600 468,960 * Lawson Software, Inc. 218,408 1,349,761 * Layne Christensen Co. 11,600 225,040 * Lazare Kaplan International, Inc. 8,700 86,130 LCA-Vision, Inc. 30,950 1,015,160 * LCC International, Inc. Class A 45,100 229,559 * Learning Care Group, Inc. 5,200 15,860 * Learning Tree International, Inc. 38,381 503,943 * LeCroy Corp. 10,100 216,241 * Lectec Corp. 3,900 3,997 Leesport Financial Corp. 525 11,980 Lennox International, Inc. 138,405 2,489,906 * Lesco, Inc. 18,300 219,600 *# Level 8 Systems, Inc. 3,729 268 Levitt Corp. Class A 42,421 1,090,644 *# Lexar Media, Inc. 175,097 1,381,515 * Lexicon Genetics, Inc. 145,818 1,025,101 Libbey, Inc. 31,600 662,652 * Liberate Technologies, Inc. 106,300 239,706 Liberty Corp. 43,200 1,883,520 Liberty Homes, Inc. Class A 200 1,005 * Lifecell Corp. 64,900 671,066 * Lifecore Biomedical, Inc. 29,730 303,543 * Lifeline Systems, Inc. 8,200 221,810 Lifetime Hoan Corp. 24,349 330,903 *# Ligand Pharmaceuticals, Inc. Class B 170,000 1,904,000 * Lightbridge, Inc. 56,621 265,552 * Lightning Rod Software, Inc. 580 783 * LightPath Technologies, Inc. 1,850 7,677 * Lin TV Corp. 59,000 1,063,180 Lincoln Electric Holdings, Inc. 89,362 3,207,202 Lindsay Manufacturer Co. 27,100 762,594 * Linens 'n Things, Inc. 102,500 2,546,100 * Lionbridge Technologies, Inc. 66,322 365,434 *# Lipid Sciences, Inc. 56,608 261,529 *# Liquidmetal Technologies, Inc. 68,495 146,922 Lithia Motors, Inc. Class A 34,610 878,402 * Littlefuse, Inc. 51,200 1,997,824 * LMI Aerospace, Inc. 7,900 58,381 LNB Bancorp, Inc. 1,200 24,036 LNR Property Corp. 38,000 2,376,900 * Lodgenet Entertainment Corp. 40,501 624,525 * Lodgian, Inc. 51 541 * Logic Devices, Inc. 6,700 8,978 * LogicVision, Inc. 28,200 58,374 * Logility, Inc. 13,200 54,516 * LoJack Corp. 35,600 374,512 Lone Star Steakhouse & Saloon, Inc. 45,746 1,234,685 * Lone Star Technologies, Inc. 66,800 2,097,520 Longs Drug Stores Corp. 86,100 2,298,870 Longview Fibre Co. 114,100 1,983,058 * LookSmart, Ltd. 191,367 380,629 * LOUD Technologies, Inc. 12,400 24,180 Louisiana-Pacific Corp. 20,700 506,529 Lowrance Electronics, Inc. 6,692 204,842 LSB Bancshares, Inc. 5,156 86,879 LSB Corp. 4,300 79,378 LSI Industries, Inc. 45,527 452,538 * LTX Corp. 133,900 956,046
163
SHARES VALUE+ ------ ------ * Luby's, Inc. 49,900 $ 356,286 Lufkin Industries, Inc. 6,400 257,664 * Luminex Corp. 71,552 644,684 * Lydall, Inc. 35,600 398,008 * Lynch Corp. 1,500 21,000 * Lynch Interactive Corp. 2,800 85,260 * M&F Worldwide Corp. 41,600 542,880 * M-Wave, Inc. 2,900 4,118 M/I Homes, Inc. 31,300 1,415,073 MacDermid, Inc. 68,800 2,533,216 *# Mace Security International, Inc. 11,200 63,280 * Mac-Gray Corp. 12,600 96,390 * Macromedia, Inc. 68,567 1,956,217 * Macrovision Corp. 113,693 3,018,549 * Madden (Steven), Ltd. 28,000 528,080 MAF Bancorp, Inc. 50,527 2,319,189 * Magic Lantern Group, Inc. 1,700 697 * Magma Design Automation, Inc. 80,483 1,091,349 * Magna Entertainment Corp. 21,200 127,200 * Magnetek, Inc. 63,800 421,718 * Magnum Hunter Resources, Inc. 199,602 2,674,667 * MAI Systems Corp. 500 80 Main Street Banks, Inc. 43,014 1,362,684 * Main Street Restaurant Group, Inc. 25,200 36,540 Maine & Maritimes Corp. 1,600 40,800 * MAIR Holdings, Inc. 44,116 405,867 * Major Automotive Companies, Inc. 3,280 2,624 * Management Network Group, Inc. 52,100 103,158 * Manatron, Inc. 1,102 8,817 * Manchester Technologies, Inc. 8,000 39,200 * Manhattan Associates, Inc. 67,694 1,644,964 # Mannatech, Inc. 13,500 310,500 *# Manning (Greg) Auctions, Inc. 9,200 105,524 * Manugistic Group, Inc. 163,000 448,250 * MAPICS, Inc. 58,456 568,192 * Mapinfo Corp. 44,823 535,635 Marine Products Corp. 25,530 668,886 * MarineMax, Inc. 36,075 1,060,605 * Marisa Christina, Inc. 6,700 8,308 Maritrans, Inc. 7,800 140,790 * MarketWatch, Inc. 55,490 1,006,589 MarkWest Hydrocarbon, Inc. 10,285 180,605 * Marlton Technologies, Inc. 7,800 5,460 Marsh Supermarkets, Inc. Class A 1,600 19,024 Marsh Supermarkets, Inc. Class B 4,500 57,555 * Martek Biosciences Corp. 17,003 660,907 * Marten Transport, Ltd. 9,450 207,427 *# Martha Stewart Living Omnimedia, Inc. 45,800 1,081,796 MASSBANK Corp. 4,700 174,370 # Massey Energy Co. 42,400 1,489,088 * Mastec, Inc. 109,250 916,607 * Material Sciences Corp. 32,900 550,088 * Matria Healthcare, Inc. 23,769 831,915 * Matritech, Inc. 30,500 30,500 * Matrix Bancorp, Inc. 6,500 78,000 * Matrix Service Co. 37,400 278,630 * MatrixOne, Inc. 116,844 772,339 * Matrixx Initiatives, Inc. 20,800 284,752 Matthews International Corp. Class A 74,200 2,735,754 * Mattson Technology, Inc. 114,345 1,069,126 * Maui Land & Pineapple Co., Inc. 10,200 $ 332,520 * Maverick Tube Corp. 97,800 3,100,260 * Max & Erma's Restaurants, Inc. 2,300 30,647 * Maxco, Inc. 3,100 10,819 Maxcor Financial Group, Inc. 14,572 132,605 *# Maxim Pharmaceuticals, Inc. 60,133 174,987 * Maximus, Inc. 49,900 1,563,367 * Maxtor Corp. 163,300 623,806 * Maxwell Technologies, Inc. 33,260 357,212 * Maxxam, Inc. 8,900 266,911 * Maxygen, Inc. 78,852 795,617 * Mayor's Jewelers, Inc. 20,300 12,789 * Mays (J.W.), Inc. 200 2,855 MB Financial, Inc. 65,964 2,783,681 MBT Financial Corp. 38,461 917,295 * McDATA Corp. 178,101 1,006,271 MCG Capital Corp. 99,434 1,690,378 McGrath Rentcorp. 27,307 1,153,994 * McMoran Exploration Co. 53,764 843,557 McRae Industries, Inc. Class A 2,600 36,400 * MDI, Inc. 14,000 12,320 * Meade Instruments Corp. 43,632 138,313 * Meadow Valley Corp. 2,400 6,396 * Meadowbrook Insurance Group, Inc. 61,300 310,791 * Measurement Specialties, Inc. 12,900 329,079 *# Mechanical Technology, Inc. 4,700 25,944 * Medallion Finanacial Corp. 3,943 37,025 *# Medarex, Inc. 182,170 1,985,653 * MedCath Corp. 39,049 848,144 *# Med-Design Corp. 28,300 34,243 Media General, Inc. Class A 6,100 379,420 * Media Services Group, Inc. 471 6,788 * MediaBay, Inc. 7,050 7,825 * Mediacom Communications Corp. 197,918 1,033,132 *# Medialink Worldwide, Inc. 5,900 18,402 * Medical Action Industries, Inc. 23,600 466,808 * Medical Staffing Network Holdings, Inc. 69,500 598,395 * Medicore, Inc. 3,800 25,498 *# Medifast, Inc. 25,000 86,000 * MedQuist, Inc. 64,700 784,487 * MEDTOX Scientific, Inc. 7,545 58,474 * Memry Corp. 9,800 27,440 # Mentor Corp. 97,400 3,005,764 * Mentor Graphics Corp. 164,927 2,069,834 Mercantile Bank Corp. 1,260 51,408 Merchants Bancshares, Inc. 6,150 182,655 Merchants Group, Inc. 1,300 31,525 Mercury Air Group, Inc. 4,950 19,552 * Mercury Computer Systems, Inc. 47,800 1,505,700 *# Merge Technologies, Inc. 29,894 576,057 Meridian Bioscience, Inc. 32,812 543,039 * Meridian Resource Corp. 174,200 1,189,786 * Merit Medical Systems, Inc. 60,576 688,143 * Meritage Homes Corp. 28,500 2,667,600 * Merix Corp. 42,313 460,365 * Merrimac Industries, Inc. 2,860 26,312 * Mesa Air Group, Inc. 72,635 509,898 Mesa Laboratories, Inc. 3,300 38,775 * Mestek, Inc. 5,400 97,848 * Meta Group, Inc. 12,700 67,564
164
SHARES VALUE+ ------ ------ * Metal Management, Inc. 51,500 $ 1,353,420 * Metals USA, Inc. 44,580 835,875 * MetaSolv, Inc. 88,200 215,208 Methode Electronics, Inc. 34,100 450,120 Met-Pro Corp. 8,100 106,920 * Metris Companies, Inc. 133,500 1,545,930 * Metro One Telecommunications, Inc. 39,650 66,612 MetroCorp. Bancshares, Inc. 7,000 151,550 * Metrologic Instruments, Inc. 49,600 1,013,328 MFB Corp. 1,300 36,790 * MFRI, Inc. 4,900 34,300 MGE Energy, Inc. 45,527 1,568,860 MGP Ingredients, Inc. 29,455 275,110 * Michael Anthony Jewelers, Inc. 7,400 15,207 * Micrel, Inc. 210,473 2,247,852 * Micro Component Technology, Inc. 10,752 6,989 * Micro Linear Corp. 16,000 73,760 * Micro Therapeutics, Inc. 91,922 365,850 * MicroFinancial, Inc. 15,200 59,432 * Micromuse, Inc. 117,493 617,778 * Micros Systems, Inc. 42,452 3,114,703 * Microsemi Corp. 137,100 2,440,380 * MicroStrategy, Inc. 27,800 1,794,490 * Microtek Medical Holdings, Inc. 99,116 404,393 * Microtune, Inc. 103,247 617,417 *# Microvision, Inc. 49,423 376,109 * Midas, Inc. 36,100 697,091 Middleby Corp. 21,087 1,210,816 Middlesex Water Co. 8,400 167,160 Midland Co. 6,600 209,880 Mid-State Bancshares 52,303 1,560,722 *# Midway Games, Inc. 193,600 2,098,624 * Midwest Air Group, Inc. 40,100 120,300 Midwest Banc Holdings, Inc. 39,765 917,776 * Mikohn Gaming Corp. 50,575 412,186 * Milacron, Inc. 162,405 485,591 * Milestone Scientific, Inc. 16,300 27,710 *# Millennium Cell, Inc. 58,900 53,599 * Millennium Chemicals, Inc. 101,800 2,705,844 * Miller Industries, Inc. 9,280 102,173 * MIM Corp. 49,200 318,324 * Mindspeed Technologies, Inc. 177,775 444,437 Mine Safety Appliances Co. 66,700 3,161,580 Minerals Technologies, Inc. 46,100 3,058,735 * MIPS Technologies, Inc. 94,700 828,625 * Miravant Medical Technologies 1,800 1,800 * Misonix, Inc. 14,600 92,126 * Mission Resources Corp. 93,700 581,877 * Mitcham Industries, Inc. 19,500 146,250 * Mitek Systems, Inc. 11,100 5,328 * Mity Enterprises, Inc. 5,000 74,750 * MKS Instruments, Inc. 114,307 1,942,076 * Mobile Mini, Inc. 33,515 1,015,169 * Mobility Electronics, Inc. 64,640 627,654 * Mobius Management Systems, Inc. 17,100 136,800 Mocon, Inc. 5,500 50,820 Modine Manufacturing Co. 79,595 2,558,979 * Mod-Pac Corp. 2,750 33,275 * Mod-Pac Corp. Class B 1,112 13,455 * Modtech Holdings, Inc. 29,763 242,866 * Moldflow Corp. 24,456 342,384 * Molecular Devices Corp. 34,540 $ 726,376 Monaco Coach Corp. 66,850 1,330,315 * Monarch Casino & Resort, Inc. 8,000 279,360 * Mondavi (Robert) Corp. Class A 22,500 1,266,750 * Monolithic System Technology, Inc. 49,133 229,451 * Monro Muffler Brake, Inc. 12,300 301,965 * Monterey Pasta Co. 32,100 102,720 * Moog, Inc. Class A 19,200 806,784 * Moog, Inc. Class B 3,300 140,580 * Morgan Group Holding Co. 200 17 * Morgan's Foods, Inc. 900 720 * Mossimo, Inc. 16,600 59,926 * Mothers Work, Inc. 10,754 138,619 * Motorcar Parts of America, Inc. 2,500 18,337 Movado Group, Inc. 41,200 758,080 Movie Gallery, Inc. 70,399 1,227,055 * MPS Group, Inc. 242,100 2,726,046 * MPW Industrial Services Group, Inc. 5,000 12,250 * MRO Software, Inc. 56,835 730,330 * MRV Communications, Inc. 238,481 920,298 * MSC.Software Corp. 63,900 607,689 * MTC Technologies, Inc. 14,800 454,952 *# MTI Technology Corp. 1,300 2,522 * MTM Technologies, Inc. 4,900 20,580 * MTR Gaming Group, Inc. 62,478 628,529 MTS Systems Corp. 46,987 1,426,055 Mueller Industries, Inc. 83,545 2,567,338 * Multi-Color Corp. 2,250 36,675 *# Multimedia Games, Inc. 69,235 905,594 MutualFirst Financial, Inc. 2,000 47,100 Myers Industries, Inc. 73,319 830,704 * Mykrolis Corp. 95,900 1,175,734 * Myriad Genetics, Inc. 67,457 1,297,873 Mystic Financial, Inc. 1,575 64,575 * Nabi Biopharmaceuticals 133,750 1,926,000 NACCO Industries, Inc. Class A 6,500 711,685 *# Nanogen, Inc. 76,740 344,563 * Nanometrics, Inc. 28,294 460,343 *# Nanophase Technologies Corp. 40,098 247,405 *# Napco Security Systems, Inc. 5,160 51,084 Nara Bancorp, Inc. 53,611 1,112,964 Nash Finch Co. 26,640 988,610 * Nashua Corp. 5,800 60,900 * Nassda Corp. 56,005 239,701 *# Nastech Pharmaceutical Co., Inc. 31,000 470,580 * NATCO Group, Inc. Class A 16,800 142,464 * Nathan's Famous, Inc. 7,000 58,450 National Beverage Corp. 36,200 340,642 * National Dentex Corp. 3,500 91,385 National Home Health Care Corp. 5,465 62,793 * National Medical Health Card Systems, Inc. 12,600 269,514 * National Patent Development Corp. 14,560 25,043 National Penn Bancshares, Inc. 76,610 2,206,368 National Presto Industries, Inc. 6,800 308,312 * National Research Corp. 7,000 112,000 * National RV Holdings, Inc. 21,800 212,114 * National Technical Systems, Inc. 8,600 45,666 * National Western Life Insurance Co. Class A 1,000 162,190 * Natrol, Inc. 10,000 33,800
165
SHARES VALUE+ ------ ------ * Natural Alternatives International, Inc. 5,400 $ 50,760 * Nature Vision, Inc. 500 3,245 Nature's Sunshine Products, Inc. 34,704 580,945 * Natus Medical, Inc. 39,200 282,240 Nautilus Group, Inc. 75,300 1,640,787 * Navarre Corp. 61,460 1,046,664 * Navidec, Inc. 544 2,339 * Navigant Consulting, Inc. 108,100 2,524,135 * Navigant International, Inc. 33,014 362,494 * Navigators Group, Inc. 26,984 762,298 NBT Bancorp, Inc. 73,455 1,865,022 * NCI Building Systems, Inc. 46,700 1,732,570 * NCO Group, Inc. 73,284 1,840,174 NDCHealth Corp. 82,800 1,563,264 * NeighborCare, Inc. 73,800 2,073,042 * Nektar Therapeutics 189,283 3,536,753 Nelson (Thomas), Inc. 30,100 743,470 * Neoforma, Inc. 43,914 326,281 * Neogen Corp. 7,625 165,005 * NeoMagic Corp. 55,978 47,581 * NEON Systems, Inc. 8,600 31,648 * Neopharm, Inc. 53,617 624,638 * Neose Technologies, Inc. 55,701 389,350 * Neoware Systems, Inc. 34,400 301,344 * NES Rentals Holdings, Inc. 36 398 * Net Perceptions, Inc. 22,600 20,566 * Net2Phone, Inc. 101,300 347,459 NetBank, Inc. 57,533 590,864 *# Netflix, Inc. 114,882 1,307,357 * Netguru, Inc. 17,200 20,812 * NetIQ Corp. 126,387 1,550,768 * NetManage, Inc. 10,442 59,519 * Netopia, Inc. 43,200 131,760 * NetRatings, Inc. 76,531 1,530,620 * Netscout System, Inc. 66,250 501,513 * Network Engines, Inc. 66,100 154,013 * Network Equipment Technologies, Inc. 55,900 531,609 *# Network Plus Corp. 14,500 12 *# Neurobiological Technologies, Inc. 2,700 11,580 * Neurogen Corp. 75,807 663,311 Nevada Chemicals, Inc. 2,500 17,575 * Nevada Gold & Casinos, Inc. 28,050 307,989 * New Brunswick Scientific Co., Inc. 7,660 41,364 * New Century Equity Holdings Corp. 100 33 New Hampshire Thrift Bancshares, Inc. 200 5,826 * New Horizons Worldwide, Inc. 12,400 43,152 New Jersey Resources Corp. 63,600 2,766,600 * NewMarket Corp. 37,900 727,301 NewMil Bancorp, Inc. 4,400 132,484 * Newpark Resources, Inc. 193,000 1,103,960 * Newport Corp. 90,418 1,115,758 * Newtek Business Services, Inc. 73,088 300,026 Niagara Corp. 8,200 65,190 * NIC, Inc. 136,278 626,197 * Nitches, Inc. 864 5,676 NL Industries, Inc. 109,476 2,473,063 * NMS Communications Corp. 107,400 686,071 * NMT Medical, Inc. 11,500 48,760 NN, Inc. 20,217 257,565 * Nobel Learning Communities, Inc. 6,500 47,125 Nobility Homes, Inc. 4,100 $ 88,560 Noble International, Ltd. 21,160 417,085 * Noel Group, Inc. 8,000 52 # Noland Co. 200 8,636 Nordson Corp. 79,799 3,037,150 * Norstan, Inc. 29,700 113,751 * North America Galvanizing & Coatings, Inc. 6,700 12,998 * North American Scientific, Inc. 36,050 162,225 North Central Bancshares, Inc. 1,700 66,003 North Pittsburgh Systems, Inc. 33,006 828,121 Northeast Bancorp 900 20,430 Northeast Pennsylvania Financial Corp. 4,400 74,756 Northern Technologies International Corp. 3,000 21,900 *# Northfield Laboratories, Inc. 49,185 919,760 * Northland Cranberries, Inc. 100 81 Northrim BanCorp, Inc. 6,068 138,360 *# Northwest Airlines Corp. 194,645 1,993,165 Northwest Bancorp, Inc. 108,276 2,801,100 Northwest Natural Gas Co. 62,900 2,129,794 * Northwest Pipe Co. 6,300 120,330 * NovaMed, Inc. 48,500 230,375 * Novatel Wireless, Inc. 61,102 1,286,808 * Novavax, Inc. 87,000 297,540 * Noven Pharmaceuticals, Inc. 53,808 983,610 * Novoste Corp. 29,400 39,690 * NPS Pharmaceuticals, Inc. 88,900 1,592,199 * NS Group, Inc. 48,300 1,070,328 * NTN Communications, Inc. 117,993 325,661 * Nu Horizons Electronics Corp. 37,100 307,967 Nu Skin Enterprises, Inc. Class A 125,000 2,810,000 *# Nucentrix Broadband Networks, Inc. Escrow Shares 10,400 0 * NuCo2, Inc. 16,000 396,800 NUI Corp. 31,692 434,180 * NumereX Corp. Class A 10,800 51,624 * Nutraceutical International Corp. 26,864 430,630 * Nutri/System, Inc. 15,300 38,097 * Nutrition 21, Inc. 3,500 3,500 * Nuvelo, Inc. 70,322 685,640 NWH, Inc. 4,200 62,790 * NYFIX, Inc. 62,314 398,186 NYMAGIC, Inc. 8,700 213,411 * O'Charleys, Inc. 47,362 899,878 * O.I. Corp. 2,700 29,103 Oak Hill Financial, Inc. 3,000 114,270 Oakley, Inc. 157,200 1,909,980 * Obie Media Corp. 5,900 40,415 *# OCA, Inc. 112,051 640,932 * Oceaneering International, Inc. 57,900 2,223,360 OceanFirst Financial Corp. 29,080 737,469 * Ocular Sciences, Inc. 44,300 2,140,310 * Ocwen Financial Corp. 144,234 1,345,703 * Odd Job Stores, Inc. 12,700 28,575 * Odyssey Healthcare, Inc. 80,600 1,076,010 * Odyssey Marine Exploration, Inc. 42,600 115,020 * Offshore Logistics, Inc. 52,600 1,993,540 * Oglebay Norton Co. 900 261 * Ohio Casualty Corp. 135,349 2,907,297
166
SHARES VALUE+ ------ ------ * Oil States International, Inc. 113,631 $ 2,314,663 Oil-Dri Corp. of America 4,200 67,200 * Old Dominion Freight Line, Inc. 56,148 1,760,240 Olin Corp. 153,652 3,486,364 * Olympic Steel, Inc. 21,000 567,000 * OM Group, Inc. 63,700 1,958,138 Omega Financial Corp. 8,200 289,542 * Omega Protein Corp. 52,600 442,366 * OMNI Energy Services Corp. 25,300 74,129 * Omnicell, Inc. 57,252 615,459 *# OmniVision Technologies, Inc. 125,600 2,240,704 * Omnova Solutions, Inc. 13,900 79,369 * Omtool, Ltd. 3,570 29,488 * On Assignment, Inc. 53,900 281,358 * ON Semiconductor Corp. 571,551 2,086,161 * On2 Technologies, Inc. 53,300 28,249 * One Price Clothing Stores, Inc. 2,957 9 *# Oneida, Ltd. 28,700 72,611 * Online Resources Corp. 41,700 293,985 Onyx Acceptance Corp. 5,100 142,137 * Onyx Pharmacueticals, Inc. 78,300 2,449,224 * ONYX Software Corp. 31,950 105,116 * Opent Technologies, Inc. 45,100 389,664 * OpenTV Corp. 39,946 160,583 * Openwave Systems, Inc. 147,399 1,942,719 * Opinion Research Corp. 6,700 42,311 * Oplink Communications, Inc. 53,100 108,855 *# Opsware, Inc. 185,792 1,272,675 * OPTi, Inc. 11,600 16,704 * Optical Cable Corp. 11,500 62,330 * Optical Communication Products, Inc. 74,850 163,173 * Optical Sensors, Inc. 1,633 5,307 Option Care, Inc. 46,700 804,174 * OraSure Technologies, Inc. 102,450 733,542 * Orbit International Corp. 1,582 13,099 * Orbital Sciences Corp. 113,452 1,474,876 * Orchid Biosciences, Inc. 50,638 542,333 * Oregon Steel Mills, Inc. 78,700 1,415,026 * Orleans Homebuilders, Inc. 40,100 738,241 * Orphan Medical, Inc. 10,300 104,854 * Orthologic Corp. 77,505 444,104 * Oscient Pharmaceutical Corp. 156,600 510,516 OshKosh B'Gosh, Inc. Class A 21,100 432,550 * OSI Systems, Inc. 35,700 775,404 * Osteotech, Inc. 37,700 205,088 Otter Tail Corp. 58,560 1,577,021 Outlook Group Corp. 2,400 17,112 * Overland Storage, Inc. 30,275 449,584 Overseas Shipholding Group, Inc. 47,025 3,089,072 *# Overstock.com, Inc. 39,400 2,807,644 Owens & Minor, Inc. 90,500 2,511,375 # Oxford Industries, Inc. 38,500 1,570,800 * Oxigene, Inc. 12,600 70,195 * Oxis International, Inc. 7,900 4,503 * OYO Geospace Corp. 10,600 167,904 * P & F Industries, Inc. Class A 1,300 19,175 * P.A.M. Transportation Services, Inc. 20,550 417,165 *# P.F. Chang's China Bistro, Inc. 56,300 3,166,312 Pacific Capital Bancorp 88,500 2,921,385 * Pacific Mercantile Bancorp 5,900 83,662 * Pacific Premier Bancorp, Inc. 3,900 55,575 Packaging Dynamics Corp. 4,120 $ 58,957 * Packeteer, Inc. 74,100 963,300 * Pac-West Telecomm, Inc. 23,100 28,413 * Pain Therapeutics, Inc. 93,301 702,557 * PainCare Holdings, Inc. 87,900 254,910 * Palatin Technologies, Inc. 62 167 * Paligent, Inc. 347 69 * Palm Harbor Homes, Inc. 49,111 766,623 *# PalmOne, Inc. 39,630 1,388,635 * PalmSource, Inc. 32,881 520,835 * Palomar Medical Technologies, Inc. 34,879 785,824 Pamrapo Bancorp, Inc. 5,100 122,400 * Panavision, Inc. 3,600 22,500 *# Panera Bread Co. 62,925 2,513,225 * Pantry, Inc. 44,400 1,221,888 *# Papa John's International, Inc. 37,000 1,316,090 * Par Pharmaceutical Companies, Inc. 74,700 2,947,662 * PAR Technology Corp. 7,800 92,196 * Paradyne Networks Corp. 105,455 409,165 * Paragon Technologies, Inc. 4,200 40,194 * Parallel Petroleum Corp. 55,900 311,363 * Parametric Technology Corp. 515,069 3,013,154 * Parexel International Corp. 56,782 1,171,413 Park Bancorp, Inc. 1,200 38,100 Park Electrochemical Corp. 45,750 964,868 * Parker Drilling Co. 217,200 949,164 *# Parkervision, Inc. 24,821 184,916 * Park-Ohio Holdings Corp. 10,400 233,792 Parkvale Financial Corp. 5,700 177,897 * Parlex Corp. 13,800 84,180 * Parlux Fragrances, Inc. 9,900 177,507 Partners Trust Financial Group, Inc. 12,189 136,395 * Party City Corp. 38,691 494,858 * Path 1 Network Technologies, Inc. 14,600 50,516 * Pathmark Stores, Inc. 63,179 348,116 *# Patient Infosystems, Inc. 733 2,272 * Patrick Industries, Inc. 4,500 49,680 * Patriot Transportation Holding, Inc. 2,500 104,150 PAULA Financial 6,100 12,200 * Paxar Corp. 87,200 2,018,680 * Paxson Communications Corp. 118,700 137,692 * Payless Cashways, Inc. 160 0 * Payless ShoeSource, Inc. 149,800 1,749,664 * PC Connection, Inc. 50,350 353,961 * PC Mall, Inc. 25,664 623,635 * PC-Tel, Inc. 46,100 372,027 * PDF Solutions, Inc. 58,424 751,917 * PDI, Inc. 31,798 739,939 * PEC Solutions, Inc. 60,517 858,736 * Pediatric Services of America, Inc. 14,700 151,557 * Pediatrix Medical Group, Inc. 51,600 3,214,680 * Peerless Manufacturing Co. 3,000 44,850 * Peerless Systems Corp. 24,300 34,749 * Peet's Coffee & Tea, Inc. 30,739 777,082 *# Pegasus Communications Corp. 17,540 133,304 * Pegasus Solutions, Inc. 48,157 562,955 * Pegasystems, Inc. 77,938 565,830 * Pemco Aviation Group, Inc. 950 25,231 * Pemstar, Inc. 73,200 112,069 Penford Corp. 7,300 122,640
167
SHARES VALUE+ ------ ------ Penn Engineering & Manufacturing Corp. Class A 1,200 $ 19,356 Penn Engineering & Manufacturing Corp. Non-Voting 15,000 287,250 * Penn National Gaming, Inc. 72,100 3,804,717 * Penn Treaty American Corp. 24,800 44,640 Penn Virginia Corp. 40,400 1,755,784 Penn-America Group, Inc. 31,000 459,110 Pennfed Financial Services, Inc. 14,800 254,264 Penns Woods Bancorp, Inc. 770 38,431 * Penwest Pharmaceuticals Co. 40,800 507,960 Peoples Bancorp, Inc. 300 6,510 Pep Boys - Manny, Moe & Jack 133,400 2,101,050 * Perceptron, Inc. 18,418 126,532 * Performance Food Group Co. 101,587 2,665,643 * Performance Technologies, Inc. 28,100 200,353 * Pericom Semiconductor Corp. 57,400 503,972 * Perini Corp. 55,100 823,745 Perrigo Co. 156,647 2,825,912 * Perry Ellis International, Inc. 20,500 391,345 * Per-Se Technologies, Inc. 66,100 911,519 * Pervasive Software, Inc. 55,039 219,606 * PetMed Express, Inc. 49,165 319,573 * Petrocorp, Inc. Escrow Shares 6,900 414 * Petroleum Development Corp. 35,833 1,473,453 PFF Bancorp, Inc. 38,400 1,735,680 * Pfsweb, Inc. 9 26 * Pharmacopia Drug Discovery, Inc. 26,450 152,881 * Pharmacyclics, Inc. 42,501 442,860 *# Pharmanetics, Inc. 7,200 7,272 * PharmChem, Inc. 5,000 98 *# Pharmos Corp. 6,200 24,800 * Philadelphia Consolidated Holding Corp. 48,900 3,337,425 Phillips-Van Heusen Corp. 68,200 1,861,860 * Phoenix Gold International, Inc. 600 546 * Phoenix Technologies, Ltd. 53,036 430,122 * PhotoMedex, Inc. 49,800 112,050 * Photon Dynamics, Inc. 37,000 815,850 * Photronics, Inc. 74,900 1,411,116 * Physiometrix, Inc. 7,400 6,956 * Pico Holdings, Inc. 12,300 253,503 # Piedmont Natural Gas Co. 65,000 1,528,150 * Pinnacle Entertainment, Inc. 63,600 1,156,248 * Pinnacle Financial Partners, Inc. 8,390 204,129 * Pinnacle Systems, Inc. 152,500 796,050 * Pioneer Drilling Co. 1,500 14,475 * Piper Jaffray Companies, Inc. 44,000 2,024,440 * Pixelworks, Inc. 51,000 573,750 * Pizza Inn, Inc. 10,000 29,000 * Planar Systems, Inc. 32,300 344,318 * PLATO Learning, Inc. 49,466 345,767 * Play By Play Toys and Novelties, Inc. 100 0 * Playboy Enterprises, Inc. Class A 4,700 53,110 * Playboy Enterprises, Inc. Class B 65,600 793,760 * Playtex Products, Inc. 134,700 1,010,250 * Plexus Corp. 95,900 1,318,625 * Plug Power, Inc. 160,943 951,173 * PLX Technology, Inc. 57,038 513,912 * PMA Capital Corp. Class A 66,500 661,675 PNM Resources, Inc. 116,000 2,951,040 Pocahontas Bancorp, Inc. 4,400 $ 68,860 * Point Therapeutics, Inc. 660 3,227 * Point.360 9,000 22,140 PolyMedica Corp. 62,749 2,230,727 * PolyOne Corp. 94,200 869,466 * Pomeroy IT Solutions, Inc. 26,937 367,959 Pope & Talbot, Inc. 34,800 584,640 * Porta Systems Corp. 300 51 * Portal Software, Inc. 93,020 320,919 * Portfolio Recovery Associates, Inc. 33,905 1,271,438 * Possis Medical, Inc. 39,800 459,292 Potlatch Corp. 59,600 3,022,912 * Powell Industries, Inc. 19,159 309,801 * Power Intergrations, Inc. 68,000 1,341,640 PowerCerv Corp. 1,755 527 * Power-One, Inc. 183,961 1,690,602 * Powerwave Technologies, Inc. 228,645 1,849,281 * Pozen, Inc. 63,367 439,767 * PPT Vision, Inc. 6,800 5,984 * PRAECIS Pharmaceuticals, Inc. 100,404 211,852 Preformed Line Products Co. 1,200 33,900 * Premier Financial Bancorp 5,200 57,460 *# Premier Laser Systems, Inc. Class A 3,400 2 *# Pre-Paid Legal Services, Inc. 35,350 1,210,738 Presidential Life Corp. 64,892 1,084,345 * Presstek, Inc. 75,598 807,387 * Pressure BioSciences, Inc. 6,700 20,435 * PRG-Schultz International, Inc. 136,100 734,940 * Price Communications Corp. 124,070 2,246,908 *# Priceline.com, Inc. 89,216 2,129,586 *# Pricesmart, Inc. 15,300 121,635 * PRIMEDIA, Inc. 573,038 1,833,722 * Primus Telecommunications Group, Inc. 144,612 438,174 * Princeton Review, Inc. 14,600 86,724 * Printronix, Inc. 5,800 97,672 * Priority Healthcare Corp. 85,139 1,779,405 * Private Business, Inc. 945 2,022 * ProAssurance Corp. 64,150 2,505,058 * Procom Technology, Inc. 5,400 7,128 * ProcureNet, Inc. 19,700 20 * Progenics Pharmaceuticals, Inc. 39,000 583,050 Programmers Paradise, Inc. 5,200 59,020 * Progress Software Corp. 79,800 1,811,460 * ProQuest Co. 62,700 1,696,035 Prosperity Bancshares, Inc. 48,041 1,362,443 * Protection One, Inc. 41,500 10,790 Providence & Worcester Railroad Co. 3,000 36,900 Provident Bancorp, Inc. 36,935 489,758 Provident Bankshares Corp. 72,693 2,670,741 Provident Financial Holdings, Inc. 8,325 243,090 Provident Financial Services, Inc. 16,553 321,625 * Province Healthcare Co. 88,825 1,993,233 * Proxim Corp. 6,726 27,644 * ProxyMed, Inc. 10,679 74,753 * PSS World Medical, Inc. 140,800 1,761,971 Psychemedics Corp. 5,225 66,619 * Psychiatric Solutions, Inc. 32,233 1,049,184 * PTEK Holdings, Inc. 156,737 1,650,441 Pulaski Financial Corp. 5,400 106,650 Pulitzer, Inc. 20,900 1,329,449
168
SHARES VALUE+ ------ ------ * Pure World, Inc. 7,600 $ 12,920 * PW Eagle, Inc. 7,000 27,643 Pyramid Breweries, Inc. 5,700 12,255 QAD, Inc. 74,359 612,718 * QEP Co., Inc. 2,125 33,490 * QLT, Inc. 38,900 624,345 * QuadraMed Corp. 27,006 48,611 Quaker Chemical Corp. 20,320 491,744 Quaker Fabric Corp. 37,050 213,038 * Quality Dining, Inc. 11,400 35,796 * Quality Systems, Inc. 14,000 859,740 * Qualstar Corp. 5,500 25,080 Quanex Corp. 38,100 2,247,900 * Quanta Services, Inc. 255,600 1,970,676 * Quantum Corp. 91,700 262,262 * Quantum Fuel Systems Technologies Worldwide, Inc. 67,520 419,299 * Quest Software, Inc. 201,277 3,115,768 * Questcor Pharmaceuticals, Inc. 26,800 14,740 * QuickLogic Corp. 54,600 133,224 * Quidel Corp. 69,535 448,501 * Quigley Corp. 24,006 193,968 * Quiksilver, Inc. 110,900 3,288,185 * Quinton Cardiology Systems, Inc. 29,800 305,450 * Quipp, Inc. 1,400 18,816 Quixote Corp. 19,291 404,339 *# Quokka Sports, Inc. 1,128 9 * Quovadx, Inc. 62,047 118,510 * R&B, Inc. 8,400 210,000 * R.H. Donnelley Corp. 56,100 3,068,670 * Radiant Systems, Inc. 64,344 401,507 * Radiologix, Inc. 46,500 174,375 * RadiSys Corp. 41,662 587,018 * Radyne ComStream, Inc. 9,500 69,170 * RailAmerica, Inc. 80,900 1,035,520 * Raindance Communictions, Inc. 74,896 173,010 Ralcorp Holdings, Inc. 64,200 2,645,040 * Ramtron International Corp. 49,000 180,320 Range Resources Corp. 152,500 3,162,850 * Rare Hospitality International, Inc. 74,550 2,233,518 Raven Industries, Inc. 39,810 854,721 * Rayovac Corp. 76,100 2,258,648 Raytech Corp. 16,400 30,340 * RC2 Corp. 44,191 1,382,736 * RCM Technologies, Inc. 10,500 53,550 *# RCN Corp. 82,600 6,112 * Reading International, Inc. Class A 18,149 152,633 * Reading International, Inc. Class B 1,060 8,745 * RealNetworks , Inc. 372,900 2,349,270 * Redback Networks, Inc. 56,711 272,213 * Redhook Ale Brewery, Inc. 9,300 32,550 Redwood Empire Bancorp 5,250 150,098 Regal-Beloit Corp. 53,804 1,517,811 * Regeneration Technologies, Inc. 58,540 544,422 * Regeneron Pharmaceuticals, Inc. 116,437 1,073,549 * Regent Communications, Inc. 98,413 561,938 * Register.com, Inc. 44,100 256,662 * RehabCare Group, Inc. 35,800 942,256 * Reliability, Inc. 6,300 4,977 Reliance Steel & Aluminum Co. 71,557 2,855,840 # Reliv International, Inc. 34,532 282,126 *# Relm Wireless Corp. 7,600 $ 15,580 * Remec, Inc. 135,250 815,558 * RemedyTemp, Inc. 15,100 166,402 * Remington Oil & Gas Corp. 60,600 1,754,370 * Remote Dynamics, Inc. 276 235 Renaissance Learning, Inc. 68,415 1,317,673 * Rentrak Corp. 21,600 211,680 * Rent-Way, Inc. 57,700 489,296 * Repligen Corp. 66,100 159,962 * Reptron Electronics, Inc. 343 2,521 Republic Bancorp, Inc. 154,971 2,408,254 Republic Bancorp, Inc. Class A 15,225 422,494 * Republic First Bancorp, Inc. 6,967 106,595 * Res-Care, Inc. 37,785 566,775 * ResMed, Inc. 41,300 2,067,478 Resource America, Inc. 38,451 1,131,613 * Resources Connection, Inc. 51,368 2,330,052 * Restoration Hardware, Inc. 72,300 368,007 * Retail Ventures, Inc. 74,500 546,085 * Retek, Inc. 122,429 746,817 * Revlon, Inc. 745,500 1,573,005 * Rewards Network, Inc. 55,800 351,540 * Rex Stores Corp. 22,700 399,520 * Rexhall Industries, Inc. 3,542 1,523 * RF Micro Devices, Inc. 258,727 1,800,740 * RF Monolithics, Inc. 17,000 160,140 RGC Resources, Inc. 3,564 86,249 * Rhythms NetConnections, Inc. 3,800 0 Richardson Electronics, Ltd. 31,125 347,044 * Rigel Pharmaceuticals, Inc. 2,222 55,594 Riggs National Corp. 51,399 1,034,148 * Rimage Corp. 8,600 130,806 *# Rita Medical Systems, Inc. 79,321 243,515 * Riverside Group, Inc. 700 6 Riverview Bancorp, Inc. 4,500 96,935 * Riviera Holdings Corp. 3,600 97,200 RLI Corp. 55,600 2,315,740 * Roadhouse Grill, Inc. 8,540 1,281 Roanoke Electric Steel Corp. 9,900 178,101 Robbins & Myers, Inc. 31,600 762,824 *# Robotic Vision Systems, Inc. 3,480 1,601 * Rochester Medical Corp. 5,300 47,700 Rock of Ages Corp. 4,400 32,608 * Rockford Corp. 14,600 31,974 Rock-Tenn Co. Class A 78,400 1,265,376 # Rocky Mountain Chocolate Factory, Inc. 4,015 57,736 * Rocky Shoes & Boots, Inc. 4,500 93,600 * Rofin-Sinar Technologies, Inc. 32,800 1,279,200 * Rogers Corp. 36,800 1,746,160 Rollins, Inc. 100,500 2,467,275 * Roxio, Inc. 1,629 15,247 Royal Bancshares of Pennsylvania, Inc. Class A 4,430 128,470 Royal Gold, Inc. 45,135 799,792 * Royale Energy, Inc. 4,509 34,584 RPC, Inc. 28,600 779,350 * RSA Security, Inc. 140,000 2,961,000 * RTI International Metals, Inc. 46,700 1,006,385 * RTW, Inc. 5,150 47,020 * Rubio's Restaurants, Inc. 20,095 266,862
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SHARES VALUE+ ------ ------ Ruddick Corp. 102,800 $ 2,242,068 * Rudolph Technologies, Inc. 36,900 590,400 * Rural Cellular Corp. Class A 2,800 13,664 * Rural/Metro Corp. 14,000 48,300 * Rush Enterprises, Inc. Class A 7,000 106,260 * Rush Enterprises, Inc. Class B 7,000 112,840 Russ Berrie & Co., Inc. 45,500 1,034,670 Russell Corp. 71,800 1,316,812 * Ryan's Restaurant Group, Inc. 89,200 1,362,084 Ryerson Tull, Inc. 54,900 888,282 * S&K Famous Brands, Inc. 2,100 33,642 S&T Bancorp, Inc. 57,981 2,128,483 * S1 Corp. 154,406 1,446,784 * Saba Software, Inc. 29,577 125,111 * Safeguard Scientifics, Inc. 206,800 415,668 * SafeNet, Inc. 51,704 1,843,765 * Safety Components International, Inc. 118 1,652 * Saga Communications, Inc. Class A 40,525 688,520 * Salem Communications Corp. 44,069 1,082,335 *# Salton, Inc. 25,000 152,750 * San Filippo (John B.) & Son, Inc. 17,893 397,225 Sanders Morris Harris Group, Inc. 38,039 580,095 Sanderson Farms, Inc. 43,900 1,635,275 * Sands Regent Casino Hotel 2,000 23,900 Sandy Spring Bancorp, Inc. 31,164 1,131,876 * Sangamo BioSciences, Inc. 54,897 256,369 * Sapient Corp. 270,394 2,138,817 * SatCon Technology Corp. 52,200 105,966 Saucony, Inc. Class A 2,700 66,690 Saucony, Inc. Class B 3,500 86,240 Sauer-Danfoss, Inc. 49,600 985,056 * Savient Pharmaceuticals, Inc. 76,600 168,520 * Saxon Capital, Inc. 17,400 394,980 * SBA Communications Corp. 101,800 977,280 * SBE, Inc. 3,500 11,585 * SBS Technologies, Inc. 33,930 443,126 * ScanSoft, Inc. 225,660 823,659 * ScanSource, Inc. 27,800 1,798,660 Schawk, Inc. 22,200 376,956 * Scheid Vineyards, Inc. 2,200 12,562 *# Schick Technologies, Inc. 9,000 115,200 * Schieb (Earl), Inc. 2,200 6,490 * Schlotzsky's, Inc. 7,200 270 * Schmitt Industries, Inc. 2,466 18,865 Schnitzer Steel Industries, Inc. Class A 62,351 2,352,503 * Scholastic Corp. 82,462 2,716,298 * Schuff International, Inc. 7,000 19,320 Schulman (A.), Inc. 65,979 1,415,250 Schweitzer-Maudoit International, Inc. 32,400 1,119,744 * Sciclone Pharmaceuticals, Inc. 97,969 399,714 * Scientific Games Corp. 116,381 2,781,506 * Scientific Learning Corp. 4,400 23,760 * Scientific Technologies, Inc. 6,700 34,103 * SCM Microsystems, Inc. 30,763 104,902 SCP Pool Corp. 85,050 2,681,627 SCPIE Holdings, Inc. 9,300 92,907 * SCS Transportation, Inc. 32,654 690,632 Seaboard Corp. 1,400 1,050,000 * Seabulk International, Inc. 46,800 557,856 * Seachange International, Inc. 60,700 1,036,756 Seacoast Banking Corp. of Florida 33,228 $ 731,681 * SEACOR Holdings, Inc. 41,800 2,319,900 * Seattle Genetics, Inc. 91,734 626,543 * Secom General Corp. 140 172 * Secure Computing Corp. 64,074 667,651 * SED International Holdings, Inc. 825 763 * SeeBeyond Technology Corp. 184,633 583,440 * SEEC, Inc. 100 23 * Segue Software, Inc. 9,500 46,265 * Selas Corp. of America 4,750 9,880 *# Select Comfort Corp. 79,100 1,541,659 Select Medical Corp. 202,700 3,537,115 * Selectica, Inc. 71,960 277,046 Selective Insurance Group, Inc. 61,179 2,740,207 SEMCO Energy, Inc. 62,300 301,532 * Semitool, Inc. 62,960 564,122 * Semtech Corp. 85,616 1,752,560 * SEMX Corp. 900 113 * Seneca Foods Corp. Class A 200 3,725 * Seneca Foods Corp. Class B 1,300 24,239 * Senesco Technologies, Inc. 6,300 20,475 # Sensient Technologies Corp. 103,100 2,376,455 * Sequa Corp. Class A 6,900 411,930 * Sequa Corp. Class B 2,600 156,650 * Sequenom, Inc. 63,500 56,515 * SeraCare Life Sciences, Inc. 4,080 46,516 *# Serena Software, Inc. 95,890 1,999,307 * Serologicals Corp. 54,950 1,282,533 * Service Corp. International 243,900 1,721,934 * ServiceWare Technologies, Inc. 2,900 1,363 * Servotronics, Inc. 1,100 4,675 * SFBC International, Inc. 33,996 1,320,065 * Shared Technologies Cellular, Inc. 10,100 20 * Sharper Image Corp. 34,000 651,440 *# Shaw Group, Inc. 140,287 2,066,428 * Shiloh Industries, Inc. 33,066 429,197 * Shoe Carnival, Inc. 27,579 359,630 * Shoe Pavilion, Inc. 6,200 16,864 * Sholodge, Inc. 5,100 23,307 * ShopKo Stores, Inc. 65,800 1,176,504 *# Shuffle Master, Inc. 50,987 2,346,932 * Siebert Financial Corp. 22,300 69,108 Sierra Bancorp 1,700 35,700 * Sierra Health Services, Inc. 58,036 3,228,543 *# Sierra Pacific Resources 258,100 2,645,525 * SIFCO Industries, Inc. 5,400 22,680 * Sigma Designs, Inc. 45,800 413,574 * Sigmatron International, Inc. 2,200 29,898 Silgan Holdings, Inc. 40,413 2,194,426 *# Silicon Graphics, Inc. 348,800 561,568 * Silicon Image, Inc. 165,389 2,778,535 * Silicon Storage Technology, Inc. 211,200 1,469,952 *# Silicon Valley Bancshares 71,258 2,991,411 * Siliconix, Inc. 65,324 2,416,335 * Simclar, Inc. 6,500 28,600 Simmons First National Corp. Class A 31,627 917,183 * SimpleTech, Inc. 105,557 524,618 Simpson Manufacturing Co., Inc. 87,400 2,936,640 Sinclair Broadcast Group, Inc. Class A 100,100 721,721
170
SHARES VALUE+ ------ ------ * Sipex Corp. 74,246 $ 408,353 * Sirenza Microdevices, Inc. 76,511 388,676 *# Sirna Therapeutics, Inc. 82,075 253,612 * Sitel Corp. 137,600 305,472 * Six Flags, Inc. 212,505 1,032,774 SJW Corp. 9,000 346,950 * Skechers U.S.A., Inc. Class A 46,400 538,704 Skyline Corp. 8,300 343,205 Skywest, Inc. 126,096 2,399,607 * Skyworks Solutions, Inc. 290,417 2,883,841 * SL Industries, Inc. 5,900 82,069 * SM&A 44,600 359,922 * Smart & Final Food, Inc. 66,400 961,472 * SmartDisk Corp. 100 29 * Smith & Wollensky Restaurant Group, Inc. 13,400 62,176 Smith (A.O.) Corp. 48,200 1,448,410 Smith (A.O.) Corp. Convertible Class A 3,750 112,688 * Smith Micro Software, Inc. 21,400 150,014 * Smithway Motor Xpress Corp. Class A 4,000 29,000 * Sola International, Inc. 70,000 1,512,000 * Somera Communications, Inc. 59,150 65,657 Sonic Automotive, Inc. 64,400 1,599,052 * Sonic Corp. 113,237 3,303,123 *# Sonic Foundry, Inc. 42,300 75,294 * Sonic Innovations, Inc. 43,200 175,824 * Sonic Solutions, Inc. 50,600 976,580 * SonicWALL, Inc. 148,400 912,660 * SonoSite, Inc. 32,445 968,483 * Sonus Networks, Inc. 54,057 357,317 * Sonus Pharmaceuticals, Inc. 46,400 141,984 * Sotheby's Holdings, Inc. Class A 104,300 1,635,424 Sound Federal Bancorp, Inc. 27,084 411,704 * Source Interlink Companies, Inc. 50,600 660,330 * Source Media, Inc. 27,400 219 * SOURCECORP, Inc. 34,502 573,768 South Jersey Industries, Inc. 30,364 1,561,013 Southern Banc Co., Inc. 200 3,500 * Southern Energy Homes, Inc. 13,825 63,872 * Southern Union Co. 77,303 1,895,487 Southside Banchares, Inc. 331 8,308 * Southwall Technologies, Inc. 14,200 15,904 Southwest Bancorp, Inc. 11,400 306,090 Southwest Bancorporation of Texas, Inc. 109,400 2,675,924 Southwest Gas Corp. 77,600 1,971,040 Southwest Water Co. 35,740 486,421 * Southwestern Energy Co. 19,301 1,059,625 * Spacehab, Inc. 25,166 57,882 Span-American Medical System, Inc. 2,400 27,600 * Spanish Broadcasting System, Inc. 87,200 932,168 * SPAR Group, Inc. 2,900 4,405 Spartan Motors, Inc. 27,045 321,322 * Spartan Stores, Inc. 38,375 199,550 Spartech Corp. 70,700 1,976,065 * Sparton Corp. 8,334 81,015 * Specialty Laboratories, Inc. 50,300 552,294 SpectraLink Corp. 41,800 612,370 * Spectranetics Corp. 55,582 270,129 * Spectrum Control, Inc. 13,000 $ 96,980 * Spectrum Pharmaceuticals, Inc. 2,700 15,201 * SpectRx, Inc. 8,900 6,675 Speedway Motorsports, Inc. 67,390 2,475,909 * Spescom Software, Inc. 1,202 445 * Spherion Corp. 133,120 1,048,986 * Spherix, Inc. 12,100 35,453 * Spinnaker Exploration Co. 74,590 2,705,379 * Spire Corp. 6,700 29,480 * Sport Chalet, Inc. 2,700 35,103 * Sport Supply Group, Inc. 8,900 18,245 * Sport-Haley, Inc. 2,700 12,434 * SportsLine.com, Inc. 33,400 57,782 * Sportsman's Guide, Inc. 10,389 252,245 * SPSS, Inc. 27,637 441,916 * SRA International, Inc. 35,100 2,037,204 * SRI/Surgical Express, Inc. 6,100 31,842 * SRS Labs, Inc. 31,745 206,343 SS&C Technologies, Inc. 49,850 1,116,142 St. Mary Land & Exploration Co. 65,300 2,807,247 * Staar Surgical Co. 45,200 268,036 * Stage Stores, Inc. 38,372 1,572,868 * Stamps.com, Inc. 49,723 769,215 *# Standard Automotive Corp. 4,400 0 Standard Commercial Corp. 29,029 546,326 * Standard Management Corp. 7,600 27,360 * Standard Microsystems Corp. 40,572 997,260 Standard Motor Products, Inc. 42,900 668,811 Standard Register Co. 52,500 690,900 Standex International Corp. 26,500 738,025 Stanley Furniture, Inc. 6,700 308,200 Star Buffet, Inc. 2,800 16,576 *# Star Scientific, Inc. 141,895 935,088 * Starbiz Restrictive Shares 2 0 * Starcraft Corp. 2,756 39,549 Starrett (L.S.) Co. Class A 4,800 95,424 StarTek, Inc. 31,800 914,568 State Auto Financial Corp. 87,312 2,339,962 State Financial Services Corp. Class A 7,800 230,100 *# STATS ChipPAC, Ltd. 134,937 757,132 * Steak n Shake Co. 60,418 1,124,983 Steel Dynamics, Inc. 73,158 2,965,094 Steel Technologies, Inc. 27,250 797,880 * SteelCloud, Inc. 12,100 24,079 * Stein Mart, Inc. 93,516 1,555,171 * Steinway Musical Instruments, Inc. 16,500 466,455 * Stellent, Inc. 58,100 456,085 *# StemCells, Inc. 2,600 7,930 Stepan Co. 8,400 213,948 Stephan Co. 3,500 14,210 Sterling Bancorp 33,376 1,073,706 Sterling Bancshares, Inc. 98,799 1,440,489 * Sterling Construction Co., Inc. 8,500 40,800 * Sterling Financial Corp. 49,070 1,960,347 Stewart & Stevenson Services, Inc. 63,302 1,266,040 * Stewart Enterprises, Inc. 229,470 1,702,667 Stewart Information Services Corp. 39,800 1,737,270 * Stifel Financial Corp. 20,900 502,645 * Stillwater Mining Co. 198,600 2,355,396 * Stone Energy Corp. 58,563 2,809,853
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SHARES VALUE+ ------ ------ * Stonepath Group, Inc. 69,400 $ 53,438 * Stoneridge, Inc. 50,100 762,021 * StorageNetworks, Inc. Escrow Shares 60,800 1,648 * Stratagene Corp. 4,926 33,787 * Stratasys, Inc. 22,600 729,980 * Strategic Diagnostics, Inc. 42,300 107,019 * Strategic Distribution, Inc. 3,029 34,379 * Stratex Networks, Inc. 168,568 347,250 * Stratos International, Inc. 27,936 113,420 * Strattec Security Corp. 4,100 258,300 * Stratus Properties, Inc. 7,050 104,622 Strayer Education, Inc. 8,300 892,084 Stride Rite Corp. 80,900 890,709 Sturm Ruger & Co., Inc. 59,200 537,536 * Suburban Lodges of America, Inc. Escrow Shares 18,500 0 Suffolk BanCorp 8,600 285,348 Summa Industries, Inc. 5,200 47,216 Summit Bancshares, Inc. 2,000 68,100 Summit Bank Corp. 2,520 43,042 * SumTotal Systems, Inc. 28,067 154,088 * Sun Bancorp, Inc. 37,368 928,595 * Sun Healthcare Group, Inc. 30,992 232,440 Sun Hydraulics, Inc. 4,900 70,021 * Sunair Electronics, Inc. 3,000 19,110 * Suncoast Naturals, Inc. 950 181 * Sundance Homes, Inc. 1,500 5 * SunLink Health Systems, Inc. 1,048 5,502 *# Sunrise Senior Living, Inc. 45,265 1,944,132 Sunrise Telecom, Inc. 3,700 9,805 * Suntron Corp. 5,265 17,375 * Superconductor Technologies, Inc. 71,840 60,346 *# SuperGen, Inc. 99,590 719,040 * Superior Consultant Holdings Corp. 10,700 70,192 * Superior Energy Services, Inc. 171,800 2,522,024 # Superior Industries International, Inc. 58,400 1,649,800 Superior Uniform Group, Inc. 7,000 97,440 * Supertex, Inc. 28,400 617,700 * SupportSoft, Inc. 93,500 474,980 Supreme Industries, Inc. 11,408 69,817 * SureBeam Corp. Class A 2,142 18 SureWest Communications 31,112 885,759 *# SurModics, Inc. 38,492 1,158,609 Susquehanna Bancshares, Inc. 101,591 2,641,366 * Swift Energy Corp. 61,500 1,865,910 * Swift Transportation Co., Inc. 6,343 123,625 * Swisher International, Inc. 700 1,540 SWS Group, Inc. 34,518 728,675 * Sybase, Inc. 190,100 3,275,423 * Sybron Dental Specialties, Inc. 85,600 2,939,504 * Sycamore Networks, Inc. 348,888 1,308,330 * Sykes Enterprises, Inc. 84,828 572,589 * Symmetricom, Inc. 99,367 1,073,164 * Syms Corp. 28,200 349,398 * Symyx Technologies 70,600 2,226,018 * Synalloy Corp. 5,900 57,525 *# Synaptics, Inc. 55,320 2,124,288 * Synovis Life Technologies, Inc. 24,600 291,510 * Synplicity, Inc. 55,675 312,894 Syntel, Inc. 88,385 1,730,578 * Synthetech, Inc. 16,400 17,056 * Syntroleum Corp. 100,526 $ 696,645 Sypris Solutions, Inc. 38,347 623,906 * Systemax, Inc. 47,500 327,750 * T-3 Energy Services, Inc. 1,250 8,363 *# Tag-It Pacific, Inc. 18,200 81,900 * Taitron Components, Inc. 5,000 12,450 *# Take-Two Interactive Software, Inc. 50,900 1,778,955 * TALK America Holdings, Inc. 58,409 369,145 TALX Corp. 30,238 888,997 Tandy Brand Accessories, Inc. 5,900 84,305 * Tanox, Inc. 96,754 1,340,043 * Tarantella, Inc. 3,300 4,257 * Tarrant Apparel Group 32,800 61,008 Tasty Baking Co. 17,400 145,638 TB Wood's Corp. 7,600 41,192 * TBC Corp. 48,950 1,305,497 * Team, Inc. 7,600 129,048 * TeamStaff, Inc. 20,200 40,198 Tech/Ops Sevcon, Inc. 3,100 18,538 Teche Holding Co. 700 28,613 * Techne Corp. 45,700 1,697,755 * Technical Communications Corp. 400 2,660 Technical Olympic USA, Inc. 48,292 1,180,739 * Technitrol, Inc. 88,600 1,528,350 Technology Research Corp. 12,050 84,350 * Technology Solutions Corp. 35,500 33,370 * TechTeam Global, Inc. 20,000 188,000 Tecumseh Products Co. Class A 29,000 1,327,910 * Tegal Corp. 5,000 6,550 * Tejon Ranch Co. 13,900 549,745 * Tekelec 132,600 3,104,166 * TeleCommunication Systems, Inc. 53,600 162,944 * Teledyne Technologies, Inc. 70,600 2,096,820 * Teleglobe International Holdings, Ltd. 11,300 38,759 * TeleTech Holdings, Inc. 163,900 1,601,303 * Telik, Inc. 96,100 1,836,471 * Telkonet, Inc. 7,600 34,428 * Telular Corp. 28,300 180,271 * TenFold Corp. 4,500 4,635 Tennant Co. 19,700 788,000 * Tenneco Automotive, Inc. 92,400 1,432,200 * Terayon Communication Systems, Inc. 123,500 245,765 * Terex Corp. 50,721 2,325,051 * Terra Industries, Inc. 170,900 1,401,380 * Tesoro Petroleum Corp. 97,100 3,215,952 * Tessco Technologies, Inc. 4,500 59,850 * Tetra Tech, Inc. 123,696 1,885,127 * Tetra Technologies, Inc. 49,000 1,489,600 Texas Industries, Inc. 47,700 2,862,000 Texas Regional Banchshares, Inc. Class A 75,960 2,701,138 Texas United Bancshares, Inc. 100 1,875 TF Financial Corp. 2,600 84,201 * Thackeray Corp. 4,100 3,895 * The Banc Corp. 34,700 272,742 * The Children's Place Retail Stores, Inc. 61,900 1,959,754 * The Dress Barn, Inc. 68,204 1,171,063 * The Geo Group, Inc. 25,000 576,250 * The Lamson & Sessions Co. 31,800 287,790
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SHARES VALUE+ ------ ------ The Manitowoc Co., Inc. 61,750 $ 2,306,363 The Marcus Corp. 47,800 1,092,230 * The Medicines Co. 109,392 2,728,236 * The Mens Warehouse, Inc. 82,400 2,607,960 * The Mosaic Co. 138,058 2,399,448 # The Phoenix Companies, Inc. 208,400 2,542,480 * The Rowe Companies 13,100 66,155 * The Sports Authority, Inc. 56,306 1,605,284 * The Sports Club Co., Inc. 20,100 33,969 The Topps Co., Inc. 88,848 885,815 * The Washtenaw Group, Inc. 1,500 2,385 * Theragenics Corp. 65,200 273,840 * Therma-Wave, Inc. 78,789 252,125 * Thermwood Corp. 200 166 * TheStreet.com, Inc. 54,235 235,922 * Third Wave Technologies, Inc. 88,144 710,441 * Thomas & Betts Corp. 91,000 2,879,240 * Thomas Group, Inc. 4,000 4,800 Thomas Industries, Inc. 38,150 1,494,717 * Thoratec Corp. 111,843 1,118,430 * THQ, Inc. 86,100 1,847,706 * Three-Five Systems, Inc. 43,099 83,612 * TIBCO Software, Inc. 66,652 766,498 * Tickets.com, Inc. 1,600 1,200 * Tier Technologies, Inc. Class B 41,400 365,562 TierOne Corp. 39,453 978,829 * TII Network Technologies, Inc. 11,260 16,440 Timberland Bancorp, Inc. 3,900 95,550 * Timco Aviation Services, Inc. 2,749 990 * Time Warner Telecom, Inc. 100,387 380,467 * Tipperary Corp. 17,900 84,309 * Titan Corp. 185,600 2,990,016 # Titan International, Inc. 19,600 244,608 * Titan Pharmaceuticals, Inc. 70,700 176,750 * Titanium Metals Corp. 15,850 364,392 *# TiVo, Inc. 175,826 828,140 * TL Administration Corp. 200 4 * TLC Vision Corp. 33,060 385,480 Todd Shipyards Corp. 6,300 107,919 * Todhunter International, Inc. 4,600 54,832 * Tofutti Brands, Inc. 6,900 21,390 * Tollgrade Communications, Inc. 27,991 299,224 Tompkins County Trustco, Inc. 363 19,130 * Too, Inc. 75,900 1,927,860 * Torch Offshore, Inc. 23,300 46,111 * Toreador Resources Corp. 4,900 75,607 # Toro Co. 39,200 2,842,000 * Total Entertainment Restaurant Corp. 21,861 219,484 *# Tower Automotive, Inc. 128,000 230,400 Track Data Corp. 3,400 2,822 * Tractor Supply Co. 84,193 2,670,602 * Tradestation Group, Inc. 91,800 681,156 Traffix, Inc. 29,800 195,190 * Trailer Bridge, Inc. 9,800 63,700 * Trammell Crow Co. 82,300 1,407,330 * Trans World Entertainment Corp. 74,900 844,872 * Transact Technologies, Inc. 8,550 191,093 * Transaction Systems Architects, Inc. 82,439 1,691,648 * Transcat, Inc. 6,100 18,300 * Transgenomic, Inc. 21,900 26,718 * Trans-Industries, Inc. 1,400 3,654 * Transkaryotic Therapies, Inc. 76,418 $ 1,743,095 *# Transmeta Corp. 264,600 447,174 * TransMontaigne, Inc. 87,500 475,125 * Transport Corp. of America 5,200 38,272 * Transpro, Inc. 16,100 97,969 * Transtechnology Corp. 6,200 46,810 * Transwitch Corp. 40,600 49,532 * Travis Boats & Motors, Inc. 2,900 1,117 * TRC Companies, Inc. 29,400 524,496 Tredegar Industries, Inc. 84,891 1,581,519 *# Trenwick Group, Ltd. 11,975 144 *# Trestle Holdings, Inc. 450 731 * Trex Co., Inc. 32,600 1,530,570 * Triad Guaranty, Inc. 32,014 1,920,840 Triarc Companies, Inc. Class A 50,900 659,155 Triarc Companies, Inc. Class B 49,000 624,750 Trico Bancshares 9,900 237,105 *# Trico Marine Services, Inc. 55,100 19,285 * Trident Microsystems, Inc. 50,500 787,800 * Trimble Navigation, Ltd. 91,185 2,878,710 * Trimedyne, Inc. 4,300 2,580 * Trimeris, Inc. 48,078 596,648 Trinity Industries, Inc. 88,000 3,110,800 * Trio-Tech International 400 1,848 * TriPath Imaging, Inc. 83,652 600,621 * Tripath Technology, Inc. 68,751 58,438 * Tripos, Inc. 10,620 55,118 * Triquint Semiconductor, Inc. 272,497 1,179,912 * Triton PCS Holdings, Inc. 136,900 342,250 * Triumph Group, Inc. 34,902 1,415,625 *# Tri-Valley Corp. 10,800 73,548 * TriZetto Group, Inc. 103,201 730,663 * TRM Corp. 7,000 131,390 *# Tropical Sportswear International Corp. 19,875 28,024 * Troy Group, Inc. 13,800 40,158 * Trump Hotels & Casino Resorts, Inc. 29,600 24,568 TrustCo Bank Corp. NY 163,455 2,304,716 TSR, Inc. 4,400 30,668 * TTM Technologies, Inc. 89,700 931,086 * Tuesday Morning Corp. 86,241 2,888,211 * Tufco Technologies, Inc. 4,500 34,875 * Tumbleweed Communications Corp. 105,295 368,533 Tupperware Corp. 128,800 2,411,136 * TurboChef Technologies, Inc. 20,500 130,175 * Tut Systems, Inc. 51,200 202,240 * Tweeter Home Entertainment Group, Inc. 51,800 332,038 Twin Disc, Inc. 2,800 70,308 * Tyler Technologies, Inc. 90,800 711,872 *# U.S. Aggregates, Inc. 1,600 4 * U.S. Concrete, Inc. 60,700 441,289 * U.S. Energy Corp. Wyoming 11,500 34,385 * U.S. Physical Therapy, Inc. 28,972 449,066 * U.S. Xpress Enterprises, Inc. Class A 10,823 281,398 * UbiquiTel, Inc. 204,190 1,327,235 *# UFP Technologies, Inc. 3,800 13,224 UICI 97,400 3,253,160 UIL Holdings Corp. 32,000 1,710,720 * Ulticom, Inc. 92,830 1,666,299 *# Ultimate Electronics, Inc. 31,258 95,649
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SHARES VALUE+ ------ ------ * Ultimate Software Group, Inc. 48,347 $ 617,391 * Ultradata Systems, Inc. 2,000 900 * Ultralife Batteries, Inc. 13,100 197,024 * Ultratech, Inc. 52,400 902,852 UMB Financial Corp. 47,465 2,658,515 Umpqua Holdings Corp. 96,760 2,474,153 *# Unapix Entertainment, Inc. 6,100 25 * Unico American Corp. 5,500 41,085 * Unifi, Inc. 114,634 426,438 Unifirst Corp. 20,450 565,238 Union Bankshares Corp. 170 6,377 Union Community Bancorp 2,300 43,528 Unisource Energy Corp. 67,080 1,636,081 * Unit Corp. 67,400 2,670,388 United Auto Group, Inc. 101,800 2,903,336 United Bankshares, Inc. 47,960 1,835,429 United Community Banks, Inc. 78,918 2,261,790 United Community Financial Corp. 65,672 754,571 United Financial Corp. 660 16,236 * United Financial Mortgage Corp. 10,400 47,320 United Fire & Casualty Co. 6,200 412,920 United Industrial Corp. 28,600 1,115,400 * United Natural Foods, Inc. 88,302 2,483,935 * United Online, Inc. 132,703 1,415,941 * United PanAm Financial Corp. 600 11,910 * United Rentals, Inc. 171,100 3,057,557 * United Retail Group, Inc. 22,866 94,894 # United Security Bancshares 2,000 49,780 * United Stationers, Inc. 60,900 2,915,892 * United Surgical Partners International, Inc. 62,302 2,459,060 * United Therapeutics Corp. 47,154 2,075,248 United-Guardian, Inc. 1,900 14,725 Unitil Corp. 4,700 131,647 Unity Bancorp, Inc. 5,733 69,083 * Universal Access Global Holdings, Inc. 435 57 * Universal American Financial Corp. 120,600 1,610,010 * Universal Compression Holdings, Inc. 69,249 2,582,988 Universal Corp. 55,300 2,692,004 * Universal Display Corp. 63,248 616,668 * Universal Electronics, Inc. 29,700 542,025 Universal Forest Products, Inc. 38,783 1,673,874 * Universal Stainless & Alloy Products, Inc. 6,000 88,320 Unizan Financial Corp. 33,197 855,819 * Unova, Inc. 133,900 2,967,224 * UQM Technologies, Inc. 41,100 86,721 * Urologix, Inc. 31,342 223,155 * URS Corp. 95,313 2,863,203 *# US Airways Group, Inc. Class A 46,800 51,948 *# US LEC Corp. 69,136 232,988 * USA Mobility, Inc. 42,300 1,538,028 * USA Truck, Inc. 9,300 115,227 *# USANA Health Services, Inc. 41,200 1,224,052 USB Holding Co., Inc. 17,953 501,633 *# USDATA Corp. 2,820 113 USEC, Inc. 185,431 1,952,588 USF Corp. 61,137 2,260,235 Utah Medical Products, Inc. 5,000 108,750 *# V.I. Technologies, Inc. 57,100 38,257 * VA Software Corp. 109,000 $ 269,230 # Vail Banks, Inc. 1,300 16,926 * Vail Resorts, Inc. 77,600 1,765,400 *# Valence Technology, Inc. 20,900 75,240 Valhi, Inc. 14,240 220,862 Valley National Gases, Inc. 4,200 53,760 Valmont Industries, Inc. 52,200 1,302,912 * Valpey Fisher Corp. 1,650 5,610 Value Line, Inc. 9,900 396,010 * ValueClick, Inc. 176,200 2,272,980 * ValueVision Media, Inc. Class A 79,947 906,599 * Varian Semiconductor Equipment Associates, Inc. 80,100 2,845,152 * Varian, Inc. 76,300 2,857,435 *# Vascular Solutions, Inc. 30,600 317,016 * Vastera, Inc. 75,179 139,081 *# Vaxgen, Inc. 42,400 664,832 # Vector Group, Ltd. 91,624 1,502,634 * Veeco Instruments, Inc. 64,700 1,254,533 * VendingData Corp. 2,100 3,969 * Ventana Medical Systems, Inc. 38,224 2,283,884 * Ventiv Health, Inc. 2,200 42,592 * Verilink Corp. 40,558 141,953 * Veritas DGC, Inc. 73,500 1,719,900 * Verity, Inc. 82,200 1,126,962 * Vermont Pure Holdings, Ltd. 17,300 30,794 * Versant Corp. 3,874 2,828 * Versar, Inc. 8,700 37,845 * Verso Technologies, Inc. 26,319 21,318 * Vertex Pharmaceuticals, Inc. 176,229 1,871,552 * VerticalBuyer Inc. 920 28 *# Vertrue, Inc. 21,500 746,050 Vesta Insurance Group, Inc. 79,400 298,544 * Vestin Group, Inc. 200 614 Viad Corp. 47,800 1,146,722 * Vialta, Inc. 9,801 1,666 * Viasat, Inc. 58,891 1,229,055 * Vical, Inc. 47,255 203,197 * Vicon Industries, Inc. 4,600 26,036 Vicor Corp. 65,819 715,453 * Vicuron Pharmaceuticals, Inc. 137,550 2,419,505 # Video Display Corp. 7,200 98,280 * Viewpoint Corp. 118,316 309,988 * Vignette Corp. 407,600 517,652 * Viisage Technology, Inc. 94,795 764,996 Vintage Petroleum, Inc. 143,400 3,477,450 * Virage Logic Corp. 47,227 709,822 * Virbac Corp. 22,000 77,440 * Virco Manufacturing Corp. 13,269 102,171 * Virginia Commerce Bancorp, Inc. 500 14,250 *# Virologic, Inc. 90,800 190,680 *# ViroPharma, Inc. 57,925 163,928 * Vision-Sciences, Inc. 5,100 13,515 *# Vista Medical Technologies, Inc. 7,500 8,400 Visteon Corp. 285,400 2,414,484 * Visual Networks, Inc. 31,900 102,718 * VISX, Inc. 108,900 2,816,154 *# Vital Images, Inc. 25,700 416,083 Vital Signs, Inc. 27,956 1,045,834 * VitalWorks, Inc. 95,650 385,470 *# Vitech America, Inc. 14,850 41
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SHARES VALUE+ ------ ------ * Vitesse Semiconductor, Inc. 200,110 $ 652,359 * Vitria Technology, Inc. 73,242 253,417 * Vivus, Inc. 83,664 491,944 * VL Dissolution Corp. 3,101 465 *# VLPS Lighting Services International, Inc. Escrow Shares 4,800 392 * Vodavi Technology, Inc. 4,300 30,186 * Volt Information Sciences, Inc. 33,000 1,006,500 Vulcan International Corp. 700 31,500 * Vyyo, Inc. 31,600 229,100 * W-H Energy Services, Inc. 60,500 1,383,030 * Wabash National Corp. 60,200 1,497,174 Wabtec Corp. 100,200 2,061,114 Walter Industries, Inc. 82,000 2,064,760 *# Warnaco Group, Inc. 101,217 2,011,182 Warwick Valley Telephone Co. 300 6,744 Washington Banking Co. 4,680 82,087 * Washington Group International, Inc. 55,215 2,153,385 Washington Savings Bank FSB 2,400 32,400 Washington Trust Bancorp, Inc. 28,963 852,091 * Waste Connections, Inc. 78,500 2,673,710 Waste Industries USA, Inc. 19,300 221,371 * WatchGuard Technologies, Inc. 71,080 291,428 * Water Pik Technologies, Inc. 8,400 144,480 * Waterlink, Inc. 100 0 Waters Instruments, Inc. 300 2,265 Watsco, Inc. Class A 50,500 1,670,035 Watsco, Inc. Class B 1,350 44,618 Watson Wyatt & Co., Holdings 71,300 1,900,858 Watts Water Technologies, Inc. 54,900 1,681,587 Wausau-Mosinee Paper Corp. 113,736 2,041,561 * Waxman Industries, Inc. 600 3,900 Waypoint Financial Corp. 53,226 1,478,086 * WCI Communities, Inc. 97,600 2,500,512 WD-40 Co. 36,503 1,066,253 * Webb Interactive Services, Inc. 5,300 2,173 * Webco Industries, Inc. 6,000 45,000 * WebEx Communications, Inc. 97,480 2,314,175 * webMethods, Inc. 116,402 714,708 *# Websense, Inc. 51,200 2,460,672 * Weider Nutrition International, Inc. 10,500 44,520 Weis Markets, Inc. 59,607 2,288,909 Wellco Enterprises, Inc. 1,000 14,800 Wellman, Inc. 70,400 724,416 *# Wells-Gardner Electronics Corp. 6,101 32,213 Wesbanco, Inc. 43,261 1,367,480 * WESCO International, Inc. 92,000 2,587,040 West Bancorporation 6,300 109,242 West Coast Bancorp 32,829 863,731 * West Marine, Inc. 45,778 1,057,472 West Pharmaceutical Services, Inc. 67,100 1,568,798 * Westaff, Inc. 24,300 74,115 Westamerica Bancorporation 2,000 116,320 Westbank Corp. 4,740 87,311 * Westcoast Hospitality Corp. 12,900 65,403 * Westell Technologies, Inc. 117,980 772,769 * Western Power & Equipment Corp. 3,373 5,565 * Western Sierra Bancorp 1,575 63,000 * Westmoreland Coal Co. 800 23,720 Westwood Holdings Group, Inc. 6,479 123,619 *# Wet Seal, Inc. Class A 45,533 75,585 Weyco Group, Inc. 300 $ 12,102 WGL Holdings, Inc. 14,000 424,480 * White Electronics Designs Corp. 51,323 343,864 * Whitehall Jewelers, Inc. 30,250 250,470 * Whiting Petroleum Corp. 2,960 100,758 *# WHX Corp. 6,333 4,940 * Wickes, Inc. 4,400 20 * Wild Oats Markets, Inc. 61,369 439,402 *# William Lyon Homes, Inc. 21,600 1,519,560 * Williams Industries, Inc. 1,200 4,200 * Willis Lease Finance Corp. 9,500 84,550 Willow Grove Bancorp, Inc. 21,051 379,550 * Wilshire Enterprises, Inc. 7,107 42,855 * Wilson Greatbatch Technologies, Inc. 49,200 986,460 * Wilsons The Leather Experts, Inc. 84,545 422,725 * Wind River Systems, Inc. 180,973 2,189,773 * Winmark Corp. 3,800 101,270 # Winn-Dixie Stores, Inc. 312,700 1,250,800 # Winnebago Industries, Inc. 73,900 2,803,027 Wintrust Financial Corp. 46,219 2,765,745 * Wireless Facilities, Inc. 151,851 1,257,326 Wireless Telecom Group, Inc. 37,900 112,184 * Wireless WebConnect!, Inc. 8,900 26 * Witness Systems, Inc. 51,600 773,484 * WJ Communications, Inc. 56,300 190,857 *# WMS Industries, Inc. 66,900 1,989,606 * Wolverine Tube, Inc. 31,900 338,778 Wolverine World Wide, Inc. 84,100 2,518,795 * Women First HealthCare, Inc. 1,500 2 Woodhead Industries, Inc. 26,657 401,988 Woodward Governor Co. 24,870 1,811,780 * World Acceptance Corp. 40,600 1,047,074 * World Access, Inc. 1,672 2 World Fuel Services Corp. 26,100 1,075,320 World Wrestling Federation Entertainment, Inc. 45,900 550,800 *# WorldGate Communications, Inc. 6,500 15,600 * WorldQuest Networks, Inc. 1,500 4,485 * Worldwide Restaurant Concepts, Inc. 60,500 197,835 Worthington Industries, Inc. 28,229 607,206 * Wright Medical Group, Inc. 73,552 1,945,450 WSI Industries, Inc. 2,000 5,200 X-Rite, Inc. 45,663 680,835 * Xanser Corp. 42,800 120,696 * Xeta Corp. 10,300 30,591 * Yankee Candle Co., Inc. 100,500 3,061,230 Yardville National Bancorp 16,400 546,284 York International Corp. 87,000 3,207,690 * Young Broadcasting, Inc. Class A 39,207 382,660 * Zapata Corp. 2,340 147,467 Zenith National Insurance Corp. 18,600 855,042 * Zevex International, Inc. 3,400 11,900 * Zhone Technologies, Inc. 181,262 442,279 * Zila, Inc. 100,566 447,519 *# Zix Corp. 69,726 319,345 * Zoll Medical Corp. 20,422 692,918 *# Zoltek Companies, Inc. 36,100 332,120 * Zomax, Inc. 70,500 242,520 * Zones, Inc. 13,500 82,755 * Zoran Corp. 88,535 1,049,140 * Zygo Corp. 38,600 448,532
175
SHARES VALUE+ ------ ------ * ZymeTx, Inc. 700 $ 30 * Zymogenetics, Inc. 117,939 2,681,933 --------------- TOTAL COMMON STOCKS (Cost $1,925,480,313) 2,293,355,046 --------------- RIGHTS/WARRANTS -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 30 0 * American Banknote Corp. Warrants Series 2 10/01/07 30 0 * Anacomp, Inc. Class B Warrants 12/10/06 0 0 *# Angeion Corp. Warrants 10/31/07 215 11 * Aura Systems, Inc. Warrants 05/31/05 1,262 0 * CD&L, Inc. Rights 10/15/04 650 0 * Chart Industries, Inc. Warrants 09/15/10 24 372 * Chiquita Brands International, Inc. Warrants 03/19/09 9,947 54,708 * CSF Holding, Inc. Litigation Rights 12/30/99 3,250 0 * Del Global Technologies Corp. Warrants 03/28/08 971 1,068 *# Foster Wheelers, Ltd. Warrants 09/24/07 40,600 0 * Imperial Credit Industries, Inc. Warrants 01/31/08 22 0 * Imperial Sugar Co. Warrants 08/29/08 498 1,096 * Lodgian, Inc. Class A Warrants 11/25/07 188 7 * Lodgian, Inc. Class B Warrants 11/25/09 582 22 * Magnum Hunter Resources, Inc. Warrants 03/21/05 7,200 4,392 * Milltope Group, Inc. Contigent Value Rights 5,800 0 * Optical Cable Corp. Warrants 10/24/07 2,823 0 *# OSI Pharmaceuticals, Inc. Rights 4,829 579 * PDS Gaming Corp. 1,100 1,650 PMR Corp. Contingent Value Rights 08/05/04 7,300 7 * Timco Aviation Services, Inc. Warrants 12/31/07 6,696 1 --------------- TOTAL RIGHTS/WARRANTS (Cost $445,757) 63,913 --------------- FACE AMOUNT VALUE+ ------ ------ (000) BONDS -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 $ 2 $ 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 3 0 --------------- TOTAL BONDS (Cost $0) 0 --------------- TEMPORARY CASH INVESTMENTS -- (8.2%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $164,370,000 U.S. Treasury Note, 4.75%, 05/15/14, valued at $170,106,222) to be repurchased at $166,776,566 (Cost $166,767,579)^ 166,768 166,767,579 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $38,206,000 FHLMC Notes 4.20%, 10/20/09, valued at $38,369,904) to be repurchased at $37,971,983 (Cost $37,970,000) 37,970 37,970,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $204,737,579) 204,737,579 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,130,663,649) $ 2,498,156,538 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 176 THE U.S. MICRO CAP SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ COMMON STOCKS -- (94.0%) * 1-800 CONTACTS, Inc. 82,161 $ 1,683,479 * 1-800-FLOWERS.COM, Inc. 180,830 1,500,889 1st Independence Financial Group, Inc. 3,700 69,745 1st Source Corp. 128,089 3,362,336 # 21st Century Holding Co. 1,050 13,765 * 24/7 Real Media, Inc. 4,040 15,271 * 3-D Systems Corp. 110,010 1,772,261 * 4Kids Entertainment, Inc. 84,100 1,718,163 *# 8X8, Inc. 84,000 309,960 * @Road, Inc. 343,453 2,071,022 * A. B. Watley Group, Inc. 9,900 2,376 * A.C. Moore Arts & Crafts, Inc. 122,800 3,535,412 * A.D.A.M., Inc. 5,100 18,870 *# aaiPharma, Inc. 154,500 477,405 * Aames Investment Corp. 67 730 * AAON, Inc. 141,725 2,253,427 * AAR Corp. 203,037 2,775,516 * Abaxis, Inc. 146,800 1,840,872 ABC Bancorp 62,670 1,297,269 Abigail Adams National Bancorp 1,375 24,887 * Abiomed, Inc. 137,691 2,090,149 * Able Laboratories, Inc. 109,297 2,377,210 * Ablest, Inc. 13,500 100,170 Abrams Industries, Inc. 17,100 66,690 * Acacia Research-Acacia Technologies 68,050 309,627 * Acacia Research-CombiMatrix 41,690 140,078 * Accelrys, Inc. 220,300 1,379,078 *# Access Pharmaceuticals, Inc. 96,000 336,000 * Acclaim Entertainment, Inc. 7,800 76 * ACE Cash Express, Inc. 105,275 2,808,211 * ACE*COMM Corp. 78,700 173,140 Aceto Corp. 129,375 2,199,375 * Aclara BioSciences, Inc. 91,300 381,634 * Acme Communications, Inc. 120,000 705,600 Acme United Corp. 30,407 369,445 * ACT Manufacturing, Inc. 200 1 * ACT Teleconferencing, Inc. 81,800 92,434 * Actel Corp. 158,596 2,721,507 Action Performance Companies, Inc. 114,600 1,236,534 * ActivCard Corp. 253,130 2,014,915 * Active Power, Inc. 298,200 1,356,810 * Actuate Corp. 388,552 920,868 Adams Resources & Energy, Inc. 68,250 1,211,437 * ADDvantage Technologies Group, Inc. 2,200 11,550 * ADE Corp. 81,400 1,502,644 * Adept Technology, Inc. 30,000 49,500 * Administaff, Inc. 163,800 2,440,620 * Adolor Corp. 271,636 3,756,726 * Advanced Digital Information Corp. 279,375 2,564,662 * Advanced Energy Industries, Inc. 202,617 1,732,375 *# Advanced Magnetics, Inc. 64,200 902,010 Advanced Marketing Services, Inc. 132,075 1,419,806 *# Advanced Neuromodulation Systems, Inc. 111,135 4,011,973 * Advanced Nutraceuticals, Inc. 475 $ 1,662 *# Advanced Photonix, Inc. 68,300 113,378 * Advanced Power Technology, Inc. 73,800 554,238 Advanta Corp. Class A 58,683 1,313,326 Advanta Corp. Class B Non-Voting 97,546 2,329,398 * Advent Software, Inc. 192,581 3,853,546 * Aehr Test Systems 57,400 125,132 * AEP Industries, Inc. 60,750 664,605 * Aerosonic Corp. 33,100 194,297 * Aether Systems, Inc. 261,376 972,319 * Aetrium, Inc. 87,300 314,280 *# AFC Enterprises, Inc. 9,700 233,576 * Aftermarket Technology Corp. 151,100 2,632,162 * Agile Software Corp. 330,642 2,764,167 * Agility Capital, Inc. 13,400 87 Agilysys, Inc. 202,938 3,354,565 * Air Methods Corp. 70,800 514,716 * AirGate PCS, Inc. 5,100 165,597 * AirNet Systems, Inc. 96,100 317,130 * Airspan Networks, Inc. 227,539 1,249,189 * AK Steel Holding Corp. 338,700 4,372,617 *# Akorn, Inc. 202,000 840,320 *# Aksys, Ltd. 184,650 1,220,536 Alamo Group, Inc. 70,700 1,477,630 * Alaska Air Group, Inc. 64,800 2,023,704 * Alaska Communications Systems Group, Inc. 198,600 1,705,974 * Albany Molecular Research, Inc. 192,740 2,066,173 * Alderwoods Group, Inc. 21,000 222,180 # Aldila, Inc. 33,233 432,361 * Alexion Pharmaceuticals, Inc. 173,972 3,597,741 * Alico, Inc. 53,400 2,977,584 * Align Technology, Inc. 9,600 101,472 * All American Semiconductor, Inc. 45,140 275,354 Allen Organ Co. Class B 4,700 307,309 * Alliance Gaming Corp. 70,500 852,345 * Alliance Imaging, Inc. 317,000 2,979,800 * Alliance Semiconductor Corp. 216,118 756,413 * Allied Defense Group, Inc. 48,640 996,147 * Allied Healthcare International, Inc. 146,800 789,784 * Allied Healthcare Products, Inc. 65,800 407,302 * Allied Holdings, Inc. 73,100 187,501 * Allied Motion Technologies, Inc. 34,580 236,908 * Allos Therapeutics, Inc. 170,827 358,737 * Allou HealthCare, Inc. Class A 1,100 0 * Alloy, Inc. 215,380 969,210 * Allscripts Healthcare Solutions, Inc. 245,800 2,421,130 * Almost Family, Inc. 11,500 141,450 * Alpha Technologies Group, Inc. 87,200 87,200 Alpine Group, Inc. 87,800 188,770 * Alteon, Inc. 231,200 191,896 * Altiris, Inc. 1,500 42,000 Ambassadors Group, Inc. 70,300 2,445,034 Ambassadors International, Inc. 70,300 965,922 * AMC Entertainment, Inc. 186,000 3,595,380 * Amcast Industrial Corp. 86,800 47,740 AMCOL International Corp. 184,900 3,734,980 Amcore Financial, Inc. 5,400 175,662
177
SHARES VALUE+ ------ ------ * Amedisys, Inc. 93,547 $ 3,079,567 * AMEN Properties, Inc. 12,375 48,262 * America Services Group, Inc. 66,650 1,669,582 *# America West Holdings Corp. Class B 221,000 1,284,010 * American Banknote Corp. 595 83 * American Biltrite, Inc. 57,750 687,225 *# American Business Financial Services, Inc. 35,450 123,366 * American Claims Evaluation, Inc. 3,100 7,533 * American Dental Partners, Inc. 57,700 1,056,487 American Ecology Corp. 106,400 1,285,312 * American Independence Corp. 14,733 217,754 # American Italian Pasta Co. 111,100 2,139,786 * American Locker Group, Inc. 32,200 413,770 * American Medical Security Group, Inc. 101,000 3,265,330 American Pacific Corp. 66,400 554,440 * American Physicians Capital, Inc. 53,665 1,787,581 American Physicians Services Group, Inc. 36,700 372,505 * American Retirement Corp. 155,000 1,232,250 * American Science & Engineering, Inc. 61,500 2,273,040 American Shared Hospital Services 26,800 141,236 American Software, Inc. Class A 277,700 1,652,315 American States Water Co. 105,000 2,731,050 * American Superconductor Corp. 174,776 2,419,948 * American Technical Ceramics Corp. 68,100 681,681 # American Vanguard Corp. 5,998 229,423 * American West Bancorporation 14,733 309,393 American Woodmark Corp. 129,320 5,202,544 Americana Bancorp 20,350 318,477 * America's Car-Mart, Inc. 48,400 1,776,280 * AmeriServe Financial, Inc. 176,775 919,230 Ameron International Corp. 56,800 2,157,264 * Amistar Corp. 27,800 94,520 * AML Communications, Inc. 61,500 55,965 * AMN Healthcare Services, Inc. 178,200 2,851,200 Ampco-Pittsburgh Corp. 81,300 1,095,111 * Ampex Corp. Class A 7,565 86,241 Amrep Corp. 63,610 1,131,622 * AMS Health Sciences, Inc. 1,400 6,804 * Amsurg Corp. 66,946 1,721,195 * Amtech Systems, Inc. 2,400 10,200 * AMX Corp. 98,000 1,729,700 * Anadigics, Inc. 186,100 627,157 * Analex Corp. 48,700 197,235 Analogic Corp. 81,873 3,710,484 * Analysts International Corp. 190,092 636,808 *# Analytical Surveys, Inc. 5,670 14,799 * Anaren, Inc. 122,090 1,640,157 Anchor Bancorp Wisconsin, Inc. 142,951 4,175,599 Andersons, Inc. 51,500 1,178,320 * Angeion Corp. 1,294 3,339 Angelica Corp. 49,300 1,249,755 * Angelo & Maxie's, Inc. 15,333 11,423 * AngioDynamics, Inc. 74,011 1,184,176 * Anika Therapeutics, Inc. 64,600 610,470 * Ansoft Corp. 114,500 2,063,290 * AnswerThink, Inc. 276,949 1,249,040 * Ansys, Inc. 36,454 $ 1,118,773 * Anthony & Sylvan Pools Corp. 57,410 307,143 *# Antigenics, Inc. 281,917 2,655,658 * AP Pharma, Inc. 193,400 239,816 * APA Enterprises, Inc. 41,400 89,424 * APAC Customer Services, Inc. 389,119 661,502 * Aphton Corp. 233,816 771,593 Apogee Enterprises, Inc. 241,900 3,526,902 *# Apogee Technology, Inc. 4,500 17,190 * Applica, Inc. 159,500 805,475 * Applied Extrusion Technologies, Inc. 102,300 17,391 * Applied Films Corp. 91,401 2,025,446 * Applied Imaging Corp. 41,400 19,044 Applied Industrial Technologies, Inc. 106,500 4,435,725 * Applied Innovation, Inc. 142,200 509,076 Applied Signal Technologies, Inc. 94,700 3,594,812 * Applix, Inc. 121,600 538,688 * Apropos Technology, Inc. 105,100 314,249 * aQuantive, Inc. 386,185 3,355,948 * Aquila, Inc. 255,000 892,500 * Aradigm Corp. 152,941 232,470 Arch Chemicals, Inc. 119,149 3,479,151 Arctic Cat, Inc. 88,282 2,358,012 *# Ardent Communications, Inc. 20,000 30 * Arena Pharmaceuticals, Inc. 154,567 865,591 * ARGON ST, Inc. 40,388 1,044,434 * Argonaut Group, Inc. 163,100 3,242,428 * Argonaut Technologies, Inc. 92,000 85,560 * Ariad Pharmaceuticals, Inc. 330,602 1,907,574 * Ariba, Inc. 123,061 2,030,506 Ark Restaurants Corp. 21,400 643,070 * Arlington Hospitality, Inc. 60,600 175,740 *# Armstrong Holdings, Inc. 27,400 71,240 *# Arotech Corp. 54,400 95,744 * Arqule, Inc. 175,738 973,589 * Array BioPharma, Inc. 181,470 1,517,089 # Arrhythmia Research Technology, Inc. 16,475 416,817 * Arris Group, Inc. 525,505 2,990,123 Arrow Financial Corp. 87,047 2,795,079 * Art Technology Group, Inc. 117,611 130,548 Artesian Resources Corp. Class A 800 23,240 * Artesyn Technologies, Inc. 219,200 2,086,784 * Arthrocare Corp. 131,761 3,988,405 * Artisan Components, Inc. 206,056 7,108,932 *# Artisoft, Inc 23,716 56,918 * Art's-Way Manufacturing Co., Inc. 100 610 * ASA International. Ltd. 196 898 ASB Financial Corp. 4,500 100,125 * Asbury Automotive Group, Inc. 11,900 165,172 * Ashworth, Inc. 132,600 1,200,030 * Aspect Communications Corp. 81,330 882,430 * Aspect Medical Systems, Inc. 126,687 3,091,163 * Aspen Technology, Inc. 255,257 1,472,833 Associated Banc-Corp 35,628 1,183,918 * Astea International, Inc. 21,160 151,717 * Astec Industries, Inc. 124,983 2,079,717 Astro-Med, Inc. 54,422 491,485 * Astronics Corp. 36,681 181,571 * Astronics Corp. Class B 13,755 68,431 *# AstroPower, Inc. 18,050 171 * ASV, Inc. 79,550 3,335,531
178
SHARES VALUE+ ------ ------ * Asyst Technologies, Inc. 282,359 $ 1,174,613 *# ATA Holdings Corp. 155,900 171,490 * Atari, Inc. 561,169 1,273,854 *# AtheroGenics, Inc. 55,614 1,318,608 * Atlantic American Corp. 157,725 473,175 * Atlantic Premium Brands, Ltd. 27,000 32,400 * Atlantis Plastics, Inc. 34,800 575,940 * ATMI, Inc. 131,095 3,017,807 * ATP Oil & Gas Corp. 206,905 2,948,396 Atrion Corp. 15,400 696,388 * ATS Medical, Inc. 20,200 80,194 * Atwood Oceanics, Inc. 77,600 4,068,568 * Audiovox Corp. Class A 128,090 1,914,945 * August Technology Corp. 112,115 947,372 * Ault, Inc. 40,100 126,716 *# Authentidate Holding Corp. 207,000 1,436,580 * autobytel.com, Inc. 258,326 1,880,613 * Avalon Holding Corp. Class A 15,475 47,972 * Avanex Corp. 382,889 1,186,956 * AVANIR Pharmaceuticals Class A 473,300 1,613,953 * Avant Immunotherapeutics, Inc. 408,574 755,862 *# Avatar Holdings, Inc. 47,000 2,221,690 Avatech Solutions, Inc 12,186 4,265 *# AVI BioPharma, Inc. 201,370 438,987 * Aviall, Inc. 174,050 3,957,897 * Avici Systems, Inc. 76,181 544,694 * Avigen, Inc. 136,000 469,200 * AVTEAM, Inc. Class A 1,300 2 * Aware, Inc. 131,200 644,192 * Axesstel, Inc. 5,800 22,040 * AXM Pharma, Inc. 2,300 5,290 * Axonyx, Inc. 1,200 8,832 * AXS-One, Inc. 197,000 559,480 * Axsys Technologies, Inc. 74,400 1,345,152 * AXT, Inc. 114,600 194,820 * AZZ, Inc. 59,726 910,821 Badger Meter, Inc. 64,500 3,686,820 * Badger Paper Mills, Inc. 200 848 Bairnco Corp. 105,300 1,232,010 * Baker (Michael) Corp. 61,614 1,158,343 * Baker (Michael) Corp. Class B 15,400 289,520 Balchem Corp. 24,100 742,521 * Baldwin Technology Co., Inc. Class A 131,900 406,252 * Ballantyne of Omaha, Inc. 126,135 541,119 * Bally Total Fitness Holding Corp. 210,700 701,631 * Bancinsurance Corp. 39,480 292,942 Bank of Granite Corp. 31,200 677,040 Bank of The Ozarks, Inc. 20,800 741,520 * Bankrate, Inc. 50,700 809,172 Banner Corp. 116,190 3,836,594 Barnes Group, Inc. 145,000 3,796,100 Barnwell Industries, Inc. 10,100 534,795 * Barrett Business Services, Inc. 61,800 927,618 * Barry (R.G.) Corp. 163,435 572,022 Bassett Furniture Industries, Inc. 105,200 2,073,492 Bay View Capital Corp. 40,410 695,052 * BayCorp Holdings, Ltd. 4,189 52,991 * BE Aerospace, Inc. 237,834 2,520,327 * Beasley Broadcast Group, Inc. 46,078 808,669 BEI Technologies, Inc. 131,800 3,868,330 Bel Fuse, Inc. Class A 42,550 $ 1,246,715 Bel Fuse, Inc. Class B 93,150 3,188,524 * Bell Industries, Inc. 88,500 257,535 * Bell Microproducts, Inc. 176,250 1,506,937 * Benihana, Inc. 11,500 163,875 * Benihana, Inc. Class A 3,335 47,023 * Bentley Pharmaceuticals, Inc. 129,650 1,143,513 Berry Petroleum Corp. Class A 42,500 1,967,750 * Beverly Enterprises, Inc. 210,000 1,820,700 Beverly Hills Bancorp, Inc. 1,302 12,903 * BFC Financial Corp. 1,300 14,664 * Big 4 Ranch, Inc. 35,000 0 * Big City Radio, Inc. 150 18 * Big Dog Holdings, Inc. 2,100 13,188 * BindView Development Corp. 291,865 1,036,121 * Bioanalytical Systems, Inc. 8,700 45,675 * BioCryst Pharmaceuticals, Inc. 179,700 1,186,020 * Bioenvision, Inc. 174,560 1,797,968 * Bio-Imaging Technologies, Inc. 67,065 291,733 # BioLase Technology, Inc. 153,252 1,385,398 * Bio-Logic Systems Corp. 42,800 349,248 * BioMarin Pharmaceutical, Inc. 399,246 2,127,981 * Biomerica, Inc. 23,400 9,126 * Bio-Reference Laboratories, Inc. 79,057 1,298,116 *# BioSante Pharmaceuticals, Inc. 113,700 1,144,959 *# Biosite, Inc. 21,300 1,186,197 * Biosource International, Inc. 98,100 645,498 * Biospecifics Technologies Corp. 39,000 64,350 * BioSphere Medical, Inc. 89,700 278,070 * BioTime, Inc. 11,000 14,520 * Bitstream, Inc. 81,600 236,640 * BJ's Restaurants, Inc. 124,403 1,861,069 Black Box Corp. 6,000 256,080 Blair Corp. 68,800 2,408,000 * Blonder Tongue Laboratories, Inc. 76,300 362,425 * Blount International, Inc. 195,000 3,398,850 * Blue Coat Systems, Inc. 70,899 1,183,304 * Blue Martini Software, Inc. 79,014 219,580 * Bluegreen Corp. 226,729 3,604,991 * BNS Co. Class A 26,480 176,092 * Bogen Communications International, Inc. 64,200 316,185 *# BOLDER Technologies Corp. 40,300 105 * Bolt Technology Corp. 44,700 234,228 * Bombay Co., Inc. 299,600 2,073,232 * Bone Care International, Inc. 122,376 2,853,808 * Bontex, Inc. 2,200 572 Bon-Ton Stores, Inc. 110,500 1,547,000 *# Bookham, Inc. 24,026 128,779 Books-A-Million, Inc. 171,700 1,583,074 Boston Acoustics, Inc. 52,750 725,312 * Boston Beer Co., Inc. Class A 131,700 2,868,426 * Boston Communications Group, Inc. 131,800 1,173,020 Boston Private Financial Holdings, Inc. 113,934 3,086,472 BostonFed Bancorp, Inc. 36,100 1,584,429 * Bottomline Technologies, Inc. 105,216 1,231,027 Bowl America, Inc. Class A 55,406 781,225 Bowne & Co., Inc. 222,168 3,421,387 * Boyds Collection, Ltd. 460,400 1,616,004 * Bradley Pharmaceuticals, Inc. 101,449 1,795,647
179
SHARES VALUE+ ------ ------ * Breed Technologies, Inc. 5,600 $ 78 Bridgford Foods Corp. 91,467 774,268 * Brigham Exploration Co. 261,471 2,444,754 * Brightpoint, Inc. 110,887 2,119,051 * BrightStar Information Technology Group, Inc. 53,300 1,066 * Brillian Corp. 23,600 72,688 * Brilliant Digital Entertainment, Inc. 33,400 2,004 *# BriteSmile, Inc. 4,700 32,571 * Broadview Media, Inc. 15,800 101,120 *# BroadVision, Inc. 193,063 444,045 *# Broadwing Corp. 2,100 13,944 * Brooks Automation, Inc. 68,800 1,056,080 * Brookstone, Inc. 170,775 3,125,182 * Brooktrout, Inc. 109,050 1,336,953 Brown Shoe Company, Inc. 129,300 3,687,636 * Bruker BioSciences Corp. 599,291 2,762,732 * Brush Engineered Materials, Inc. 119,300 2,326,350 Bryn Mawr Bank Corp. 5,600 111,552 * BSQUARE Corp. 230 262 * BTU International, Inc. 78,200 233,036 * Buca, Inc. 118,651 711,906 * Buckeye Technologies, Inc. 232,390 2,879,312 Buckle, Inc. 101,800 3,135,440 Building Materials Holding Corp. 120,600 4,395,870 * Bull Run Corp. 23,390 8,654 * Bush Industries, Inc. Class A 2,300 195 * Butler International, Inc. 69,690 319,182 C&D Technologies, Inc. 180,000 3,119,400 C&F Financial Corp. 100 3,957 * C-COR, Inc. 269,885 2,415,471 *# C-Phone Corp. 31,800 413 * Cache, Inc. 98,506 1,626,334 Cadmus Communications Corp. 67,100 931,415 * Cagle's, Inc. Class A 94,800 1,043,748 * CalAmp Corp. 135,684 1,298,496 Calavo Growers, Inc. 34,730 406,688 Calgon Carbon Corp. 242,200 2,264,570 * California Coastal Communities, Inc. 63,600 1,417,644 California First National Bancorp 79,100 1,047,996 * California Micro Devices Corp. 137,200 1,193,640 * California Pizza Kitchen, Inc. 120,332 3,014,317 California Water Service Group 113,747 3,977,733 * Caliper Life Sciences, Inc. 199,950 1,397,650 * Callidus Software 125,200 568,408 * Callon Petroleum Co. 121,600 1,703,616 * Calloway's Nursery, Inc. 1,700 595 # Cal-Maine Foods, Inc. 164,000 2,169,392 * Calton, Inc. 29,050 10,458 * CAM Commerce Solutions, Inc. 11,300 182,145 Cambrex Corp. 162,200 4,022,560 Camco Financial Corp. 17,471 266,083 * CancerVax Corp. 189,300 1,792,671 * Candela Corp. 180,702 1,767,266 * Candie's, Inc. 171,121 797,424 * Candlewood Hotel Co., Inc. 3,100 178 * Cannon Express, Inc. 50 0 * Cantel Medical Corp. 69,756 2,089,890 * Canterbury Consulting Group, Inc. 8,428 3,632 * Canyon Resources Corp. 176,800 213,928 Capital Corp. of the West 12,533 645,324 * Capital Crossing Bank 86,700 $ 2,315,757 * Capital Pacific Holdings, Inc. 87,000 345,825 * Capital Senior Living Corp. 204,900 1,063,431 Capitol Bancorp, Ltd. 40,500 1,405,350 * Caprius, Inc. 2,010 301 * Capstone Turbine Corp. 36,037 67,389 * Captaris, Inc. 192,700 946,157 * Captiva Software Corp. 44,400 434,232 * Caraco Pharmaceutical Laboratories, Ltd. 78,000 569,400 * Caraustar Industries, Inc. 175,624 2,825,790 * Cardiac Sciences, Inc. 443,881 941,028 * Cardima, Inc. 1,300 481 * Cardinal Financial Corp. 12,477 125,020 * CardioDynamics International Corp. 301,905 1,379,706 * CardioGenesis Corp. 171,900 70,479 *# Cardiotech International, Inc. 117,160 329,220 * CareCentric, Inc. 33,815 32,124 * Career Blazers, Inc. Trust Units 4,360 0 Carmike Cinemas, Inc. 75,333 2,820,468 * Carreker Corp. 131,700 1,111,548 * Carriage Services, Inc. 110,700 556,821 * Carrier Access Corp. 214,073 1,933,079 * Carrington Laboratories, Inc. 73,900 340,679 * Carrizo Oil & Gas, Inc. 83,000 802,610 Cascade Corp. 116,650 3,743,298 Cascade Natural Gas Corp. 98,400 2,103,792 * Casella Waste Systems, Inc. Class A 146,771 2,217,710 Cash America International, Inc. 153,040 3,925,476 * Castle (A.M.) & Co. 74,225 944,142 Castle Energy Corp. 54,800 690,480 * Casual Male Retail Group, Inc. 215,530 931,090 * Catalina Lighting, Inc. 11,080 99,720 * Catalyst Semiconductor, Inc. 114,321 681,353 * Catalytica Energy Systems, Inc. 58,500 122,850 * Catapult Communications Corp. 90,798 2,464,258 Cato Corp. Class A 121,500 3,241,620 * Cavalier Homes, Inc. 148,500 821,205 # Cavalry Bancorp, Inc. 300 6,387 * Cavco Industries, Inc. 11,506 463,692 CCA Industries, Inc. 40,730 448,030 * CCC Information Services Group, Inc. 46,127 964,054 * CD Warehouse, Inc. 5,600 10 * CD&L, Inc. 13,100 22,008 CDI Corp. 116,170 2,244,404 * Celadon Group, Inc. 74,800 1,600,720 * Celebrity, Inc. Escrow Shares 13,500 0 Celeritek, Inc. 78,857 284,674 * Cell Genesys, Inc. 256,505 1,882,747 *# Cell Therapeutics, Inc. 313,934 2,348,226 * Cellegy Pharmaceuticals, Inc. 178,700 884,565 * CellStar Corp. 117,884 430,277 Center Bancorp, Inc. 5,250 67,620 Center Financial Corp. 14,656 301,767 * Centillium Communications, Inc. 227,649 573,675 * Centra Software, Inc. 144,282 313,063 Central Bancorp, Inc. 10,000 309,750 * Central European Distribution Corp. 101,406 2,665,964 * Central Garden & Pet Co. 103,722 4,014,041 Central Pacific Financial Corp. 1 33
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SHARES VALUE+ ------ ------ Central Parking Corp. 156,532 $ 2,376,156 Central Vermont Public Service Corp. 140,100 3,163,458 Centrue Financial Corp 3,000 83,250 Century Bancorp, Inc. Class A 7,600 236,056 * Century Business Services, Inc. 253,896 1,091,753 *# Cenuco, Inc. 76,400 556,192 * Cenveo, Inc. 296,800 946,792 * Cepheid, Inc. 261,395 2,407,448 * Ceradyne, Inc. 119,856 5,920,886 CERBCO, Inc. Class A 3,500 33,390 * Ceres Group, Inc. 162,293 811,465 * Cerus Corp. 137,431 358,695 * CEVA, Inc. 26,900 215,738 CFS Bancorp, Inc. 67,181 925,754 * Chad Therapeutics, Inc. 9,300 42,129 * Champion Enterprises, Inc. 345,100 3,961,748 Champion Industries, Inc. 92,800 348,000 * Championship Auto Racing Teams, Inc. 29,900 4,216 * Champps Entertainment, Inc. 109,710 871,097 * Channell Commercial Corp. 21,100 158,250 * Charles and Colvard, Ltd. 83,600 797,460 * Charles River Associates, Inc. 48,100 2,075,034 * Charlotte Russe Holding, Inc. 134,200 1,563,430 *# Chart Industries, Inc. 151 7,097 Chase Corp. 24,200 378,730 * Chattem, Inc. 176,400 6,389,208 * Chaus (Bernard), Inc. 1,760 1,584 * Checkers Drive-In Restaurants, Inc. 69,400 859,172 * Checkpoint Systems, Inc. 223,900 4,133,194 Chemed Corp. 66,700 4,138,068 *# Cheniere Energy, Inc. 115,200 6,550,272 Cherokee, Inc. 20,200 593,880 Chesapeake Corp. 120,922 3,263,685 Chesapeake Utilities Corp. 53,375 1,382,412 Chester Valley Bancorp, Inc. 7,911 169,129 Chicago Rivet & Machine Co. 20,000 538,400 * chinadotcom Corp. Class A 6,093 26,870 * Cholestech Corp. 114,500 916,000 * Chordiant Software, Inc. 625,045 1,281,342 Christopher & Banks Corp. 215,300 4,247,869 *# ChromaVision Medical Systems, Inc. 44,200 75,140 * Chromcraft Revington, Inc. 100,600 1,258,506 * Chronimed, Inc. 117,900 776,961 Churchill Downs, Inc. 17,700 822,165 * Ciber, Inc. 469,764 4,382,898 * Ciphergen Biosystems, Inc. 181,776 585,319 * Ciprico, Inc. 49,200 204,180 CIRCOR International, Inc. 94,711 1,974,724 * Cirrus Logic, Inc. 529,272 3,138,583 Citizens South Banking Corp. 41,974 549,859 *# Citizens, Inc. 231,576 1,493,666 City Holding Co. 104,328 3,851,790 * CKE Restaurants, Inc. 290,500 3,634,155 * Clark, Inc. 115,600 1,924,740 * Clarus Corp. 138,650 1,202,789 * Clayton Williams Energy, Inc. 67,800 1,551,942 * Clean Harbors, Inc. 97,800 1,225,434 * ClearOne Communications, Inc. 32,300 136,467 # Cleveland-Cliffs, Inc. 41,260 3,998,094 Clinical Data, Inc. 5,890 $ 74,980 * Closure Medical Corp. 89,692 1,595,621 * CNA Surety Corp. 74,080 967,485 *# CNE Group, Inc. 2,900 1,160 CNS, Inc. 140,800 1,699,456 Coachmen Industries, Inc. 97,200 1,562,004 * Coast Dental Services, Inc. 19,133 66,965 Coast Distribution System 40,600 276,080 * Coastcast Corp. 75,000 171,750 CoBiz, Inc. 29,475 648,450 * Cobra Electronics Corp. 114,900 930,690 *# Coeur d'Alene Mines Corp. 157,700 723,843 * Cogent Communications Group, Inc. 11,029 8,713 * Cognitronics Corp. 82,975 263,860 Cohu, Inc. 134,479 2,253,868 * Coinstar, Inc. 135,100 3,515,302 * Coldwater Creek, Inc. 198,787 5,208,219 * Collagenex Pharmaceuticals, Inc. 90,500 515,850 * Collins & Aikman Corp. 419,420 1,488,941 Collins Industries, Inc. 65,725 386,463 Columbia Bancorp 1,700 61,625 Columbia Banking System, Inc. 135,528 3,441,056 * Columbia Laboratories, Inc. 246,950 479,083 * Columbus McKinnon Corp. 116,300 919,933 * Comarco, Inc. 63,800 516,780 * Comdial Corp. 7,312 8,409 * Comforce Corp. 108,466 251,641 * Comfort Systems USA, Inc. 336,100 2,419,920 *# Commerce One, Inc. 55,800 9,067 Commercial Bancshares, Inc. 33,803 1,276,063 Commercial National Financial Corp. 1,600 37,600 * Commonwealth Industries, Inc. 143,900 1,883,651 Communications Systems, Inc. 118,400 1,382,912 Community Bank System, Inc. 85,000 2,354,500 Community Banks, Inc. 714 20,934 Community Bankshares, Inc. 2,730 49,768 Community Trust Bancorp, Inc. 59,037 1,976,559 Community West Bancshares 23,200 244,760 * Competitive Technologies, Inc. 102,100 709,595 * Compex Technologies, Inc. 100,400 491,960 * Compudyne Corp. 49,171 349,163 * Computer Horizons Corp. 298,100 1,132,780 * Computer Network Technology Corp. 162,500 926,250 Computer Programs & Systems, Inc. 64,993 1,403,849 * Computer Task Group, Inc. 174,600 635,544 * CompX International, Inc. 9,500 152,475 * Comstock Resources, Inc. 200,900 4,361,539 * Comtech Telecommunications Corp. 101,225 3,186,563 # Concepts Direct, Inc. 3,400 1,904 * Conceptus, Inc. 158,473 1,415,164 * Concord Camera Corp. 156,186 412,331 * Concord Communications, Inc. 113,681 1,056,096 * Concur Technologies, Inc. 207,180 1,947,492 * Concurrent Computer Corp. 331,400 629,660 * Congoleum Corp. Class A 35,500 201,640 * Conmed Corp. 233 6,750 Connecticut Water Services, Inc. 93,287 2,596,177 * Conrad Industries, Inc. 18,700 34,595 * Consolidated Graphics, Inc. 84,700 4,006,310 Consolidated-Tokoma Land Co. 28,400 1,139,408 * Constar International, Inc. 81,600 489,600
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SHARES VALUE+ ------ ------ * Consumer Portfolio Services, Inc. 5,000 $ 21,700 * Continental Airlines, Inc. 187,700 2,090,978 * Continental Materials Corp. 14,900 396,340 * Convera Corp. 214,314 998,703 * Convergence Systems, Inc. 13 585 Cooperative Bankshares, Inc. 5,500 151,800 *# Copper Mountain Networks, Inc. 40,260 126,376 * Corautus Genetics, Inc. 3,614 19,696 * Core Molding Technologies, Inc. 39,597 105,724 * Corillian Corp. 240,660 1,398,235 * Corio, Inc. 329,923 547,672 *# Corixa Corp. 492,659 1,847,471 * Cornell Companies, Inc. 91,400 1,339,010 * Correctional Services Corp. 114,441 318,146 * Corrpro Companies, Inc. 42,775 49,191 * Corvel Corp. 18,600 589,992 * Cosine Communications, Inc. 60,879 186,899 * Cost-U-Less, Inc. 13,600 80,376 Cotton States Life Insurance Co. 22,500 452,250 Courier Corp. 94,212 4,765,243 * Covansys Corp. 145,000 1,951,700 * Covenant Transport, Inc. Class A 91,000 1,749,020 * Cover-All Technologies, Inc. 9,432 3,490 * Covista Communications, Inc. 21,500 42,570 CPAC, Inc. 51,978 268,726 * CPI Aerostructures, Inc. 32,933 339,210 CPI Corp. 39,200 554,680 Craftmade International, Inc. 61,350 1,085,895 Crawford & Co. Class A 94,400 708,000 Crawford & Co. Class B 132,500 1,040,125 * Cray, Inc. 331,088 1,162,119 * Credence Systems Corp. 39,967 305,348 * Credit Acceptance Corp. 94,495 2,338,751 *# Critical Path, Inc. 40,410 44,451 * Criticare Systems, Inc. 70,400 187,264 * Cross (A.T.) Co. Class A 130,300 620,228 * Cross Country Healthcare, Inc. 193,281 3,430,738 * Crossroads Systems, Inc. 132,178 178,440 * Crown Andersen, Inc. 11,600 16,240 * Crown Financial Group, Inc. 41,100 13,563 * Crown Media Holdings, Inc. 18 159 * Crown Resources Corp. 13,540 29,111 *# CryoLife, Inc. 148,450 1,056,964 * CSK Auto Corp. 258,600 3,966,924 * CSP, Inc. 78,328 689,286 CSS Industries, Inc. 32,250 1,036,192 CT Communications, Inc. 111,674 1,477,447 * CTI Molecular Imaging, Inc. 92,000 1,230,960 CTS Corp. 224,319 2,996,902 Cubic Corp. 160,350 4,088,925 * Cubist Pharmaceuticals, Inc. 253,831 3,045,972 * Culp, Inc. 152,480 917,930 * CuraGen Corp. 313,564 1,890,791 * Curative Health Services, Inc. 77,900 444,809 * Curis, Inc. 285,322 1,155,554 Cutter & Buck, Inc. 111,600 1,660,608 * CV Therapeutics, Inc. 195,828 4,245,551 * Cyberguard Corp. 176,349 1,088,073 *# Cyberonics, Inc. 150,260 2,790,328 * Cyberoptics Corp. 58,800 826,728 * Cybersource Corp. 517,800 3,655,668 *# Cybex International, Inc. 75,950 $ 330,382 * Cycle Country Accessories Corp. 31,000 150,970 *# Cygnus, Inc. 600 63 * Cypress Bioscience, Inc. 179,896 2,095,788 * Cytogen Corp. 97,745 962,788 *# CytRx Corp. 6,400 7,744 D&E Communications, Inc. 55,000 720,500 D&K Healthcare Resources, Inc. 103,900 754,314 * Daily Journal Corp. 200 7,158 * Daktronics, Inc. 167,200 4,333,824 *# Dan River, Inc. Class A 214,700 9,447 * Danielson Holding Corp. 218,867 1,788,150 * Darling International, Inc. 506,900 2,088,428 * Data I/O Corp. 77,000 256,410 * Data Systems & Software, Inc. 86,500 95,150 * Datalink Corp. 51,500 97,798 * Dataram Corp. 83,150 496,405 Datascope Corp. 92,363 3,702,833 * Datastream Systems, Inc. 126,600 746,940 * Datatec Systems, Inc. 6,100 34 *# DataTRAK International, Inc. 28,900 329,460 * Datawatch Corp. 18,488 71,179 * Dave & Busters, Inc. 121,200 2,266,440 * Dawson Geophysical Co. 41,200 962,020 * Daxor Corp. 46,300 976,930 Deb Shops, Inc. 100,300 2,472,395 *# Deckers Outdoor Corp. 64,900 2,824,448 Decorator Industries, Inc. 20,587 162,226 * Del Global Technologies Corp. 78,521 201,014 * Del Laboratories, Inc. 167,457 5,735,402 * Delphax Technologies, Inc. 52,900 216,308 Delta Apparel, Inc. 38,640 882,924 Delta Financial Corp. 125,700 1,269,570 Delta Natural Gas Co., Inc. 18,800 484,100 * Delta Petroleum Corp. 30,700 482,911 * Delta Woodside Industries, Inc. 51,000 33,660 Deltic Timber Corp. 76,700 3,466,840 * Denali, Inc. 33,100 3,310 *# Dendreon Corp. 252,388 2,475,926 * Dendrite International, Inc. 246,943 4,215,317 * Department 56, Inc. 115,950 1,963,033 * DepoMed, Inc. 304,150 1,417,339 * Detrex Corp. 10,200 18,870 * Devcon International Corp. 29,000 449,500 *# DHB Industries, Inc. 249,000 4,631,400 * DiamondCluster International, Inc. 211,634 2,588,284 * Diedrich Coffee, Inc. 28,025 125,272 * Digene Corp. 125,103 3,025,366 * Digi International, Inc. 149,333 2,298,235 * Digimarc Corp. 116,994 1,077,515 *# Digital Angel Corp. 201,600 1,288,224 * Digital Generation Systems, Inc. 314,100 424,035 * Digital Impact, Inc. 167,200 195,624 * Digital Insight Corp. 222,540 3,632,965 * Digital Lightwave, Inc. 59,200 81,104 * Digitas, Inc. 389,590 3,198,534 Dime Community Bancshares 196,558 3,606,839 DIMON, Inc. 284,500 1,852,095 * Diodes, Inc. 131,250 3,264,187 * Discovery Laboratories, Inc. 4,600 32,108
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SHARES VALUE+ ------ ------ * Discovery Partners International, Inc. 151,592 $ 697,323 * Display Technologies, Inc. 44,255 66 * Distributed Energy Systems Corp. 196,361 526,247 * Ditech Communications Corp. 214,010 3,372,798 * Diversa Corp. 272,334 2,306,669 * Diversified Corporate Resources, Inc. 1,200 1,037 * Dixie Group, Inc. 98,600 1,580,558 * Dixon Ticonderoga Co. 26,750 163,442 * DJ Orthopedics, Inc. 137,000 2,763,290 * DLB Oil & Gas, Inc. 7,600 0 * DocuCorp International, Inc. 103,300 922,469 * Document Sciences Corp. 15,400 81,928 * Dollar Thrifty Automotive Group, Inc. 155,500 4,181,395 * Dominion Homes, Inc. 44,100 911,106 Donegal Group, Inc. Class A 38,280 823,020 Donegal Group, Inc. Class B 19,140 378,015 * Dot Hill Systems Corp. 270,346 1,784,284 * DOV Pharmaceutical, Inc. 134,023 2,480,766 Dover Downs Gaming & Entertainment, Inc. 3,570 40,305 Dover Motorsports, Inc. 90,800 441,288 * DPAC Technologies Corp. 173,030 89,976 * Drew Industries, Inc. 94,000 3,131,140 * Dril-Quip, Inc. 107,800 2,573,186 * Driver-Harris Co. 9,898 1 * drugstore.com, Inc. 473,436 1,538,667 * DSP Group, Inc. 179,416 3,979,447 * DT Industries, Inc. 101,500 254 * Duckwall-ALCO Stores, Inc. 41,000 686,750 * Ducommun, Inc. 93,900 2,380,365 * DuPont Photomasks, Inc. 107,162 2,826,934 * Dura Automotive Systems, Inc. 112,000 1,019,200 * DuraSwitch Industries, Inc. 8,800 18,920 * Duratek, Inc. 124,000 2,853,240 *# Durect Corp. 287,232 643,400 * DUSA Pharmaceuticals, Inc. 106,235 1,409,738 * DVI, Inc. 300 0 * Dyax Corp. 194,680 1,543,812 *# Dynacq Healthcare, Inc. 67,234 363,064 * Dynamex, Inc. 72,000 1,448,640 *# Dynamic Materials Corp. 14,700 224,910 * Dynamics Research Corp. 66,100 1,104,531 * E Com Ventures, Inc. 10,825 128,709 *# E-Loan, Inc. 360,999 974,697 E-Z-EM, Inc. 86,424 1,257,469 * E.piphany, Inc. 384,195 1,736,561 Eastern Co. 33,900 642,066 * EasyLink Services Corp. 27,519 38,802 * Echelon Corp. 242,598 1,834,041 * eCollege.com 134,700 1,582,725 Ecology & Environment, Inc. Class A 13,900 122,320 * Edelbrock Corp. 49,070 814,562 *# EDGAR Online, Inc. 13,000 16,380 * Edge Petroleum Corp. 79,546 1,217,054 * Edgewater Technology, Inc. 70,674 295,417 EDO Corp. 124,000 3,778,280 * Education Lending Group, Inc. 1,200 16,872 Educational Development Corp. 15,400 157,388 EFC Bancorp, Inc. 15,800 405,270 * EFJ, Inc. 9,000 $ 72,720 * El Paso Electric Co. 12,800 229,760 Electro Rent Corp. 134,779 1,911,166 * Electro Scientific Industries, Inc. 76,518 1,485,980 * Electroglas, Inc. 132,400 431,624 * Electronics Boutique Holdings Corp. 63,300 2,465,535 Electro-Sensors, Inc. 3,450 12,420 * Elizabeth Arden, Inc. 174,662 3,982,294 ElkCorp 125,000 3,700,000 * eLoyalty Corp. 10,200 51,306 * ELXSI Corp. 7,100 23,075 * EMAK Worldwide, Inc. 58,100 572,924 * Embarcadero Technologies, Inc. 170,602 1,508,122 * Embrex, Inc. 120,100 1,591,325 EMC Insurance Group, Inc. 85,100 1,847,521 * EMCOR Group, Inc. 92,500 4,275,350 * EMCORE Corp. 212,391 564,960 * Emerging Vision, Inc. 145,200 27,588 * Emeritus Corp. 145,800 1,385,100 * Emerson Radio Corp. 162,578 503,992 * Emisphere Technologies, Inc. 113,547 348,249 # Empire District Electric Co. 160,800 3,651,768 * EMS Technologies, Inc. 115,299 1,809,041 * En Pointe Technologies, Inc. 57,200 163,020 * Encore Capital Grooup, Inc. 126,181 3,164,619 * Encore Medical Corp. 269,873 1,698,851 * Encore Wire Corp. 219,225 2,954,057 * Encysive Pharmaceuticals, Inc. 353,508 3,835,562 * Endeavour International Corp. 78,900 338,481 * Endocardial Solutions, Inc. 124,000 1,409,880 * Endocare, Inc. 71,300 171,476 * Endologix, Inc. 200,008 1,292,052 * Energy Conversion Devices, Inc. 154,467 3,438,435 * Energy Partners, Ltd. 207,700 4,023,149 * Energy West, Inc. 11,211 66,593 EnergySouth, Inc. 76,425 2,200,276 * Enesco Group, Inc. 122,400 903,312 * ENGlobal Corp. 3,900 5,772 *# Enlighten Software Solutions, Inc. 12,300 15 Ennis, Inc. 222,300 4,412,655 * Enpath Medical, Inc. 11,807 112,875 * EnPro Industries, Inc. 127,700 3,670,098 * Entegris, Inc. 105,023 1,027,125 * Enterrasys Networks, Inc. 56,900 99,575 * Entravision Communications Corp. 46,105 378,061 *# Entremed, Inc. 200,290 478,693 * Entrust, Inc. 388,820 1,450,299 * Environmental Elements Corp. 200 20 * Environmental Technologies Corp. 39,700 159 * Environmental Tectonics Corp. 59,500 386,750 * Enzo Biochem, Inc. 201,863 3,885,863 *# EP Medsystems, Inc. 193,300 663,019 * Epicor Software Corp. 397,428 6,267,440 *# Epimmune, Inc. 66,570 89,869 * EPIQ Systems, Inc. 110,730 1,659,843 * EPIX Pharmaceuticals, Inc. 144,946 2,551,050 * ePlus, Inc. 52,080 657,770 * ePresence, Inc. Escrow Shares 191,500 24,895 *# Equimed Inc. Nevis 6,533 1 * Equinix, Inc. 103,963 4,042,081 * eResearch Technology, Inc. 15,100 222,574
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SHARES VALUE+ ------ ------ * Ergo Science Corp. 36,350 $ 81,787 ESB Financial Corp. 94,531 1,333,832 * eSpeed, Inc. 186,176 2,083,309 Espey Manufacturing & Electronics Corp. 20,500 534,025 * ESS Technology, Inc. 236,593 1,667,981 * Esterline Technologies Corp. 113,700 4,047,720 * Euronet Worldwide, Inc. 183,144 4,505,342 * European Micro Holdings, Inc. 5,900 177 * Evans & Sutherland Computer Corp. 99,800 659,678 * Evans Systems, Inc. 2,200 93 * Evercel, Inc. 5,866 5,426 *# Evergreen Solar, Inc. 260,200 881,818 * Everlast Worldwide, Inc. 5,600 20,048 * Evolving Systems, Inc. 71,600 255,605 * Exabyte Corp. 1,800 558 * Exact Sciences Corp. 164,292 568,450 * Exactech, Inc. 76,400 1,439,376 * Exar Corp. 159,255 2,226,385 * Excel Technology, Inc. 81,922 2,129,972 * Exelixis, Inc. 450,385 4,039,953 * Exponent, Inc. 69,800 1,939,742 * ExpressJet Holdings, Inc. 337,100 3,930,586 * Extended Systems, Inc. 11,600 29,580 * Extreme Networks, Inc. 201,132 1,373,732 * EXX, Inc. Class A 1,900 2,907 * EXX, Inc. Class B 100 170 * EZCORP, Inc. Class A Non-Voting 91,900 982,411 * Ezenia! Inc. 2,900 2,958 * Fab Industries, Inc. 40,200 159,996 *# Factory 2-U Stores, Inc. 79,293 872 * Fairchild Corp. Class A 148,529 445,587 * Falcon Products, Inc. 77,225 67,379 *# FalconStor Software, Inc. 294,318 2,304,510 * Famous Dave's of America, Inc. 72,230 803,198 * Fargo Electronics 99,400 1,473,108 * Faro Technologies, Inc. 86,675 2,357,560 * Featherlite, Inc. 52,400 210,124 Fedders Corp. 164,882 494,646 * Federal Agriculture Mortgage Corporation 700 15,862 Federal Screw Works 33,750 1,161,337 * FEI Co. 32,070 685,977 * Female Health Co. 44,000 81,400 FFLC Bancorp, Inc. 32,700 1,067,001 * Fibermark, Inc. 1,325 21 * Fiberstars, Inc. 43,100 387,900 Fidelity Bancorp, Inc. 587 13,783 Fidelity Bankshares, Inc. 93,847 3,850,542 * Fidelity Federal Bancorp 21,340 37,558 Fidelity Southern Corp. 82,500 1,495,725 * Financial Federal Corp. 103,900 3,995,994 * Financial Industries Corp. 9,148 72,727 * FindWhat.com 187,197 3,609,158 * Finisar Corp. 28,600 52,338 * Finishmaster, Inc. 64,800 838,512 * Finlay Enterprises, Inc. 79,800 1,549,716 * Firebrand Financial Group, Inc. 75,400 3,016 * First Acceptance Corp. 1,500 13,050 First Albany Companies, Inc. 35,519 326,420 * First Aviation Services, Inc. 1,700 6,817 First Bancorp 51,021 $ 1,444,915 * First Cash Financial Services, Inc. 120,900 3,148,236 First Charter Corp. 87,456 2,395,420 First Community Bancorp 97,804 4,109,724 First Community Bancshares, Inc. 45,602 1,624,343 * First Consulting Group, Inc. 150,534 823,421 First Defiance Financial Corp. 68,292 1,868,469 First Federal Bancshares of Arkansas, Inc. 46,800 1,018,836 First Financial Holdings, Inc. 122,500 4,010,650 First Franklin Corp. 600 12,150 * First Horizon Pharmaceutical Corp. 192,276 3,760,919 First Indiana Corp. 123,300 2,856,861 * First Investors Financial Services Group, Inc. 43,200 193,536 First Keystone Financial, Inc. 16,500 373,725 First M&F Corp. 3,000 102,000 * First Mariner Bancorp 16,400 281,916 First Merchants Corp. 111,286 2,999,158 First Midwest Financial, Inc. 16,500 414,315 First Mutual Bancshares, Inc. 29,471 732,207 First Oak Brook Bancshares, Inc. 30,000 984,000 First PacTrust Bancorp, Inc. 13,213 344,859 First Place Financial Corp. 84,947 1,911,307 First Republic Bank 88,400 4,542,876 First State Bancorporation 47,463 1,783,185 First United Corp. 17,500 356,125 * First Virtual Communications, Inc. 9,921 1,637 Firstbank Corp. 6,615 194,805 FirstBank NW Corp. 16,097 466,411 * FirstCity Financial Corp. 55,543 497,110 *# Firstwave Technologies, Inc. 19,200 39,168 * Fischer Imaging Corp. 60,600 221,190 * Five Star Quality Care, Inc. 51,850 351,543 Flag Financial Corp. 35,200 501,600 Flamemaster Corp. 27 972 * Flanders Corp. 251,600 2,510,968 Flanigan's Enterprises, Inc. 20,600 136,990 * Fleetwood Enterprises, Inc. 189,700 2,570,435 Flexsteel Industries, Inc. 60,900 1,066,359 Florida Public Utilities Co. 22,800 420,432 * Flow International Corp. 151,900 420,763 Flushing Financial Corp. 175,312 3,725,380 *# FLYi, Inc. 158,993 298,907 FMS Financial Corp. 8,400 150,738 FNB Corp. 10,700 209,185 FNB Financial Services Corp. 8,500 178,500 * Foamex International, Inc. 151,509 616,642 *# FOCUS Enhancements, Inc. 28,188 32,134 * Foodarama Supermarkets, Inc. 20,700 838,350 Foothill Independent Bancorp 43,014 992,333 *# Footstar, Inc. 83,700 318,060 * Forgent Networks, Inc. 263,300 447,610 * Forrester Research, Inc. 138,081 2,253,482 * Foster (L.B.) Co. Class A 120,700 1,062,160 * Fountain Powerboat Industries, Inc. 35,700 187,425 * FPIC Insurance Group, Inc. 63,000 2,080,890 Frankfort First Bancorp, Inc. 5,750 140,127 * Frankfort Tower Industries, Inc. 133,300 180 * Franklin Covey Co. 181,100 360,389 * Franklin Electronic Publishers, Inc. 81,300 357,720
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SHARES VALUE+ ------ ------ # Fred's, Inc. 5,300 $ 91,849 Frequency Electronics, Inc. 89,100 1,332,045 * Fresh Brands, Inc. 59,300 450,680 * Fresh Choice, Inc. 50,000 21,500 Friedman Industries, Inc. 152,403 1,246,657 * Friedmans, Inc. Class A 131,900 222,251 * Friendly Ice Cream Corp. 24,500 219,275 Frisch's Restaurants, Inc. 63,868 1,521,336 * Frontier Airlines, Inc. 271,066 3,179,604 Frontier Oil Corp. 233,300 6,217,445 * Frozen Food Express Industries, Inc. 161,875 1,910,125 * FSI International, Inc. 173,702 781,659 *# FuelCell Energy, Inc. 285,733 2,871,617 *# FX Energy, Inc. 120,900 1,213,836 * G-III Apparel Group, Ltd. 61,470 378,040 *# Gadzooks, Inc. 81,000 131,220 * Gaiam, Inc. 3,551 18,643 * Galaxy Nutritional Foods, Inc. 37,700 67,106 GameTech International, Inc. 70,200 268,936 * Gaming Partners International Corp. 31,800 729,810 *# Gardenburger, Inc. 33,700 3,370 * Gardner Denver Machinery, Inc. 123,112 4,235,053 * Gateway Financial Holdings, Inc. 2,300 35,880 * Gateway Industries, Inc. 11,120 7,951 GB & T Bancshares, Inc. 1,750 44,397 * Gehl Co. 49,800 1,095,102 * Genaera Corp. 178,100 642,941 *# Genaissance Pharmaceuticals, Inc. 178,239 274,488 # Gencorp, Inc. 271,900 4,570,639 * Gene Logic, Inc. 254,260 856,856 * Genelabs Technologies, Inc. 249,325 177,021 * General Binding Corp. 40,700 542,531 * General Cable Corp. 247,200 3,361,920 * General Communications, Inc. Class A 336,945 3,450,317 * General DataComm Industries, Inc. 600 357 * General Employment Enterprises, Inc. 17,700 49,737 * Genesco, Inc. 136,700 4,043,586 * Genesee & Wyoming, Inc. 129,350 3,566,179 * Genesee Corp. Class B 800 1,680 * Genesis HealthCare Corp. 122,003 3,934,597 * Genesis Microchip, Inc. 84,281 1,374,623 * Genta, Inc. 139,500 181,350 * Genus, Inc. 215,200 374,448 * GenVec, Inc. 310,509 602,387 * Gerber Scientific, Inc. 134,600 1,056,610 *# Geron Corp. 287,504 1,998,153 Gevity HR, Inc. 181,100 3,207,281 * Giant Group, Ltd. 28,300 43,865 * Giant Industries, Inc. 78,200 2,189,600 Gibraltar Industries, Inc. 33,900 816,651 * Giga-Tronics, Inc. 49,100 112,930 Glacier Bancorp, Inc. 129,400 4,478,534 * Glacier Water Services, Inc. 24,500 644,350 Glatfelter (P.H.) Co. 276,500 3,962,245 * Glenayre Technologies, Inc. 350,734 641,843 * Global e-Point, Inc. 18,731 57,130 * Global Imaging Systems, Inc. 59,325 2,219,941 * Global Payment Technologies, Inc. 52,900 269,261 *# Global Power Equipment Group, Inc. 289,900 2,519,231 * Globecomm Systems, Inc. 96,000 $ 602,880 * Glowpoint, Inc. 132,239 160,009 *# GoAmerica, Inc. 117 1,431 Gold Banc Corp. 202,734 3,032,901 Golden Enterprises, Inc. 61,900 173,320 * Goodrich Petroleum Corp. 128,400 2,073,660 Goody's Family Clothing, Inc. 164,500 1,602,230 * GoRemote Internet Communications, Inc. 165,000 297,000 Gorman-Rupp Co. 68,250 1,562,925 * Gottschalks, Inc. 129,300 1,163,700 * GP Strategies Corp. 109,400 776,740 Graham Corp. 12,350 162,402 Gray Television, Inc. 75,900 1,138,500 Gray Television, Inc. Class A 41,200 571,444 * Great Atlantic & Pacific Tea Co., Inc. 242,900 1,836,324 Great Southern Bancorp, Inc. 79,400 3,255,400 Greater Communications Bancorp 2,998 44,370 * Green Mountain Coffee, Inc. 59,700 1,431,606 Green Mountain Power Corp. 59,100 1,604,565 * Greenbriar Corp. 3,430 11,473 Greenbrier Companies, Inc. 126,600 3,765,084 Greene County Bancshares, Inc. 3,900 100,113 * Greens Worldwide, Inc. 11,563 208 * Griffin Land & Nurseries, Inc. Class A 23,400 617,760 * Griffon Corp. 211,150 5,295,642 * Group 1 Automotive, Inc. 63,800 1,882,738 * Grubb & Ellis Co. 177,552 798,984 GS Financial Corp. 6,400 122,368 * GSI Commerce, Inc. 255,059 3,859,043 * GSV, Inc. 9,540 2,385 * GTC Biotherapeutics, Inc. 145,853 223,155 * GTSI Corp. 84,700 858,858 Guaranty Bancshares, Inc. 1,600 34,720 Guaranty Federal Bancshares, Inc. 17,100 406,809 * Guess, Inc. 228,900 3,319,050 * Guilford Pharmaceuticals, Inc. 273,643 1,543,347 Gulf Island Fabrication, Inc. 88,600 1,884,522 * Gulfmark Offshore, Inc. 128,600 2,676,166 * Gymboree Corp. 225,300 2,656,287 * Ha-Lo Industries, Inc. 8,600 6 Haggar Corp. 58,500 1,292,850 * Hain Celestial Group, Inc. 73,300 1,424,219 * Halifax Corp. 8,650 48,613 * Hammons (John Q.) Hotels, Inc. Class A 49,400 711,360 * Hampshire Group, Ltd. 12,700 395,922 Hancock Fabrics, Inc. 182,600 1,818,696 Handleman Co. 144,905 3,071,986 * Hanger Orthopedic Group, Inc. 178,800 1,394,640 Hardinge, Inc. 83,500 935,200 Harleysville Group, Inc. 98,542 2,368,950 Harleysville National Corp. 64,460 1,815,194 * Harmonic, Inc. 448,555 3,485,272 * Harolds Stores, Inc. 41,537 54,413 * Harris Interactive, Inc. 381,243 2,531,454 * Hartmarx Corp. 295,600 2,385,492 * Harvard Bioscience, Inc. 193,935 769,922 * Harvest Natural Resources, Inc. 487,800 8,902,350 * Hastings Entertainment, Inc. 96,000 784,320
185
SHARES VALUE+ ------ ------ * Hastings Manufacturing Co. 13,700 $ 23,427 * Hauppauge Digital, Inc. 83,200 456,685 Haverty Furniture Co., Inc. 40,000 806,000 Haverty Furniture Co., Inc. Class A 12,000 237,600 * Hawaiian Holdings, Inc. 588,481 3,683,891 * Hawk Corp. 64,400 544,180 Hawkins, Inc. 92,485 1,100,572 *# HealthAxis, Inc. 5,710 16,451 Healthcare Services Group, Inc. 157,400 3,264,476 * HealthExtras, Inc. 244,614 3,906,486 * HealthStream, Inc. 14,400 38,736 * HealthTronics Surgical Services, Inc. 190,405 1,422,325 Heartland Financial USA, Inc. 8,092 178,590 * Hecla Mining Co. 79,500 539,805 Hector Communications Corp. 24,700 523,640 * HEI, Inc. 24,700 60,268 Heico Corp. 69,600 1,489,440 Heico Corp. Class A 51,685 848,151 * Heidrick & Struggles International, Inc. 117,470 4,040,968 Helix Technology Corp. 164,522 2,479,347 *# Hemispherx Biopharma, Inc. 262,700 412,439 * Heritage Commerce Corp. 8,600 168,216 Heritage Financial Corp. 83,700 1,817,127 * Herley Industries, Inc. 107,850 2,220,632 * Hexcel Corp. 241,600 3,684,400 HF Financial Corp. 29,920 554,268 *# Hi-Shear Technology Corp. 45,350 249,879 * Hi-Tech Pharmacal, Inc. 57,150 934,403 * Hibbett Sporting Goods, Inc. 157,612 3,904,049 Hickory Tech Corp. 12,800 136,064 * Hines Horticulture, Inc. 195,700 753,445 Hingham Institution for Savings 5,350 228,713 Hirsch International Corp. Class A 4,550 5,233 HMN Financial, Inc. 33,000 1,054,680 * HMS Holdings Corp. 167,500 1,175,850 * Hoenig Group Escrow Shares 61,000 14,030 * Hollis-Eden Pharmaceuticals, Inc. 121,392 1,230,915 Holly Corp. 199,700 5,625,549 *# Hollywood Entertainment Corp. 90,998 1,154,765 * Hollywood Media Corp. 174,754 784,645 * Hologic, Inc. 191,700 4,790,583 Home Federal Bancorp 37,400 910,690 * Home Products International, Inc. 64,400 143,612 * HomeStore, Inc. 165,441 430,147 Hooper Holmes, Inc. 395,600 2,076,900 HopFed Bancorp, Inc. 4,500 77,130 Horace Mann Educators Corp. 23,400 444,600 Horizon Financial Corp. 84,960 1,742,530 * Horizon Health Corp. 47,775 1,146,122 *# Horizon Offshore, Inc. 176,509 61,778 * Hub Group, Inc. Class A 52,900 2,301,150 Hudson River Bancorp, Inc. 157,804 3,195,531 * Hudson Technologies, Inc. 32,100 25,680 * Huffy Corp. 96,300 19,501 * Hurco Companies, Inc. 48,800 781,288 *# Hutchinson Technology, Inc. 60,698 1,989,073 * Huttig Building Products, Inc. 18,200 157,066 * Hypercom Corp. 322,900 1,963,232 *# HyperFeed Technologies, Inc. 10,730 29,508 * I-Flow Corp. 132,940 2,729,258 * I-many, Inc. 175,900 $ 237,465 *# I-Sector Corp. 32,000 233,600 *# I-Trax, Inc. 128,200 169,224 IBERIABANK Corp. 55,800 3,604,680 * Ibis Technology Corp. 63,213 160,561 *# iCAD, Inc. 37,500 180,000 * ICO, Inc. 165,818 502,429 * ICT Group, Inc. 91,700 784,035 *# ICU Medical, Inc. 102,525 2,557,999 * Identix, Inc. 520,967 4,131,268 * iGATE Capital Corp. 346,700 1,386,800 * IGI, Inc. 16,400 19,024 * Igo Escrow Share 11,200 0 * II-VI, Inc. 114,052 4,921,344 * Illumina, Inc. 234,128 1,779,373 # ILX Resorts, Inc. 15,900 184,758 * Image Entertainment, Inc. 172,400 1,046,468 *# ImageWare Systems, Inc. 7,700 22,484 * IMCO Recycling, Inc. 133,800 2,162,208 *# Immersion Corp. 144,703 775,608 *# Immtech International, Inc. 68,600 961,086 * Immucor, Inc. 221,025 7,105,954 * ImmunoGen, Inc. 252,137 1,971,711 * Immunomedics, Inc. 340,614 957,125 * IMPAC Medical Systems, Inc. 40,800 683,400 * Impath, Inc. 70,200 315,900 * IMPCO Technologies, Inc. 117,200 778,208 *# Imperial Sugar Co. 74,200 0 * Imperial Sugar Co. 49,017 960,243 *# Implant Sciences Corp. 43,300 467,207 * Impreso, Inc. 31,500 80,609 * Incyte Corp. 399,072 4,098,469 Independence Holding Co. 30,924 559,415 Independent Bank Corp. MA 129,900 4,489,344 Independent Bank Corp. MI 194,831 5,864,413 * Indevus Pharmaceuticals, Inc. 289,343 1,999,360 * Index Development Partners, Inc. 6,700 4,891 * Indus International, Inc. 159,700 303,430 * Industrial Distribution Group, Inc. 81,400 670,003 * INEI Corp. 800 424 Infinity Property & Casualty Corp. 118,771 4,394,527 *# Infinity, Inc. 57,352 364,701 *# Infocrossing, Inc. 116,800 1,962,240 * InFocus Corp. 240,946 1,614,338 * Informatica Corp. 231,219 1,803,508 * Information Architects Corp. 13,040 1,565 * Inforte Corp. 82,450 557,362 * Infosonics Corp. 9,400 31,396 * infoUSA, Inc. 340,398 3,747,782 Ingles Market, Inc. Class A 71,683 916,826 * InKine Pharmaceutical Co., Inc. 9,500 49,733 * Innodata Isogen, Inc. 138,326 964,132 * Innotrac Corp. 156,400 1,321,580 * Innovative Clinical Solutions, Ltd. 1,310 7 * Innovative Gaming Corp. 400 0 * Innovative Solutions & Support, Inc. 23,900 731,579 * Innovex, Inc. 130,800 652,692 * Input/Output, Inc. 336,700 2,952,859 * Insight Communications Co., Inc. 263,100 2,228,457 * Insightful Corp. 40,100 109,874 * Insignia Systems, Inc. 58,650 72,140
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SHARES VALUE+ ------ ------ *# Insite Vision, Inc. 179,500 $ 118,470 * Insituform Technologies, Inc. Class A 166,460 3,885,176 *# Insmed, Inc. 202,882 318,525 * Inspire Pharmaceuticals, Inc. 263,104 4,712,193 * Insurance Auto Auctions, Inc. 104,800 2,325,512 * InsWeb Corp. 12,966 32,026 Integra Bank Corp. 107,446 2,458,364 Integral Systems, Inc. 118,700 2,372,813 * Integral Vision, Inc. 21,100 30,595 * IntegraMed America, Inc. 19,600 137,396 *# Integrated Biopharma, Inc. 66,500 472,815 * Integrated Electrical Services, Inc. 278,800 841,976 * Integrated Information Systems, Inc. 3,320 432 * Integrated Silicon Solution, Inc. 218,231 1,671,649 *# Intelli-Check, Inc. 63,700 257,985 * Intellidata Technologies Corp. 132,835 51,806 * Intelligent Systems Corp. 38,100 87,630 * Intelligroup, Inc. 116,800 158,848 *# Intellisync Corp. 318,714 573,685 Inter Parfums, Inc. 168,600 2,820,678 * Interactive Intelligence, Inc. 90,006 391,526 Interchange Financial Services Corp. 74,265 1,982,876 * Interep National Radio Sales, Inc. 1,300 1,040 * Interface, Inc. Class A 276,468 2,737,033 * Interferon Scientific, Inc. 13,480 438 * Interland, Inc. 101,900 319,966 * Interlink Electronics, Inc. 82,000 735,540 * Intermagnetics General Corp. 229,372 6,759,593 Intermet Corp. 220,200 28,626 * InterMune, Inc. 204,289 2,535,226 International Aluminum Corp. 18,500 608,650 * International Microcomputer Software, Inc. 4,200 4,326 * International Shipholding Corp. 51,200 767,488 * Internet Commerce Corp. 13,900 18,765 *# Interpharm Holdings, Inc. 119,800 365,390 * Interphase Corp. 62,700 438,900 Interpool, Inc. 112,600 2,404,010 # Interstate Bakeries Corp. 238,400 1,376,760 * Interstate Hotels & Resorts, Inc. 205,150 974,463 Inter-Tel, Inc. 146,894 4,160,038 * Intervoice, Inc. 224,338 2,916,394 * Interwoven, Inc. 244,829 2,374,841 * Intest Corp. 29,200 141,620 * Intevac, Inc. 108,100 762,105 * IntraBiotics Pharmaceuticals, Inc. 50,457 185,177 * Intrado, Inc. 109,900 1,485,848 * Intraware, Inc. 4,500 5,220 *# Introgen Therapeutics, Inc. 165,087 1,152,307 * Intrusion, Inc. 20,825 30,009 * Intuitive Surgical, Inc. 1 36 * Inverness Medical Innovations, Inc. 2,955 71,807 * Investment Technology Group, Inc. 242,800 4,069,328 * INVESTools, Inc. 24,150 69,794 Investors Title Co. 19,800 694,089 * Iomed, Inc. 40,800 97,920 * Iomega Corp. 322,791 1,468,699 * Ion Networks, Inc. 800 207 *# Ionatron, Inc. 133,700 1,283,520 *# Ionics, Inc. 131,200 5,669,152 * iPass, Inc. 162,100 1,052,029 *# IPIX Corp. 2,000 $ 13,000 * Iridex Corp. 56,300 229,141 * IRIS International, Inc. 99,750 822,040 * Isis Pharmaceuticals, Inc. 350,798 1,655,767 *# Island Pacific, Inc. 41,900 16,760 * Isle of Capri Casinos, Inc. 195,300 4,790,709 *# Isolagen, Inc. 211,400 1,604,526 * Ista Pharmaceuticals, Inc. 111,000 1,111,110 * ITLA Capital Corp. 51,800 2,829,834 * Itron, Inc. 154,100 3,336,265 * iVillage, Inc. 216,505 1,027,316 * Ixia 345,984 4,878,374 * IXYS Corp. 204,568 1,900,437 * J & J Snack Foods Corp. 83,200 3,905,408 * J Net Enterprises, Inc. 75,975 201,334 * J. Alexander's Corp. 104,700 738,135 * J. Jill Group, Inc. 168,450 2,909,132 *# j2 Global Communication, Inc. 125,100 4,359,735 * Jaclyn, Inc. 20,027 133,180 * Jaco Electronics, Inc. 63,009 272,831 * Jacuzzi Brands, Inc. 415,922 3,884,711 * Jakks Pacific, Inc. 157,156 2,926,245 * JDA Software Group, Inc. 172,911 2,268,592 * Jennifer Convertibles, Inc. 41,000 127,100 JLG Industries, Inc. 235,800 4,102,920 * JMAR Industries, Inc. 189,000 277,830 * Jo-Ann Stores, Inc. 73,200 2,014,464 * Johnson Outdoors, Inc. 52,800 1,068,144 *# Jos. A. Bank Clothiers, Inc. 102,937 2,707,243 * JPS Industries, Inc. 24,500 91,753 * Jupitermedia Corp. 193,336 3,242,245 * K-Tron International, Inc. 55,500 1,393,050 * K2, Inc. 304,263 5,135,959 * Kadant, Inc. 84,800 1,717,200 Kaman Corp. Class A 136,999 1,643,988 * Katy Industries, Inc. 76,100 410,940 * KBK Capital Corp. 9,600 7,200 * KCS Energy, Inc. 302,000 4,327,660 * Keith Companies, Inc. 18,300 312,015 Keithley Instruments, Inc. 87,200 1,649,824 * Kendle International, Inc. 98,600 817,394 * Kennedy-Wilson, Inc. 76,600 549,605 Kenneth Cole Productions, Inc. Class A 75,900 2,240,568 *# Kensey Nash Corp. 122,700 3,835,602 * Kent Financial Services, Inc. 50,712 138,393 *# Kera Vision, Inc. 44,500 89 Kewaunee Scientific Corp. 19,400 176,346 * Key Technology, Inc. 36,000 343,080 * Key Tronic Corp. 96,300 305,271 * Keynote Systems, Inc. 64,500 821,085 * Keystone Automotive Industries, Inc. 141,700 3,320,031 * Keystone Consolidated Industries, Inc. 11,000 660 * Kforce, Inc. 232,206 2,781,828 *# KFX, Inc. 426,400 6,421,584 Kimball International, Inc. Class B 63,042 939,326 * Kirkland's, Inc. 59,700 573,120 Knape & Vogt Manufacturing Co. 27,588 342,643 * Koala Corp. 83,500 7,933 * Komag, Inc. 171,440 2,871,620
187
SHARES VALUE+ ------ ------ * Kopin Corp. 437,110 $ 1,774,667 * Korn/Ferry International 200,800 3,740,904 * Kosan Biosciences, Inc. 233,902 1,506,329 Koss Corp. 84,000 1,680,000 *# Krause's Furniture, Inc. 23,000 2 * Krispy Kreme Doughnuts, Inc. 20,800 209,456 Kronos Worldwide, Inc. 56 2,570 * Kulicke & Soffa Industries, Inc. 317,805 2,377,181 * KVH Industries, Inc. 91,000 919,100 * La Jolla Pharmceutical Co. 463,700 653,817 * LaBarge, Inc. 211,950 2,543,400 * LabOne, Inc. 106,123 3,199,608 * Labor Ready, Inc. 253,700 4,028,756 * LaBranche & Co., Inc. 136,500 1,093,365 Laclede Group, Inc. 125,400 4,037,880 * LaCrosse Footwear, Inc. 20,400 200,940 * Ladish Co., Inc. 115,500 1,273,965 Lakeland Bancorp, Inc. 11,250 204,188 * Lakeland Industries, Inc. 24,079 473,152 * Lakes Entertainment, Inc. 148,800 2,075,760 Lance, Inc. 240,521 4,483,311 * Lancer Corp. 94,525 1,114,450 Landauer, Inc. 82,000 3,803,160 * Landec Corp. 143,900 903,692 Landry's Restaurants, Inc. 3,400 100,470 * Lannet Co., Inc. 143,370 1,330,474 * Lantronix, Inc. 15,000 14,700 *# Large Scale Biology Corp. 24,560 26,525 *# LaserCard Corp. 104,450 1,038,233 * Laserscope 131,594 4,279,437 * Lattice Semiconductor Corp. 27,500 146,795 Lawson Products, Inc. 4,900 239,365 * Lawson Software, Inc. 72,330 446,999 * Layne Christensen Co. 159,000 3,084,600 * Lazare Kaplan International, Inc. 67,400 667,260 LCA-Vision, Inc. 84,657 2,776,750 * LCC International, Inc. Class A 122,800 625,052 * Learning Care Group, Inc. 31,700 96,685 * Learning Tree International, Inc. 106,395 1,396,966 * LeCroy Corp. 85,200 1,824,132 * Lectec Corp. 25,637 26,278 Leesport Financial Corp. 525 11,981 * Lesco, Inc. 87,900 1,054,800 *# Level 8 Systems, Inc. 26,400 1,901 Levitt Corp. Class A 115,900 2,979,789 *# Lexar Media, Inc. 111,300 878,157 * Lexicon Genetics, Inc. 558,005 3,922,775 Libbey, Inc. 86,600 1,816,002 * Liberate Technologies, Inc. 47,200 106,436 Liberty Homes, Inc. Class A 200 1,005 * Lifecell Corp. 178,228 1,842,878 * Lifecore Biomedical, Inc. 116,800 1,192,528 * Lifeline Systems, Inc. 74,000 2,001,700 Lifetime Hoan Corp. 89,052 1,210,217 * Ligand Pharmaceuticals, Inc. Class B 7,500 84,000 * Lightbridge, Inc. 154,680 725,449 * Lightning Rod Software, Inc. 2,180 2,943 * LightPath Technologies, Inc. 8,650 35,898 Lindsay Manufacturer Co. 74,100 2,085,174 * Lionbridge Technologies, Inc. 60,086 331,074 *# Lipid Sciences, Inc. 155,400 $ 717,948 *# Liquidmetal Technologies, Inc. 106,651 228,766 Lithia Motors, Inc. Class A 94,700 2,403,486 * LMI Aerospace, Inc. 3,700 27,343 # LNB Bancorp, Inc. 1,000 20,030 * Lodgenet Entertainment Corp. 111,061 1,712,561 * Lodgian, Inc. 498 5,284 * Logic Devices, Inc. 45,800 61,372 * LogicVision, Inc. 94,450 195,512 * Logility, Inc. 135,600 560,028 * LoJack Corp. 152,600 1,605,352 Lone Star Steakhouse & Saloon, Inc. 127,334 3,436,745 Longview Fibre Co. 265,600 4,616,128 * LookSmart, Ltd. 157,833 313,930 * LOUD Technologies, Inc. 112,900 220,155 Lowrance Electronics, Inc. 20,439 625,638 LSB Bancshares, Inc. 35,571 599,371 LSB Corp. 16,200 299,052 LSI Industries, Inc. 260,130 2,585,692 * LTX Corp. 124,300 887,502 * Luby's, Inc. 151,550 1,082,067 Lufkin Industries, Inc. 46,100 1,855,986 * Luminex Corp. 193,648 1,744,768 * Lydall, Inc. 141,300 1,579,734 * Lynch Corp. 29,500 413,000 * Lynch Interactive Corp. 59,200 1,802,640 * M&F Worldwide Corp. 168,000 2,192,400 * M-Wave, Inc. 3,000 4,260 M/I Homes, Inc. 126,500 5,719,065 *# Mace Security International, Inc. 26,700 150,855 * Mac-Gray Corp. 116,200 888,930 * Madden (Steven), Ltd. 123,500 2,329,210 * Magic Lantern Group, Inc. 11,700 4,797 * Magma Design Automation, Inc. 217,805 2,953,436 * Magna Entertainment Corp. 15,800 94,800 * Magnetek, Inc. 208,000 1,374,880 * MAI Systems Corp. 2,807 449 Main Street Banks, Inc. 119,515 3,786,235 * Main Street Restaurant Group, Inc. 98,525 142,861 Maine & Maritimes Corp. 29,300 747,150 * MAIR Holdings, Inc. 117,647 1,082,352 * Major Automotive Companies, Inc. 3,350 2,680 * Management Network Group, Inc. 59,799 118,402 * Manatron, Inc. 115 920 * Manchester Technologies, Inc. 83,700 410,130 * Manhattan Associates, Inc. 1,400 34,020 # Mannatech, Inc. 5,200 119,600 *# Manning (Greg) Auctions, Inc. 50,600 580,382 * Manugistic Group, Inc. 430,100 1,182,775 * MAPICS, Inc. 220,279 2,141,112 * Mapinfo Corp. 123,750 1,478,813 Marine Products Corp. 68,670 1,799,154 * MarineMax, Inc. 98,976 2,909,894 * Marisa Christina, Inc. 69,100 85,684 Maritrans, Inc. 47,700 860,985 * MarketWatch, Inc. 155,274 2,816,670 MarkWest Hydrocarbon, Inc. 73,931 1,298,228 * Marlton Technologies, Inc. 52,900 37,030 Marsh Supermarkets, Inc. Class A 17,700 210,453 Marsh Supermarkets, Inc. Class B 29,800 381,142 * Marten Transport, Ltd. 118,800 2,607,660
188
SHARES VALUE+ ------ ------ *# Martha Stewart Living Omnimedia, Inc. 104,100 $ 2,458,842 MASSBANK Corp. 31,399 1,164,903 * Mastec, Inc. 297,800 2,498,542 * Material Sciences Corp. 131,800 2,203,696 * Matria Healthcare, Inc. 89,875 3,145,625 *# Matritech, Inc. 257,800 257,800 * Matrix Bancorp, Inc. 29,500 354,000 * Matrix Service Co. 150,600 1,121,970 * MatrixOne, Inc. 317,600 2,099,336 * Matrixx Initiatives, Inc. 91,900 1,258,111 * Mattson Technology, Inc. 309,648 2,895,209 * Maui Land & Pineapple Co., Inc. 35,500 1,157,300 * Max & Erma's Restaurants, Inc. 20,844 277,746 * Maxco, Inc. 18,800 65,612 Maxcor Financial Group, Inc. 42,621 387,851 *# Maxim Pharmaceuticals, Inc. 165,494 481,588 * Maximus, Inc. 132,300 4,144,959 * Maxwell Technologies, Inc. 100,192 1,076,062 * Maxxam, Inc. 20,500 614,795 * Maxygen, Inc. 218,301 2,202,657 Mayflower Co-Operative Bank Middleboro 450 8,066 * Mayor's Jewelers, Inc. 160,400 101,052 * Mays (J.W.), Inc. 2,700 38,543 MBT Financial Corp. 52,652 1,255,750 * McDATA Corp. 98,656 557,406 MCG Capital Corp. 2,900 49,300 McGrath Rentcorp. 76,200 3,220,212 * McMoran Exploration Co. 147,300 2,311,137 McRae Industries, Inc. Class A 9,100 127,400 *# MCSi, Inc. 2,000 10 * MDI, Inc. 108,300 95,304 * Meade Instruments Corp. 118,660 376,152 * Meadow Valley Corp. 22,900 61,029 * Meadowbrook Insurance Group, Inc. 129,600 657,072 * Measurement Specialties, Inc. 78,500 2,002,535 * Medallion Finanacial Corp. 3,800 35,682 *# Medarex, Inc. 185,361 2,020,435 * MedCath Corp. 61,011 1,325,159 *# Med-Design Corp. 86,920 105,173 * Media Services Group, Inc. 452 6,514 *# MediaBay, Inc. 28,700 31,857 *# Medialink Worldwide, Inc. 49,800 155,326 * Medical Action Industries, Inc. 89,200 1,764,376 * Medical Staffing Network Holdings, Inc. 187,400 1,613,514 * Medicore, Inc. 45,000 301,950 *# Medifast, Inc. 68,500 235,640 * MedQuist, Inc. 133,500 1,618,688 * MEDTOX Scientific, Inc. 32,372 250,883 * Memry Corp. 10,000 28,000 Mercantile Bank Corp. 2,625 107,100 Merchants Bancshares, Inc. 47,100 1,398,870 Merchants Group, Inc. 15,700 380,725 Mercury Air Group, Inc. 33,508 132,357 * Mercury Computer Systems, Inc. 129,982 4,094,433 *# Merge Technologies, Inc. 80,651 1,554,145 Meridian Bioscience, Inc. 139,300 2,305,415 * Meridian Resource Corp. 487,672 3,330,800 * Merisel, Inc. 5 24 * Merit Medical Systems, Inc. 204,306 $ 2,320,916 * Merix Corp. 116,400 1,266,432 * Merrimac Industries, Inc. 14,265 131,238 * Mesa Air Group, Inc. 331,800 2,329,236 Mesa Laboratories, Inc. 27,800 326,650 * Mestek, Inc. 115,650 2,095,578 * Meta Group, Inc. 104,600 556,472 * Metal Management, Inc. 65,900 1,731,852 * Metals USA, Inc. 123,378 2,313,338 * MetaSolv, Inc. 234,772 572,844 Methode Electronics, Inc. 73,100 964,920 Met-Pro Corp. 146,886 1,938,895 * Metris Companies, Inc. 355,894 4,121,253 * Metro One Telecommunications, Inc. 120,500 202,440 MetroCorp. Bancshares, Inc. 23,000 497,950 * Metrologic Instruments, Inc. 133,633 2,730,122 MFB Corp. 8,500 240,550 * MFRI, Inc. 31,800 222,600 MGE Energy, Inc. 121,747 4,195,402 MGP Ingredients, Inc. 151,200 1,412,208 * Michael Anthony Jewelers, Inc. 64,100 131,726 * Micro Component Technology, Inc. 68,432 44,481 * Micro Linear Corp. 109,300 503,873 * Micro Therapeutics, Inc. 209,029 831,935 * MicroFinancial, Inc. 30,300 118,473 * Micromuse, Inc. 97,737 513,901 * Microsemi Corp. 106,570 1,896,946 * MicroStrategy, Inc. 2,263 146,077 * Microtek Medical Holdings, Inc. 375,445 1,531,816 * Microtune, Inc. 88,200 527,436 *# Microvision, Inc. 132,741 1,010,159 * Midas, Inc. 99,400 1,919,414 Middleby Corp. 97,100 5,575,482 Middlesex Water Co. 56,000 1,114,400 Midland Co. 88,200 2,804,760 Mid-State Bancshares 142,065 4,239,220 *# Midway Games, Inc. 14,900 161,516 * Midwest Air Group, Inc. 119,800 359,400 Midwest Banc Holdings, Inc. 110,706 2,555,094 * Mikohn Gaming Corp. 136,500 1,112,475 * Milacron, Inc. 429,434 1,284,008 *# Milestone Scientific, Inc. 27,100 46,070 *# Millennium Cell, Inc. 179,600 163,436 * Miller Industries, Inc. 32,700 360,027 * MIM Corp. 132,800 859,216 * Mindspeed Technologies, Inc. 95,800 239,500 * MIPS Technologies, Inc. 256,892 2,247,805 * Misonix, Inc. 41,100 259,341 * Mission Resources Corp. 251,782 1,563,566 * Mitcham Industries, Inc. 90,200 676,500 * Mitek Systems, Inc. 22,300 10,704 * Mity Enterprises, Inc. 40,550 606,223 * Mobile Mini, Inc. 91,800 2,780,622 * Mobility Electronics, Inc. 174,250 1,691,968 * Mobius Management Systems, Inc. 174,400 1,395,200 Mocon, Inc. 72,775 672,441 * Mod-Pac Corp. 18,340 221,914 * Mod-Pac Corp. Class B 6,877 83,212 * Modtech Holdings, Inc. 106,312 867,506 * Moldflow Corp. 66,032 924,448 * Molecular Devices Corp. 131,366 2,762,627
189
SHARES VALUE+ ------ ------ Monaco Coach Corp. 181,700 $ 3,615,830 * Monarch Casino & Resort, Inc. 72,500 2,531,700 * Mondavi (Robert) Corp. Class A 53,326 3,002,254 * Monolithic System Technology, Inc. 146,067 682,133 * Monro Muffler Brake, Inc. 83,397 2,047,396 * Monterey Pasta Co. 135,300 432,960 * Moore Handley, Inc. 1,500 4,838 * Morgan Group Holding Co. 3,300 285 * Morgan's Foods, Inc. 600 480 * Moscow CableCom Corp. 15,000 95,250 * Mossimo, Inc. 149,150 538,432 * Mothers Work, Inc. 31,100 400,879 * Motorcar Parts of America, Inc. 24,500 179,708 Movado Group, Inc. 185,800 3,418,720 Movie Gallery, Inc. 255,175 4,447,700 * MRO Software, Inc. 154,856 1,989,900 * MRV Communications, Inc. 644,140 2,485,736 * MSC.Software Corp. 171,500 1,630,965 * MTC Technologies, Inc. 58,200 1,789,068 *# MTI Technology Corp. 3,300 6,402 * MTM Technologies, Inc. 44,200 185,640 * MTR Gaming Group, Inc. 176,109 1,771,657 MTS Systems Corp. 188,648 5,725,467 Mueller (Paul) Co. 26,300 782,162 * Multi-Color Corp. 30,600 498,780 *# Multimedia Games, Inc. 189,709 2,481,394 MutualFirst Financial, Inc. 2,900 68,295 Myers Industries, Inc. 202,247 2,291,459 * Mykrolis Corp. 258,500 3,169,210 * Myriad Genetics, Inc. 189,955 3,654,734 * Nabi Biopharmaceuticals 10,299 148,306 NACCO Industries, Inc. Class A 6,500 711,685 *# Nanogen, Inc. 206,667 927,935 * Nanometrics, Inc. 76,321 1,241,743 *# Nanophase Technologies Corp. 119,400 736,698 *# Napco Security Systems, Inc. 146,760 1,452,924 Nara Bancorp, Inc. 144,579 3,001,460 Nash Finch Co. 91,400 3,391,854 * Nashua Corp. 54,500 572,250 * Nassda Corp. 101,521 434,510 *# Nastech Pharmaceutical Co., Inc. 83,546 1,268,228 * NATCO Group, Inc. Class A 163,600 1,387,328 * Nathan's Famous, Inc. 52,600 439,210 National Beverage Corp. 213,800 2,011,858 * National Dentex Corp. 27,400 715,414 National Home Health Care Corp. 24,566 282,263 * National Medical Health Card Systems, Inc. 32,221 689,207 * National Patent Development Corp. 109,400 188,168 * National Research Corp. 52,200 835,200 * National RV Holdings, Inc. 102,650 998,785 National Security Group, Inc. 12,600 278,019 * National Technical Systems, Inc. 83,600 443,916 * National Western Life Insurance Co. Class A 2,600 421,694 * Natrol, Inc. 99,700 336,986 * Natural Alternatives International, Inc. 48,800 458,720 * Nature Vision, Inc. 500 3,245 Nature's Sunshine Products, Inc. 153,100 2,562,894 * Natus Medical, Inc. 107,432 773,510 # Nautilus Group, Inc. 193,950 $ 4,226,171 * Navarre Corp. 165,600 2,820,168 * Navidec, Inc. 2,616 11,249 * Navigant International, Inc. 96,400 1,058,472 * Navigators Group, Inc. 69,017 1,949,730 NBT Bancorp, Inc. 101,441 2,575,587 * NCI Building Systems, Inc. 117,700 4,366,670 NDCHealth Corp. 222,300 4,197,024 Nelson (Thomas), Inc. 126,800 3,131,960 * Neoforma, Inc. 156,824 1,165,202 * Neogen Corp. 53,625 1,160,445 * NeoMagic Corp. 165,869 140,989 * NEON Systems, Inc. 14,800 54,464 * Neopharm, Inc. 144,464 1,683,006 * NeoRx Corp. 200 350 * Neose Technologies, Inc. 153,147 1,070,498 * Neoware Systems, Inc. 98,050 858,918 * NES Rentals Holdings, Inc. 245 2,707 * Net Perceptions, Inc. 13,400 12,194 * Net2Phone, Inc. 275,821 946,066 NetBank, Inc. 112,237 1,152,674 *# Netflix, Inc. 21,400 243,532 * Netguru, Inc. 46,800 56,628 * NetIQ Corp. 175,424 2,152,452 * NetManage, Inc. 49,128 280,030 * Netopia, Inc. 129,756 395,756 * NetRatings, Inc. 198,200 3,964,000 * Netscout System, Inc. 188,532 1,427,187 * Network Engines, Inc. 193,812 451,582 * Network Equipment Technologies, Inc. 167,500 1,592,925 *# Network Plus Corp. 10,000 8 *# Neurobiological Technologies, Inc. 14,600 62,619 * Neurogen Corp. 285,332 2,496,655 Nevada Chemicals, Inc. 400 2,812 * Nevada Gold & Casinos, Inc. 81,050 889,929 * New Brunswick Scientific Co., Inc. 75,600 408,240 * New Century Equity Holdings Corp. 2,500 825 New Hampshire Thrift Bancshares, Inc. 1,600 46,608 * New Horizons Worldwide, Inc. 79,875 277,965 * NewMarket Corp. 103,800 1,991,922 NewMil Bancorp, Inc. 44,100 1,327,851 * Newpark Resources, Inc. 520,300 2,976,116 * Newport Corp. 109,015 1,345,245 * Newtek Business Services, Inc. 155,452 638,130 Niagara Corp. 75,500 600,225 * NIC, Inc. 427,248 1,963,205 * Nitches, Inc. 11,213 73,658 * NMS Communications Corp. 288,728 1,844,394 * NMT Medical, Inc. 90,000 381,600 NN, Inc. 132,600 1,689,324 * Nobel Learning Communities, Inc. 49,600 359,600 Nobility Homes, Inc. 43,800 946,080 Noble International, Ltd. 56,932 1,122,187 * Noel Group, Inc. 43,600 283 # Noland Co. 700 30,226 * Norstan, Inc. 94,700 362,701 * North America Galvanizing & Coatings, Inc. 56,500 109,610 * North American Scientific, Inc. 95,800 431,100 North Central Bancshares, Inc. 17,500 679,438
190
SHARES VALUE+ ------ ------ North Pittsburgh Systems, Inc. 93,027 $ 2,334,047 Northeast Bancorp 12,600 286,020 Northeast Pennsylvania Financial Corp. 3,250 55,218 Northern Technologies International Corp. 26,400 192,720 *# Northfield Laboratories, Inc. 132,700 2,481,490 * Northland Cranberries, Inc. 400 324 Northrim BanCorp, Inc. 34,939 796,616 * Northwest Pipe Co. 47,500 907,250 * NovaMed, Inc. 130,443 619,604 * Novatel Wireless, Inc. 47,094 991,800 * Novavax, Inc. 236,867 810,085 * Noven Pharmaceuticals, Inc. 145,089 2,652,227 * Novoste Corp. 88,200 119,070 * NPS Pharmaceuticals, Inc. 10,300 184,473 * NS Group, Inc. 170,000 3,767,200 * NTN Communications, Inc. 327,791 904,703 * Nu Horizons Electronics Corp. 110,650 918,506 *# Nucentrix Broadband Networks, Inc. Escrow Shares 114,500 0 * NuCo2, Inc. 71,300 1,768,240 NUI Corp. 111,493 1,527,454 * NumereX Corp. Class A 102,700 490,906 * Nutraceutical International Corp. 72,410 1,160,732 *# Nutri/System, Inc. 12,500 31,125 * Nutrition 21, Inc. 5,485 5,485 * Nuvelo, Inc. 181,512 1,769,742 NWH, Inc. 14,700 219,765 * NYFIX, Inc. 167,298 1,069,034 NYMAGIC, Inc. 71,100 1,744,083 * O'Charleys, Inc. 127,575 2,423,925 * O.I. Corp. 25,700 277,020 Oak Hill Financial, Inc. 12,200 464,698 * Obie Media Corp. 35,000 239,750 *# OCA, Inc. 310,600 1,776,632 OceanFirst Financial Corp. 81,370 2,063,543 * Ocwen Financial Corp. 388,903 3,628,465 * Odd Job Stores, Inc. 86,200 193,950 * Odyssey Healthcare, Inc. 81,746 1,091,309 * Odyssey Marine Exploration, Inc. 42,400 114,480 * Offshore Logistics, Inc. 119,741 4,538,184 *# Oglebay Norton Co. 6,000 1,737 Ohio Art Co. 3,600 22,230 Oil-Dri Corp. of America 56,300 900,800 * Old Dominion Freight Line, Inc. 162,900 5,106,915 * Olympic Steel, Inc. 73,100 1,973,700 * Omega Protein Corp. 175,600 1,476,796 *# OMNI Energy Services Corp. 69,330 203,137 * Omnicell, Inc. 154,308 1,658,811 * Omnova Solutions, Inc. 55,700 318,047 * Omtool, Ltd. 30,770 254,160 * On Assignment, Inc. 144,275 753,116 * On2 Technologies, Inc. 28,600 15,158 * One Price Clothing Stores, Inc. 22,414 67 *# Oneida, Ltd. 103,200 261,096 * Online Resources Corp. 112,306 791,757 Onyx Acceptance Corp. 62,500 1,741,875 * ONYX Software Corp. 90,284 297,034 * Opent Technologies, Inc. 124,755 1,077,883 * OpenTV Corp. 159,125 639,683 * Openwave Systems, Inc. 9,319 $ 122,824 * Opinion Research Corp. 27,500 173,663 * Oplink Communications, Inc. 183,800 376,790 *# Opsware, Inc. 280,986 1,924,754 * OPTi, Inc. 118,200 170,208 * Optical Cable Corp. 32,605 176,719 * Optical Communication Products, Inc. 166,385 362,719 * Optical Sensors, Inc. 1,133 3,682 Option Care, Inc. 132,564 2,282,752 * OraSure Technologies, Inc. 276,099 1,976,869 * Orbit International Corp. 11,666 96,594 * Orbital Sciences Corp. 319,700 4,156,100 * Orchid Biosciences, Inc. 138,734 1,485,841 * Oregon Steel Mills, Inc. 212,000 3,811,760 * Orleans Homebuilders, Inc. 107,800 1,984,598 * Orphan Medical, Inc. 84,635 861,584 * Orthologic Corp. 304,100 1,742,493 * Oscient Pharmaceutical Corp. 376,030 1,225,858 OshKosh B'Gosh, Inc. Class A 59,468 1,219,094 * OSI Systems, Inc. 104,100 2,261,052 * Osteotech, Inc. 151,125 822,120 Otter Tail Corp. 12,084 325,422 Outlook Group Corp. 36,600 260,958 * Overland Storage, Inc. 107,900 1,602,315 # Oxford Industries, Inc. 101,400 4,137,120 * Oxigene, Inc. 123,700 689,133 * Oxis International, Inc. 8,600 4,902 * OYO Geospace Corp. 41,100 651,024 * P & F Industries, Inc. Class A 600 8,850 * P.A.M. Transportation Services, Inc. 60,952 1,237,326 * Pacific Mercantile Bancorp 7,700 109,186 * Pacific Premier Bancorp, Inc. 21,717 309,467 Packaging Dynamics Corp. 32,980 471,944 * Packeteer, Inc. 204,555 2,659,215 * Pac-West Telecomm, Inc. 193,400 237,882 * Pain Therapeutics, Inc. 238,744 1,797,742 * PainCare Holdings, Inc. 283,600 822,440 * Palatin Technologies, Inc. 1,937 5,230 * Paligent, Inc. 3,063 613 * Palm Harbor Homes, Inc. 133,648 2,086,245 * PalmSource, Inc. 94,017 1,489,229 * Palomar Medical Technologies, Inc. 98,171 2,211,793 Pamrapo Bancorp, Inc. 36,400 873,600 * Panavision, Inc. 13,000 81,250 * Pantry, Inc. 125,133 3,443,660 * Papa John's International, Inc. 104,178 3,705,611 * PAR Technology Corp. 79,500 939,690 * Paradyne Networks Corp. 388,950 1,509,126 * Paragon Technologies, Inc. 39,425 377,297 * Parallel Petroleum Corp. 157,600 877,832 * Parexel International Corp. 161,124 3,323,988 Park Bancorp, Inc. 800 25,400 Park Electrochemical Corp. 123,400 2,602,506 * Parker Drilling Co. 619,200 2,705,904 *# Parkervision, Inc. 60,993 454,398 * Park-Ohio Holdings Corp. 125,525 2,821,802 Parkvale Financial Corp. 50,395 1,572,828 * Parlex Corp. 57,800 352,580 * Parlux Fragrances, Inc. 90,500 1,622,665 Partners Trust Financial Group, Inc. 88,538 990,740
191
SHARES VALUE+ ------ ------ * Party City Corp. 110,796 $ 1,417,081 * Path 1 Network Technologies, Inc. 35,800 123,868 * Pathmark Stores, Inc. 172,200 948,822 *# Patient Infosystems, Inc. 408 1,265 * Patrick Industries, Inc. 44,000 485,760 * Patriot Transportation Holding, Inc. 31,700 1,320,622 PAULA Financial 49,300 98,600 * Paxson Communications Corp. 343,100 397,996 * Payless Cashways, Inc. 2,136 4 * PC Connection, Inc. 135,900 955,377 * PC Mall, Inc. 94,300 2,291,490 * PC-Tel, Inc. 148,300 1,196,781 * PDF Solutions, Inc. 157,420 2,025,995 * PDI, Inc. 91,094 2,119,757 * PEC Solutions, Inc. 170,118 2,413,974 * Pediatric Services of America, Inc. 51,200 527,872 * Peerless Manufacturing Co. 18,500 276,575 * Peerless Systems Corp. 101,700 145,431 * Peet's Coffee & Tea, Inc. 82,771 2,092,451 *# Pegasus Communications Corp. 56,640 430,464 * Pegasus Solutions, Inc. 134,601 1,573,486 * Pegasystems, Inc. 213,846 1,552,522 * Pemco Aviation Group, Inc. 250 6,640 * Pemstar, Inc. 146,200 223,832 Penford Corp. 54,800 920,640 Penn Engineering & Manufacturing Corp. Class A 67,200 1,083,936 Penn Engineering & Manufacturing Corp. Non-Voting 165,400 3,167,410 * Penn Treaty American Corp. 68,200 122,760 Penn Virginia Corp. 116,800 5,076,128 Penn-America Group, Inc. 102,900 1,523,949 Pennfed Financial Services, Inc. 120,200 2,065,036 Penns Woods Bancorp, Inc. 110 5,490 * Penwest Pharmaceuticals Co. 128,900 1,604,805 Peoples Bancorp, Inc. 400 8,680 Peoples Bancorp, Inc. 2,310 72,372 * Perceptron, Inc. 76,350 524,525 * Performance Technologies, Inc. 131,275 935,991 * Pericom Semiconductor Corp. 158,841 1,394,624 * Perini Corp. 151,800 2,269,410 * Perry Ellis International, Inc. 64,400 1,229,396 * Per-Se Technologies, Inc. 186,372 2,570,070 * Pervasive Software, Inc. 225,700 900,543 *# PetMed Express, Inc. 102,438 665,847 * Petrocorp, Inc. Escrow Shares 37,100 2,226 * Petroleum Development Corp. 139,678 5,743,559 PFF Bancorp, Inc. 90,600 4,095,120 * Pfsweb, Inc. 1 3 * Pharmacopia Drug Discovery, Inc. 103,050 595,629 * Pharmacyclics, Inc. 121,881 1,270,000 *# Pharmanetics, Inc. 57,500 58,075 * PharmChem, Inc. 39,500 770 *# Pharmos Corp. 88,000 352,000 Phillips-Van Heusen Corp. 166,200 4,537,260 * Phoenix Gold International, Inc. 3,600 3,276 * Phoenix Technologies, Ltd. 151,735 1,230,571 *# PhotoMedex, Inc. 197,508 444,393 * Photon Dynamics, Inc. 104,000 2,293,200 * Photronics, Inc. 202,508 3,815,251 * Physiometrix, Inc. 31,500 29,610 * Pico Holdings, Inc. 83,771 $ 1,726,520 Pinnacle Bancshares, Inc. 700 10,640 * Pinnacle Entertainment, Inc. 175,300 3,186,954 * Pinnacle Financial Partners, Inc. 8,400 204,372 * Pinnacle Systems, Inc. 420,353 2,194,243 * Pioneer Drilling Co. 3,700 35,705 * Pixelworks, Inc. 113,400 1,275,750 * Pizza Inn, Inc. 39,700 115,130 * Planar Systems, Inc. 93,400 995,644 * PLATO Learning, Inc. 136,926 957,113 * Play By Play Toys and Novelties, Inc. 1,000 2 * Playboy Enterprises, Inc. Class B 176,880 2,140,248 * Playtex Products, Inc. 379,500 2,846,250 * Plexus Corp. 144,819 1,991,261 * Plug Power, Inc. 447,664 2,645,694 * PLX Technology, Inc. 161,900 1,458,719 *# Plymouth Rubber Co., Inc. Class A 900 1,080 * PMA Capital Corp. Class A 167,928 1,670,884 Pocahontas Bancorp, Inc. 51,900 812,235 * Point Therapeutics, Inc. 5,640 27,580 * Point.360 84,700 208,362 * PolyOne Corp. 24,200 223,366 * Pomeroy IT Solutions, Inc. 105,149 1,436,335 Pope & Talbot, Inc. 100,600 1,690,080 * Porta Systems Corp. 1,490 253 * Portal Software, Inc. 259,783 896,251 * Portfolio Recovery Associates, Inc. 53,879 2,020,463 * Possis Medical, Inc. 159,600 1,841,784 * Powell Industries, Inc. 57,718 933,300 * Power Intergrations, Inc. 55,300 1,091,069 PowerCerv Corp. 12,633 3,790 * Power-One, Inc. 31,564 290,073 * Powerwave Technologies, Inc. 348,761 2,820,779 * Pozen, Inc. 173,597 1,204,763 * PPT Vision, Inc. 47,000 41,360 * PRAECIS Pharmaceuticals, Inc. 277,047 584,569 Preformed Line Products Co. 4,700 132,775 * Premier Financial Bancorp 6,600 72,930 *# Premier Laser Systems, Inc. Class A 16,400 8 *# Pre-Paid Legal Services, Inc. 96,200 3,294,850 Presidential Life Corp. 180,020 3,008,134 * Presstek, Inc. 215,138 2,297,674 * Pressure BioSciences, Inc. 39,300 119,865 * PRG-Schultz International, Inc. 382,701 2,066,585 *# Pricesmart, Inc. 19,200 152,640 * PRIMEDIA, Inc. 103,000 329,600 * Primus Telecommunications Group, Inc. 54,635 165,544 * Princeton Review, Inc. 50,400 299,376 * Printronix, Inc. 67,150 1,130,806 * Private Business, Inc. 8,305 17,773 * Procom Technology, Inc. 19,200 25,344 * Progenics Pharmaceuticals, Inc. 105,201 1,572,755 Programmers Paradise, Inc. 48,200 547,070 * Progress Software Corp. 28,500 646,950 Prosperity Bancshares, Inc. 137,750 3,906,590 * Protection One, Inc. 33,900 8,814 Providence & Worcester Railroad Co. 11,000 135,300 Provident Bancorp, Inc. 113,954 1,511,030
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SHARES VALUE+ ------ ------ Provident Financial Holdings, Inc. 72,400 $ 2,114,080 * Proxim Corp. 20,861 85,739 * ProxyMed, Inc. 26,939 188,573 * PSS World Medical, Inc. 330,768 4,139,231 Psychemedics Corp. 49,039 625,247 * Psychiatric Solutions, Inc. 90,841 2,956,875 * PTEK Holdings, Inc. 334,825 3,525,707 Pulaski Financial Corp. 30,400 600,400 * Pure World, Inc. 66,630 113,271 * PW Eagle, Inc. 21,900 86,483 Pyramid Breweries, Inc. 36,800 79,120 QAD, Inc. 211,705 1,744,449 * QEP Co., Inc. 15,000 236,400 * QLT, Inc. 83,205 1,335,440 * QuadraMed Corp. 185,337 333,607 Quaker Chemical Corp. 71,700 1,735,140 Quaker Fabric Corp. 147,950 850,713 * Quality Dining, Inc. 98,900 310,546 * Quality Systems, Inc. 49,600 3,045,936 * Quantum Corp. 163,900 468,754 * Quantum Fuel Systems Technologies Worldwide, Inc. 190,273 1,181,595 * Questcor Pharmaceuticals, Inc. 126,400 69,520 * QuickLogic Corp. 182,000 444,080 * Quidel Corp. 256,200 1,652,490 * Quigley Corp. 64,395 520,312 * Quinton Cardiology Systems, Inc. 86,260 884,165 * Quipp, Inc. 14,300 192,192 Quixote Corp. 68,200 1,429,472 *# Quokka Sports, Inc. 480 4 * Quovadx, Inc. 202,907 387,552 * R&B, Inc. 69,300 1,732,500 * Radiant Systems, Inc. 251,931 1,572,049 * Radiologix, Inc. 176,100 660,375 * RadiSys Corp. 117,037 1,649,051 * Radyne ComStream, Inc. 71,000 516,951 * RailAmerica, Inc. 227,866 2,916,685 * Raindance Communictions, Inc. 85,300 197,043 * Ramtron International Corp. 185,100 681,168 Raven Industries, Inc. 356,440 7,652,767 Raytech Corp. 51,695 95,636 * RC2 Corp. 126,100 3,945,669 * RCM Technologies, Inc. 91,800 468,180 *# RCN Corp. 4,300 318 * Reading International, Inc. Class A 142,163 1,195,591 * Reading International, Inc. Class B 10,140 83,655 * Redback Networks, Inc. 45,300 217,440 *# Redhook Ale Brewery, Inc. 62,900 220,150 Redwood Empire Bancorp 60,750 1,736,843 * Refac 8,519 36,547 Regal-Beloit Corp. 147,030 4,147,716 * Regeneration Technologies, Inc. 164,984 1,534,351 * Regeneron Pharmaceuticals, Inc. 253,057 2,333,186 * Regent Communications, Inc. 551,100 3,146,781 * Register.com, Inc. 99,500 579,090 * RehabCare Group, Inc. 100,800 2,653,056 * Reliability, Inc. 113,000 89,270 # Reliv International, Inc. 101,576 829,876 * Relm Wireless Corp. 47,941 98,279 * Remec, Inc. 368,285 2,220,759 * RemedyTemp, Inc. 72,900 803,358 * Remington Oil & Gas Corp. 198,160 $ 5,736,732 * Remote Dynamics, Inc. 2,702 2,297 Renaissance Learning, Inc. 43,280 833,573 * Rentrak Corp. 104,800 1,027,040 * Rent-Way, Inc. 168,400 1,428,032 * Repligen Corp. 250,400 605,968 * Reptron Electronics, Inc. 2,178 16,008 Republic Bancorp, Inc. Class A 37,380 1,037,295 * Republic First Bancorp, Inc. 50,014 765,214 * Res-Care, Inc. 107,702 1,615,530 Resource America, Inc. 168,780 4,967,195 * Restoration Hardware, Inc. 266,000 1,353,940 * Retail Ventures, Inc. 207,656 1,522,118 * Retek, Inc. 346,000 2,110,600 * Revlon, Inc. 130,704 275,785 * Rewards Network, Inc. 155,050 976,815 * Rex Stores Corp. 141,475 2,489,960 * Rexhall Industries, Inc. 36,400 15,652 * RF Monolithics, Inc. 83,500 786,570 RGC Resources, Inc. 4,698 113,692 Richardson Electronics, Ltd. 99,200 1,106,080 * Rigel Pharmaceuticals, Inc. 8,711 217,949 Riggs National Corp. 156,509 3,148,961 * Rimage Corp. 92,225 1,402,742 *# Rita Medical Systems, Inc. 185,121 568,321 * Riverside Group, Inc. 700 6 * Riverstone Networks, Inc. 1,900 2,043 Riverview Bancorp, Inc. 34,400 741,010 * Riviera Holdings Corp. 22,100 596,700 * Riviera Tool Co. 7,000 17,150 * Roadhouse Grill, Inc. 38,370 5,756 Roanoke Electric Steel Corp. 87,400 1,572,326 Robbins & Myers, Inc. 90,000 2,172,600 *# Robotic Vision Systems, Inc. 6,201 2,852 * Rochester Medical Corp. 48,400 435,600 Rock of Ages Corp. 32,900 243,822 * Rockford Corp. 57,300 125,487 Rock-Tenn Co. Class A 220,200 3,554,028 # Rocky Mountain Chocolate Factory, Inc. 54,390 782,128 * Rocky Shoes & Boots, Inc. 34,200 711,360 * Rofin-Sinar Technologies, Inc. 104,400 4,071,600 Royal Bancshares of Pennsylvania, Inc. Class A 15,764 457,156 Royal Gold, Inc. 163,200 2,891,904 * Royale Energy, Inc. 40,402 309,883 RPC, Inc. 76,300 2,079,175 * RTI International Metals, Inc. 131,600 2,835,980 * RTW, Inc. 43,450 396,699 * Rubio's Restaurants, Inc. 68,500 909,680 * Rudolph Technologies, Inc. 103,773 1,660,368 * Rural Cellular Corp. Class A 4,100 20,008 * Rural/Metro Corp. 110,300 380,535 * Rush Enterprises, Inc. Class A 54,500 827,310 * Rush Enterprises, Inc. Class B 54,500 878,540 Russ Berrie & Co., Inc. 128,600 2,924,364 Russell Corp. 202,400 3,712,016 * Ryan's Restaurant Group, Inc. 207,942 3,175,274 Ryerson Tull, Inc. 154,600 2,501,428 * S&K Famous Brands, Inc. 24,600 394,092 * S1 Corp. 405,456 3,799,123
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SHARES VALUE+ ------ ------ * Saba Software, Inc. 72,699 $ 307,517 * Safeguard Scientifics, Inc. 585,700 1,177,257 * SafeNet, Inc. 116,574 4,157,029 * Safety Components International, Inc. 1,180 16,520 * Saga Communications, Inc. Class A 114,341 1,942,654 * Salem Communications Corp. 96,962 2,381,387 *# Salton, Inc. 70,200 428,922 * San Filippo (John B.) & Son, Inc. 57,900 1,285,380 Sanders Morris Harris Group, Inc. 107,611 1,641,068 Sanderson Farms, Inc. 141,709 5,278,660 Sandy Spring Bancorp, Inc. 89,028 3,233,497 * Sangamo BioSciences, Inc. 154,232 720,263 * SatCon Technology Corp. 151,700 307,951 Saucony, Inc. Class A 55,300 1,365,910 Saucony, Inc. Class B 57,600 1,419,264 * Savient Pharmaceuticals, Inc. 254,600 560,120 * SBA Communications Corp. 305,281 2,930,698 * SBE, Inc. 34,600 114,526 * SBS Technologies, Inc. 95,100 1,242,006 * ScanSoft, Inc. 836,552 3,053,415 * ScanSource, Inc. 33,800 2,186,860 Schawk, Inc. 168,300 2,857,734 * Scheid Vineyards, Inc. 14,500 82,795 *# Schick Technologies, Inc. 47,200 604,160 * Schieb (Earl), Inc. 71,500 210,925 * Schlotzsky's, Inc. 65,100 2,441 * Schmitt Industries, Inc. 17,800 136,170 Schnitzer Steel Industries, Inc. Class A 39,811 1,502,069 * Schuff International, Inc. 53,200 146,832 Schulman (A.), Inc. 184,222 3,951,562 Schweitzer-Maudoit International, Inc. 90,900 3,141,504 * Sciclone Pharmaceuticals, Inc. 276,666 1,128,797 * Scientific Learning Corp. 1,900 10,260 * Scientific Technologies, Inc. 38,400 195,456 * SCM Microsystems, Inc. 84,724 288,909 * Scope Industries 16,650 1,162,170 SCPIE Holdings, Inc. 19,000 189,810 * SCS Transportation, Inc. 92,055 1,946,963 * Seabulk International, Inc. 182,900 2,180,168 * Seachange International, Inc. 170,903 2,919,023 Seacoast Banking Corp. of Florida 95,749 2,108,393 * Seattle Genetics, Inc. 258,503 1,765,575 * Secom General Corp. 1,000 1,230 * Secure Computing Corp. 192,161 2,002,318 * SED International Holdings, Inc. 6,350 5,874 * SeeBeyond Technology Corp. 514,084 1,624,505 * SEEC, Inc. 1,200 270 * Segue Software, Inc. 102,300 498,201 * Selas Corp. of America 46,700 97,136 * Select Comfort Corp. 123,239 2,401,928 * Selectica, Inc. 261,300 1,006,005 SEMCO Energy, Inc. 175,520 849,517 * Semitool, Inc. 177,600 1,591,296 * SEMX Corp. 700 88 * Seneca Foods Corp. Class A 200 3,725 * Seneca Foods Corp. Class B 6,800 126,786 * Senesco Technologies, Inc. 6,400 20,800 * Sequenom, Inc. 156,280 139,089 * SeraCare Life Sciences, Inc. 21,120 240,789 * Serologicals Corp. 154,395 3,603,579 * ServiceWare Technologies, Inc. 25,300 $ 11,891 * Servotronics, Inc. 24,804 105,417 * SFBC International, Inc. 95,849 3,721,817 * Shared Technologies Cellular, Inc. 24,600 49 * Sharper Image Corp. 95,800 1,835,528 * Shiloh Industries, Inc. 121,400 1,575,772 * Shoe Carnival, Inc. 123,800 1,614,352 * Shoe Pavilion, Inc. 5,700 15,504 * Sholodge, Inc. 52,300 239,011 * ShopKo Stores, Inc. 255,600 4,570,128 * Siebert Financial Corp. 42,300 131,088 Sierra Bancorp 3,900 81,900 * SIFCO Industries, Inc. 45,775 192,255 *# Sigma Designs, Inc. 173,500 1,566,705 * Sigmatron International, Inc. 18,200 247,338 *# Silicon Graphics, Inc. 162,400 261,464 * Silicon Storage Technology, Inc. 59,800 416,208 * Simclar, Inc. 23,400 102,960 Simmons First National Corp. Class A 87,599 2,540,371 * SimpleTech, Inc. 297,366 1,477,909 Sinclair Broadcast Group, Inc. Class A 75,544 544,672 * Sipex Corp. 211,009 1,160,550 * Sirenza Microdevices, Inc. 215,038 1,092,393 *# Sirna Therapeutics, Inc. 231,390 714,995 * Sitel Corp. 327,100 726,162 * Six Flags, Inc. 561,400 2,728,404 * Skechers U.S.A., Inc. Class A 130,900 1,519,749 Skyline Corp. 34,800 1,438,980 * SL Industries, Inc. 91,885 1,278,120 * SM&A 125,570 1,013,350 * Smart & Final Food, Inc. 187,000 2,707,760 * SmartDisk Corp. 700 203 * Smith & Wollensky Restaurant Group, Inc. 52,300 242,672 * Smith Micro Software, Inc. 121,400 851,014 * Smithway Motor Xpress Corp. Class A 35,000 253,750 * Sola International, Inc. 196,400 4,242,240 * Solitario Resources Corp. 2,937 5,169 * Somera Communications, Inc. 83,100 92,241 * Sonesta International Hotels Corp. Class A 400 2,396 *# Sonic Foundry, Inc. 95,300 169,634 * Sonic Innovations, Inc. 121,385 494,037 * Sonic Solutions, Inc. 144,650 2,791,745 * SonicWALL, Inc. 381,876 2,348,537 * SonoSite, Inc. 91,870 2,742,320 *# Sonus Pharmaceuticals, Inc. 129,700 396,882 Sound Federal Bancorp, Inc. 74,621 1,134,314 * Source Interlink Companies, Inc. 144,800 1,889,640 *# Source Media, Inc. 154,600 1,237 * SOURCECORP, Inc. 94,676 1,574,462 South Jersey Industries, Inc. 71,782 3,690,313 * Southern Energy Homes, Inc. 120,525 556,826 Southside Banchares, Inc. 111 2,786 * Southwall Technologies, Inc. 79,100 88,592 Southwest Bancorp, Inc. 70,200 1,884,870 Southwest Water Co. 109,337 1,488,077 * Spacehab, Inc. 94,200 216,660
194
SHARES VALUE+ ------ ------ Span-American Medical System, Inc. 36,600 $ 420,900 * Spanish Broadcasting System, Inc. 218,122 2,331,724 * SPAR Group, Inc. 1,000 1,519 Spartan Motors, Inc. 92,900 1,103,745 * Spartan Stores, Inc. 88,759 461,547 * Sparton Corp. 84,328 819,674 * Specialty Laboratories, Inc. 139,000 1,526,220 SpectraLink Corp. 163,500 2,395,275 * Spectranetics Corp. 226,102 1,098,856 * Spectrum Control, Inc. 118,900 886,994 * Spectrum Pharmaceuticals, Inc. 2,700 15,201 * SpectRx, Inc. 58,600 43,950 * Spescom Software, Inc. 10,973 4,060 * Spherion Corp. 371,493 2,927,365 *# Spherix, Inc. 103,300 302,669 * Spire Corp. 102,842 452,505 * Sport Chalet, Inc. 56,500 734,557 * Sport Supply Group, Inc. 63,100 129,355 * Sport-Haley, Inc. 32,100 147,821 * SportsLine.com, Inc. 43,500 75,255 * Sportsman's Guide, Inc. 42,900 1,041,612 * SPSS, Inc. 90,385 1,445,256 *# SR Telecom, Inc. 162 491 * SRI/Surgical Express, Inc. 34,000 177,480 * SRS Labs, Inc. 120,600 783,900 SS&C Technologies, Inc. 141,896 3,177,051 * Staar Surgical Co. 134,775 799,216 * Stage Stores, Inc. 78,827 3,231,119 * Stamps.com, Inc. 140,098 2,167,316 *# Standard Automotive Corp. 22,100 2 Standard Commercial Corp. 104,808 1,972,487 * Standard Management Corp. 69,015 248,454 * Standard Microsystems Corp. 118,800 2,920,104 Standard Motor Products, Inc. 121,600 1,895,744 Standard Register Co. 147,600 1,942,416 Standex International Corp. 76,200 2,122,170 Stanley Furniture, Inc. 70,800 3,256,800 Star Buffet, Inc. 16,400 97,088 *# Star Scientific, Inc. 229,656 1,513,433 * Star Struck, Ltd. 500 500 * Starbiz Restrictive Shares 2 0 * Starcraft Corp. 18,191 261,041 Starrett (L.S.) Co. Class A 35,900 713,692 StarTek, Inc. 89,700 2,579,772 State Financial Services Corp. Class A 77,532 2,287,194 *# STATS ChipPAC, Ltd. 218,579 1,226,447 * Steak n Shake Co. 170,400 3,172,848 Steel Technologies, Inc. 86,700 2,538,576 * SteelCloud, Inc. 75,500 150,245 * Stein Mart, Inc. 202,668 3,370,369 * Steinway Musical Instruments, Inc. 79,000 2,233,330 * Stellent, Inc. 162,207 1,273,325 *# StemCells, Inc. 17,500 53,375 Stepan Co. 35,200 896,544 Stephan Co. 33,500 136,010 Sterling Bancorp 249,309 8,020,271 Sterling Bancshares, Inc. 278,461 4,059,961 * Sterling Construction Co., Inc. 6,400 30,720 Sterling Financial Corp. 2,031 59,488 Stewart & Stevenson Services, Inc. 178,311 3,566,220 * Stewart Enterprises, Inc. 171,663 $ 1,273,739 Stewart Information Services Corp. 80,100 3,496,365 * Stifel Financial Corp. 57,694 1,387,541 * Stonepath Group, Inc. 214,900 165,473 * Stoneridge, Inc. 170,700 2,596,347 * StorageNetworks, Inc. Escrow Shares 56,400 1,528 * Stratagene Corp. 51,244 351,483 * Stratasys, Inc. 64,313 2,077,310 * Strategic Diagnostics, Inc. 161,000 407,330 * Strategic Distribution, Inc. 27,770 315,190 * Stratex Networks, Inc. 463,475 954,759 * Stratos International, Inc. 57,277 232,545 * Strattec Security Corp. 40,900 2,576,700 * Stratus Properties, Inc. 53,750 797,650 Stride Rite Corp. 237,800 2,618,178 Sturm Ruger & Co., Inc. 166,800 1,514,544 * Suburban Lodges of America, Inc. Escrow Shares 127,500 0 Suffolk BanCorp 68,400 2,269,512 Summa Industries, Inc. 31,800 288,744 Summit Bancshares, Inc. 32,900 1,120,245 Summit Bank Corp. 8,400 143,472 * SumTotal Systems, Inc. 36,783 201,939 * Sun Bancorp, Inc. 157,954 3,925,157 * Sun Healthcare Group, Inc. 33,400 250,500 Sun Hydraulics, Inc. 12,600 180,054 * Sunair Electronics, Inc. 33,700 214,669 * Suncoast Naturals, Inc. 2,699 513 * Sundance Homes, Inc. 21,500 75 * SunLink Health Systems, Inc. 33,465 175,691 Sunrise Telecom, Inc. 255,000 675,750 * Suntron Corp. 36,507 120,473 * Superconductor Technologies, Inc. 220,770 185,447 *# SuperGen, Inc. 280,578 2,025,773 * Superior Consultant Holdings Corp. 92,000 603,520 Superior Uniform Group, Inc. 86,600 1,205,472 * Supertex, Inc. 94,300 2,051,025 * SupportSoft, Inc. 263,552 1,338,844 Supreme Industries, Inc. 92,283 564,772 SureWest Communications 84,701 2,411,437 *# SurModics, Inc. 108,638 3,270,004 * Swift Energy Corp. 149,700 4,541,898 * Swisher International, Inc. 8,500 18,700 SWS Group, Inc. 70,349 1,485,067 * Sykes Enterprises, Inc. 241,449 1,629,781 * Symmetricom, Inc. 378,352 4,086,202 * Syms Corp. 143,200 1,774,248 * Synalloy Corp. 87,058 848,816 *# Synaptics, Inc. 128,907 4,950,029 * Synovis Life Technologies, Inc. 88,200 1,045,170 * Synplicity, Inc. 113,420 637,420 Syntel, Inc. 11,058 216,516 * Synthetech, Inc. 129,700 134,888 * Syntroleum Corp. 341,598 2,367,274 Sypris Solutions, Inc. 122,835 1,998,525 * Systemax, Inc. 133,200 919,080 * T-3 Energy Services, Inc. 9,270 62,016 *# Tag-It Pacific, Inc. 74,700 336,150 * Taitron Components, Inc. 15,500 38,595 * TALK America Holdings, Inc. 160,756 1,015,978
195
SHARES VALUE+ ------ ------ TALX Corp. 84,019 $ 2,470,159 Tandy Brand Accessories, Inc. 56,777 811,287 * Tanox, Inc. 42,211 584,622 *# Tarantella, Inc. 18,840 24,304 * Tarrant Apparel Group 120,100 223,386 Tasty Baking Co. 80,500 673,785 TB Wood's Corp. 26,200 142,004 * TBC Corp. 180,300 4,808,601 * Team, Inc. 55,200 937,296 * TeamStaff, Inc. 16,600 33,034 Tech/Ops Sevcon, Inc. 60,800 363,584 Teche Holding Co. 2,700 110,363 * Technical Communications Corp. 7,300 48,545 Technology Research Corp. 44,600 312,200 * Technology Solutions Corp. 61,700 57,998 * TechTeam Global, Inc. 81,200 763,280 * Tegal Corp. 41,000 53,710 *# TeleCommunication Systems, Inc. 152,050 462,232 * Teleglobe International Holdings, Ltd. 14,650 50,250 * TeleTech Holdings, Inc. 311,314 3,041,538 * Telkonet, Inc. 5,900 26,727 * Telular Corp. 106,075 675,698 * TenFold Corp. 1,700 1,751 Tennant Co. 54,900 2,196,000 * Tenneco Automotive, Inc. 260,400 4,036,200 * Terayon Communication Systems, Inc. 361,401 719,188 *# Terra Industries, Inc. 475,400 3,898,280 * Tessco Technologies, Inc. 53,500 711,550 * TETRA Technologies, Inc. 193,200 5,873,280 Texas United Bancshares, Inc. 481 9,019 TF Financial Corp. 13,900 450,152 * Thackeray Corp. 69,700 66,215 * The Banc Corp. 59,108 464,589 * The Dress Barn, Inc. 183,867 3,156,996 * The Geo Group, Inc. 92,800 2,139,040 * The Hallwood Group, Inc. 2,653 253,468 * The Lamson & Sessions Co. 144,400 1,306,820 The Marcus Corp. 117,300 2,680,305 * The Rowe Companies 120,268 607,353 * The Sports Authority, Inc. 147,900 4,216,629 * The Sports Club Co., Inc. 142,200 240,318 The Topps Co., Inc. 250,608 2,498,562 * The Washtenaw Group, Inc. 2,000 3,180 * Theragenics Corp. 184,600 775,320 * Therma-Wave, Inc. 221,969 710,301 * Thermwood Corp. 920 764 * TheStreet.com, Inc. 227,700 990,495 * Third Wave Technologies, Inc. 250,729 2,020,876 * Thomas Group, Inc. 35,100 42,120 Thomas Industries, Inc. 107,600 4,215,768 * Thoratec Corp. 294,888 2,948,880 * THQ, Inc. 2,500 53,650 * Three-Five Systems, Inc. 121,600 235,904 * Tickets.com, Inc. 700 525 * Tier Technologies, Inc. Class B 114,600 1,011,918 TierOne Corp. 113,046 2,804,671 * TII Network Technologies, Inc. 57,160 83,454 Timberland Bancorp, Inc. 36,300 889,350 * Timco Aviation Services, Inc. 8,568 3,084 * Time Warner Telecom, Inc. 49,793 188,715 * Tipperary Corp. 76,000 $ 357,960 Titan International, Inc. 53,350 665,808 * Titan Pharmaceuticals, Inc. 199,100 497,750 * Titanium Metals Corp. 80,950 1,861,041 *# TiVo, Inc. 263,409 1,240,656 * TL Administration Corp. 600 11 * TLC Vision Corp. 126,365 1,473,416 Todd Shipyards Corp. 44,600 763,998 * Todhunter International, Inc. 48,800 581,696 * Tofutti Brands, Inc. 4,000 12,400 * Tollgrade Communications, Inc. 78,895 843,388 Tompkins County Trustco, Inc. 473 24,927 * Too, Inc. 165,900 4,213,860 *# Torch Offshore, Inc. 90,900 179,891 *# Toreador Resources Corp. 41,700 643,431 * Total Entertainment Restaurant Corp. 60,431 606,727 *# Tower Automotive, Inc. 339,900 611,820 Track Data Corp. 3,500 2,905 * Tradestation Group, Inc. 326,300 2,421,146 Traffix, Inc. 142,900 935,995 * Trailer Bridge, Inc. 42,500 276,250 * Trammell Crow Co. 261,500 4,471,650 * Trans World Entertainment Corp. 211,226 2,382,629 * Transact Technologies, Inc. 82,200 1,837,170 * Transaction Systems Architects, Inc. 145,037 2,976,159 * Transcat, Inc. 42,500 127,500 * Transgenomic, Inc. 25,800 31,476 * Trans-Industries, Inc. 9,700 25,317 * Transkaryotic Therapies, Inc. 200,937 4,583,373 Trans-Lux Corp. 7,545 47,534 *# Transmeta Corp. 40,384 68,249 * TransMontaigne, Inc. 187,560 1,018,451 * Transport Corp. of America 15,900 117,024 * Transpro, Inc. 63,000 383,355 * Transtechnology Corp. 94,300 711,965 * Transwitch Corp. 52,000 63,440 * Travis Boats & Motors, Inc. 15,400 5,929 * TRC Companies, Inc. 82,850 1,478,044 Tredegar Industries, Inc. 115,050 2,143,382 *# Trenwick Group, Ltd. 12,662 152 *# Trestle Holdings, Inc. 3,440 5,590 * Trex Co., Inc. 87,400 4,103,430 Triarc Companies, Inc. Class A 110,850 1,435,508 Trico Bancshares 79,100 1,894,445 * Trico Marine Services, Inc. 172,700 60,445 * Trident Microsystems, Inc. 210,300 3,280,680 * Trimedyne, Inc. 31,500 18,900 * Trimeris, Inc. 135,549 1,682,163 * TriPath Imaging, Inc. 254,653 1,828,409 * Tripath Technology, Inc. 78,000 66,300 * Tripos, Inc. 47,600 247,044 * Triquint Semiconductor, Inc. 83,466 361,408 * Triton PCS Holdings, Inc. 382,800 957,000 * Triumph Group, Inc. 94,100 3,816,696 *# Tri-Valley Corp. 10,600 72,186 * TriZetto Group, Inc. 293,403 2,077,293 * TRM Corp. 59,300 1,113,061 *# Tropical Sportswear International Corp. 55,260 77,917 * Troy Group, Inc. 14,400 41,904
196
SHARES VALUE+ ------ ------ * Trump Hotels & Casino Resorts, Inc. 84,100 $ 69,803 TSR, Inc. 100,400 699,788 * TTM Technologies, Inc. 253,341 2,629,680 * Tufco Technologies, Inc. 1,300 10,075 * Tumbleweed Communications Corp. 296,069 1,036,242 * TurboChef Technologies, Inc. 143,900 913,765 * Tut Systems, Inc. 134,900 532,855 * Tweeter Home Entertainment Group, Inc. 144,525 926,405 Twin Disc, Inc. 41,100 1,032,021 * Tyler Technologies, Inc. 388,250 3,043,880 * U.S. Concrete, Inc. 122,029 887,151 *# U.S. Diagnostic, Inc. 26,100 3 * U.S. Energy Corp. Wyoming 71,870 214,891 * U.S. Physical Therapy, Inc. 81,473 1,262,832 * U.S. Xpress Enterprises, Inc. Class A 100,900 2,623,400 * UbiquiTel, Inc. 332,185 2,159,203 * UFP Technologies, Inc. 11,800 41,064 UIL Holdings Corp. 31,211 1,668,540 * Ulticom, Inc. 232,728 4,177,468 *# Ultimate Electronics, Inc. 86,900 265,914 * Ultimate Software Group, Inc. 138,544 1,769,207 * Ultradata Systems, Inc. 13,600 6,120 * Ultralife Batteries, Inc. 101,400 1,525,056 * Ultratech, Inc. 147,602 2,543,182 * Unico American Corp. 114,100 852,327 * Unifi, Inc. 318,700 1,185,564 Unifirst Corp. 87,300 2,412,972 Union Bankshares Corp. 2,557 95,913 Union Community Bancorp 3,000 56,775 * United Capital Corp. 90,008 2,182,694 United Community Financial Corp. 146,839 1,687,180 United Financial Corp. 2,640 64,944 * United Financial Mortgage Corp. 19,300 87,815 United Fire & Casualty Co. 11,300 752,580 United Industrial Corp. 124,900 4,871,100 * United Online, Inc. 113,722 1,213,414 * United PanAm Financial Corp. 600 11,910 * United Retail Group, Inc. 118,000 489,700 # United Security Bancshares 6,500 161,785 *# United Therapeutics Corp. 115,469 5,081,791 United-Guardian, Inc. 36,820 285,355 Unitil Corp. 39,500 1,106,395 Unity Bancorp, Inc. 15,986 192,631 * Universal Access Global Holdings, Inc. 1,255 163 * Universal American Financial Corp. 294,333 3,929,346 * Universal Display Corp. 170,508 1,662,453 * Universal Electronics, Inc. 97,200 1,773,900 Universal Forest Products, Inc. 98,366 4,245,477 * Universal Stainless & Alloy Products, Inc. 55,300 814,016 Unizan Financial Corp. 100,034 2,578,877 * UQM Technologies, Inc. 172,400 363,764 * Urologix, Inc. 97,600 694,912 *# US Airways Group, Inc. Class A 56,221 62,405 *# US LEC Corp. 242,800 818,236 * USA Mobility, Inc. 117,961 4,289,062 * USA Truck, Inc. 53,200 659,148 *# USANA Health Services, Inc. 117,850 3,501,324 USB Holding Co., Inc. 1,697 $ 47,438 *# USDATA Corp. 24,040 962 Utah Medical Products, Inc. 53,100 1,154,925 *# V.I. Technologies, Inc. 26,980 18,077 * VA Software Corp. 330,636 816,671 * Vail Resorts, Inc. 169,315 3,851,916 *# Valence Technology, Inc. 67,400 242,640 Valley National Gases, Inc. 10,200 130,560 Valmont Industries, Inc. 146,120 3,647,155 * Valpey Fisher Corp. 35,700 121,380 * ValueClick, Inc. 41,469 534,950 * ValueVision Media, Inc. Class A 226,840 2,572,366 *# Vascular Solutions, Inc. 88,100 912,716 * Vastera, Inc. 264,472 489,273 *# Vaxgen, Inc. 129,700 2,033,696 # Vector Group, Ltd. 221,263 3,628,713 * Veeco Instruments, Inc. 183,896 3,565,743 * VendingData Corp. 2,100 3,969 * Ventiv Health, Inc. 1,700 32,912 * Verilink Corp. 138,842 485,947 * Veritas DGC, Inc. 124,100 2,903,940 * Verity, Inc. 231,679 3,176,319 * Vermont Pure Holdings, Ltd. 20,600 36,668 * Versant Corp. 13,300 9,709 * Versar, Inc. 54,200 235,770 * Verso Technologies, Inc. 138,766 112,400 * VerticalBuyer Inc. 15,785 474 *# Vertrue, Inc. 61,160 2,122,252 Vesta Insurance Group, Inc. 228,800 860,288 * Vestin Group, Inc. 150 461 Viad Corp. 133,200 3,195,468 * Vialta, Inc. 621 106 * Viasat, Inc. 165,911 3,462,563 * Vical, Inc. 120,967 520,158 * Vicon Industries, Inc. 44,450 251,587 Vicor Corp. 185,968 2,021,472 # Video Display Corp. 96,880 1,322,412 * Viewpoint Corp. 142,100 372,302 * Vignette Corp. 86,378 109,700 * Viisage Technology, Inc. 267,239 2,156,619 * Virage Logic Corp. 132,800 1,995,984 * Virbac Corp. 29,500 103,840 * Virco Manufacturing Corp. 155,131 1,194,509 * Virginia Commerce Bancorp, Inc. 250 7,125 *# Virologic, Inc. 273,717 574,806 *# ViroPharma, Inc. 165,087 467,196 * Vision-Sciences, Inc. 23,250 61,613 *# Vista Medical Technologies, Inc. 23,750 26,600 * Visual Networks, Inc. 64,100 206,402 *# Vital Images, Inc. 71,196 1,152,663 Vital Signs, Inc. 91,700 3,430,497 * VitalWorks, Inc. 315,800 1,272,674 *# Vitech America, Inc. 99,280 273 * Vitesse Semiconductor, Inc. 35,700 116,382 * Vitria Technology, Inc. 206,384 714,089 * Vivus, Inc. 267,900 1,575,252 * VL Dissolution Corp. 12,426 1,864 * Vodavi Technology, Inc. 26,400 185,328 * Volt Information Sciences, Inc. 127,204 3,879,722 Vulcan International Corp. 8,251 371,295 * Vyyo, Inc. 86,516 627,241
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SHARES VALUE+ ------ ------ * W-H Energy Services, Inc. 185,300 $ 4,235,958 * Wabash National Corp. 107,640 2,677,007 Wainwright Bank & Trust Co. 292 3,548 Walter Industries, Inc. 217,100 5,466,578 Washington Banking Co. 14,041 246,279 Washington Savings Bank FSB 43,368 585,468 Washington Trust Bancorp, Inc. 82,080 2,414,794 Waste Industries USA, Inc. 67,900 778,813 * WatchGuard Technologies, Inc. 197,384 809,274 * Water Pik Technologies, Inc. 30,700 528,040 * Waterlink, Inc. 800 0 Waters Instruments, Inc. 750 5,663 Watsco, Inc. Class A 8,900 294,323 * Waxman Industries, Inc. Class B 975 0 WD-40 Co. 101,118 2,953,657 * Webco Industries, Inc. 37,500 281,250 * webMethods, Inc. 322,647 1,981,053 * Weider Nutrition International, Inc. 70,700 299,768 Wellco Enterprises, Inc. 10,600 156,880 Wellman, Inc. 250,200 2,574,558 *# Wells-Gardner Electronics Corp. 50,473 266,497 Wesbanco, Inc. 121,504 3,840,741 West Bancorporation 6,300 109,242 # West Coast Bancorp 104,787 2,756,946 * West Marine, Inc. 133,800 3,090,780 West Pharmaceutical Services, Inc. 173,800 4,063,444 * Westaff, Inc. 142,650 435,083 Westbank Corp. 10,363 190,886 * Westcoast Hospitality Corp. 118,800 602,316 * Westell Technologies, Inc. 332,484 2,177,770 * Western Power & Equipment Corp. 18,448 30,439 *# Western Sierra Bancorp 1,732 69,280 * Western Water Co. 100 5 * Westmoreland Coal Co. 2,400 71,160 Westwood Holdings Group, Inc. 6,037 115,186 *# Wet Seal, Inc. Class A 138,430 229,794 # Weyco Group, Inc. 3,300 133,122 * White Electronics Designs Corp. 154,256 1,033,515 * Whitehall Jewelers, Inc. 153,200 1,268,496 * Whiting Petroleum Corp. 24,253 825,572 *# WHX Corp. 34,433 26,858 * Wickes, Inc. 37,100 167 * Wild Oats Markets, Inc. 169,395 1,212,868 * William Lyon Homes, Inc. 9,300 654,255 * Williams Industries, Inc. 5,800 20,300 * Willis Lease Finance Corp. 67,300 598,970 Willow Grove Bancorp, Inc. 59,312 1,069,395 * Wilshire Enterprises, Inc. 130,375 786,161 * Wilson Greatbatch Technologies, Inc. 133,000 2,666,650 * Wilsons The Leather Experts, Inc. 240,495 1,202,475 * Wind River Systems, Inc. 29,542 357,458 * Winmark Corp. 51,900 1,383,135 # Winn-Dixie Stores, Inc. 238,400 953,600 * Wireless Facilities, Inc. 197,809 1,637,859 Wireless Telecom Group, Inc. 192,400 569,504 * Wireless WebConnect!, Inc. 80,807 234 * Witness Systems, Inc. 171,300 2,567,787 * WJ Communications, Inc. 180,700 612,573 * Wolverine Tube, Inc. 97,900 1,039,698 *# Women First HealthCare, Inc. 4,500 7 Woodhead Industries, Inc. 157,850 $ 2,380,378 Woodward Governor Co. 16,659 1,213,608 * World Acceptance Corp. 177,000 4,564,830 World Fuel Services Corp. 92,300 3,802,760 *# WorldGate Communications, Inc. 24,000 57,600 * Worldwide Restaurant Concepts, Inc. 245,424 802,536 WSFS Financial Corp. 12,200 747,250 X-Rite, Inc. 173,100 2,580,921 * Xanser Corp. 303,000 854,460 * Xeta Corp. 85,700 254,529 Yardville National Bancorp 75,767 2,523,799 * Young Broadcasting, Inc. Class A 110,450 1,077,992 * Zapata Corp. 13,360 841,947 * Zevex International, Inc. 26,500 92,750 * Zhone Technologies, Inc. 172,250 420,290 Ziegler Companies, Inc. 4,200 83,475 * Zila, Inc. 283,497 1,261,562 *# Zix Corp. 193,984 888,447 * Zoll Medical Corp. 56,729 1,924,815 *# Zoltek Companies, Inc. 130,900 1,204,280 * Zomax, Inc. 265,192 912,260 * Zones, Inc. 147,800 906,014 * Zoran Corp. 51,219 606,945 * Zygo Corp. 111,165 1,291,737 * ZymeTx, Inc. 2,400 102 --------------- TOTAL COMMON STOCKS (Cost $2,326,494,497) 3,175,895,671 --------------- RIGHTS/WARRANTS -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 205 0 * American Banknote Corp. Warrants Series 2 10/01/07 205 0 * Anacomp, Inc. Class B Warrants 12/10/06 0 0 *# Angeion Corp. Warrants 10/31/20 1,294 65 * CD&L, Inc. Rights 10/15/04 3,275 0 * Chart Industries, Inc. Warrants 09/15/10 159 2,465 * Chiquita Brands International, Inc. Warrants 03/19/09 546 3,003 * Del Global Technologies Corp. Warrants 03/28/08 4,265 4,692 * Imperial Credit Industries, Inc. Warrants 01/31/08 1,010 0 * Imperial Sugar Co. Warrants 08/29/08 2,543 5,595 * Lodgian, Inc. Class A Warrants 11/25/07 1,813 63 * Lodgian, Inc. Class B Warrants 11/25/09 5,601 210 * Magnum Hunter Resources, Inc. Warrants 03/21/05 42,340 25,827 * Milltope Group, Inc. Contigent Value Rights 44,000 0 * Optical Cable Corp. Warrants 10/24/07 655 0 *# OSI Pharmaceuticals, Inc. Rights 4,500 540
198
SHARES VALUE+ ------ ------ PMR Corp. Contingent Value Rights 08/05/04 61,200 $ 61 *# Timco Aviation Services, Inc. Warrants 02/27/07 17,520 2 --------------- TOTAL RIGHTS/WARRANTS (Cost $10,197) 42,523 ---------------
FACE AMOUNT ------ (000) BONDS -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 $ 9 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 1 0 --------------- TOTAL BONDS (Cost $0) 0 --------------- TEMPORARY CASH INVESTMENTS -- (6.0%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $174,966,000 U.S. Treasury Obligations, rates ranging from 2.875% to 4.75%, maturities ranging from 11/30/06 to 05/15/14, valued at $174,588,646) to be repurchased at $171,172,616 (Cost $171,163,392)^ 171,163 171,163,392 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $32,398,000 FHLMC Notes 4.20%, 10/29/09, valued at $32,536,987) to be repurchased at $32,199,681 (Cost $32,198,000) 32,198 32,198,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $203,361,392) 203,361,392 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,529,866,086) $ 3,379,299,586 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 199 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ UNITED KINGDOM -- (17.9%) COMMON STOCKS -- (17.9%) Aggregate Industries P.L.C. 1,964,973 $ 3,688,173 Amvescap P.L.C. 225,900 1,384,318 Arriva P.L.C. 231,050 2,163,954 Associated British Foods P.L.C. 990,462 14,152,962 Associated British Ports Holdings P.L.C. 378,800 3,403,288 Aviva P.L.C. 2,630,567 29,114,963 * AWG P.L.C. 76,018 1,092,962 BAA P.L.C. 1,614,239 17,953,811 BAE Systems P.L.C. 2,667,041 12,496,750 * Banco Santander Central Hispano SA 841,876 10,033,633 Barratt Developments P.L.C. 338,959 3,329,838 BBA Group P.L.C. 680,050 3,761,732 Bellway P.L.C. 38,000 517,193 Bovis Homes Group P.L.C. 132,000 1,272,170 BPB P.L.C. 458,500 3,857,096 Bradford & Bingley P.L.C. 80,259 421,938 Britannic P.L.C. 278,864 2,213,019 * British Airways P.L.C. 1,839,331 7,767,617 British Land Co. P.L.C. 870,090 13,610,932 British Vita P.L.C. 286,388 1,466,422 Brixton P.L.C. 359,333 2,217,502 Cable and Wireless P.L.C. 3,512,914 7,609,065 Carnival P.L.C. 156,870 8,751,205 * Corus Group P.L.C. 6,312,988 6,630,051 Derwent Valley Holdings P.L.C. 49,351 927,107 DeVere Group P.L.C. 85,228 713,960 Dixons Group P.L.C. 333,402 927,542 * Duelguide Units P.L.C. 36,010 370,184 * Easyjet P.L.C. 294,025 1,045,345 FKI P.L.C. 856,795 2,171,803 Friends Provident P.L.C. 2,272,618 6,652,081 Galen Holdings P.L.C. 319,000 5,197,328 Great Portland Estates P.L.C. 239,324 1,464,984 Greene King P.L.C. 105,263 2,400,651 Hammerson P.L.C. 468,800 7,136,185 Hanson P.L.C. 963,671 7,718,181 HBOS P.L.C. 14,538 203,486 * HHG P.L.C. 842,619 780,794 Hilton Group P.L.C. 2,673,589 13,199,650 Intercontinental Hotels Group P.L.C. 968,773 12,321,669 * International Power P.L.C. 2,525,271 7,316,497 ITV P.L.C. 1,551,881 3,253,412 Johnson Matthey P.L.C. 43,250 837,103 Kelda Group P.L.C. 161,510 1,664,219
1 Kingfisher P.L.C. 659,395 3,628,560 Land Securities Group P.L.C. 78,654 1,931,002 Liberty International P.L.C. 469,345 7,948,434 London Merchant Securities P.L.C. 358,862 1,374,062 Marks & Spencer Group P.L.C. 1,197,239 7,507,828 Mersey Docks & Harbour Co. P.L.C. 115,042 1,963,986 MFI Furniture Group P.L.C. 66,600 147,555 Millennium and Copthorne Hotels P.L.C. 493,245 3,403,860 Mitchells & Butlers P.L.C. 630,549 3,645,854 * MM02 P.L.C. 8,760,348 19,150,459 Pearson P.L.C. 245,987 2,881,913 Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,506,424 Pennon Group P.L.C. 58,615 993,265 Persimmon P.L.C. 271,811 3,215,321 * Pillar Property P.L.C. 131,128 1,766,906 * Premier Oil P.L.C. 119,812 1,281,811 Quintain Estates & Development P.L.C. 75,000 678,151 Rio Tinto P.L.C. 83,136 2,429,211 RMC Group P.L.C. 401,000 6,426,693 * Rolls Royce Group P.L.C. 2,749,448 13,820,270 Rolls Royce Group P.L.C. 87,432,446 177,656 Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,069,730 Royal Bank of Scotland Group P.L.C. 219,664 6,750,397 Sabmiller P.L.C. 192,609 3,241,389 Sainsbury (J.) P.L.C. 2,629,334 13,111,209 Scottish & Newcastle P.L.C. 976,911 8,005,286 Scottish Power P.L.C. 1,102,159 8,143,727 Severn Trent P.L.C. 210,597 3,579,003 Shire Pharmaceuticals Group P.L.C. 683,427 6,850,230 Singer & Friedlander Group P.L.C. 253,818 1,360,647 Slough Estates P.L.C. 706,900 6,514,933 Smith (David S.) Holdings P.L.C. 547,941 1,559,927 Somerfield P.L.C. 738,068 2,153,583 Stanley Leisure P.L.C. 189,634 1,618,826 Tate & Lyle P.L.C. 660,070 6,201,623 Taylor Woodrow P.L.C. 998,309 4,430,105 * The Berkeley Group Holdings P.L.C. 228,802 5,208,890 * Thus Group P.L.C. 1,857,640 506,804 Trinity Mirror P.L.C. 495,640 5,900,900 United Utilities P.L.C. 265,595 2,853,278 Vodafone Group P.L.C. 36,676,526 99,621,935 Westbury P.L.C. 27,098 198,280 Whitbread P.L.C. 520,965 7,943,848 Wilson Bowden P.L.C. 105,900 2,014,911 Wimpey (George) P.L.C. 446,968 3,047,161 Wolverhampton & Dudley Breweries P.L.C. 107,366 1,877,948 Woolworths Group P.L.C. 2,125,199 1,807,964 ------------------ TOTAL COMMON STOCKS (Cost $395,622,398) 537,664,530 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 222,049 ------------------ (Cost $218,213) TOTAL -- UNITED KINGDOM (Cost $395,840,611) 537,886,579 ------------------
2
SHARES VALUE+ ------------ ------------------ JAPAN -- (15.6%) COMMON STOCKS -- (15.4%) # Aichi Steel Corp. 120,000 639,864 AIOI Insurance Co., Ltd. 928,735 4,099,014 Aisin Seiki Co., Ltd. 182,500 3,922,135 Akita Bank, Ltd. 115,000 450,865 # Alpine Electronics, Inc. 36,800 493,856 Amada Co., Ltd. 376,000 1,892,739 # Anritsu Corp. 67,000 489,523 Aoyama Trading Co., Ltd. 47,700 1,177,185 Asahi Breweries, Ltd. 221,600 2,616,693 Asatsu-Dk, Inc. 32,500 948,181 Autobacs Seven Co., Ltd. 23,700 691,733 Awa Bank, Ltd. 196,600 1,196,489 Bank of Iwate, Ltd. 15,300 708,959 # Bank of Kyoto, Ltd. 347,400 2,905,585 Bank of Nagoya, Ltd. 185,000 954,565 Canon Sales Co., Inc. 124,900 1,788,562 Chiba Bank, Ltd. 941,000 5,972,629 Chudenko Corp. 41,100 594,696 Chugoku Bank, Ltd. 238,800 2,606,569 Citizen Watch Co., Ltd. 318,000 2,878,243 Coca-Cola West Japan Co., Ltd. 58,400 1,453,691 Comsys Holdings Corp. 92,000 790,402 Cosmo Oil Co., Ltd. 764,000 2,217,655 Dai Nippon Ink & Chemicals, Inc. 459,000 1,037,281 Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,019,438 Dai Nippon Printing Co., Ltd. 784,000 11,698,696 Daicel Chemical Industries, Ltd. 485,000 2,683,925 Daido Steel Co., Ltd. 274,000 749,659 Daishi Bank, Ltd. 355,000 1,354,819 Daiwa House Industry Co., Ltd. 663,000 7,115,109 Denso Corp. 22,500 537,877 # Ebara Corp. 173,000 769,700 Ezaki Glico Co., Ltd. 174,600 1,228,722 Fuji Electric Co., Ltd. 525,780 1,357,224 Fuji Fire & Marine Insurance Co., Ltd. 297,000 967,308 Fuji Heavy Industries 493,000 2,277,016 Fuji Oil Co., Ltd. 55,200 649,009 Fuji Photo Film Co., Ltd. 563,000 19,770,970 Fujikura, Ltd. 241,000 1,080,405 Fukui Bank, Ltd. 343,000 1,392,967 # Fukuoka Bank, Ltd. 418,000 2,647,827 Fukuyama Transporting Co., Ltd. 266,000 1,050,906 Futaba Corp. 16,000 374,944 Futaba Industrial Co., Ltd. 44,100 715,289 Glory, Ltd. 46,800 731,875 Gunma Bank, Ltd. 323,000 1,689,328 Gunze, Ltd. 148,000 645,146
3 Hachijuni Bank, Ltd. 344,000 2,269,157 * Hankyu Corp. 174,000 672,142 Hanshin Electric Railway Co., Ltd. 216,000 711,083 Heiwa Corp. 81,500 1,219,515 Higo Bank, Ltd. 308,000 1,941,622 Hitachi Cable, Ltd. 236,000 995,854 Hitachi Maxell, Ltd. 96,000 1,303,233 Hitachi Metals, Ltd. 360,000 2,041,542 Hitachi, Ltd. 3,891,000 24,995,057 Hokkoku Bank, Ltd. 223,000 989,578 Hokuetsu Paper Mills, Ltd. 162,000 876,828 House Foods Corp. 117,000 1,665,322 Hyakugo Bank, Ltd. 258,000 1,475,276 Hyakujishi Bank, Ltd. 314,000 1,844,631 * Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,114,336 * Itochu Corp. 120,000 543,178 Itoham Foods, Inc. 132,000 638,519 Iyo Bank, Ltd. 204,000 1,488,562 Japan Airport Terminal Co., Ltd. 33,000 309,897 Joyo Bank, Ltd. 545,000 2,549,901 Juroku Bank, Ltd. 349,000 1,500,586 Kagoshima Bank, Ltd. 132,000 795,400 Kamigumi Co., Ltd. 357,000 2,766,866 # Kandenko Co., Ltd. 129,000 683,325 Katokichi Co., Ltd. 34,500 650,155 # Kawasaki Heavy Industries, Ltd. 910,000 1,369,900 Kikkoman Corp. 259,000 2,361,000 Kinden Corp. 167,000 1,229,842 Kirin Brewery Co., Ltd. 752,000 7,200,964 # Kissei Pharmaceutical Co., Ltd. 41,000 858,892 Kobe Steel, Ltd. 2,632,000 4,005,252 Koito Manufacturing Co., Ltd. 101,000 832,929 Kokuyo Co., Ltd. 81,200 931,741 Komori Corp. 47,000 648,548 Kuraray Co., Ltd. 332,500 2,736,331 KYORIN Pharmaceutical Co., Ltd. 52,000 742,348 # Makita Corp. 209,000 3,228,203 Marubeni Corp. 1,942,000 5,496,133 Marui Co., Ltd. 345,200 4,561,048 Maruichi Steel Tube, Ltd. 117,000 2,051,704 Matsushita Electric Industrial Co., Ltd. 2,684,135 39,847,476 Matsushita Electric Works, Ltd. 268,000 2,293,600 Meiji Seika Kaisha, Ltd. Tokyo 243,000 1,068,514 Michinoku Bank, Ltd. 73,000 345,500 Millea Holdings, Inc. 1,870 26,342,329 Mitsubishi Gas Chemical Co., Inc. 305,000 1,442,488 Mitsubishi Heavy Industries, Ltd. 3,355,000 9,601,127 Mitsubishi Logistics Corp. 106,000 984,889 Mitsubishi Materials Corp. 975,000 2,020,966 Mitsui Chemicals, Inc. 540,800 2,829,991 Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 801,907 Mitsui Marine & Fire Insurance Co., Ltd. 1,564,000 13,746,639 Mitsumi Electric Co., Ltd. 45,800 505,707 Mizuho Holdings, Inc. 1,192 5,173,642
4 Morinaga Milk Industry Co., Ltd. 160,000 644,584 Musashino Bank, Ltd. 20,000 800,061 Nagase & Co., Ltd. 87,000 687,585 Namco, Ltd. 11,000 135,028 Nanto Bank, Ltd. 317,000 1,532,365 NGK Insulators, Ltd. 216,000 1,791,941 NGK Spark Plug Co., Ltd. 144,000 1,401,487 Nichicon Corp. 51,200 633,612 Nichirei Corp. 180,000 670,824 # Nifco, Inc. 37,000 567,669 Nihon Unisys, Ltd. 69,100 641,335 Nippon Broadcasting System, Inc. 20,690 978,259 Nippon Kayaku Co., Ltd. 128,000 699,364 Nippon Meat Packers, Inc., Osaka 144,000 1,860,776 Nippon Mitsubishi Oil Corp. 1,871,050 12,279,544 Nippon Paint Co., Ltd. 167,000 670,721 Nippon Sheet Glass Co., Ltd. 280,000 1,076,398 * Nippon Shinpan Co., Ltd. 191,000 675,452 Nippon Shokubai Co., Ltd. 163,000 1,338,046 Nippon Television Network Corp. 9,400 1,358,813 # Nishimatsu Construction Co., Ltd. 364,000 1,141,553 Nishi-Nippon Bank, Ltd. 112,540 485,374 Nissay Dowa General Insurance Co., Ltd. 383,000 1,786,299 Nisshin Seifun Group, Inc. 148,000 1,622,155 Nisshin Steel Co., Ltd. 627,000 1,494,189 Nisshinbo Industries, Inc. 305,000 2,084,653 # * Nissho Iwai-Nichmen Holdings Corp. 130,400 547,916 # NSK, Ltd. 319,000 1,481,284 Obayashi Corp. 520,000 3,225,959 Ogaki Kyoritsu Bank, Ltd. 68,000 361,150 Oji Paper Co., Ltd. 275,000 1,564,800 Okumura Corp. 144,000 793,282 Onward Kashiyama Co., Ltd. 100,000 1,357,842 PanaHome Corp. 106,000 543,820 Pioneer Electronic Corp. 139,800 2,613,796 Promise Co., Ltd. 60,500 4,220,704 Q.P. Corp. 109,600 960,526 # Rengo Co., Ltd. 152,000 696,632 * Resona Holdings, Inc. 1,873,000 3,307,879 San In Godo Bank, Ltd. 110,000 882,181 Sanwa Shutter Corp. 101,000 563,623 Sanyo Shinpan Finance Co., Ltd. 19,800 1,273,932 # Sapporo Breweries, Ltd. 251,000 1,083,835 Sapporo Hokuyo Holdings, Inc. 224 1,565,943 Seino Transportation Co., Ltd. 193,000 1,751,928 Sekisui Chemical Co., Ltd. 557,000 3,646,982 Sekisui House, Ltd. 942,000 10,378,242 Seventy-seven (77) Bank, Ltd. 241,000 1,567,945 SFCG Co., Ltd. 8,010 1,971,516 Shiga Bank, Ltd. 272,000 1,484,603 Shikoku Bank, Ltd. 72,000 412,853 Shimachu Co., Ltd. 36,200 858,825 Shinko Securities Co., Ltd. 470,000 1,418,171 Shizuoka Bank, Ltd. 473,000 4,154,962
5 Sumitomo Bakelite Co., Ltd. 105,000 610,069 Sumitomo Corp. 471,000 3,964,211 Sumitomo Electric Industries, Ltd. 472,000 4,934,630 Sumitomo Forestry Co., Ltd. 139,000 1,217,377 Sumitomo Metal Industries, Ltd. Osaka 592,000 787,024 Sumitomo Metal Mining Co., Ltd. 313,000 2,340,059 Sumitomo Osaka Cement Co., Ltd. 269,000 591,633 Sumitomo Trust & Banking Co., Ltd. 21,000 139,903 Suzuken Co., Ltd. 54,000 1,269,287 Taiheiyo Cement Corp. 1,209,800 3,023,219 Taisei Corp. 527,000 2,077,690 Taiyo Yuden Co., Ltd. 77,000 782,756 Takara Standard Co., Ltd. 118,000 696,478 Takashimaya Co., Ltd. 124,000 1,172,422 Teijin, Ltd. 893,000 3,829,691 Teikoku Oil Co., Ltd. 346,000 1,878,076 Toda Corp. 203,000 906,207 Toho Bank, Ltd. 97,000 356,918 Tokai Tokyo Securities Co., Ltd. 155,000 440,169 Tokuyama Corp. 248,000 1,417,399 Tokyo Broadcasting System, Inc. 117,500 1,859,950 Tokyo Style Co., Ltd. 133,000 1,486,662 Tokyo Tatemono Co., Ltd. 143,000 920,968 Toppan Printing Co., Ltd. 441,000 4,576,733 Toshiba TEC Corp. 181,000 804,742 Tostem Inax Holding Corp. 228,000 4,022,909 Toyo Ink Manufacturing Co., Ltd. 174,000 615,254 Toyo Seikan Kaisha, Ltd. 287,600 4,687,662 Toyo Suisan Kaisha, Ltd. 64,000 825,720 Toyota Auto Body Co., Ltd. 86,000 1,414,103 Toyota Tsusho Corp. 79,000 1,188,614 TV Asahi Corp. 202 413,308 UNY Co., Ltd. 133,000 1,436,923 Wacoal Corp. 149,000 1,673,221 Yamagata Bank, Ltd. 100,000 468,422 Yamaguchi Bank, Ltd. 133,000 1,349,530 Yamanashi Chuo Bank, Ltd. 119,000 700,781 Yamatake Corp. 20,000 210,126 Yamazaki Baking Co., Ltd. 155,000 1,402,650 Yokohama Rubber Co., Ltd. 410,000 1,434,541 York-Benimaru Co., Ltd. 29,300 808,277 ------------------ TOTAL COMMON STOCKS (Cost $443,108,095) 464,821,980 ------------------ INVESTMENT IN CURRENCY -- (0.2%) * Japanese Yen 6,275,105 ------------------ (Cost $6,276,971) TOTAL -- JAPAN (Cost $449,385,066) 471,097,085 ------------------
6 FRANCE -- (10.8%) COMMON STOCKS -- (10.8%) AGF (Assurances Generales de France SA) 177,559 12,204,896 Air France 192,225 3,639,817 Air Liquide SA 9,820 1,671,861 Arcelor SA 167,800 3,697,167 AXA 1,670,413 39,122,585 BNP Paribas SA 902,415 62,745,944 Bongrain SA 7,145 484,919 # * Business Objects SA 54,856 1,280,655 * Cap Gemini SA 96,137 3,102,836 # * Club Mediterranee SA 8,962 411,643 Compagnie de Saint-Gobain 348,170 19,808,301 # Compagnie Francaise d'Etudes et de Construction Technip SA 16,088 2,694,337 Credit Agricole SA 27,709 820,511 Eiffage SA 6,954 693,811 Esso SA 686 101,897 Euler-Hermes SA 10,354 678,291 * Eurafrance 18,000 1,403,840 # Faurecia SA 30,445 2,276,996 # Fimalac SA 46,887 2,125,196 Generale des Establissements Michelin SA Series B 107,620 6,221,184 Havas SA 300,744 1,661,907 Imerys SA 44,000 3,363,354 LaFarge SA 139,696 13,122,402 LaFarge SA Prime Fidelity 85,542 8,043,508 Lagardere S.C.A. SA 10,900 778,878 Nexans 9,618 370,496 Peugeot SA 238,144 14,551,758 Pinault Printemps Redoute SA 67,999 7,065,871 Rallye SA 18,020 866,072 # Remy Cointreau SA 56,022 2,073,614 Renault SA 207,598 16,996,011 # Rexel SA 10,713 542,322 SA Des Galeries Lafayette 900 202,478 Schneider SA 209,919 14,594,986 SEB SA Prime Fidelity 9,900 1,006,552 Societe BIC SA 52,288 2,542,068 # Societe des Ciments de Francais 35,796 3,142,950 Societe Generale Paris 293,528 28,347,570 Sodexho Alliance SA 14,126 429,816 Suez (ex Suez Lyonnaise des Eaux) 701,284 16,488,080 Thomson Multimedia 179,505 4,311,546 # Unibail SA 34,832 4,955,962 Valeo SA 73,528 2,911,246 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 622,748 * Vivendi Universal SA 403,364 11,886,532 ------------------ TOTAL COMMON STOCKS (Cost $220,711,106) 326,065,414 ------------------ RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 16,500 18,421 * Rallye SA Series B Warrants 11/30/05 18,020 2,383 ------------------
7 TOTAL RIGHTS/WARRANTS (Cost $28,587) 20,804 ------------------ TOTAL -- FRANCE (Cost $220,739,693) 326,086,218 ------------------ MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad (Cost $1,085,853) 691,000 0 ------------------ GERMANY -- (7.1%) COMMON STOCKS -- (7.1%) Aachener und Muenchener Beteiligungs AG 33,828 2,556,439 Allianz AG 11,053 1,381,828 BASF AG 386,050 26,064,201 Bayer AG 498,853 15,829,617 Bayerische Motorenwerke AG 23,035 976,317 * Bayerische Vereinsbank AG 573,132 12,777,641 BHW Holding AG 10,667 144,370 Bilfinger & Berger Bau AG 23,702 887,947 * Commerzbank AG 408,050 8,157,135 DaimlerChrysler AG 1,037,459 46,429,283 Deutsche Bank AG 589,811 49,954,035 E.ON AG 12,593 1,060,464 Fraport AG 68,708 2,676,797 Fresenius Medical Care AG 27,600 2,160,307 * Heidelberger Druckmaschinen AG 46,167 1,578,133 Heidelberger Zement AG 70,373 3,993,505 Hochtief AG 56,150 1,667,607 * Hypo Real Estate Holding AG 84,277 3,263,856 IVG Immobilien AG 30,276 460,689 Karstadt Quelle AG 12,500 128,405 Linde AG 77,043 4,733,669 Merck KGAA 36,000 2,072,910 * MG Technologies AG 150,773 1,780,689 # Preussag AG 131,223 2,925,027 Salzgitter AG 13,041 263,659 SCA Hygiene Products AG 3,550 1,366,619 ThyssenKrupp AG 325,691 7,076,828 Vattenfall Europe AG 94,898 3,658,597 Volkswagen AG 202,446 9,107,320 ------------------ TOTAL COMMON STOCKS (Cost $180,557,681) 215,133,894 ------------------ RIGHTS/WARRANTS -- (0.0%) * Karstadt Quelle AG Rights 12/09/04 12,500 29,737 ------------------ (Cost $70,225) TOTAL -- GERMANY (Cost $180,627,906) 215,163,631 ------------------
8 SWITZERLAND -- (7.1%) COMMON STOCKS -- (7.1%) Baloise-Holding 214,760 9,027,920 Bank Sarasin & Cie Series B, Basel 180 299,479 Banque Cantonale Vaudoise 12,608 1,946,224 Berner Kantonalbank 23,400 3,325,566 * Ciba Spezialitaetenchemie Holding AG 81,000 5,862,257 Cie Financiere Richemont AG Series A 1,251,000 38,073,212 Clariant AG 19,200 298,870 * Credit Swisse Group 806,195 31,473,228 * Fischer (Georg) AG, Schaffhausen 1,280 330,452 # Givaudan SA 5,792 3,828,374 Helvetia Patria Holding 7,696 1,072,659 Holcim, Ltd. 199,770 11,440,948 Jelmoli Holding AG 500 690,230 Luzerner Kantonalbank AG 14,627 2,681,791 Pargesa Holding SA, Geneve 1,935 6,538,318 PSP Swiss Property AG 109,600 4,681,675 Rieters Holdings AG 7,860 2,284,323 Sig Holding AG 44,130 9,945,721 * Sika Finanz AG, Baar 3,828 2,261,329 # St. Galler Kantonalbank 14,319 3,512,490 * Swiss Life AG 132,137 17,356,050 Swiss Reinsurance Co., Zurich 82,700 5,524,052 * Syngenta AG 165,100 17,492,792 # Unaxis Holding AG 45,400 4,796,859 * Valiant Holding AG 39,295 3,566,334 Valora Holding AG 12,170 2,949,565 * Zurich Financial SVCS AG 152,206 23,419,596 ------------------ TOTAL COMMON STOCKS (Cost $148,683,401) 214,680,314 ------------------ RIGHTS/WARRANTS -- (0.0%) * Helvetia Patria Holding Rights 12/07/04 8,116 90,582 ------------------ (Cost $0) TOTAL -- SWITZERLAND (Cost $148,683,401) 214,770,896 ------------------ AUSTRALIA -- (6.4%) COMMON STOCKS -- (6.2%) Amcor, Ltd. 862,273 4,942,349 AMP, Ltd. 1,026,661 5,453,050 # Ansell, Ltd. 303,463 2,151,028 APN News & Media, Ltd. 495,309 1,910,807 Australand Property Group 292,716 411,887 AWB, Ltd. 356,256 1,309,632
9 AXA Asia Pacific Holdings, Ltd. 2,837,724 8,777,105 # Bluescope Steel, Ltd. 1,252,100 8,134,416 Boral, Ltd. 919,617 4,895,282 Caltex Australia, Ltd. 440,369 3,121,553 Commonwealth Bank of Australia 1,251,077 30,387,664 CSR, Ltd. 1,514,337 3,010,727 Downer Group, Ltd. 223,115 772,283 Futuris Corp., Ltd. 458,719 748,533 Insurance Australiz Group, Ltd. 1,466,691 6,613,074 Lend Lease Corp., Ltd. 568,460 5,344,330 Lion Nathan, Ltd. 871,345 5,354,657 Mayne Group, Ltd. 1,301,416 4,286,592 # Mirvac, Ltd. 1,185,081 4,330,046 National Australia Bank, Ltd. 1,252,892 27,239,746 Onesteel, Ltd. 446,887 852,312 Orica, Ltd. 358,303 5,418,336 Origin Energy, Ltd. 694,412 3,776,075 Paperlinx, Ltd. 727,704 2,614,992 Publishing and Broadcasting, Ltd. 405,482 4,895,936 Quantas Airways, Ltd. 3,393,231 9,378,667 Rinker Group, Ltd. 1,155,484 8,572,213 Santos, Ltd. 953,246 6,529,804 # Seven Network, Ltd. 383,865 1,866,988 * Southcorp, Ltd. 1,146,542 3,232,560 Stockland Trust Group 22,084 100,390 * Stockland Trust Group 783 3,548 WMC Resources, Ltd. 1,821,249 10,096,940 ------------------ TOTAL COMMON STOCKS (Cost $123,337,406) 186,533,522 ------------------ INVESTMENT IN CURRENCY -- (0.2%) * Australian Dollar 6,012,695 ------------------ (Cost $6,108,819) TOTAL -- AUSTRALIA (Cost $129,446,225) 192,546,217 ------------------ SPAIN -- (4.9%) COMMON STOCKS -- (4.9%) # Acerinox SA 261,360 3,836,009 Arcelor SA 30,000 662,119 Autopistas Concesionaria Espanola SA 496,408 10,306,237 Banco de Andalucia 900 84,421 Banco de Sabadell SA 154,021 3,458,030 # Banco Pastor SA 59,400 1,939,044 # Banco Santander Central Hispanoamerica SA 2,754,687 33,045,586 Cementos Portland SA 21,016 1,175,481 Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,057,465 Ebro Puleva SA 120,322 1,549,160 Endesa SA, Madrid 1,136,646 24,487,412 Gas Natural SA, Buenos Aires 121,385 3,474,711 # Iberdrola SA 535,000 12,597,452
10 Iberia Lineas Aereas de Espana SA 617,500 2,013,474 Inmobiliaria Colonial SA ICSA 32,300 1,243,490 # Inmobiliaria Urbis SA 96,328 1,325,041 # Metrovacesa SA 69,066 3,290,079 Repsol SA 1,289,224 31,413,737 Sociedad General de Aguas de Barcelona SA 119,484 2,236,550 # Sol Melia SA 157,217 1,474,608 Union Fenosa SA 230,000 5,925,764 Vallehermoso SA 46,125 705,967 ------------------ TOTAL COMMON STOCKS (Cost $99,497,069) 148,301,837 ------------------ RIGHTS/WARRANTS -- (0.0%) * Sociedad General de Aguas de Barcelona SA Rights 12/15/04 119,484 22,232 ------------------ (Cost $0) TOTAL -- SPAIN (Cost $99,497,069) 148,324,069 ------------------ NETHERLANDS -- (4.2%) COMMON STOCKS -- (4.2%) ABN AMRO Holding NV 48,226 1,184,128 Aegon NV 1,335,528 16,512,414 Buhrmann NV 94,439 843,671 DSM NV 99,492 5,992,654 Hunter Douglas NV 94,242 4,750,608 IHC Caland NV 21,931 1,341,229 ING Groep NV 1,856,950 50,968,074 * Koninklijke Ahold NV 713,522 5,243,102 Koninklijke KPN NV 778,922 6,757,700 Koninklijke Nedlloyd NV 12,142 616,114 Koninklijke Philips Electronics NV 780,482 20,113,730 NV Holdingsmij de Telegraaf 6,800 161,860 Oce NV 60,734 907,927 * Versatel Telecom International NV 323,150 858,891 VNU NV 380,388 11,476,796 ------------------ TOTAL -- NETHERLANDS (Cost $89,713,830) 127,728,898 ------------------ SWEDEN -- (3.7%) COMMON STOCKS -- (3.6%) # * Ainax AB 40,366 1,601,623 Carbo AB 2,900 79,805 Castellum AB 4,100 142,427 Electrolux AB Series B 168,300 3,703,241 Gambro AB Series A 555,400 7,197,790 Gambro AB Series B 216,300 2,715,309 Holmen AB Series A 6,300 233,677 Holmen AB Series B 155,700 5,437,892
11 NCC AB Series B 59,700 753,603 Nordic Baltic Holdings AB 1,843,100 18,092,336 Skandinaviska Enskilda Banken Series A 196,000 3,730,512 Skandinaviska Enskilda Banken Series C 9,800 181,344 SSAB Swedish Steel Series A 180,800 4,361,398 SSAB Swedish Steel Series B 60,500 1,433,272 Svenska Cellulosa AB Series A 19,000 794,428 Svenska Cellulosa AB Series B 221,100 9,214,003 Svenska Kullagerfabriken AB Series A 22,650 965,142 Svenska Kullagerfabriken AB Series B 29,700 1,262,280 Telia AB 1,875,000 11,425,027 Trelleborg AB Series B 160,600 2,658,989 Volvo AB Series A 243,200 9,574,994 Volvo AB Series B 443,400 18,072,158 Whilborg Fastigheter AB Class B 173,980 3,457,233 ------------------ TOTAL COMMON STOCKS (Cost $70,971,563) 107,088,483 ------------------ INVESTMENT IN CURRENCY -- (0.1%) * Swedish Krona 3,698,511 ------------------ (Cost $3,705,806) TOTAL -- SWEDEN (Cost $74,677,369) 110,786,994 ------------------ HONG KONG -- (3.2%) COMMON STOCKS -- (3.2%) Cheung Kong Holdings, Ltd. 1,648,000 15,846,285 China Overseas Land & Investment, Ltd. 1,864,000 442,873 China Travel International Investment, Ltd. 680,000 205,117 Great Eagle Holdings, Ltd. 175,987 418,358 Hang Lung Development Co., Ltd. 2,518,000 4,721,136 Henderson Land Development Co., Ltd. 123,000 638,612 Hong Kong and Shanghai Hotels, Ltd. 372,000 348,818 Hopewell Holdings, Ltd. 1,455,000 3,771,769 Hutchison Whampoa, Ltd. 2,319,000 20,660,149 Hysan Development Co., Ltd. 2,157,039 4,377,561 Kerry Properties, Ltd. 2,312,291 4,951,737 New Asia Realty & Trust Co., Ltd. 140,000 66,640 New World Development Co., Ltd. 2,625,649 2,946,084 # Shanghai Industrial Holdings, Ltd. 1,094,000 2,203,508 # Shangri-La Asia, Ltd. 4,190,734 5,359,848 # Shun Tak Holdings, Ltd. 134,000 135,857 # Sino Land Co., Ltd. 8,041,407 7,689,791 Tsim Sha Tsui Properties, Ltd. 472,000 661,501 Wharf Holdings, Ltd. 3,619,214 12,871,190 Wheelock and Co., Ltd. 3,940,000 6,508,047 ------------------ TOTAL COMMON STOCKS (Cost $77,052,663) 94,824,881 ------------------
12 INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 203,239 ------------------ (Cost $203,299) RIGHTS/WARRANTS -- (0.0%) * China Travel International Investment, Ltd. Warrants 05/31/06 136,000 13,292 ------------------ (Cost $0) TOTAL -- HONG KONG (Cost $77,255,962) 95,041,412 ------------------ ITALY -- (2.5%) COMMON STOCKS -- (2.5%) * Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,295,497 * Banca Antoniana Popolare Veneta SpA 83,000 1,985,205 Banca Monte Dei Paschi di Siena SpA 1,623,479 5,306,690 # * Banca Nazionale del Lavoro SpA 2,230,687 5,457,494 # Banca Popolare di Lodi Scarl 437,995 4,889,598 Banca Popolare di Milano 665,400 5,414,145 Benetton Group SpA 181,249 2,179,239 # Buzzi Unicem SpA 67,793 950,378 Caltagirone Editore SpA 222,304 1,889,830 Capitalia SpA 2,910,876 11,419,773 CIR SpA (Cie Industriale Riunite), Torino 500,000 1,253,920 # Compagnia Assicuratrice Unipol SpA 452,120 2,000,977 # * Edison SpA 1,390,717 2,856,235 Erg SpA 197,993 2,203,693 # * Fiat SpA 1,054,970 7,814,046 Italcementi SpA 444,060 6,715,735 Italmobiliare SpA, Milano 33,664 1,949,937 Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 99,295 Milano Assicurazioni SpA 182,000 917,096 Pirelli & Co. SpA 1,486,658 1,891,787 # SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,076,989 San Paolo-IMI SpA 121,701 1,670,468 Societe Cattolica di Assicurazoni Scarl SpA 8,800 387,448 ------------------ TOTAL COMMON STOCKS (Cost $69,926,723) 75,625,475 ------------------ RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 51,693 8,224 ------------------ (Cost $0) TOTAL -- ITALY (Cost $69,926,723) 75,633,699 ------------------ IRELAND -- (1.6%) COMMON STOCKS -- (1.6%) Allied Irish Banks P.L.C. 144,188 2,798,692 Bank of Ireland P.L.C. 99,637 1,518,985 CRH P.L.C. 545,646 13,761,010 * Elan Corp. P.L.C. 690,634 17,993,169
13 Irish Permanent P.L.C. 650,175 11,241,742 ------------------ TOTAL -- IRELAND (Cost $26,709,697) 47,313,598 ------------------ FINLAND -- (1.5%) COMMON STOCKS -- (1.5%) Huhtamaki Van Leer Oyj 2,300 33,653 # * Kemira GrowHow Oyj 21,542 157,467 Kemira Oyj 101,377 1,403,187 Kesko Oyj 157,000 3,651,209 Metso Oyj 219,166 3,509,431 M-real Oyj Series B 253,400 1,651,678 Okobank Class A 65,000 903,664 Outokumpu Oyj Series A 351,300 6,533,481 Rautaruukki Oyj Series K 12,900 155,654 Stora Enso Oyj Series R 766,900 12,227,695 Upm-Kymmene Oyj 539,400 12,165,996 # Wartsila Corp. Oyj Series B 39,600 1,374,564 ------------------ TOTAL -- FINLAND (Cost $31,526,494) 43,767,679 ------------------ BELGIUM -- (1.4%) COMMON STOCKS -- (1.4%) Ackermans & Van Haaren SA 4,187 142,184 Algemene Mij Voor Nijverheidskredit Almanij 94,286 8,460,761 Banque Nationale de Belgique 1,049 4,441,149 Bekaert SA 2,787 218,038 Cofinimmo SA 1,108 177,423 Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 109,966 8,509,068 Dexia SA 191,251 4,080,385 D'Ieteren SA 431 81,571 Groupe Bruxelles Lambert 55,500 4,336,610 * ING Bank Belgium NV 128 4 Nationale a Portefeuille 4,029 763,223 Sofina SA 10,500 694,874 Suez (ex Suez Lyonnaise des Eaux) 95,400 2,239,088 Tessenderlo Chemie 31,155 1,298,467 Union Miniere SA 70,740 6,405,311 ------------------ TOTAL COMMON STOCKS (Cost $26,690,265) 41,848,156 ------------------ RIGHTS/WARRANTS -- (0.0%) * Umicore-Strip VVPR Rights 2,009 265 ------------------ (Cost $0) TOTAL -- BELGIUM (Cost $26,690,265) 41,848,421 ------------------
14
SHARES VALUE+ ------------ ------------------ DENMARK -- (1.2%) COMMON STOCKS -- (1.2%) Carlsberg A.S. Series B 32,525 1,517,604 Codan A.S. 57,000 2,919,597 Danisco A.S. 56,130 3,423,707 Danske Bank A.S. 395,753 11,832,330 # * Jyske Bank A.S. 82,000 2,945,370 Nordea AB 475,918 4,667,916 Rockwool, Ltd. 31,200 1,502,307 Sydbank A.S. 7,120 1,351,873 Tele Danmark A.S. 179,750 7,369,301 ------------------ TOTAL COMMON STOCKS (Cost $23,184,424) 37,530,005 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 527 ------------------ (Cost $506) TOTAL -- DENMARK (Cost $23,184,930) 37,530,532 ------------------ SINGAPORE -- (1.1%) COMMON STOCKS -- (1.1%) DBS Group Holdings, Ltd. 672,000 6,477,280 Fraser & Neave, Ltd. 756,290 6,733,037 Keppel Corp., Ltd. 570,000 2,797,082 # Neptune Orient Lines, Ltd. 801,000 1,440,753 Overseas Chinese Banking Corp., Ltd. 94,000 768,699 Sembcorp Industries, Ltd. 1,700,000 1,505,050 Singapore Airlines, Ltd. 1,258,000 8,361,262 Singapore Land, Ltd. 813,000 2,221,984 United Overseas Bank, Ltd. 66,000 547,881 United Overseas Land, Ltd. 1,734,000 2,458,662 ------------------ TOTAL COMMON STOCKS (Cost $26,461,854) 33,311,690 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 1,127,329 ------------------ (Cost $1,126,620) TOTAL -- SINGAPORE (Cost $27,588,474) 34,439,019 ------------------ NORWAY -- (1.1%) COMMON STOCKS -- (1.1%) Den Norske Bank ASA Series A 759,794 7,170,633 Norsk Hydro ASA 200,940 16,466,917 Norske Skogindustrier ASA Series A 247,500 5,265,472
15 Storebrand ASA 355,300 3,163,737 ------------------ TOTAL COMMON STOCKS (Cost $23,217,193) 32,066,759 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone 524,680 ------------------ (Cost $525,947) TOTAL -- NORWAY (Cost $23,743,140) 32,591,439 ------------------ AUSTRIA -- (0.4%) COMMON STOCKS -- (0.4%) * Bank Austria Creditanstalt AG 45,184 3,847,276 Bohler Uddeholm AG 6,402 758,788 OMV AG 11,385 3,007,395 # Voestalpine AG 62,211 4,450,174 Wienerberger AG 16,123 717,244 ------------------ TOTAL -- AUSTRIA (Cost $7,462,154) 12,780,877 ------------------ PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 1,428,405 3,572,420 Banco Espirito Santo e Comercial de Lisboa 86,280 1,526,668 BPI SGPS SA 477,999 1,946,299 # Cimpor Cimentos de Portugal SA 503,265 2,792,308 Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,938,854 ------------------ TOTAL -- PORTUGAL (Cost $10,531,651) 12,776,549 ------------------ GREECE -- (0.4%) COMMON STOCKS -- (0.4%) * Agricultural Bank of Greece S.A. 123,600 1,011,961 Alpha Credit Bank 35,040 1,100,861 Bank of Greece 8,520 1,077,870 Bank of Piraeus S.A. 4,600 72,272 Commercial Bank of Greece 44,760 1,364,782 EFG Eurobank Ergasias S.A. 60,097 1,751,263 Hellenic Petroleum S.A. 159,140 1,666,698 Hellenic Tellecommunication Organization Co. S.A. 140,460 2,309,191 National Bank of Greece 20,176 622,832 ------------------ TOTAL -- GREECE (Cost $7,215,408) 10,977,730 ------------------
16 NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 99,828 555,368 Carter Holt Harvey, Ltd. 1,955,577 3,108,333 Fletcher Building, Ltd. 440,315 1,942,870 ------------------ TOTAL COMMON STOCKS (Cost $4,198,478) 5,606,571 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 624,922 ------------------ (Cost $624,200) TOTAL -- NEW ZEALAND (Cost $4,822,678) 6,231,493 ------------------
VALUE+ ------------------ EMU -- (0.2%) INVESTMENT IN CURRENCY -- (0.2%) * Euro Currency 5,870,958 ------------------ (Cost $5,800,001) FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (7.1%) Repurchase Agreement, Mizuho Securities USA 1.96%, 12/01/04 (Collateralized by $245,420,215 U.S. STRIPS, maturities ranging from 05/15/05 to 02/15/16, valued at $183,600,001) to be repurchased at $180,009,800 (Cost $180,000,000) ^ 180,000 180,000,000 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $33,338,000 FNMA Notes 2.95%, 11/14/07, valued at $33,384,773) to be repurchased at $32,928,720 (Cost $32,927,000) 32,927 32,927,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $212,927,000) 212,927,000 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $2,345,081,600)++ $ 3,014,120,993 ------------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. # Total or Partial Securities on Loan. * Non-Income Producing Securities. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 17 THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ JAPAN -- (77.5%) COMMON STOCKS -- (76.7%) * A&A Material Corp. 123,000 $ 170,730 * ABILIT Corp. 22,000 192,119 # Achilles Corp. 549,000 920,852 Aderans Co., Ltd. 72,850 1,603,895 Advan Co., Ltd. 48,700 595,887 ADVANEX, Inc. 78,000 308,808 *# Aeon Fantasy Co., Ltd. 21,000 493,120 * Ahjikan Co., Ltd. 10,500 81,945 # Ahresty Corp. 28,300 351,478 Aica Kogyo Co., Ltd. 111,000 1,281,041 Aichi Bank, Ltd. 19,000 1,479,008 Aichi Corp. 136,000 590,910 * Aichi Machine Industry Co., Ltd. 153,000 522,188 # Aichi Steel Corp. 68,000 362,590 Aichi Tokei Denki Co., Ltd. 67,000 195,785 Aida Engineering, Ltd. 113,000 468,119 Aigan Co., Ltd. 33,500 290,783 Aiphone Co., Ltd. 35,600 618,452 Airport Facilities Co., Ltd. 92,970 486,606 Airtech Japan, Ltd. 12,100 103,253 Aisan Industry Co., Ltd. 90,900 825,577 * Akai Electric Co., Ltd. 363,000 3,531 Akebono Brake Industry Co., Ltd. 166,000 821,612 Akita Bank, Ltd. 363,000 1,423,164 # Allied Telesis KK 130,700 274,687 Aloka Co., Ltd. 49,000 317,688 Alpha Systems, Inc. 19,600 339,384 # Alpine Electronics, Inc. 108,500 1,456,070 # Alps Logistics Co., Ltd. 24,000 539,400 Altech Co., Ltd. 14,000 62,569 * Altech Corp. 12,750 169,242 # Amano Corp. 154,000 1,402,316 Amatsuji Steel Ball Manufacturing Co., Ltd. 42,000 428,030 Ando Corp. 140,000 349,099 Anest Iwata Corp. 74,000 201,628 # Anrakutei Co., Ltd. 30,000 207,591 # Anritsu Corp. 170,000 1,242,072 * AOC Holdings, Inc. 111,100 1,375,848 AOI Advertising Promotion, Inc. 21,000 155,822 AOI Electronics Co., Ltd. 19,300 282,955 Aoki International Co., Ltd. 87,400 1,101,488 Aomori Bank, Ltd. 342,000 1,378,461 * Apic Yamada Corp. 20,000 72,196 *# Arai-Gumi, Ltd. 34,450 64,811 Arakawa Chemical Industries, Ltd. 28,500 377,157 Araya Industrial Co., Ltd. 84,000 192,486 * Argo 21 Corp. 13,200 93,426 Ariake Japan Co., Ltd. 26,000 628,879 Aronkasei Co., Ltd. 66,000 310,560 # As One Corp. 24,500 709,550 Asahi Denka Kogyo KK 169,000 1,628,994 Asahi Diamond Industrial Co., Ltd. 133,000 720,483 Asahi Kogyosha Co., Ltd. 48,000 157,598 Asahi Organic Chemicals Industry Co., Ltd. 179,000 546,173 # Asahi Pretec Corp. 36,400 $ 447,947 * Asahi Soft Drinks Co., Ltd. 98,500 822,675 * Asahi Tec Corp. 86,000 184,606 *# Asahi Techno Glass Corp. 95,000 331,134 Asanuma Corp. 123,000 235,199 Ashimori Industry Co., Ltd. 84,000 205,280 Asia Air Survey Co., Ltd. 17,000 39,278 Asia Securities Printing Co., Ltd. 29,000 250,227 Asics Corp. 392,000 1,254,068 Asics Trading Co., Ltd. 12,000 157,026 Asti Corp. 8,000 67,305 # Asunaro Construction, Ltd. 90,000 592,392 Ataka Constuction & Engineering Co., Ltd. 38,000 135,783 Atom Corp. 16,600 160,640 # Atsugi Co., Ltd. 361,000 454,404 Aucnet, Inc. 15,000 283,981 Autoseven Co., Inc. 7,600 66,474 # Avex, Inc. 73,300 769,910 * Azel Corp., Tokyo 89,000 104,723 Bando Chemical Industries, Ltd. 213,000 858,368 Bank of Okinawa, Ltd. 36,900 900,969 Bank of Saga, Ltd. 320,000 1,157,749 Bank of the Ryukyus, Ltd. 54,080 986,791 Banpresto Co., Ltd. 17,100 246,341 * Belluna Co., Ltd. 35,100 1,211,986 # Best Denki Co., Ltd. 231,000 938,859 Biken Techno Corp. 4,200 29,937 # BSL Corp. 270,950 520,578 Bull Dog Sauce Co., Ltd. 30,000 350,850 Bunka Shutter Co., Ltd. 134,000 624,324 Cabin Co., Ltd. 67,000 219,527 CAC Corp. 31,100 237,090 # Calpis Co., Ltd. 147,000 957,937 Canon Electronics, Inc. 50,000 1,076,793 # Canon Finetech, Inc. 78,070 1,251,914 # Capcom Co., Ltd. 105,500 1,001,297 * Catena Corp. 46,000 106,977 * Cats, Inc. 15,400 449 # Cecile Co., Ltd. 74,200 995,927 Central Finance Co., Ltd. 180,000 625,600 # Central Security Patrols Co., Ltd. 31,400 257,719 CFS Corp. 47,500 268,690 * Chiba Kogyo Bank, Ltd. 91,700 537,868 Chino Corp. 70,000 218,392 Chiyoda Co., Ltd. 76,600 1,142,112 Chofu Seisakusho Co., Ltd. 54,500 989,984 *# Chori Co., Ltd. 305,000 474,918 # Chuetsu Pulp and Paper Co., Ltd. 199,000 500,499 * Chugai Mining Co., Ltd. 188,600 115,538 Chugai Ro Co., Ltd. 168,000 369,806 # Chugoku Marine Paints, Ltd. 124,000 698,194 # Chugokukogyo Co., Ltd. 45,000 134,437 Chukyo Bank, Ltd. 412,000 1,472,841 Chuo Denki Kogyo Co., Ltd. 42,000 237,613 Chuo Gyorui Co., Ltd. 61,000 114,375 Chuo Spring Co., Ltd., Nagoya 103,000 414,148 Chuo Woollen Mills, Ltd. 24,000 86,669
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SHARES VALUE+ ------ ------ CKD Corp. 113,000 $ 664,912 *# Clarion Co., Ltd. 587,000 1,394,571 Cleanup Corp. 75,000 681,545 # CMK Corp. 96,000 1,186,294 Coca-Cola Central Japan Co., Ltd. 166 1,259,116 Colowide Co., Ltd. 29,000 314,240 *# Columbia Music Entertainment, Inc. 260,000 247,056 Commuture Corp. 71,202 577,731 Computer Engineering & Consulting, Ltd. 29,800 295,210 *# Co-Op Chemical Co., Ltd. 80,000 110,014 *# Copal Co., Ltd. 21,600 321,747 * Core Corp. 10,100 187,034 Corona Corp. 53,500 856,982 # Cosel Co., Ltd. 35,900 851,634 *# Cosmo Securities Co., Ltd. 789,000 1,428,084 Create Medic Co., Ltd. 11,000 90,951 Credia Co., Ltd. 14,000 272,533 Cresco, Ltd. 11,600 121,578 CTI Engineering Co., Ltd. 19,000 124,327 # Culture Convenience Club Co., Ltd. 91,700 1,146,666 CVS Bay Area, Inc. 30,000 88,187 *# Cybozu, Inc. 41 47,865 *# Cybozu, Inc. 82 95,724 *# D&M Holdings, Inc. 134,000 365,710 # Dai Nippon Toryo, Ltd. 229,000 346,772 Daibiru Corp. 89,000 608,585 Dai-Dan Co., Ltd. 74,000 456,345 Daido Kogyo Co., Ltd. 60,000 124,908 # Daidoh, Ltd. 61,000 627,874 *# Daiei, Inc. 249,500 495,796 Daifuku Co., Ltd. 209,000 1,235,897 Daihen Corp. 215,000 422,743 Daiho Corp. 96,000 205,018 Dai-Ichi Jitsugyo Co., Ltd. 94,000 271,845 Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 141,332 # Daiken Corp. 242,000 980,149 Daiki Co., Ltd. 41,300 439,366 Daiko Clearing Services Corp. 25,000 175,135 Daikoku Denki Co., Ltd. 26,600 610,222 *# Daikyo, Inc. 444,000 719,481 Daimei Telecom Engineering Corp. 74,000 518,249 Dainichi Co., Ltd. 27,200 157,885 Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 163,000 730,598 # Dainippon Shigyo Co., Ltd. 25,000 119,017 Daisan Bank, Ltd. 337,000 1,313,494 # Daiseki Co., Ltd. 38,600 671,768 # Daiso Co., Ltd. 155,000 429,093 * Daisue Construction Co., Ltd. 151,500 167,307 Daisyo Corp. 38,300 415,245 * Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 46,895 Daiwa Industries, Ltd. 82,000 257,991 Daiwa Kosho Lease Co., Ltd. 249,000 1,326,061 * Daiwa Seiko, Inc. 145,000 185,863 Daiwabo Co., Ltd. 217,000 300,992 Daiwabo Information System Co., Ltd. 27,000 322,282 Danto Corp. 42,000 184,851 DC Co., Ltd. 33,000 85,245 # Denki Kogyo Co., Ltd. 132,000 $ 673,306 Denny's Japan Co., Ltd. 51,000 910,985 Densei-Lambda KK 34,584 262,743 Denyo Co., Ltd. 47,000 327,739 # Descente, Ltd. 140,000 503,788 * Dia Kensetsu Co., Ltd. 141,200 176,460 * Diamond City Co., Ltd. 4,050 104,822 Diamond Computer Service Co., Ltd. 37,700 479,673 * Dijet Industrial Co., Ltd. 34,000 72,097 DMW Corp. 1,600 68,863 Doshisha Co., Ltd. 22,900 667,419 # Doutor Coffee Co., Ltd. 38,800 734,133 DTS Corp. 21,200 484,982 * DyDo Drinco, Inc. 30,100 918,183 * Dynic Corp. 66,000 256,396 Eagle Industry Co., Ltd. 78,000 463,363 Echo Trading Co., Ltd. 4,000 51,530 * Econach Co., Ltd. 26,000 14,150 # Edion Corp. 144,216 1,290,220 Ehime Bank, Ltd. 274,000 855,187 # Eighteenth Bank, Ltd. 322,000 1,413,848 Eiken Chemical Co., Ltd. 54,000 629,604 Eikoh, Inc. 12,100 98,799 Eizo Nanao Corp. 40,600 1,014,287 Elna Co., Ltd. 34,000 79,155 Enplas Corp. 38,400 1,063,907 *# Enshu, Ltd. 69,000 134,538 Ensuiko Sugar Refining Co., Ltd. 51,000 103,308 Exedy Corp. 80,200 1,406,981 * F.D.C. Products, Inc. 16,390 208,517 Fancl Corp. 40,100 1,453,083 *# FDK Corp. 230,000 478,760 Fine Sinter Co., Ltd. 31,000 98,012 * First Baking Co., Ltd. 67,000 156,290 Foster Electric Co., Ltd. 44,000 362,871 # FP Corp. 42,100 674,725 France Bed Holdings Co., Ltd. 417,000 1,241,325 *# Fudo Construction Co., Ltd. 273,200 687,064 # Fuji Co.,Ltd. 63,600 1,184,824 * Fuji Corp, Ltd. 28,000 285,252 # Fuji Kiko Co., Ltd. 71,000 295,691 *# Fuji Kosan Co., Ltd. 130,000 171,924 Fuji Kyuko Co., Ltd. 205,000 778,557 * Fuji Spinning Co., Ltd., Tokyo 163,000 205,364 * Fuji Titanium Industry Co., Ltd. 10,000 23,565 Fujicco Co., Ltd. 50,000 644,925 * Fujii & Co., Ltd. 44,000 428 * Fujiko Co., Ltd. 55,000 1,070 Fujikura Kasei Co., Ltd. 43,000 313,036 # Fujikura Rubber, Ltd. 34,000 212,968 # Fujirebio, Inc. 81,000 1,054,421 * Fujita Corp. 320,500 371,016 # Fujita Kanko, Inc. 194,000 689,835 # Fujitec Co., Ltd. 170,000 872,261 * Fujitsu Access, Ltd. 36,000 187,398 Fujitsu Business Systems, Ltd. 45,300 579,697 Fujitsu Devices, Inc. 44,000 484,917 Fujitsu Fronttec, Ltd. 41,500 350,523 *# Fujitsu General, Ltd. 188,000 573,434 *# Fujiya Co., Ltd. 218,000 509,899 Fukuda Corp. 80,000 484,654
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SHARES VALUE+ ------ ------ # Fukushima Bank, Ltd. 323,000 $ 507,823 * Fukusima Industries Corp. 13,500 166,352 Fumakilla, Ltd. 37,000 71,694 *# Furukawa Battery Co., Ltd. 45,000 112,973 *# Furukawa Co., Ltd. 699,000 787,201 Fuso Lexel Inc. 25,400 140,759 Fuso Pharmaceutical Industries, Ltd. 157,000 503,210 * Gajoen Kanko KK 37,000 0 # Gakken Co., Ltd. 168,000 358,976 * Generas Corp. 64,000 623 # Genki Sushi Co., Ltd. 17,200 217,158 Geostar Corp. 10,000 37,241 * Gigas K's Denki Corp. 4,704 127,104 Global-Dining, Inc. 6,200 43,245 # Godo Steel, Ltd. 297,000 1,113,383 * Goldwin, Inc. 76,000 173,550 Gourmet Kineya Co., Ltd. 37,000 310,206 * Graphtec Corp. 39,000 56,867 Gro-BeLS Co., Ltd. 84,000 101,850 * GSI Creoss Corp. 90,000 198,577 Gun-Ei Chemical Industry Co., Ltd. 141,000 463,767 Hagoromo Foods Corp. 33,000 364,310 Hakuto Co., Ltd. 39,400 527,327 Hakuyosha Co., Ltd. 57,000 180,208 Haltec Corp. 32,000 55,422 * Hamai Co., Ltd. 22,000 31,546 Hanshin Sogo Bank, Ltd. 709,000 1,412,198 Hanwa Co., Ltd. 405,000 1,753,009 Happinet Corp. 18,800 212,519 Harashin Co., Ltd. 24,300 200,273 Harima Chemicals, Inc. 37,000 232,568 Haruyama Trading Co., Ltd. 21,600 274,474 *# Hayashikane Sangyo Co., Ltd. 128,000 223,264 * Hazama Corp. 120,600 259,610 Heiwado Co., Ltd. 111,000 1,531,046 Hibiya Engineering, Ltd. 72,000 558,462 Higashi-Nippon Bank, Ltd. 345,000 924,900 Hisaka Works, Ltd. 41,000 404,720 Hitachi Business Solution Co., Ltd. 22,700 154,361 Hitachi Kiden Kogyo, Ltd. 27,000 105,489 Hitachi Koki Co., Ltd. 205,000 1,624,610 Hitachi Kokusai Electric, Inc. 191,000 1,525,119 Hitachi Medical Corp. 71,000 983,991 Hitachi Metals Techno, Ltd. 13,000 39,260 Hitachi Mobile Co., Ltd. 35,000 248,302 # Hitachi Plant Engineering & Construction Co., Ltd. 215,000 929,896 Hitachi Powdered Metal Co., Ltd. 53,000 352,508 Hitachi Tool Engineering, Ltd. 44,500 353,866 Hitachi Transport System, Ltd. 75,000 630,520 *# Hitachi Zosen Corp. 944,000 1,392,150 # Hochiki Corp. 42,000 166,542 *# Hodogaya Chemical Co., Ltd. 114,000 541,464 # Hogy Medical Co., Ltd. 30,000 1,355,454 * Hohsui Corp. 56,000 90,389 Hokkai Can Co., Ltd., Tokyo 106,000 266,729 Hokkaido Coca Cola Bottling Co., Ltd. 64,000 410,520 Hokkaido Gas Co., Ltd. 105,000 277,418 Hokko Chemical Industry Co., Ltd. 41,000 146,954 # Hokuetsu Bank, Ltd. 416,000 851,389 Hokuriku Electric Industry Co., Ltd. 131,000 $ 322,897 Hokuriku Electrical Construction Co., Ltd. 36,000 103,893 Hokuriku Gas Co., Ltd. 64,000 191,792 *# Hokushin Co., Ltd. 39,900 81,933 # Hokuto Corp. 61,100 1,161,196 Homac Corp. 75,700 529,908 Honshu Chemical Industry Co., Ltd. 7,000 38,800 # Horiba, Ltd. 64,000 823,866 Horipro, Inc. 23,400 190,362 Hosiden Corp. 128,700 1,327,166 * Hosokawa Micron Corp. 54,000 234,951 *# Howa Machinery, Ltd. 181,000 229,900 * Ichida and Co., Ltd. 23,400 35,825 Ichikawa Co., Ltd. 49,000 189,986 *# Ichiken Co., Ltd. 48,000 122,348 # Ichikoh Industries, Ltd. 141,000 330,774 Ichiyoshi Securities Co., Ltd. 87,000 747,767 Icom, Inc. 26,800 610,130 Idec Izumi Corp. 63,000 606,459 Ihara Chemical Industry Co., Ltd. 80,000 225,576 # Iino Kaiun Kaisha, Ltd. 177,000 887,781 * Ikegami Tsushinki Co., Ltd. 102,000 179,310 i-Logistics Corp. 52,000 108,690 Imasen Electric Industrial Co., Ltd. 19,900 171,976 Impact 21 Co., Ltd. 34,100 719,121 * Impress Corp. 178 204,447 Inaba Denki Sangyo Co., Ltd. 47,400 1,047,742 Inaba Seisa Kusho Co., Ltd. 32,400 538,389 Inabata and Co., Ltd., Osaka 103,000 899,810 Inageya Co., Ltd. 97,000 890,992 Ines Corp. 94,300 847,270 I-Net Corp. 18,300 129,375 # Information Services International-Dentsu, Ltd. 51,800 592,254 * Intec Communications, Inc. 14,000 70,727 # Intec, Inc. 73,000 552,354 Inui Steamship Co., Ltd. 31,000 157,117 ISE Chemicals Corp. 38,000 155,141 # Iseki & Co., Ltd. 393,000 957,102 Ishihara Sangyo Kaisha, Ltd. 688,000 1,541,151 Ishii Hyoki Co., Ltd. 8,600 108,419 *# Ishii Iron Works Co., Ltd. 52,000 84,976 *# Ishikawa Seisakusho, Ltd. 75,000 96,036 Ishikawajima Construction Materials Co., Ltd. 18,000 51,928 Ishikawajima Transport Machinery Co., Ltd. 16,000 43,700 Ishizuka Glass Co., Ltd. 49,000 100,216 Itochu Enex Co., Ltd. 166,900 1,073,274 Itochu Shokuh Co., Ltd. 24,400 834,333 Itoki Crebio Corp. 56,000 181,275 Iwaki & Co., Ltd. 38,000 98,674 # Iwasaki Electric Co., Ltd. 142,000 467,684 Iwatani International Corp. 459,000 1,122,136 * Iwatsu Electric Co., Ltd. 166,000 341,683 * Izuhakone Railway Co., Ltd. 300 15,799 Izumiya Co., Ltd. 157,000 1,020,992 *# Izutsuya Co., Ltd. 123,000 210,110 Jac Holdings Co., Ltd. 17,300 125,398 # Jaccs Co., Ltd. 207,000 1,100,727
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SHARES VALUE+ ------ ------ * Jalux, Inc. 20,600 $ 373,667 Jamco Corp. 41,000 207,243 *# Janome Sewing Machine Co., Ltd. 259,000 376,595 Japan Aviation Electronics Industry, Ltd. 21,000 192,869 * Japan Bridge Corp. 31,000 40,105 Japan Business Computer Co., Ltd. 34,000 224,168 Japan Carlit Co., Ltd. 28,000 184,268 # Japan Cash Machine Co., Ltd. 36,610 1,509,798 Japan Digital Laboratory Co., Ltd. 59,200 628,265 Japan Foundation Engineering Co., Ltd. 49,200 261,734 Japan Information Processing Service Co., Ltd. 31,800 186,496 # Japan Kenzai Co., Ltd. 44,840 324,429 Japan Maintenance Co., Ltd. 34,100 331,075 Japan Medical Dynamic Marketing, Inc. 29,800 313,311 Japan Oil Transportation Co., Ltd. 45,000 105,304 # Japan Pulp and Paper Co., Ltd. 269,000 882,819 *# Japan Radio Co., Ltd. 240,000 839,121 Japan Servo Co., Ltd. 51,000 159,942 Japan Steel Tower Co., Ltd. 19,000 62,852 # Japan Steel Works, Ltd. 695,000 1,036,406 # Japan Storage Battery Co., Ltd. 529,000 1,096,133 # Japan Transcity Corp. 113,000 387,865 Japan Vilene Co., Ltd. 112,000 545,506 Japan Wool Textile Co., Ltd. 162,000 947,290 Jastec Co., Ltd. 11,600 199,891 Jeans Mate Corp. 15,540 163,807 # Jeol, Ltd. 137,000 884,317 Jiec Co., Ltd. 87 92,526 JMS Co., Ltd. 49,000 150,672 Joban Kosan Co., Ltd. 101,000 165,669 J-Oil Mills, Inc. 296,000 1,043,303 Joint Corp. 32,900 763,070 # Joshin Denki Co., Ltd. 98,000 296,715 # Jsp Corp. 49,200 552,133 Juel Verite Ohkubo Co., Ltd. 24,000 62,973 *# Jujiya Co., Ltd. 383,000 397,178 *# Juki Corp. 176,000 612,947 * Jyomo Co., Ltd. 48,000 124,070 K.R.S. Corp. 20,300 297,201 Kabuki-Za Co., Ltd. 16,000 654,089 Kadokawa Holdings, Inc. 27,000 1,031,369 # Kaga Electronics Co., Ltd. 46,200 795,167 Kagawa Bank, Ltd. 138,350 683,224 # Kagome Co., Ltd. 143,300 1,505,254 Kahma Co., Ltd. 55,900 612,248 # Kaken Pharmaceutical Co., Ltd. 180,000 1,131,450 * Kakuei (L.) Corp. 100,000 973 *# Kamagai Gumi Co., Ltd. 87,800 189,516 Kameda Seika Co., Ltd. 39,000 345,961 Kamei Corp. 67,000 611,107 Kanaden Corp. 55,000 281,017 Kanagawa Chuo Kotsu Co., Ltd. 109,000 649,793 Kanamoto Co., Ltd. 43,000 228,396 *# Kanebo, Ltd. 96,200 1,144,536 * Kanematsu Corp. 708,500 1,064,122 # Kanematsu Electronics, Ltd. 45,500 349,046 *# Kanematsu-NNK Corp. 60,000 156,933 Kanto Auto Works, Ltd., Yokosuka 125,500 $ 1,444,364 Kanto Denka Kogyo Co., Ltd. 93,000 320,095 Kanto Natural Gas Development Co., Ltd. 104,000 572,179 *# Kanto Tsukuba Bank, Ltd. 45,500 262,748 Kasai Kogyo Co., Ltd. 59,000 195,969 Kasei (C.I.) Co., Ltd. 58,000 228,153 Kasumi Co., Ltd. 132,000 744,366 Katakura Chikkarin Co., Ltd. 27,000 80,792 Katakura Industries Co., Ltd. 61,000 689,437 Kato Sangyo Co., Ltd. 70,300 916,784 # Kato Works Co., Ltd. 82,000 197,608 * Katsumura Construction Co., Ltd. 48,600 62,374 Kawada Industries, Inc. 76,000 205,790 *# Kawai Musical Instruments Manufacturing Co., Ltd. 99,000 146,903 Kawamoto Corp. 4,000 24,815 * Kawasaki Kasei Chemicals, Ltd. 36,000 48,848 Kawashima Textile Manufacturers, Ltd. 126,000 167,578 Kawasho Gecoss Corp. 57,900 274,190 Kawasumi Laboratories, Inc. 26,000 178,844 Kawatetsu Systems, Inc. 112 149,926 Kayaba Industry Co., Ltd. 399,000 1,362,520 Keihanshin Real Estate Co., Ltd. 76,000 363,304 # Keihin Co., Ltd. 100,000 201,971 Keiiyu Co., Ltd. 15,000 189,122 Keiyo Bank, Ltd. 375,000 1,332,159 # Keiyo Co., Ltd. 139,900 579,767 # Kentucky Fried Chicken Japan, Ltd. 55,000 1,082,310 *# Kenwood Corp. 570,000 1,050,340 Key Coffee, Inc. 41,300 578,146 # Kibun Food Chemifa Co., Ltd. 49,000 1,121,104 * Kimmon Manufacturing Co., Ltd. 41,000 59,134 * Kimura Chemical Plants Co., Ltd. 27,000 65,307 Kinki Coca-Cola Bottling Co., Ltd. 116,000 1,040,508 * Kinki Nippon Tourist Co., Ltd. 133,000 319,871 Kinki Sharyo Co., Ltd., Nagaokakyo 122,000 367,930 * Kinsho Corp. 21,000 71,208 # Kinugawa Rubber Industrial Co., Ltd. 107,000 225,335 Kioritz Corp. 113,000 303,705 * Kirindo Co., Ltd. 10,300 83,385 Kishu Paper Co., Ltd. 125,000 211,388 # Kisoji Co., Ltd. 42,100 638,283 Kitagawa Iron Works Co., Ltd. 150,000 312,951 Kita-Nippon Bank, Ltd. 14,206 671,051 Kitano Construction Corp. 124,000 278,951 Kitazawa Sangyo Co., Ltd. 17,500 41,127 Kitz Corp. 234,000 1,286,943 Kiyo Bank, Ltd. 757,000 1,499,096 Koa Corp. 76,000 538,665 Koatsu Gas Kogyo Co., Ltd. 93,000 347,033 Kobayashi Yoko Co., Ltd. 16,900 331,804 Kodensha Co., Ltd. 14,000 43,181 Koekisha Co., Ltd. 9,600 206,691 Kohnan Shoji Co., Ltd. 36,200 470,964 Kohsoku Corp. 48,000 315,049 Koike Sanso Kogyo Co., Ltd. 71,000 156,036 Koito Industries, Ltd. 66,000 285,594 # Kojima Co., Ltd. 68,400 716,704 * Kokune Corp. 42,000 409
209
SHARES VALUE+ ------ ------ * Kokusai Kogyo Co., Ltd. 60,000 $ 182,129 Komai Tekko, Inc. 53,000 152,150 Komatsu Electronics Metals Co., Ltd. 52,000 482,007 Komatsu Seiren Co., Ltd. 69,000 395,402 Komatsu Wall Industry Co., Ltd. 17,300 309,524 Konaka Co., Ltd. 36,300 441,752 # Konami Sports Corp. 53,300 1,018,291 Kondotec, Inc. 18,500 140,301 Konishi Co., Ltd. 32,300 307,602 Kosaido Co., Ltd. 34,000 254,013 # Kosei Securities Co., Ltd. 137,000 253,049 # Kubotek Corp. 230 316,204 # Kumiai Chemical Industry Co., Ltd., Tokyo 139,000 357,411 Kurabo Industries, Ltd. 459,000 1,002,752 Kureha Chemical Industry Co., Ltd. 352,000 1,336,211 Kurimoto, Ltd. 224,000 550,321 # Kuroda Electric Co., Ltd. 62,400 1,349,502 Kuroganeya Co., Ltd. 14,000 58,957 Kurosaki Harima Corp. 144,000 428,099 Kyoden Co., Ltd. 93,000 616,919 Kyodo Printing Co., Ltd. 152,000 575,895 Kyodo Shiryo Co., Ltd. 145,000 204,105 Kyoei Sangyo Co., Ltd. 44,000 145,283 Kyoei Tanker Co., Ltd. 53,000 138,079 Kyokuto Boeki Kaisha, Ltd. 36,000 104,490 Kyokuto Kaihatsu Kogyo Co., Ltd. 49,200 563,274 Kyokuyo Co., Ltd. 198,000 389,775 Kyoritsu Maintenance Co., Ltd. 18,100 377,859 Kyosan Electric Manufacturing Co., Ltd. 97,000 298,255 Kyoto Kimono Yuzen Co., Ltd. 148 319,207 Kyowa Electronic Instruments Co., Ltd. 30,000 92,610 Kyowa Exeo Corp. 201,000 1,770,057 Kyowa Leather Cloth Co., Ltd. 38,800 216,450 Kyudenko Corp. 140,000 686,988 * Kyushu-Shinwa Holdings, Inc. 576,000 1,031,869 # Laox Co., Ltd. 54,000 126,392 # Life Corp. 98,400 1,254,434 * Link Consulting Associates - Japan Corp. 24,300 119,956 * Lonseal Corp. 69,000 76,459 * Look, Inc. 50,000 203,798 # Macnica, Inc. 31,000 931,417 Maeda Corp. 344,000 1,538,993 Maeda Road Construction Co., Ltd. 182,000 1,340,810 Maezawa Industries, Inc. 27,700 163,356 Maezawa Kaisei Industries Co., Ltd. 25,400 472,898 Maezawa Kyuso Industries Co., Ltd. 25,400 351,745 * Magara Construction Co., Ltd. 61,000 73,923 # Makino Milling Machine Co., Ltd. 161,000 866,709 * Mamiya-Op Co., Ltd. 58,000 80,837 Marche Corp. 10,700 112,383 # Mars Engineering Corp. 44,400 1,501,577 Marubeni Construction Material Lease Co., Ltd. 54,000 113,344 # Marubeni Telecom Co., Ltd. 117 116,539 Marubun Corp. 44,600 326,331 Marudai Food Co., Ltd. 214,000 428,099 * Maruei Department Store Co., Ltd. 72,000 166,181 Maruetsu, Inc. 209,000 $ 1,029,423 Maruha Group, Inc. 477,000 1,039,428 * Maruishi Holdings Co., Ltd. 214,000 2,082 Marusan Securities Co., Ltd. 138,000 831,289 Maruwa Co., Ltd. 17,500 266,956 Maruwn Corp. 44,000 117,653 Maruya Co., Ltd. 14,000 111,532 # Maruyama Manufacturing Co., Inc. 73,000 347,676 * Maruzen Co., Ltd. 179,000 414,428 Maruzen Co., Ltd. - General Commercial Kitchen Appliances & Equipment 30,000 166,398 Maruzen Showa Unyu Co., Ltd. 176,000 594,258 Maspro Denkoh Corp. 32,300 344,339 Matsuda Sangyo Co., Ltd. 34,500 301,701 Matsui Construction Co., Ltd. 40,000 156,880 * Matsuo Bridge Co., Ltd. 37,000 81,326 # Matsuya Co., Ltd. 96,000 515,272 Matsuya Foods Co., Ltd. 34,500 728,796 # Matsuzakaya Co., Ltd. 312,077 1,198,358 Max Co., Ltd. 104,000 1,070,430 * Maxvalu Tohok Co., Ltd. 18,200 167,475 * MEC Co., Ltd. 13,700 185,388 # Megachips Corp. 44,400 507,314 Meidensha Corp. 417,050 816,539 *# Meiji Machine Co., Ltd. 90,000 151,932 Meiji Shipping Co., Ltd. 58,000 207,405 Meisei Industrial Co., Ltd. 29,000 107,928 Meito Sangyo Co., Ltd. 45,600 713,799 Meito Transportation Co., Ltd. 22,000 200,770 Meiwa Estate Co., Ltd. 43,800 470,856 Meiwa Industry Co., Ltd. 15,000 47,909 * Meiwa Trading Co., Ltd. 55,000 124,478 Melco Holdings, Inc. 9,000 163,715 Mercian Corp. 267,000 657,256 * Mesco, Inc. 15,000 49,344 Michinoku Bank, Ltd. 281,000 1,329,939 Mikuni Coca-Cola Bottling Co., Ltd. 99,000 939,161 Milbon Co., Ltd. 18,900 517,922 # Mimasu Semiconductor Industry Co., Ltd. 38,200 510,863 Ministop Co., Ltd. 48,800 814,375 Mirai Group Co., Ltd. 49,000 95,890 Miroku Jyoho Service Co., Ltd. 22,500 222,677 * Misawa Homes Holdings, Inc. 465,900 1,273,124 Misawa Resort Co., Ltd. 90,000 261,851 Mito Securities Co., Ltd. 113,000 338,582 Mitsuba Corp. 77,690 567,563 *# Mitsubishi Cable Industries, Ltd. 277,000 322,375 * Mitsubishi Kakoki Kaisha, Ltd. 117,000 214,570 # Mitsubishi Paper Mills, Ltd. 554,000 854,506 Mitsubishi Pencil Co., Ltd. 61,000 522,763 Mitsubishi Plastics, Inc. 404,000 1,054,596 Mitsubishi Shindoh Co., Ltd. 82,000 182,506 Mitsubishi Steel Manufacturing Co., Ltd. 253,000 379,606 Mitsuboshi Belting, Ltd. 153,000 580,945 Mitsui High-Tec, Inc. 72,900 956,456 # Mitsui Home Co., Ltd. 122,000 596,429 Mitsui Knowledge Industry Co., Ltd. 20,100 172,178 *# Mitsui Matsushima Co., Ltd. 90,000 230,505
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SHARES VALUE+ ------ ------ *# Mitsui Mining Co., Ltd. 290,000 $ 1,143,356 Mitsui Sugar Co., Ltd. 145,000 364,639 Mitsui-Soko Co., Ltd. 255,000 815,206 Mitsumi Electric Co., Ltd. 139,400 1,539,206 Mitsumura Printing Co., Ltd. 60,000 355,254 Mitsuuroko Co., Ltd. 117,000 742,675 Miura Co., Ltd. 76,600 1,228,819 Miura Printing Corp. 16,000 57,004 Miyaji Engineering Group 120,000 305,428 Miyazaki Bank, Ltd. 275,000 1,074,553 Miyoshi Oil & Fat Co., Ltd. 120,000 253,844 # Miyuki Keori Co., Ltd. 50,000 197,309 # Mizuno Corp. 239,000 999,645 Mochida Pharmaceutical Co., Ltd. 44,000 262,225 * Momiji Holdings, Inc. 371 651,189 Mori Seiki Co., Ltd. 165,100 1,438,333 # Morinaga & Co., Ltd. 499,000 1,133,148 * Morishita Jinton Co., Ltd. 32,800 154,492 Morita Corp. 85,000 504,647 Moritex Corp. 15,000 128,682 Morozoff, Ltd., Osaka 50,000 99,164 Mory Industries, Inc. 66,000 203,892 Mos Food Services, Inc. 59,000 790,372 Moshi Moshi Hotline, Inc. 9,350 790,647 # MR Max Corp. 56,300 183,791 * Mutoh Industries, Ltd. 78,000 208,412 Mutow Co., Ltd. 38,000 187,614 Myojo Foods Co., Ltd. 76,000 538,970 Mystar Engineering Corp. 15,600 89,533 Nabtesco Corp. 236,000 1,262,584 NAC Co., Ltd. 13,000 148,895 # Nachi-Fujikoshi Corp. 433,000 1,131,868 Nagano Bank, Ltd. 149,000 445,575 * Nagano Japan Radio Co., Ltd. 27,000 43,411 Nagatanien Co., Ltd. 70,000 551,844 * Naigai Co., Ltd. 109,000 141,706 # Nakabayashi Co., Ltd. 76,000 268,625 Nakamuraya Co., Ltd. 98,000 326,639 * Nakano Corp. 49,000 112,334 # Nakayama Steel Works, Ltd. 203,000 775,238 Nakayo Telecommunications, Inc. 36,000 178,552 # NEC Infrontia Corp. 196,000 765,295 # NEC Mobiling, Ltd. 26,400 614,578 NEC System Integration & Construction, Ltd. 78,600 650,172 NEC Tokin Corp. 207,000 890,751 # Neturen Co., Ltd., Tokyo 66,000 438,571 New Japan Radio Co., Ltd. 62,000 511,484 * New Real Property KK 43,900 0 # Nichia Steel Works, Ltd. 67,900 289,231 Nichias Corp. 253,000 960,377 Nichiban Co., Ltd. 58,000 220,885 * Nichiboshin, Ltd. 1,190 1,158 Nichiha Corp. 64,980 910,702 # Nichimo Co., Ltd. 54,000 165,673 * Nichimo Corp. 132,000 106,228 Nichireki Co., Ltd. 44,000 159,979 Nichiro Corp. 289,000 485,250 Nidec Tosok Corp. 27,800 501,908 Nihon Dempa Kogyo Co., Ltd. 38,300 820,568 Nihon Eslead Corp. 22,040 441,013 Nihon Inter Electronics Corp. 54,000 $ 420,106 Nihon Kagaku Sangyo Co., Ltd. 32,000 154,853 * Nihon Kentetsu Co., Ltd. 27,000 54,754 Nihon Kohden Corp. 85,000 999,874 Nihon Matai Co., Ltd. 50,000 111,693 Nihon Nohyaku Co., Ltd. 103,000 198,990 Nihon Parkerizing Co., Ltd. 115,000 985,091 Nihon Seiko Co., Ltd. 11,000 32,355 Nihon Shokuh Kako Co., Ltd. 40,000 113,763 * Nihon Spindle Manufacturing Co., Ltd. 56,000 95,926 Nihon Tokushu Toryo Co., Ltd. 35,000 248,646 Nihon Unisys, Ltd. 125,100 1,161,086 Niitaka Co., Ltd. 7,260 82,136 Nikken Chemicals Co., Ltd. 112,000 326,661 # Nikkiso Co., Ltd. 123,000 670,374 Nikko Co., Ltd., Akashi 66,000 213,822 Nikko Travel Co., Ltd. 12,200 68,354 * Nippei Toyama Corp. 80,000 164,519 Nippo Corp. 210,000 1,248,046 * Nippon Avionics Co., Ltd. 40,000 129,893 Nippon Beet Sugar Manufacturing Co., Ltd. 276,000 576,789 *# Nippon Carbide Industries Co., Inc., Tokyo 101,000 218,215 Nippon Carbon Co., Ltd. 177,000 324,586 # Nippon Ceramic Co., Ltd. 37,000 449,596 Nippon Chemical Industrial Co., Ltd. 161,000 544,949 Nippon Chemi-Con Corp. 239,000 1,228,334 *# Nippon Chemiphar Co., Ltd. 70,000 321,517 Nippon Chutetsukan KK 44,000 87,958 Nippon Concrete Industries Co., Ltd. 65,000 258,821 * Nippon Conveyor Co., Ltd. 43,000 53,355 # Nippon Denko Co., Ltd. 206,000 804,080 Nippon Densetsu Kogyo Co., Ltd. 118,000 613,052 Nippon Denwa Shisetu Co., Ltd. 104,000 369,962 # Nippon Felt Co., Ltd. 40,000 205,809 Nippon Fine Chemical Co., Ltd. 40,000 169,120 Nippon Flour Mills Co., Ltd. 314,000 1,366,219 * Nippon Foil Mfg., Co., Ltd. 21,000 47,295 Nippon Formula Feed Manufacturing Co., Ltd. 100,000 162,881 Nippon Gas Co., Ltd. 81,000 629,099 Nippon Hume Corp. 43,000 156,667 * Nippon Jogesuido Sekkei Co., Ltd. 175 246,417 Nippon Kanzai Co., Ltd. 37,200 575,068 *# Nippon Kasei Chemical Co., Ltd. 186,000 377,349 *# Nippon Kinzoku Co., Ltd. 93,000 183,237 # Nippon Koei Co., Ltd., Tokyo 137,000 367,077 Nippon Konpo Unyu Soko Co., Ltd. 137,000 1,344,347 *# Nippon Koshuha Steel Co., Ltd. 221,000 310,964 *# Nippon Metal Industry Co., Ltd. 319,000 584,317 Nippon Pigment Co., Ltd. 11,000 38,428 Nippon Pillar Packing Co., Ltd. 33,000 238,744 Nippon Piston Ring Co., Ltd. 133,000 283,717 # Nippon Road Co., Ltd. 177,000 360,112 # Nippon Seiki Co., Ltd. 104,000 921,598 Nippon Seisen Co., Ltd. 39,000 152,360 Nippon Sharyo, Ltd. 267,000 625,664 Nippon Shinyaku Co., Ltd. 129,000 931,242 Nippon Signal Co., Ltd. 109,000 551,637
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SHARES VALUE+ ------ ------ Nippon Soda Co., Ltd. 252,000 $ 743,750 Nippon Suisan Kaisha, Ltd. 457,000 1,490,283 Nippon Synthetic Chemical Industry Co., Ltd. 152,000 362,615 Nippon System Development Co., Ltd. 47,500 853,979 Nippon Systemware Co., Ltd. 20,000 141,818 # Nippon Thompson Co., Ltd. 131,000 762,779 Nippon Tungsten Co., Ltd. 44,000 95,388 Nippon Valqua Industries, Ltd. 141,000 345,022 *# Nippon Yakin Kogyo Co., Ltd. 144,500 679,432 # Nippon Yusoki Co., Ltd. 49,000 157,741 # Nishimatsu Construction Co., Ltd. 238,000 746,400 Nishishiba Electric Co., Ltd. 28,000 51,707 Nissei Corp. 57,600 614,465 Nissei Plastic Industrial Co., Ltd. 35,000 229,892 * Nisseki House Industry Co., Ltd. 260,000 2,529 Nissha Printing Co., Ltd. 81,000 999,513 # Nisshin Fire & Marine Insurance Co., Ltd. 347,000 1,247,175 # Nisshin Fudosan Co., Ltd. 32,600 330,715 Nissho Electronics Corp. 49,900 383,506 *# Nissho Iwai-Nichmen Holdings Corp. 347,100 1,458,447 Nissin Co., Ltd. 826,400 1,869,154 Nissin Corp. 177,000 444,349 Nissin Electric Co., Ltd. 177,000 557,199 Nissin Kogyo Co., Ltd. 39,700 1,169,691 Nissin Sugar Manufacturing Co., Ltd. 74,000 143,825 # Nissui Pharmaceutical Co., Ltd. 34,000 206,289 Nitchitsu Co., Ltd. 14,000 28,355 Nitta Corp. 54,700 803,386 Nittan Valve Co., Ltd. 58,000 357,876 Nittetsu Mining Co., Ltd. 132,000 516,474 Nitto Boseki Co., Ltd. 460,000 913,118 Nitto Electric Works, Ltd. 79,300 755,372 Nitto FC Co., Ltd. 48,000 267,900 Nitto Flour Milling Co., Ltd. 54,000 149,551 Nitto Kohki Co., Ltd. 39,300 752,024 Nitto Seiko Co., Ltd. 56,000 143,665 Nitto Seimo Co., Ltd. 32,000 66,022 *# Nittoc Construction Co., Ltd. 61,000 123,299 NIWS Co., Ltd. 498 1,206,986 Noda Corp. 24,100 170,486 NOF Corp. 374,000 1,270,035 Nohmi Bosai, Ltd. 68,000 345,111 Nomura Co., Ltd. 61,000 397,127 # Noritake Co., Ltd. 320,000 1,310,538 # Noritsu Koki Co., Ltd. 58,300 1,201,146 # Noritz Corp. 93,400 1,360,948 Nosan Corp. 201,000 448,734 Obayashi Road Corp. 65,000 146,498 Odakyu Construction Co., Ltd. 29,000 79,991 Odakyu Real Estate Co., Ltd. 58,000 141,379 Oenon Holdings, Inc. 89,000 229,614 * Ohki Corp. 73,000 710 * Ohmori Co., Ltd. 18,400 13,605 Oie Sangyo Co., Ltd. 13,200 98,512 Oiles Corp. 37,700 787,389 Oita Bank, Ltd. 263,000 1,326,184 Okabe Co., Ltd. 29,000 128,060 Okamoto Industries, Inc. 236,000 694,298 * Okamoto Machine Tool Works, Ltd. 75,000 $ 220,279 Okamura Corp. 207,000 1,724,568 Okaya Electric Industries Co., Ltd. 32,000 99,514 Oki Electric Cable Co., Ltd. 56,000 125,112 Okinawa Electric Power Co., Ltd. 27,900 1,189,055 * OKK Corp. 101,000 236,475 * Okuma and Howa Machinery, Ltd. 69,000 155,897 * Okuma Corp. 243,000 960,365 # Okura Industrial Co., Ltd. 107,000 689,138 Okuwa Co., Ltd. 84,000 943,355 Olympic Corp. 41,900 478,295 # O-M, Ltd. 46,000 101,757 * Omikenshi Co., Ltd. 78,000 81,258 Ono Sokki Co., Ltd. 53,000 312,630 # Onoken Co., Ltd. 31,000 389,455 Organo Corp. 101,000 493,967 * Orient Watch Co., Ltd. 12,000 4,786 Oriental Construction Co., Ltd. 39,000 194,546 # Oriental Yeast Co., Ltd. 52,000 365,301 Origin Electric Co., Ltd. 54,000 285,423 Original Engineering Consultants Co., Ltd. 9,000 51,551 Osaka Securities Finance Co., Ltd. 54,000 158,966 Osaka Steel Co., Ltd. 77,900 968,170 Osaki Electric Co., Ltd. 56,000 218,548 Oyo Corp. 52,300 497,017 P.S. Mitsubishi Construction Co., Ltd. 46,500 202,692 Pacific Industrial Co., Ltd. 99,000 486,162 *# Pacific Metals Co., Ltd. 362,000 1,578,356 Paramount Bed Co., Ltd. 58,000 1,537,418 Parco Co., Ltd. 144,000 836,572 * Pasco Corp. 135,500 355,581 Patlite Corp. 16,540 305,127 PCA Corp. 12,000 181,720 * Penta-Ocean Construction Co., Ltd. 730,000 1,166,387 # Pentax Corp. 214,000 732,481 Petrolub International Co., Ltd. 24,800 164,224 * PIA Corp. 13,200 275,789 Pigeon Corp. 37,000 565,134 Pilot Corp. 65 222,005 Piolax, Inc. 19,600 363,333 Pocket Card Co., Ltd. 41,000 634,510 Pokka Corp. 57,000 255,079 Poplar Co., Ltd. 13,560 170,260 Posful Corp. 36,900 224,355 # Press Kogyo Co., Ltd. 185,000 631,122 * Prima Meat Packers, Ltd. 404,000 564,221 Pulstec Industrial Co., Ltd. 21,200 106,084 Q'Sai Co., Ltd. 58,800 587,001 Raito Kogyo Co., Ltd. 95,500 392,321 Rasa Industries, Ltd. 119,000 326,421 * Renown D'urban Holdings, Inc. 64,800 605,870 # Resorttrust, Inc. 52,900 1,426,435 Rheon Automatic Machinery Co., Ltd. 40,000 125,826 Rhythm Watch Co., Ltd. 344,000 721,633 Ricoh Elemex Corp. 35,000 204,654 Ricoh Leasing Co., Ltd. 55,000 1,388,213 Right On Co., Ltd. 37,600 1,124,315 Rikei Corp. 22,500 68,863 # Riken Corp. 193,000 804,946
212
SHARES VALUE+ ------ ------ Riken Electric Wire Co., Ltd. 20,000 $ 35,199 Riken Keiki Co., Ltd. 33,000 190,630 Riken Technos Corp. 121,000 527,877 Riken Vitamin Co., Ltd. 43,500 926,760 # Ringer Hut Co., Ltd. 38,300 423,839 Rion Co., Ltd. 5,000 24,253 Rock Field Co., Ltd. 25,300 392,826 Rohto Pharmaceutical Co., Ltd. 101,000 1,133,977 Roland Corp. 47,000 787,698 # Roland DG Corp. 14,200 686,159 Royal Co., Ltd. 76,000 990,583 Ryobi, Ltd. 320,000 1,171,150 Ryoden Trading Co., Ltd. 81,000 474,204 Ryosan Co., Ltd. 69,200 1,561,876 Ryoyo Electro Corp. 59,100 859,258 S Foods, Inc. 60,000 440,062 *# S Science Co., Ltd. 285,000 66,361 # S.T. Chemical Co., Ltd. 55,000 683,544 * Saeki Kensetsu Kogyo Co., Ltd. 71,000 91,529 # Sagami Chain Co., Ltd. 37,000 338,150 Sagami Co., Ltd. 66,000 230,978 Sagami Rubber Industries Co., Ltd. 15,000 42,651 # Saibu Gas Co., Ltd. 683,000 1,373,989 * Sailor Pen Co., Ltd. 74,000 169,054 # Saizeriya Co., Ltd. 78,100 1,353,760 Sakai Chemical Industry Co., Ltd. 187,000 783,074 Sakai Heavy Industries, Ltd. 60,000 147,209 *# Sakai Ovex Co., Ltd. 85,000 155,852 Sakata Inx Corp. 102,000 466,881 # Sakata Seed Corp. 89,400 1,087,106 * Sakurada Co., Ltd. 38,000 55,312 Sala Corp. 67,500 319,726 San-Ai Oil Co., Ltd. 134,000 519,420 # Sanix, Inc. 65,000 523,943 Sankei Building Co., Ltd. 102,000 612,156 Sanki Engineering Co., Ltd. 146,000 1,009,365 Sanko Co., Ltd. 12,000 79,041 Sanko Metal Industrial Co., Ltd., Tokyo 54,000 108,344 Sankyo Seiko Co., Ltd. 97,000 416,202 # Sankyu, Inc., Tokyo 515,000 1,447,775 Sanoh Industrial Co., Ltd. 60,000 396,732 Sanrio Co., Ltd. 136,700 1,233,896 Sanritsu Corp. 5,400 42,743 Sanshin Electronics Co., Ltd. 57,000 417,039 Sanyo Chemical Industries, Ltd. 221,000 1,532,183 # Sanyo Denki Co., Ltd. 103,000 470,863 # Sanyo Electric Credit Co., Ltd. 59,500 1,124,619 Sanyo Engineering & Construction, Inc. 34,000 127,909 Sanyo Industries, Ltd., Tokyo 48,000 119,192 # Sanyo Shokai, Ltd. 248,000 1,389,383 Sanyo Special Steel Co., Ltd. 283,000 570,674 *# Sasebo Heavy Industries Co., Ltd., Tokyo 267,000 352,883 * Sata Construction Co., Ltd., Gumma 61,000 65,542 # Sato Corp. 59,300 1,466,594 Sato Shoji Corp. 31,000 218,797 Satori Electric Co., Ltd. 27,980 353,055 Sawafugji Electric Co., Ltd. 31,000 79,406 * Secom Joshinetsu Co., Ltd. 21,400 424,105 Secom Techno Service Co., Ltd. 24,000 $ 943,699 Seibu Electric Industry Co., Ltd. 31,000 143,479 # Seijo Corp. 17,400 233,817 Seika Corp. 145,000 346,232 * Seikitokyu Kogyo Co., Ltd. 86,000 125,976 # Seiko Corp. 212,407 1,098,960 Seiren Co., Ltd. 101,000 727,514 Sekisui Jushi Co., Ltd. 84,000 493,047 Sekisui Plastics Co., Ltd. 165,000 547,207 Sekiwa Real Eastate, Ltd. 36,000 495,257 Sekiwa Real Estate Chubu, Ltd. 17,000 116,386 Sekonic Corp. 17,000 38,724 Senko Co., Ltd. 205,000 777,337 Senshu Electric Co., Ltd. 15,300 237,376 Senshukai Co., Ltd. 87,000 683,294 Shaddy Co., Ltd. 32,200 319,492 # Shibaura Mechatronics Corp. 79,000 583,457 Shibusawa Warehouse Co., Ltd. 115,000 281,510 Shibuya Kogyo Co., Ltd. 54,000 456,290 * Shikibo, Ltd. 155,000 192,225 Shikoku Chemicals Corp. 106,000 400,666 Shikoku Coca-Cola Bottling Co., Ltd. 41,100 505,220 Shimizu Bank, Ltd. 16,700 765,399 Shin Nippon Air Technologies Co., Ltd. 41,480 287,110 Shinagawa Refractories Co., Ltd. 104,000 281,856 * Shindengen Electric Manufacturing Co., Ltd. 129,000 411,963 Shin-Etsu Polymer Co., Ltd. 144,000 895,187 Shinkawa, Ltd. 36,600 684,815 Shin-Keisei Electric Railway Co., Ltd. 97,000 345,872 Shinki Co., Ltd. 76,000 745,702 # Shinko Electric Co., Ltd. 257,000 692,659 Shinko Plantech Co., Ltd. 56,000 109,692 Shinko Shoji Co., Ltd. 36,000 240,794 Shin-Kobe Electric Machinery Co., Ltd. 82,000 312,390 # Shinmaywa Industries, Ltd. 220,000 928,010 Shinsho Corp. 139,000 304,238 # Shinwa Kaiun Kaisha, Ltd. 304,000 984,621 Shinyei Kaisha 54,000 124,678 Shiraishi Corp. 25,000 41,536 Shiroki Co., Ltd. 148,000 357,480 Shizuki Electric Co., Inc. 47,000 128,273 Shizuokagas Co., Ltd. 119,000 483,989 * Sho-Bond Corp. 46,200 369,657 Shobunsha Publications, Inc. 29,300 379,676 *# Shochiku Co., Ltd. 198,000 1,246,606 # Shoei Co., Ltd. 28,800 451,319 Shoei Foods Corp. 26,000 151,247 Shoko Co., Ltd. 183,000 319,536 Shokusan Bank, Ltd. 98,000 352,838 Showa Aircraft Industry Co., Ltd. 54,000 309,546 Showa Corp. 39,500 461,584 # Showa Electric Wire & Cable Co., Ltd., Kawasaki 373,000 488,173 # Showa Highpolymer Co., Ltd. 86,000 250,659 Showa Mining Co., Ltd. 66,000 109,599 Showa Sangyo Co., Ltd. 329,000 769,873 Showa Tansan Co., Ltd. 31,000 102,087 # Siix Corp. 9,000 166,192
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SHARES VALUE+ ------ ------ Silver Ox Inc. 30,000 $ 67,691 *# Silver Seiko, Ltd. 228,000 90,988 Simree Co., Ltd. 11,700 54,497 Sinanen Co., Ltd. 160,000 801,427 Sintokogio, Ltd., Nagoya 102,000 588,289 SK Japan Co., Ltd. 8,250 67,686 SMK Corp. 143,000 659,368 *# Snow Brand Milk Products Co., Ltd. 418,500 1,285,040 Snow Brand Seed Co., Ltd. 30,000 118,324 SNT Corp. 31,000 172,093 Soda Nikka Co., Ltd. 35,000 108,175 Sodick Co., Ltd. 87,000 641,653 * Sofmap Co., Ltd. 9,300 39,408 Software Research Associates, Inc. 11,400 165,872 Sogo Medical Co., Ltd. 8,800 135,746 * Sokkisha Co., Ltd. 40,000 101,452 Somar Corp. 22,000 68,206 Sonton Food Industry Co., Ltd. 27,000 289,881 Sorun Corp. 41,000 245,549 Sotetsu Rosen Co., Ltd. 44,000 258,327 Sotoh Co., Ltd. 12,000 193,052 Space Co., Ltd. 22,380 207,544 *# SPC Electronics Corp. 29,000 108,260 SPK Corp. 7,800 109,869 SRL, Inc. 33,000 380,264 # SS Pharmaceutical Co., Ltd., Tokyo 212,000 1,386,371 Star Micronics Co., Ltd. 103,000 797,139 Starzen Corp. 144,000 347,121 # Stella Chemifa Corp. 20,700 392,659 Subaru Enterprise Co., Ltd. 36,000 117,500 # Sugi Pharmacy Co., Ltd. 9,200 297,311 Sugimoto & Co., Ltd. 13,500 166,720 # Sumida Corp. 29,790 827,862 Suminoe Textile Co., Ltd. 122,000 230,654 *# Sumitomo Coal Mining Co., Ltd. 239,500 344,053 Sumitomo Densetsu Co., Ltd. 50,700 211,786 # Sumitomo Light Metal Industries, Ltd. 541,000 869,740 * Sumitomo Mitsui Construction Co., Ltd. 413,600 438,288 Sumitomo Pipe & Tube Co., Ltd. 52,000 198,564 Sumitomo Precision Products Co., Ltd., Amagasaki City 84,000 272,104 Sumitomo Seika Chemicals Co., Ltd. 125,000 350,108 *# Sumitomo Titanium Corp. 16,000 859,887 # Sumitomo Warehouse Co., Ltd. 254,000 1,150,432 Sun Wave Corp. 80,000 301,548 Sundrug Co., Ltd. 6,400 199,222 SunTelephone Co., Ltd. 55,000 317,599 # Suruga Corp. 15,400 279,204 * Suzutan Co., Ltd. 13,200 104,721 SXL Corp. 129,000 232,982 Sysmex Corp. 39,800 1,585,137 # T.Hasegawa Co., Ltd. 74,900 1,077,689 Tabai Espec Corp. 41,000 361,271 # Tachihi Enterprise Co., Ltd. 23,350 905,201 Tachikawa Corp. 32,300 202,764 Tachi-S Co., Ltd. 42,100 573,504 Tadano, Ltd. 239,000 1,134,917 Taihei Dengyo Kaisha, Ltd. 70,000 353,668 * Taihei Kogyo Co., Ltd. 129,000 482,234 * Taiheiyo Kouhatsu, Inc. 90,000 $ 120,049 Taiho Kogyo Co., Ltd. 42,000 426,361 Taikisha, Ltd. 97,000 1,312,165 Taisei Lamick Co., Ltd. 8,500 206,084 Taisei Rotec Corp. 140,000 275,400 # Taito Co., Ltd. 70,000 179,901 # Taito Corp. 619 821,579 Takada Kiko Co., Ltd. 31,000 180,878 Takagi Securities Co., Ltd. 94,000 246,406 Takamatsu Corp. 35,800 1,138,936 Takano Co., Ltd. 24,600 374,824 * Takaoka Electric Manufacturing Co., Ltd., Tokyo 156,000 246,677 *# Taka-Q Co., Ltd. 34,500 72,908 # Takara Co., Ltd. 224,000 1,105,376 Takara Printing Co., Ltd. 17,050 152,666 Takara Standard Co., Ltd. 36,000 212,485 * Takarabune Corp. 26,000 253 Takasago International Corp. 172,000 822,484 Takasago Thermal Engineering Co., Ltd. 160,000 1,026,283 Takashima & Co., Ltd. 60,000 146,988 Takigami Steel Construction Co., Ltd. 42,000 316,048 Takiron Co., Ltd. 131,000 592,696 # Takuma Co., Ltd. 163,000 1,182,717 Tamura Corp. 139,000 548,876 * Tamura Taiko Holdings, Inc. 101,000 491,528 Tanseisha Co., Ltd. 26,000 101,648 # Tasaki Shinju Co., Ltd. 53,000 209,912 Tateho Chemical Industries Co., Ltd. 26,500 96,869 Tatsuta Electric Wire & Cable Co., Ltd. 106,000 206,927 Taya Co., Ltd. 5,000 40,021 Tayca Corp. 74,000 208,016 *# TC Properties Co., Ltd. 579,000 0 TCM Corp. 146,000 314,191 * TDF Corp. 11,000 43,969 *# Teac Corp. 113,000 142,447 Techno Ryowa, Ltd. 32,200 181,250 Tecmo, Ltd. 35,100 264,031 # Teikoku Hormone Manufacturing Co., Ltd. 38,000 381,925 Teikoku Piston Ring Co., Ltd. 63,000 562,147 Teikoku Sen-I Co., Ltd. 39,000 189,347 Teikoku Tsushin Kogyo Co., Ltd. 89,000 362,716 Tekken Corp. 289,000 481,936 Ten Allied Co., Ltd. 37,000 143,129 Tenma Corp. 56,400 924,761 Teraoka Seisakusho Co., Ltd. 29,000 250,232 Tetra Co., Ltd., Tokyo 41,000 117,275 * The Daito Bank, Ltd. 186,000 299,644 The Nisshin Oillio Group, Ltd. 346,000 1,546,584 Three F Co., Ltd. 12,200 98,842 Tigers Polymer Corp. 27,000 142,047 *# Titan Kogyo KK 36,000 78,788 # TKC Corp. 55,900 874,360 Toa Corp. 341,000 552,759 Toa Doro Kogyo Co., Ltd. 65,000 154,735 Toa Oil Co., Ltd. 145,000 256,602 * Toabo Corp. 73,000 76,653
214
SHARES VALUE+ ------ ------ # Toagosei Co., Ltd. 544,719 $ 1,731,079 * Tobu Store Co., Ltd. 71,000 142,791 TOC Co., Ltd. 119,000 1,012,297 * Tocalo Co., Ltd. 14,000 424,284 Tochigi Bank, Ltd. 209,000 1,151,998 Tochigi Fuji Industrial Co., Ltd. 51,000 163,874 Toda Kogyo Corp. 84,000 329,437 Todentu Corp. 57,000 162,524 Toei Co., Ltd. 265,000 1,136,701 Toenec Corp. 175,000 712,364 Tohcello Co., Ltd. 47,000 195,781 Toho Bank, Ltd. 286,000 1,052,357 Toho Co., Ltd. 43,000 348,288 *# Toho Rayon Co., Ltd. 239,000 699,767 Toho Real Estate Co., Ltd. 98,000 373,189 Toho Titanium Co., Ltd. 56,000 1,370,390 Toho Zinc Co., Ltd. 217,000 556,990 Tohoku Bank, Ltd. 117,000 243,518 Tohoku Misawa Homes Co., Ltd. 24,000 86,695 # Tohoku Pioneer Corp. 34,000 635,277 Tohoku Telecommunications Construction Co., Ltd. 33,000 256,675 *# Tohpe Corp. 36,000 58,331 Tohto Suisan Co., Ltd. 54,000 99,613 Tokai Carbon Co., Ltd. 378,000 1,351,183 # Tokai Corp. 138,000 522,250 * Tokai Kanko Co., Ltd. 333,000 90,809 Tokai Konetsu Kogyo Co., Ltd. 15,000 54,397 * Tokai Lease Co., Ltd. 18,000 35,107 Tokai Pulp & Paper Co., Ltd. 101,000 341,339 Tokai Senko KK, Nagoya 47,000 93,462 Tokai Tokyo Securities Co., Ltd. 529,250 1,502,965 Tokimec, Inc. 152,000 287,536 Toko Electric Corp. 39,000 125,212 Toko, Inc. 171,000 485,068 Tokushima Bank, Ltd. 134,200 884,920 Tokushu Paper Manufacturing Co., Ltd. 80,000 384,387 Tokyo Biso Kogyo Corp. 19,000 126,900 Tokyo Denpa Co., Ltd. 11,000 124,168 Tokyo Dome Corp. 282,000 1,338,626 Tokyo Electron Device, Ltd. 144 369,448 Tokyo Energy & Systems, Inc. 61,000 276,077 # Tokyo Kikai Seisakusho, Ltd. 150,000 417,731 Tokyo Leasing Co., Ltd. 109,900 1,416,697 # Tokyo Nissan Auto Sales Co., Ltd. 97,000 268,613 Tokyo Rakutenchi Co., Ltd. 109,000 430,947 *# Tokyo Rope Manufacturing Co., Ltd. 294,000 544,776 Tokyo Sangyo Co., Ltd. 36,500 110,256 Tokyo Soir Co., Ltd. 34,000 103,234 *# Tokyo Tekko Co., Ltd. 67,000 241,652 Tokyo Theatres Co., Inc., Tokyo 116,000 163,663 Tokyo Tomin Bank, Ltd. 32,800 685,650 Tokyotokeiba Co., Ltd. 526,000 859,550 Tokyu Community Corp. 22,800 369,732 # Tokyu Livable Inc. 29,300 993,059 Tokyu Recreation Corp. 48,000 276,264 # Tokyu Store Chain Corp. 175,000 846,044 Toli Corp. 106,000 256,080 Tomato Bank, Ltd. 189,000 416,237 Tomen Electronics Corp. 15,000 785,619 # Tomoe Corp. 65,000 $ 264,694 Tomoegawa Paper Co., Ltd. 55,000 178,154 Tomoku Co., Ltd. 153,000 356,018 # Tomy Co., Ltd. 36,900 538,472 Tonami Transportation Co., Ltd. 165,000 498,805 # Topcon Corp. 85,000 1,120,146 Topre Corp. 98,000 729,910 # Topy Industries, Ltd. 405,000 1,465,701 Torigoe Co., Ltd. 35,000 185,354 Torii Pharmaceutical Co., Ltd. 54,100 1,119,065 Torishima Pump Manufacturing Co., Ltd., Osaka 47,000 262,103 Tose Co., Ltd. 12,200 178,862 # Toshiba Ceramics Co., Ltd. 350,000 1,027,904 # Toshiba Machine Co., Ltd. 294,000 1,121,697 Toshiba Plant Kensetsu Co., Ltd. 170,000 782,174 Tosho Printing Co., Ltd. 103,000 336,567 * Totenko Co., Ltd. 35,000 69,369 Totetsu Kogyo Co., Ltd. 53,000 214,124 * Totoku Electric Co., Ltd., Tokyo 62,000 111,004 # Tottori Bank, Ltd. 163,000 608,627 Touei Housing Corp. 49,140 1,271,417 * Toukei Computer Co., Ltd. 14,710 201,603 Towa Bank, Ltd. 443,000 976,143 * Towa Corp. 33,000 225,705 Towa Meccs Corp. 75,000 84,391 *# Towa Real Estate Development Co., Ltd. 80,000 192,235 *# Toyama Chemicals Co., Ltd. 359,000 1,288,441 Toyo Bussan Co., Ltd. 30,600 272,503 *# Toyo Communication Equipment Co., Ltd. 89,000 407,854 * Toyo Construction Co., Ltd. 471,000 438,494 # Toyo Corp. 59,700 698,850 Toyo Electric Co., Ltd. 67,000 187,328 *# Toyo Engineering Corp. 473,000 1,314,742 * Toyo Kanetsu KK 220,000 356,684 Toyo Kohan Co., Ltd. 183,000 710,565 # Toyo Radiator Co., Ltd. 129,000 519,615 Toyo Securities Co., Ltd. 133,000 469,378 * Toyo Shutter Co., Ltd. 77,000 101,573 * Toyo Sugar Refining Co., Ltd. 60,000 84,906 Toyo Tire & Rubber Co., Ltd. 387,000 1,195,680 Toyo Wharf & Warehouse Co., Ltd. 118,000 226,901 # Trans Cosmos, Inc. 43,800 1,497,596 Trusco Nakayama Corp. 57,400 856,820 Tsubaki Nakashima Co., Ltd. 93,500 1,153,131 Tsubakimoto Chain Co. 358,000 1,279,889 Tsubakimoto Kogyo Co., Ltd. 44,000 102,410 # Tsudakoma Corp. 101,000 307,483 # Tsugami Corp. 165,000 484,746 Tsukamoto Co., Ltd. 44,000 87,538 Tsukishima Kikai Co., Ltd. 78,000 554,283 Tsurumi Manufacturing Co., Ltd. 44,000 337,935 Tsutsumi Jewelry Co., Ltd. 37,700 1,104,894 Tsutsunaka Plastic Industry Co., Ltd. 73,000 317,752 Tsuzuki Denki Co., Ltd. 36,000 132,625 Tsuzuki Densan Co., Ltd. 14,200 60,074 TYK Corp. 67,000 181,962 U.Store Co., Ltd. 55,600 567,436 Ube Material Industries, Ltd. 144,000 345,018
215
SHARES VALUE+ ------ ------ Uchida Yoko Co., Ltd. 85,000 $ 343,455 Ueki Corp. 47,000 128,253 # Unicafe, Inc. 10,360 154,028 Unimat Offisco Corp. 37,500 453,961 # Union Tool Co. 40,400 1,355,688 *# Unitika, Ltd. 836,000 898,825 U-Shin, Ltd. 40,000 277,881 Utoc Corp. 68,000 168,092 Valor Co., Ltd. 32,000 667,462 Vital-Net, Inc. 72,100 475,548 Wakachiku Construction Co., Ltd. 206,000 513,072 Wakamoto Pharmaceutical Co., Ltd. 48,000 141,594 Wakodo Co., Ltd. 4,600 171,748 Warabeya Nichiyo Co., Ltd. 24,860 458,079 Watabe Wedding Corp. 13,200 288,790 Watami Food Service Co., Ltd. 72,200 560,781 Weathernews, Inc. 15,800 121,676 * Wondertable, Ltd. 8,000 10,282 Wood One Co., Ltd. 86,000 674,054 Xebio Co., Ltd. 21,100 639,507 XNET Corp. 57 164,926 Yahagi Construction Co., Ltd. 59,000 222,693 Yaizu Suisankagaku Industry Co., Ltd. 20,100 198,379 Yamagata Bank, Ltd. 329,000 1,541,108 Yamaichi Electronics Co., Ltd. 28,400 333,902 Yamamura Glass Co., Ltd. 212,000 481,365 # Yamatake Corp. 127,300 1,337,454 *# Yamatane Corp. 131,000 188,966 Yamato Corp. 36,000 156,788 Yamato International, Inc. 43,000 271,723 Yamato Kogyo Co., Ltd. 118,000 1,585,473 Yamaura Corp. 19,000 48,985 Yamazen Co., Ltd. 160,000 491,749 Yaoko Co., Ltd. 36,800 701,298 Yaskawa Information Systems Corp. 11,700 106,421 Yasuda Warehouse Co., Ltd. 61,000 363,477 Ye Data, Inc. 25,000 69,216 Yellow Hat, Ltd., Tokyo 39,600 332,294 # Yodogawa Steel Works, Ltd. 338,000 1,601,522 Yokogawa Bridge Corp. 74,400 463,833 # Yokohama Reito Co., Ltd. 80,000 520,388 Yokowo Co., Ltd. 32,300 380,980 Yomeishu Seizo Co., Ltd. 52,000 407,900 Yomiuri Land Co., Ltd. 157,000 479,385 Yondenko Corp. 63,800 305,420 Yonekyu Corp. 51,000 557,404 Yonex Co., Ltd. 41,000 356,489 Yorozu Corp. 34,100 278,088 Yoshimoto Kogyo Co., Ltd. 60,000 540,886 Yuasa Funashoku Co., Ltd. 69,000 152,137 * Yuasa Trading Co., Ltd. 274,000 478,215 * Yuken Kogyo Co., Ltd. 60,000 165,981 Yuki Gosei Kogyo Co., Ltd. 31,000 103,880 # Yukiguni Maitake Co., Ltd. 35,600 269,664 Yuraku Real Estate Co., Ltd. 95,000 347,649 Yurtec Corp. 148,000 721,300 # Yushin Precision Equipment Co., Ltd. 25,740 387,156 Yushiro Chemical Industry Co., Ltd. 24,000 374,690 * Z-Plus Holdings Co., Ltd. 52,000 154,794 Zenrin Co., Ltd. 63,700 $ 783,837 # Zensho Co., Ltd. 24,600 630,296 # Zeria Pharmacetical Co., Ltd. 81,000 790,626 # Zuken, Inc. 51,100 489,509 --------------- TOTAL COMMON STOCKS (Cost $623,310,440) 592,082,308 --------------- INVESTMENT IN CURRENCY -- (0.8%) * Japanese Yen (Cost $6,262,627) 6,275,614 --------------- RIGHTS/WARRANTS -- (0.0%) * BSL Corp. Bonus Warrants 01/31/05 42,190 0 * Kanematsu Corp. Warrants 03/31/06 20,125 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 --------------- TOTAL -- JAPAN (Cost $629,573,067) 598,357,922 --------------- FACE AMOUNT ------ (000) TEMPORARY CASH INVESTMENTS -- (22.5%) Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities USA 1.96%, 12/01/04 (Collateralized by $167,173,427 U.S. Treasury Notes & STRIPS, rates ranging from 1.625% to 11.75%, maturities ranging from 03/31/05 to 11/15/29, valued at $169,079,214) to be repurchased at $166,188,246 (Cost $166,179,198)^ $ 166,179 166,179,198 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $7,650,000 FNMA Notes 2.95%, 11/14/07, valued at $7,660,733) to be repurchased at $7,555,395 (Cost $7,555,000) 7,555 7,555,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $173,734,198) 173,734,198 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $803,307,265) $ 772,092,120 ===============
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 216 THE PACIFIC RIM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ AUSTRALIA -- (41.5%) COMMON STOCKS -- (41.3%) A.I., Ltd. 129,195 $ 19,475 A.P. Eagers, Ltd. 26,648 147,537 AAV, Ltd. 136,790 177,548 # ABB Grain, Ltd. 155,230 854,348 # ABC Learning Centres, Ltd. 199,929 781,792 * Acclaim Exploration NL 435,905 14,738 * Adacel Technologies, Ltd. 113,249 26,162 ADCorp Australia, Ltd. 123,389 102,248 Adelaide Bank, Ltd. 169,045 1,319,609 Adelaide Brighton, Ltd. 661,990 861,986 # Adsteam Marine, Ltd. 449,500 569,059 Adtrans Group, Ltd. 32,047 88,256 * Agenix, Ltd. 267,186 119,595 * AGT Biosciences, Ltd. 141,979 65,761 * Ainsworth Game Techology, Ltd. 254,960 196,165 AJ Lucas Group, Ltd. 85,235 108,150 Alesco Corp., Ltd. 116,883 735,788 * Alkane Exploration, Ltd. 185,165 26,959 * Allegiance Mining NL 274,272 30,708 * Altium, Ltd. 162,100 37,592 Amalgamated Holdings, Ltd. 213,820 686,094 Amcom Telecommunications, Ltd. 596,711 96,391 * Amity Oil NL 269,554 154,454 * Amrad Corp., Ltd. 211,023 84,580 * Anadis, Ltd. 136,900 58,377 * Anateus Energy, Ltd. 193,687 13,976 * Anvil Mining, Ltd. 343,284 157,148 ARB Corporation, Ltd. 116,670 344,900 * Arc Energy NL 321,280 332,723 Ariadne Australia, Ltd. 277,334 83,439 * Arrow Pharmaceuticals, Ltd. 109,428 1,089,932 Aspen Group, Ltd. 16,937 2,616 * Atlas Pacific, Ltd. 82,585 10,840 AuIron Energy, Ltd. 105,891 184,424 Ausdrill, Ltd. 172,389 67,902 Ausmelt, Ltd. 36,118 11,760 Auspine, Ltd. 89,325 266,955 * Austal, Ltd. 356,800 536,856 # * Austar United Communications, Ltd. 2,120,181 1,474,613 # Austereo Group, Ltd. 719,528 900,309 Austin Group, Ltd. 70,265 44,073 * Austral Coal, Ltd. 373,084 230,671 Australian Agricultural Co., Ltd. 344,519 397,085 # * Australian Magnesium Corp., Ltd. 332,383 6,136
1 Australian Pharmaceutical Industries, Ltd. 456,731 1,202,012 Australian Pipeline Trust 491,831 1,182,424 # * Australian Worldwide Exploration, Ltd. 465,421 702,127 Auto Group, Ltd. 41,309 21,106 Autron Corporation, Ltd. 989,247 153,013 # AV Jennings Homes, Ltd. 369,461 463,309 Avatar Industries, Ltd. 56,896 33,856 * Avexa, Ltd. 67,761 13,670 * Ballarat Goldfields NL 1,250,496 168,964 # Bank of Queensland, Ltd. 221,092 1,816,634 Baxter Group, Ltd. 56,513 227,297 * BayCorp Advantage, Ltd. 410,581 989,473 Beach Petroleum NL 1,920,078 681,603 * Beaconsfield Gold NL 89,078 29,807 Bendigo Bank, Ltd. 102,468 780,716 * Bendigo Mining NL 412,092 340,304 * Beyond International, Ltd. 61,256 18,061 * Biota Holdings, Ltd. 158,536 70,905 Blackmores, Ltd. 27,894 290,871 * Blina Diamonds, Ltd. 13,703 3,668 Bolnisi Gold NL 288,627 133,110 * Boulder Group NL 717,587 106,251 * BQT Solutions, Ltd. 179,898 32,660 Brazin, Ltd. 211,021 321,954 BreakFree, Ltd. 92,162 242,958 Bridgestone Australia, Ltd. 49,000 134,624 * Broadcast Services Australia, Ltd. 205,703 62,996 * Buka Mineral, Ltd. 210,323 63,200 Cabcharge Austalia, Ltd. 196,800 614,249 Campbell Brothers, Ltd. 90,980 641,536 Candle Australia, Ltd. 67,821 108,110 * Cape Range Wireless, Ltd. 1,698,199 48,739 # Capral Aluminium, Ltd. 167,379 308,116 CDS Technologies, Ltd. 61,294 120,634 Cedar Woods Properties, Ltd. 77,414 137,319 * Cellestis, Ltd. 147,658 365,112 Cellnet Telecommunications Group, Ltd. 91,100 120,302 # * Centamin Egypt, Ltd. 996,437 226,208 Centennial Coal, Ltd. 464,685 1,446,281 Central Equity, Ltd. 136,685 214,795 * Charter Pacific Corp., Ltd. 72,823 19,964 * Charters Towers Gold Mines, Ltd. 727,142 83,767 # * Chemeq, Ltd. 142,223 219,154 * Child Care Centres Australia, Ltd. 62,315 93,473 * Chiquita Brands South Pacific, Ltd. 250,903 151,451 Circadian Technologies, Ltd. 64,591 109,476 Citect Corp., Ltd. 109,822 71,255 * Climax Mining, Ltd. 870,299 69,990 * Clough, Ltd. 817,737 315,975 Clover Corp., Ltd. 269,348 78,803 * Cluff Resources Pacific NL 911,746 17,452 CMI, Ltd. 47,437 72,600 * CO2 Group, Ltd. 280,693 106,298 # Coates Hire, Ltd. 371,530 1,303,482
2 Cochlear, Ltd. 97,156 1,768,754 Coffey International, Ltd. 105,045 162,339 Collection House, Ltd. 176,200 235,645 Colorado Group, Ltd. 192,662 947,250 Commander Communications, Ltd. 256,819 474,375 Consolidated Minerals, Ltd. 320,225 544,942 * Coplex Resources NL 231,400 16,159 Corporate Express Australia, Ltd. 320,507 1,398,598 Count Financial, Ltd. 367,126 383,221 Coventry Group, Ltd. 61,839 350,127 * CPI, Ltd. 68,585 42,987 Crane Group, Ltd. 99,416 776,664 Croesus Mining NL 798,235 367,827 * Crown Diamonds NL 300,000 53,130 Danks Holdings, Ltd. 10,425 100,593 # DCA Group, Ltd. 509,294 1,322,469 Devine, Ltd. 168,183 88,638 * Dioro Exploraration NL 297,142 25,067 * Dominion Mining, Ltd. 168,015 50,464 Downer Group, Ltd. 513,745 1,778,260 * Dragon Mining NL 498,591 111,561 * Emporer Mines, Ltd. 168,840 82,972 Energy Developments, Ltd. 231,690 616,223 * Energy World Corp., Ltd. 325,630 4,254 # Envestra, Ltd. 1,370,800 1,112,417 * Environmental Solutions International, Ltd. 67,364 3,345 Equigold NL 252,890 302,108 * Equinox Minerals, Ltd. 67,716 36,253 Evans & Tate, Ltd. 160,542 131,603 Fantastic Holdings, Ltd. 146,410 610,746 FKP, Ltd. 221,750 619,103 # Fleetwood Corp., Ltd. 77,785 522,367 * Forest Enterprises Australia, Ltd. 387,869 194,986 * Fortescue Metals Group, Ltd. 222,872 558,803 Funtastic, Ltd. 210,036 433,265 # Futuris Corp., Ltd. 1,170,799 1,910,497 Gale Pacific, Ltd. 72,812 170,436 Gazal Corp., Ltd. 98,175 281,529 * Geodynamics, Ltd. 89,459 103,638 * Giants Reef Mining, Ltd. 1,400,196 82,895 Globe International, Ltd. 712,348 266,974 * Gold Aura 41,097 4,417 * Goldstream Mining NL 105,681 33,989 Gowing Bros., Ltd. 60,296 123,279 * Gradipore, Ltd. 104,226 64,465 Graincorp, Ltd. Series A 78,059 796,619 Grand Hotel Group 383,087 239,665 GRD NL 379,594 822,614 # Great Southern Plantations, Ltd. 437,017 1,278,184 Green's Foods, Ltd. 129,747 93,209 GUD Holdings, Ltd. 114,428 977,506 # Gunns, Ltd. 602,832 1,958,402 * Gutnick Resources NL 17,866 2,058 GWA International, Ltd. 490,586 1,243,414
3 * Gympie Gold, Ltd. 302,445 131,413 * Hardman Resources NL 977,372 1,354,713 Harvey World Travel, Ltd. 52,100 58,432 Health Communication Network, Ltd. 106,000 134,362 Healthscope, Ltd. 157,155 488,845 Henry Walker Eltin Group, Ltd. 360,324 157,360 * Herald Resources, Ltd. 69,910 46,358 HGL, Ltd. 84,970 128,181 # Hills Industries, Ltd. 279,879 912,400 Home Building Society, Ltd. 18,776 89,047 * Horizon Oil NL 752,832 95,906 Housewares International, Ltd. 293,921 609,014 HPAL, Ltd. 193,847 234,207 * Hutchison Telecommunications (Australia), Ltd. 1,153,996 323,826 * IBA Health, Ltd. 322,750 162,059 IInet, Ltd. 136,659 316,593 Iluka Resources, Ltd. 398,111 1,799,395 * Imdex, Ltd. 135,662 19,780 Incitec Pivot, Ltd. 67,442 1,097,905 * Independent Practioner Network, Ltd. 457,414 13,486 * Indophil Resources NL 250,607 74,888 # Infomedia, Ltd. 598,900 371,341 Institute of Drug Technology Australia, Ltd. 82,205 145,695 Integrated Group, Ltd. 145,820 282,177 Integrated Research, Ltd. 261,513 105,015 * Intellect Holdings, Ltd. 403,028 12,092 * Intermoco, Ltd. 1,067,459 62,396 * International All Sports, Ltd. 58,815 15,480 Investor Group, Ltd. 112,388 341,462 # ION, Ltd. 419,349 319,580 Iress Market Technology, Ltd. 176,883 498,069 IWL, Ltd. 81,474 142,300 * Ixla, Ltd. 89,921 1,605 JDV, Ltd. 123,805 74,312 # Jones (David), Ltd. 707,771 1,265,632 Jubilee Mines NL 224,549 767,701 K&S Corp., Ltd. 93,878 213,490 * Kagara Zinc, Ltd. 276,962 194,430 Keycorp, Ltd. 156,412 220,038 * Kimberley Diamond Co. NL 274,068 213,428 # Kingsgate Consolidated NL 141,645 285,453 Kresta Holdings, Ltd. 231,002 99,956 * Lakes Oil NL 2,055,217 79,469 Lemarne Corp., Ltd. 20,790 40,808 * Leyshon Resources, Ltd. 103,357 38,047 Lighting Corp., Ltd. 112,500 69,364 * LionOre Mining International, Ltd. 25,843 149,482 * Lynas Gold NL 433,768 125,462 # MacArthur Coal, Ltd. 265,423 870,588 MacMahon Holdings, Ltd. 593,580 222,369 * Macmin Silver, Ltd. 343,722 39,418 * Macquarie Corporate Telecommunications, Ltd. 350,192 51,502 Macquarie Goodman Management, Ltd. 465,692 1,272,113 Magellan Petroleum Australia, Ltd. 32,760 33,526
4 * Magnesium International, Ltd. 656,061 34,023 * Maryborough Sugar Factory, Ltd. 600 3,434 * Matrix Oil NL 557,000 19,016 MaxiTRANS Industries, Ltd. 273,119 225,572 # McGuigan Simeon Wines, Ltd. 291,513 1,186,362 McPherson's, Ltd. 103,232 438,880 * Medica Holdings, Ltd. 31,587 17,556 Melbourne IT, Ltd. 83,305 87,074 # * Metabolic Pharmaceuticals, Ltd. 700,000 967,725 # * Metal Storm, Ltd. 791,640 166,847 # Miller's Retail, Ltd. 493,726 461,973 * Minara Resources, Ltd. 846,370 1,421,569 Mincor Resources NL 333,960 164,299 Monadelphous Group, Ltd. 40,803 253,732 # * Mosaic Oil NL 756,146 148,653 * MPI Mines, Ltd. 170,592 293,988 * MPI Mines, Ltd. Leviathan Entitlements 56,864 34,414 * MXL, Ltd. 512,804 34,697 MYOB, Ltd. 698,496 745,632 Namoi Cotton Cooperative, Ltd. 152,330 69,156 National Can Industries, Ltd. 97,017 112,994 * Norwood Abbey, Ltd. 245,896 121,412 * Nova Health, Ltd. 162,859 29,066 * Novera Energy, Ltd. 314,130 83,272 # * Novogen, Ltd. 166,644 718,861 Nufarm, Ltd. 287,774 1,835,428 * Nylex, Ltd. 1,110,199 339,680 Oakton, Ltd. 130,899 144,695 # Oamps, Ltd. 182,284 488,184 * Occupational & Medical Innovations, Ltd. 31,208 33,587 * Orbital Engine Corp., Ltd. 537,358 48,297 OrotonGroup, Ltd. 76,854 169,606 * Oxiana, Ltd. 2,124,170 1,710,523 Pacific Group, Ltd. 248,624 702,617 Pacific Hydro, Ltd. 378,635 1,080,005 * Paladin Resources, Ltd. 573,901 230,885 * Palm Springs, Ltd. 222,804 25,801 * Pan Pacific Petroleum NL 327,800 34,317 * Panbio, Ltd. 58,078 16,544 * Payce Consolidated, Ltd. 18,000 37,685 Penfold Buscombe, Ltd. 54,588 79,134 * People Telecom, Ltd. 274,060 35,717 Peppercorn Management Group, Ltd. 22,267 183,484 * Peptech, Ltd. 281,015 440,441 * Perilya Mines NL 263,500 174,648 * Perseverance Corp., Ltd. 917,246 274,396 # * Petsec Energy, Ltd. 203,974 223,842 * Plantcorp NL 4,329 0 Plaspak Group, Ltd. 99,965 72,596 # * PMP, Ltd. 497,872 777,364 * Polartechnics, Ltd. 43,405 15,292 Port Bouvard, Ltd. 108,200 113,668 * Port Douglas Reef Resorts, Ltd. 251,655 16,612 Portman, Ltd. 343,890 803,275
5 * PowerTel, Ltd. Series B 110,422 119,017 * Prana Biotechnology, Ltd. 195,424 80,563 * Precious Metals Australia, Ltd. 10,606 1,263 * Preston Resources NL 64,000 1,171 Primary Health Care, Ltd. 196,419 1,214,515 Prime Television, Ltd. 210,595 514,192 * Primelife Corp., Ltd. 99,482 128,862 * Progen Industries, Ltd. 64,862 264,698 Programmed Maintenance Service, Ltd. 124,246 319,349 Queensland Cotton Holdings, Ltd. 47,054 164,307 * Quiktrak Networks P.L.C. Entitlement Shares 23,875 0 * Quiktrak Networks, Ltd. 7,401 574 Ramsay Health Care, Ltd. 230,574 1,316,240 Raptis Group, Ltd. 12,000 6,675 Rebel Sport, Ltd. 132,283 322,855 * Redfire Resources NL 859,797 125,519 Reece Australia, Ltd. 185,260 1,677,477 * Reinsurance Australia Corp., Ltd. 399,993 176,524 * Reliance Mining, Ltd. 105,540 36,690 Repcol, Ltd. 308,668 100,322 * Resolute Mining, Ltd. 287,264 335,706 * Resonance Health, Ltd. 29,264 3,389 Ridley Corp., Ltd. 607,544 639,017 Roberts, Ltd. 18,045 108,786 * Roc Oil Co., Ltd. 311,181 441,017 Rock Building Society, Ltd. 11,373 32,970 Ross Human Directions, Ltd. 121,481 91,853 Rural Press, Ltd. 38,633 300,631 S8, Ltd. 118,171 136,244 Salmat, Ltd. 200,045 750,552 Schaffer Corp., Ltd. 33,766 347,264 SDI, Ltd. 200,815 288,252 * Sedimentary Holdings, Ltd. 577,321 122,403 Select Harvests, Ltd. 71,550 456,764 * Senetas Corp., Ltd. 240,406 45,755 Servcorp, Ltd. 156,000 323,088 Seven Network, Ltd. 319,923 1,555,996 # SFE Corp., Ltd. 225,787 1,432,702 Sigma Co., Ltd. 256,868 1,851,638 * Silex System, Ltd. 235,100 228,479 Sims Group, Ltd. 150,718 2,079,144 * Sino Gold, Ltd. 235,144 417,456 # * Sirtex Medical, Ltd. 96,109 206,398 Skilled Engineering, Ltd. 153,706 304,130 Smorgon Steel Group, Ltd. 1,498,240 1,388,420 SMS Management & Technology, Ltd. 507,212 133,921 * Sons of Gwalia, Ltd. 253,252 255,447 # Southern Cross Broadcasting (Australia), Ltd. 103,651 1,240,178 * Southern Pacific Petroleum NL 698,740 130,116 SP Telecommunications, Ltd. 583,805 973,161 # SPC Ardmona, Ltd. 352,780 579,497 # Spotless Group, Ltd. 377,303 1,440,908 * St. Barbara Mines, Ltd. 375,500 21,652 Star Games, Ltd. 132,410 144,339
6 * Starpharma Holdings, Ltd. 178,465 103,453 * Straits Resources, Ltd. 212,913 303,856 * Strategic Minerals Corp. NL 358,100 35,994 * Strathfield Group, Ltd. 492,553 83,869 * Striker Resources NL 435,484 17,532 # STW Communications Group, Ltd. 295,275 720,251 # Sunland Group, Ltd. 370,446 524,239 Sydney Aquarium, Ltd. 49,135 204,655 * Sydney Gas, Ltd. 402,065 304,434 Symex Holdings, Ltd. 163,000 172,537 * Taipan Resources NL 2,475,883 123,267 * Tandou, Ltd. 3,410 4,461 * Tap Oil, Ltd. 269,296 382,728 Technology One, Ltd. 587,800 281,834 Tectonic Resources NL 259,183 73,758 * Television & Media Services, Ltd. 2,000,584 65,072 Tempo Service, Ltd. 184,359 173,727 Thakral Holdings Group 948,383 534,300 The Gribbles Group, Ltd. 780,300 374,098 Ticor, Ltd. 455,148 527,588 # Timbercorp, Ltd. 373,920 594,064 * Titan Resources NL 297,586 49,371 * Tooth & Co., Ltd. 153,000 14,129 Transfield Services, Ltd. 258,722 1,237,451 Triako Resources, Ltd. 25,400 32,506 Troy Resources NL 72,048 199,862 Trust Company of Australia, Ltd. 53,206 357,646 United Group, Ltd. 185,592 925,193 * Unitract, Ltd. 147,406 115,516 UXC, Ltd. 230,697 146,276 VeCommerce, Ltd. 13,680 15,901 * Ventracor, Ltd. 331,714 386,827 * Victoria Petroleum NL 2,180,492 79,049 Villa World, Ltd. 185,574 221,134 # * Village Roadshow, Ltd. 591,536 912,883 * Virotec International NL 298,151 124,809 Vision Systems, Ltd. 281,036 263,897 * Voicenet (Australia), Ltd. 495,284 7,241 Volante Group, Ltd. 211,215 248,067 Waterco, Ltd. 22,304 69,053 Watpac, Ltd. 139,743 138,434 # Wattyl, Ltd. 136,317 403,654 * Webster, Ltd. 33,551 22,251 * Wedgetail Exploration NL 1,413,422 59,981 Wide Bay Capricorn Building Society, Ltd. 35,356 182,831 Worley Group, Ltd. 283,762 1,197,893 * Yates, Ltd. 60,281 2,421 ------------------ TOTAL COMMON STOCKS (Cost $98,124,864) 130,771,728 ------------------ INVESTMENT IN CURRENCY -- (0.1%) * Australian Dollar 409,212 ------------------ (Cost $387,262)
7 PREFERRED STOCKS -- (0.1%) Southern Cross Broadcasting (Australia), Ltd. 12,034 140,057 * Village Roadshow, Ltd. 2% Class A 55,477 73,339 ------------------ TOTAL PREFERRED STOCKS (Cost $205,920) 213,396 ------------------ RIGHTS/WARRANTS -- (0.0%) * Ainsworth Game Technology, Ltd. Rights 12/10/04 33,994 396 * Allegiance Mining NL Rights 12/15/04 27,427 943 * Axon Instruments, Inc. Options 01/02/07 16,148 0 * CBH Resources, Ltd. Rights 12/10/04 171,959 0 * Macmin Silver, Ltd. Options 10/30/08 38,191 2,104 # * Mosaic Oil NL Options 09/30/05 48,415 3,005 ------------------ TOTAL RIGHTS/WARRANTS (Cost $98) 6,448 ------------------ TOTAL -- AUSTRALIA (Cost $98,718,144) 131,400,784 ------------------ HONG KONG -- (22.8%) COMMON STOCKS -- (22.8%) * 139 Holdings, Ltd. 6,200,000 17,500 ABC Communications (Holdings), Ltd. 930,000 69,190 Aeon Credit Service (Asia) Co., Ltd. 740,000 485,286 ALCO Holdings, Ltd. 740,000 189,854 Allan International Holdings, Ltd. 592,000 94,372 * Allied Group, Ltd. 559,200 574,606 * Allied Properties, Ltd. 802,600 412,284 * Anex International Holdings, Ltd. 152,000 2,072 * Applied International Holdings, Ltd. 1,243,000 19,465 * APT Satellite Holdings, Ltd. 599,000 110,003 Artel Solutions Group Holdings, Ltd. 2,315,000 67,413 Arts Optical International Holdings, Ltd. 468,000 159,377 Asia Aluminum Holdings, Ltd. 2,084,000 240,418 * Asia Commercial Holdings, Ltd. 72,800 4,243 Asia Financial Holdings, Ltd. 1,976,908 486,945 * Asia Logistics Technologies, Ltd. 22,140 3,871 Asia Satellite Telecommunications Holdings, Ltd. 233,000 452,304 * Asia Standard International Group, Ltd. 6,780,000 356,109 * Asia Tele-Net & Technology Corp., Ltd. 521,000 29,975 Associated International Hotels, Ltd. 898,000 728,507 Automated Systems Holdings, Ltd. 340,000 55,377 Baltrans Holdings, Ltd. 376,000 133,920 * Beijing Development (Hong Kong), Ltd. 166,000 21,298 Bossini International Holdings, Ltd. 1,801,500 467,049 Bright International Group, Ltd. 710,000 73,083 Cafe de Coral Holdings, Ltd. 350,000 402,703 * Capital Prosper, Ltd. 480,000 4,198 * Capital Strategic Investment, Ltd. 30,500 2,389 * Cash Financial Services Group, Ltd. 27,018 623
8 * Casil Telecommunications Holdings, Ltd. 1,420,000 78,666 * Catic International Holdings, Ltd. 5,332,000 92,448 CCT Telecom Holdings, Ltd. 472,970 76,257 CEC International Holdings, Ltd. 210,000 4,510 * Celestial Asia Securities Holdings, Ltd. 426,036 22,892 * Central China Enterprises, Ltd. 210,400 18,033 # Champion Technology Holdings, Ltd. 1,329,386 235,337 Chaoda Modern Agriculture (Holdings), Ltd. 1,536,000 556,436 Chen Hsong Holdings, Ltd. 1,210,000 769,266 Cheuk Nang (Holdings), Ltd. 112,501 58,712 * Cheung Tai Hong Holdings, Ltd. 100,920 4,779 Chevalier International Holdings, Ltd. 441,482 354,909 Chevalier Itech Holdings, Ltd. 355,250 47,783 * China Aerospace International Holdings, Ltd. 3,384,000 195,383 * China Bio-medical Group, Ltd. 415,000 8,005 * China City Natural Gas Holdings, Ltd. 10,488,000 26,983 * China Digicontent Co., Ltd. 2,710,000 3,485 China Everbright International, Ltd. 3,945,000 262,654 * China Everbright Technology, Ltd. 3,244,000 155,712 # * China Gas Holdings, Ltd. 2,026,000 331,991 China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 129,970 China Insurance International Holdings Co., Ltd. 856,000 384,547 * China Investments Holdings, Ltd. 210,000 4,537 * China Motion Telecom International, Ltd. 257,000 9,969 China Motor Bus Co., Ltd. 74,000 530,942 * China Nan Feng Group, Ltd. 28,800 389 # China National Aviation Co., Ltd. 1,552,000 322,441 China Online (Bermuda), Ltd. 296,240 47,999 China Pharmaceutical Enterprise and Investment Corp., Ltd. 754,000 193,839 China Rare Earth Holdings, Ltd. 1,180,000 163,921 China Resources Land, Ltd. 2,658,000 451,045 China Resources Logic, Ltd. 3,796,000 447,704 * China Rich Holdings, Ltd. 3,380,000 16,518 * China Sci-Tech Holdings, Ltd. 2,786,000 9,580 * China Star Entertainment, Ltd. 440,292 42,383 * China Strategic Holdings, Ltd. 1,368,500 97,758 # China Travel International Investment, Ltd. 1,276,000 384,896 Chinney Investments, Ltd. 1,144,000 97,060 * Chitaly Holdings, Ltd. 150,000 113,458 Chow Sang Sang Holdings International, Ltd. 721,400 338,077 Chuangs China Investments, Ltd. 1,347,000 83,222 Chuang's Consortium International, Ltd. 1,858,884 171,677 Chun Wo Holdings, Ltd. 1,671,917 231,596 Chung Tai Printing Holdings, Ltd. 548,000 87,975 * CITIC 21CN Co., Ltd. 1,536,000 463,109 * CITIC Resources Holdings, Ltd. 1,790,000 362,846 City e Solutions, Ltd. 186,000 20,047 City Telecom (H.K.), Ltd. 1,070,000 221,129 # * Clear Media, Ltd. 340,000 341,536 * Climax International Co., Ltd. 296,000 1,296 # CNPC (Hong Kong), Ltd. 2,680,000 430,399 * CNT Group, Ltd. 3,078,000 71,070 * Coastal Greenland, Ltd. 2,440,000 50,103 COFCO International, Ltd. 1,042,000 457,706
9 * Compass Pacific Holdings, Ltd. 624,000 23,272 * Computer & Technologies Holdings, Ltd. 432,000 58,706 Continental Holdings, Ltd. 98,825 10,666 Continental Mariner Investment Co., Ltd. 1,328,000 259,056 * COSCO International Holdings, Ltd. 2,573,600 451,986 # Coslight Technology International Group, Ltd. 626,000 170,814 * Cosmos Machinery Enterprises, Ltd. 1,126,400 54,779 * Crocodile Garments, Ltd. 1,539,000 82,946 Cross Harbour Tunnel Co., Ltd. 386,520 230,953 * Culturecom Holdings, Ltd. 3,767,000 265,489 * Dah Hwa International Holdings, Ltd. 1,062,000 39,512 * Dan Form Holdings Co., Ltd. 2,386,600 116,822 * Daqing Petroleum & Chemical Group, Ltd. 1,375,000 104,033 Dickson Concepts International, Ltd. 498,300 578,211 * Digital China Holdings, Ltd. 1,416,000 436,117 * DVN Holdings, Ltd. 744,490 149,297 * Dynamic Global Holdings, Ltd. 3,522,000 19,023 Dynamic Holdings, Ltd. 244,000 35,203 Easyknit International Holdings, Ltd. 282,860 5,165 * Eforce Holdings, Ltd. 2,620,000 18,738 Egana Jewelry and Pearls 331,789 59,301 # Eganagoldfeil Holdings, Ltd. 2,017,235 406,183 Emperor International Holdings, Ltd. 90,436 160,584 * e-New Media Co., Ltd. 320,000 10,481 * eSun Holdings, Ltd. 653,600 71,180 * Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 102,227 Ezcom Holdings, Ltd. 72,576 2,988 * Fairwood Holdings, Ltd. 42,600 16,680 # Far East Consortium International, Ltd. 1,948,929 748,524 * Far East Hotels & Entertainment, Ltd. 1,853,000 119,970 Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,124 * First Natural Foods Holdings, Ltd. 295,000 22,340 First Sign International Holdings, Ltd. 1,424,000 42,581 Fong's Industries Co., Ltd. 304,000 262,000 * Forefront International Holdings, Ltd. 658,000 48,233 * Fortuna International Holdings, Ltd. 9,344,000 20,154 * Foundation Group, Ltd. 83,800 1,983 * Founder Holdings, Ltd. 1,854,000 164,305 Fountain Set Holdings, Ltd. 508,000 371,554 Four Seas Frozen Food Holdings, Ltd. 347,184 58,427 Four Seas Mercantile Holdings, Ltd. 592,000 213,170 * Fujian Holdings, Ltd. 237,800 7,650 Fujikon Industrial Holdings, Ltd. 532,000 76,656 * Fushan Holdings, Ltd. 2,566,000 143,341 * GeoMaxima Energy Holdings, Ltd. 5,810,000 63,222 Giordano International, Ltd. 1,128,000 709,383 * Global China Group Holdings, Ltd. 3,022,000 157,407 Global Green Tech Group, Ltd. 1,336,000 114,752 * Global Tech (Holdings), Ltd. 5,612,000 36,086 Glorious Sun Enterprises, Ltd. 1,650,000 581,787 Gold Peak Industries (Holdings), Ltd. 1,059,250 271,825 * Goldbond Group Holdings, Ltd. 2,609,500 51,245 Golden Meditech Company, Ltd. 533,802 128,875 Golden Resources Development International, Ltd. 1,456,500 70,169
10 * Gold-Face Holdings, Ltd. 2,003,600 139,140 Goldlion Holdings, Ltd. 1,438,000 142,195 Golik Holdings, Ltd. 930,500 28,632 Good Fellow Group, Ltd. 3,488,000 110,892 * Gorient Holdings, Ltd. 7,370 66 Grande Holdings, Ltd. 258,000 263,036 * Great Wall Cybertech, Ltd. 15,795,170 20,313 # Group Sense (International), Ltd. 2,062,000 203,327 Guangdong Brewery Holdings, Ltd. 2,212,000 682,524 * Guangnan Holdings, Ltd. 14,216,000 264,101 # Guangzhou Investment Co., Ltd. 4,058,000 406,350 * Guo Xin Group, Ltd. 3,640,000 80,258 * Guorun Holdings, Ltd. 2,125,000 110,304 GZI Transport, Ltd. 1,820,000 555,122 Hang Fung Gold Technology, Ltd. 762,000 118,322 Hang Ten Group Holdings, Ltd. 5,850 825 Hanny Holdings, Ltd. 186,658 74,184 * Hansom Eastern Holdings, Ltd. 3,473,235 25,456 Harbour Centre Development, Ltd. 517,000 578,480 Harbour Ring International Holdings, Ltd. 3,306,000 305,295 * Hen Fung Holdings, Ltd. 1,740,000 39,662 Henderson China Holdings, Ltd. 815,000 413,715 Heng Tai Consumables Group, Ltd. 530,000 88,309 # Hengan International Group Co., Ltd. 628,000 387,751 High Fashion International, Ltd. 268,000 53,470 HKR International, Ltd. 1,884,860 996,242 Hon Kwok Land Investment Co., Ltd 572,535 132,366 Hong Kong Catering Management, Ltd. 512,000 87,331 * Hong Kong Construction Holdings, Ltd. 970,000 64,988 Hong Kong Ferry (Holdings) Co., Ltd. 671,300 741,218 * Hong Kong Parkview Group, Ltd. 1,130,000 78,473 * Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,756 Hongkong Chinese, Ltd. 2,126,000 284,295 * Hop Hing Holdings, Ltd. 660,265 29,719 Hopson Development Holdings, Ltd. 1,246,000 344,454 * Hsin Chong Construction Group, Ltd. 1,569,658 84,893 Hua Han Bio-Pharmaceutical Holdings, Ltd. 208,000 25,125 * Huabao International Holdings, Ltd. 19,300 2,260 * Huafeng Textile International Group, Ltd. 248,000 23,885 * Hualing Holdings, Ltd. 1,344,000 68,117 Hung Hing Printing Group, Ltd. 266,000 203,151 * Hycomm Wireless, Ltd. 4,709,000 33,041 I-Cable Communications, Ltd. 888,000 350,791 * I-China Holdings, Ltd. 375,756 9,641 IDT International, Ltd. 4,028,486 890,691 * Imagi International Holdings, Ltd. 137,400 25,598 * Innomaxx Biotechnology Group, Ltd. 3,050,000 111,325 * Interchina Holdings Co., Ltd. 8,130,000 243,241 International Bank of Asia, Ltd. 462,000 195,372 * Inworld Group, Ltd. 2,036 9 * ITC Corp., Ltd. 466,157 40,005 JCG Holdings, Ltd. 414,000 337,994 * Jinhui Holdings Co., Ltd. 16,000 44,476 * Joyce Boutique Holdings, Ltd. 514,000 28,948
11 * Junefield Department Store Group, Ltd. 256,000 3,301 # K Wah International Holdings, Ltd. 3,096,364 794,345 K. Wah Construction Materials, Ltd. 2,455,075 965,456 * Kader Holdings Co., Ltd. 545,600 11,583 * Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 47,675 Karrie International Holdings, Ltd. 488,000 169,059 Keck Seng Investments (Hong Kong), Ltd. 858,600 247,220 Kee-Shing Holdings Co., Ltd. 886,000 84,389 Kin Yat Holdings, Ltd. 586,000 51,195 King Fook Holdings, Ltd. 1,000,000 77,407 * King Pacific International Holdings, Ltd. 1,404,200 22,031 Kingdee International Software Group Co., Ltd. 638,000 182,274 Kingmaker Footwear Holdings, Ltd. 1,058,750 271,246 * Kong Sun Holdings, Ltd. 2,198,000 7,067 Kowloon Development Co., Ltd. 604,000 638,857 * KPI Co., Ltd. 396,000 6,503 KTP Holdings, Ltd. 560,400 40,987 * Kwong Sang Hong International, Ltd. 1,434,000 223,104 Kwoon Chung Bus Holdings, Ltd. 556,000 96,456 * Lai Sun Development Co., Ltd. 7,592,000 185,463 * Lai Sun Garment (International), Ltd. 2,325,000 110,382 Lam Soon (Hong Kong), Ltd. 302,310 103,168 Le Saunda Holdings, Ltd. 236,000 33,928 * Leadership Publishing Group, Ltd. 250,511 973 * Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,971 * Lee & Man Holdings, Ltd. 566,000 82,870 Lerado Group (Holding) Co., Ltd. 1,048,000 152,102 * LifeTec Group, Ltd. 1,383,000 20,405 Lippo, Ltd. 1,074,760 283,113 Liu Chong Hing Bank, Ltd. 293,000 436,851 Liu Chong Hing Investment, Ltd. 635,200 498,034 Luk Fook Holdings (International), Ltd. 690,000 165,730 Luks Industrial Group, Ltd. 645,555 108,610 Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 633,901 * MACRO-LINK International Holdings, Ltd. 1,036,250 39,962 * Mae Holdings, Ltd. 2,220,000 4,790 * Magnificent Estates, Ltd. 8,368,000 124,104 * Magnum International Holdings, Ltd. 300,000 2,585 Mainland Headwear Holdings, Ltd. 410,000 154,203 * Mansion House Group, Ltd. 1,820,000 44,506 Matrix Holdings, Ltd. 402,000 99,250 * Mei Ah Entertainment Group, Ltd. 1,142,000 42,756 Melbourne Enterprises, Ltd. 45,500 172,616 Midas International Holdings, Ltd. 774,000 61,664 Midland Realty (Holding), Ltd. 1,110,000 646,869 * Millennium Group, Ltd. 1,392,000 13,068 Min Xin Holdings, Ltd. 753,200 167,041 Miramar Hotel & Investment Co., Ltd. 374,000 456,959 * Morning Star Resources, Ltd. 1,845,000 16,372 Moulin International Holdings, Ltd. 699,274 399,365 Nanyang Holdings, Ltd. 137,500 139,613 National Electronics Holdings, Ltd. 2,156,000 67,396 Natural Beauty Bio-Technology, Ltd. 540,000 38,109 New Asia Realty & Trust Co., Ltd. 1,355,000 644,977
12 * New China Merchants Dichain 7,160,000 78,934 New Island Printing Holdings, Ltd. 176,000 14,486 * New World China Land, Ltd. 961,600 376,790 * New World Cyberbase, Ltd. 48,419 2,314 * New World TMT, Ltd. 1,380,600 116,635 Newocean Green Energy Holdings, Ltd. 393,120 66,074 * Next Media, Ltd. 852,000 306,272 # Ngai Lik Industrial Holdings, Ltd. 1,556,000 434,301 # * Onfem Holdings, Ltd. 1,266,000 114,016 Orient Power Holdings, Ltd. 804,000 58,784 * Oriental Metals, Ltd. 711,780 280,894 Oriental Press Group, Ltd. 1,544,000 579,723 Oriental Watch Holdings, Ltd. 398,000 84,922 Pacific Andes International Holdings, Ltd. 1,172,000 195,420 Pacific Century Insurance Holdings, Ltd. 1,272,000 530,707 # * Pacific Century Premium Developments, Ltd. 945,000 323,709 * Pacific Plywood Holdings, Ltd. 4,430,000 25,067 Paul Y. ITC Construction Holdings, Ltd. 2,309,062 457,847 Peace Mark Holdings, Ltd. 1,138,022 214,733 Pegasus International Holdings, Ltd. 226,000 32,833 Perfectech International Holdings, Ltd. 571,450 48,151 Pico Far East Holdings, Ltd. 1,190,000 103,980 Playmates Holdings, Ltd. 2,223,000 433,415 Pokfulam Development Co., Ltd. 234,000 91,106 * Poly Investments Holdings, Ltd. 2,670,000 61,113 Prime Success International Group, Ltd. 2,366,000 357,971 # Proview International Holdings, Ltd. 944,000 176,576 # * QPL International Holdings, Ltd. 1,191,000 245,793 Quality Healthcare Asia, Ltd. 133,800 28,354 * Rainbow International Holdings, Ltd. 2,036 12 Raymond Industrial, Ltd. 605,400 175,092 # * Regal Hotels International Holdings, Ltd. 11,656,000 701,410 * Rexcapital International Holdings, Ltd. 1,272,905 18,488 * Riche Multi-Media Holdings, Ltd. 706,000 176,066 * Rivera Holdings, Ltd. 3,620,000 115,683 * Riverhill Holdings, Ltd. 2,036 28 Road King Infrastructure, Ltd. 449,000 323,038 * Roadshow Holdings, Ltd. 1,456,000 157,043 S.A.S.Dragon Holdings, Ltd. 1,696,000 159,357 SA SA International Holdings, Ltd. 1,872,000 938,866 Safety Godown Co., Ltd. 408,000 166,693 Saint Honore Holdings, Ltd. 128,000 48,579 * San Miguel Brewery Hong Kong, Ltd. 612,800 138,697 SCMP Group, Ltd. 1,038,000 432,912 Sea Holdings, Ltd. 832,000 304,692 * Seapower Resources International, Ltd. 151,680 2,357 * SEEC Media Group, Ltd. 2,550,000 124,244 Shanghai Allied Cement, Ltd. 1,152,080 63,807 * Shanghai Century Holdings, Ltd. 7,142,000 184,396 * Shanghai Land Holdings, Ltd. 1,464,000 64,954 * Shanghai Ming Yuan Holdings, Ltd. 670,000 82,652 Shanghai Real Estates, Ltd. 2,234,000 244,313 Shaw Brothers Hong Kong, Ltd. 134,000 147,094 Shell Electric Manufacturing (Holdings) Co., Ltd. 746,340 157,140
13 Shenyin Wanguo (Hong Kong), Ltd. 847,500 92,483 Shenzhen International Holdings, Ltd. 7,092,500 272,721 Shougang Concord Century Holdings, Ltd. 1,676,000 171,798 * Shougang Concord Grand (Group), Ltd. 1,701,000 124,746 * Shougang Concord International Enterprises Co., Ltd. 4,166,000 271,959 * Shougang Concord Technology Holdings, Ltd. 2,639,809 227,333 Shui On Construction & Materials, Ltd. 468,000 525,318 * Shun Ho Resources Holdings, Ltd. 483,000 34,151 * Shun Ho Technology Holdings, Ltd. 1,037,452 73,388 Silver Grant International Industries, Ltd. 2,087,000 1,197,451 * Sincere Co., Ltd. 505,500 27,405 # Singamas Container Holdings, Ltd. 838,000 468,663 Sino Golf Holdings, Ltd. 438,000 69,364 * Sinocan Holdings, Ltd. 350,000 1,755 * Sino-I.com, Ltd. 19,383,158 388,420 Sinolink Worldwide Holdings, Ltd. 3,933,600 590,766 Sinopec Kantons Holdings, Ltd. 1,638,000 235,334 * Skynet (International Group) Holdings, Ltd. 244,240 314 SNP Leefung Holdings, Ltd. 144,000 19,210 * Softbank Investment International (Strategic), Ltd. 7,398,000 85,345 * Solartech International Holdings, Ltd. 49,600 2,225 South China Brokerage Co., Ltd. 4,872,000 39,969 South China Industries, Ltd. 1,124,000 57,819 Southeast Asia Properties & Finance, Ltd. 263,538 37,958 Starlight International Holdings, Ltd. 1,311,292 137,917 Starlite Holdings, Ltd. 694,000 64,208 Stelux Holdings International, Ltd. 1,307,702 99,220 * Styland Holdings, Ltd. 101,808 327 Sun Hing Vision Group Holdings, Ltd. 358,000 165,816 Sun Hung Kai & Co., Ltd. 2,048,600 510,318 * Sun Innovation Holdings, Ltd. 1,420,360 6,943 * Sun Media Group Holdings, Ltd. 9,814,000 30,076 * Sunday Communications, Ltd. 4,441,000 255,982 Sunway International Holdings, Ltd. 866,000 30,692 * Suwa International Holdings, Ltd. 1,062,000 28,602 SW Kingsway Capitol Holdings, Ltd. 1,186,000 51,892 Symphony Holdings, Ltd. 496,000 93,610 * Tack Fat Group International, Ltd. 896,000 94,392 * Tack Hsin Holdings, Ltd. 542,000 19,575 Tai Cheung Holdings, Ltd. 1,013,000 542,098 Tai Fook Securities Group, Ltd. 590,000 88,084 Tai Sang Land Development, Ltd. 471,984 148,313 Tak Shun Technology Group, Ltd. 2,088,000 91,170 Tak Sing Alliance Holdings, Ltd. 2,909,865 132,458 # Tan Chong International, Ltd. 960,000 193,665 TCC International Holdings, Ltd. 1,124,000 174,930 # * TCL International Holdings, Ltd. 1,702,000 474,934 * Technology Venture Holdings, Ltd. 586,000 13,101 * Termbray Industries International (Holdings), Ltd. 2,304,900 145,381 Tern Properties Co., Ltd. 61,200 17,315 * The Sun's Group, Ltd. 17,004,000 21,867 # * Tian An China Investments Co., Ltd. 1,238,275 341,848 Tian Teck Land, Ltd. 1,098,000 338,677 Tianjin Development Holdings, Ltd. 1,118,000 476,755
14 * Titan Petrochemicals Group, Ltd. 2,740,000 319,815 * Tomorrow International Holdings, Ltd. 165,000 15,250 * Tongda Group Holdings, Ltd. 1,020,000 27,341 Tonic Industries Holdings., Ltd. 920,000 35,421 Top Form International, Ltd. 1,586,000 307,858 * Topsearch International (Holdings), Ltd. 204,000 21,440 * Tristate Holdings, Ltd. 138,000 23,022 Truly International Holdings, Ltd. 302,000 314,271 Tungtex (Holdings) Co., Ltd. 788,000 301,321 * Tysan Holdings, Ltd. 1,040,773 28,069 * U-Cyber Technology Holdings, Ltd. 432,800 12,235 * United Power Investment, Ltd. 1,664,000 130,818 * Universal Holdings Ltd 2,770,000 17,378 * Universe International Holdings, Ltd. 573,339 5,392 U-Right International Holdings, Ltd. 2,040,000 104,595 USI Holdings, Ltd. 928,999 138,251 Van Shung Chong Holdings, Ltd. 359,335 55,347 * Vanda Systems & Communications Holdings, Ltd. 3,232,000 178,668 Varitronix International, Ltd. 534,293 501,296 Veeko International Holdings, Ltd. 1,420,000 63,845 Victory City International Holdings, Ltd. 839,768 350,096 * Vital Biotech Holdings, Ltd. 470,000 23,248 Vitasoy International Holdings, Ltd. 1,423,000 375,289 Wah Ha Realty Co., Ltd. 278,600 48,540 * Wah Nam International 38,696 791 Wai Kee Holdings, Ltd. 1,265,738 246,379 Wang On Group, Ltd. 47,897 8,483 * Wellnet Holdings, Ltd. 2,059,200 108,510 * Winfoong International, Ltd. 1,210,000 71,518 Wing On Co. International, Ltd. 565,000 675,735 Wing Shan International, Ltd. 896,000 46,577 * Winsan China Investment Group, Ltd. 1,296,000 46,056 Wong's International (Holdings), Ltd. 737,641 84,572 * Wonson International Holdings, Ltd. 4,040,000 13,587 World Houseware (Holdings), Ltd. 605,700 21,455 # * Xinao Gas Holdings, Ltd. 1,094,000 643,208 Y. T. Realty Group, Ltd. 965,000 86,839 Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 167,839 * Yanion International Holdings, Ltd. 118,000 8,352 * Yaohan International Holdings, Ltd. 974,000 0 Yau Lee Holdings, Ltd. 534,000 43,294 YGM Trading, Ltd. 228,000 379,929 Yip's Chemical Holdings, Ltd. 674,000 163,750 Yugang International, Ltd. 11,916,000 191,947 * Yunnan Enterprises Holdings, Ltd. 240,000 12,792 * Zhu Kuan Development Co., Ltd. 646,000 32,787 ------------------ TOTAL COMMON STOCKS (Cost $86,108,792) 71,941,389 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 83,337 ------------------ (Cost $83,186)
15 RIGHTS/WARRANTS -- (0.0%) * Champion Technology Holdings, Ltd. Warrants 265,877 1,881 * China City Natural Gas Holdings, Ltd. Rights 12/13/04 2,097,600 0 * China Credit Holdings Warrants 09/30/99 174,000 2,461 * China Travel International Investment, Ltd. Warrants 05/31/06 124,800 12,198 * QPL International Holdings, Ltd. Warrants 10/14/07 238,200 15,163 * Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 692 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 32,395 ------------------ TOTAL -- HONG KONG (Cost $86,191,978) 72,057,121 ------------------ SINGAPORE -- (16.8%) COMMON STOCKS -- (16.8%) * Acma, Ltd. 3,040,700 92,695 Airocean Group, Ltd. 1,649,000 221,364 * Alliance Technology & Development, Ltd. 156,000 10,008 Amtek Engineering, Ltd. 799,625 586,079 * Apollo Enterprises, Ltd. 193,000 54,833 Armstrong Industrial Corp. 1,460,000 115,620 * ASA Group Holdings, Ltd. 586,000 100,348 Ascott Group, Ltd. 1,807,250 462,983 Aussino Group, Ltd. 967,000 270,989 Benjamin (F.J.) Holdings, Ltd. 1,095,000 148,056 # Beyonics Technology, Ltd. 1,556,640 411,558 * Blu Inc. Group, Ltd.. 729,000 69,038 Bonvests Holdings, Ltd. 825,000 264,671 Brilliant Manufacturing, Ltd. 1,855,000 694,760 * Broadway Industrial Group, Ltd. 461,000 113,587 Bukit Sembawang Estates, Ltd. 71,334 570,510 * Central Properties, Ltd. 66,000 0 Ch Offshore, Ltd. 823,200 188,128 * Chemical Industries (Far East), Ltd. 105,910 39,435 * China Merchants Holdings Pacific, Ltd. 652,000 219,836 Chip Eng Seng Corp., Ltd. 1,775,000 129,873 Chosen Holdings, Ltd. 1,284,000 175,563 Chuan Hup Holdings, Ltd. 4,385,000 1,737,907 Chuan Soon Huat Industrial Group, Ltd. 614,000 112,147 CIH, Ltd. 498,460 900,979 * CK Tang, Ltd. 614,000 151,963 * Compact Metal Industries, Ltd. 643,000 11,640 Courts Singapore, Ltd. 495,000 160,381 * CSC Holdings, Ltd. 672,000 12,244 CSE Global, Ltd. 1,262,000 395,425 CWT Distribution, Ltd. 461,500 157,677 * Eagle Brand Holdings, Ltd. 5,158,000 220,682 # Eastern Asia Technology, Ltd. 1,844,260 309,513 Eastgate Technology, Ltd. 870,000 58,371 * Econ International, Ltd. 2,267,000 62,330 ECS Holdings, Ltd. 1,375,000 247,084 Eng Wah Organisation, Ltd. 265,000 46,495
16 * Firstlink Investments Corp., Ltd. 995,000 66,579 Freight Links Express Holdings, Ltd. 3,368,000 194,336 Frontline Technologies Corp., Ltd. 3,170,000 260,729 # Fu Yu Manufacturing, Ltd. 1,819,000 1,118,897 Fuji Offset Plates Manufacturing, Ltd. 33,750 5,825 GB Holdings, Ltd. 200,000 110,551 # Ges International, Ltd. 2,909,000 1,249,732 GK Goh Holdings, Ltd. 1,494,000 743,503 Goodpack, Ltd. 1,592,000 1,155,703 * Goodwood Park Hotel, Ltd. 24,307 794,986 GP Industries, Ltd. 1,516,000 917,793 Guocoland, Ltd. 1,215,000 861,170 Hiap Moh Corp., Ltd. 34,874 6,392 Ho Bee Investment, Ltd. 761,000 157,528 Hong Fok Corp., Ltd. 1,796,000 266,839 # Hong Leong Asia, Ltd. 1,048,000 1,016,053 * Horizon Education & Technologies, Ltd. 2,054,000 124,591 Hotel Grand Central, Ltd. 875,280 210,937 Hotel Plaza, Ltd. 1,189,000 558,937 # Hotel Properties, Ltd. 1,675,000 1,176,148 Hour Glass, Ltd. 298,000 117,250 HTL International Holdings, Ltd. 1,471,875 1,122,514 Huan Hsin Holdings, Ltd. 1,138,400 599,835 Hup Seng Huat, Ltd. 900,200 172,571 Hwa Hong Corp., Ltd. 2,488,000 822,093 IDT Holdings, Ltd. 718,000 1,169,448 * Inno-Pacific Holdings, Ltd. 680,000 10,271 Innovalues Precision, Ltd. 520,000 219,098 International Factors (Singapore), Ltd. 290,000 101,524 * Internet Technology Group, Ltd. 874,408 18,728 * Interra Resources, Ltd. 185,430 12,404 * Intraco, Ltd. 292,500 60,767 Isetan (Singapore), Ltd. 122,500 209,604 # Jaya Holdings, Ltd. 2,733,000 1,699,154 JK Yaming International, Ltd. 907,000 210,782 Jurong Cement, Ltd. 132,500 60,717 Jurong Engineering, Ltd. 137,000 181,994 Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,152,618 * K1 Ventures, Ltd. 5,340,500 796,798 Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,009,711 Khong Guan Flour Milling, Ltd. 19,000 18,922 Kian Ann Engineering, Ltd. 868,000 86,871 Kian Ho Bearings, Ltd. 521,000 50,726 Koh Brothers, Ltd. 1,494,000 105,337 * L & M Group Investments, Ltd. 7,107,100 43,423 Labroy Marine, Ltd. 3,343,000 1,059,238 * LanTroVision (S), Ltd. 1,117,500 37,375 Lee Kim Tah Holdings, Ltd. 1,600,000 278,050 * Leong Hin Holdings, Ltd. 526,000 84,966 * Liang Huat Aluminium, Ltd. 2,954,000 27,059 Lion Asiapac, Ltd. 473,000 50,351 Low Keng Huat Singapore, Ltd. 372,000 87,419 Lum Chang Holdings, Ltd. 1,134,030 148,428 Magnecomp International, Ltd. 931,000 415,740
17 * Manufacturing Integration Technology, Ltd. 588,000 44,661 MCL Land, Ltd. 1,427,000 1,261,180 * Mediaring.Com, Ltd. 3,410,000 290,520 Metro Holdings, Ltd. 2,256,960 639,497 MMI Holdings, Ltd. 1,994,000 388,956 Multi-Chem, Ltd. 1,263,000 204,555 Nera Telecommunications, Ltd. 1,450,000 384,160 New Toyo Intenational Holdings, Ltd. 1,043,000 375,021 Norelco Centreline Holdings, Ltd. 941,000 357,830 * Orchard Parade Holdings, Ltd. 1,084,022 244,272 # Osim International, Ltd. 1,638,000 819,228 Ossia International, Ltd. 728,332 77,747 Pan-United Corp., Ltd. 2,193,000 456,915 * Pan-United Marine, Ltd. 1,096,500 157,437 PCI, Ltd. 734,000 270,569 Pertama Holdings, Ltd. 459,750 81,445 Popular Holdings, Ltd. 1,813,000 476,143 PSC Corp., Ltd. 5,723,200 262,351 Qian Hu Corp., Ltd. 408,200 83,369 Robinson & Co., Ltd. 284,832 1,076,303 Rotary Engineering, Ltd. 1,624,000 361,135 San Teh, Ltd. 838,406 202,283 SBS Transit, Ltd. 1,011,000 1,066,086 Sea View Hotel, Ltd. 66,000 168,131 * Seatown Corp., Ltd. 101,000 1,851 Sembawang Kimtrans, Ltd. 1,295,000 134,101 Sin Soon Huat, Ltd. 1,307,000 63,498 Sing Investments & Finance, Ltd. 94,500 101,530 # Singapore Food Industries, Ltd. 1,707,000 906,868 Singapore Reinsurance Corp., Ltd 1,540,935 249,003 Singapore Shipping Corp., Ltd. 1,930,000 388,184 Singapura Finance, Ltd. 139,250 117,420 SMB United, Ltd. 2,010,000 177,452 SNP Corp., Ltd. 466,495 221,686 * SP Corp., Ltd. 454,000 13,862 Ssangyong Cement (Singapore), Ltd. 236,000 139,769 Stamford Land Corp., Ltd. 3,229,000 443,437 Straits Trading Co., Ltd. 1,117,200 1,501,418 * Sunright, Ltd. 378,000 69,288 Superbowl Holdings, Ltd. 490,000 70,461 Superior Metal Printing, Ltd. 490,500 56,870 Thakral Corp., Ltd. 6,028,000 404,161 Tiong Woon Corp. Holding, Ltd. 906,000 179,398 * Transmarco, Ltd. 106,500 51,091 Trek 2000 International, Ltd. 1,004,000 238,274 TSM Resources, Ltd. 1,502,000 310,960 # TT International, Ltd. 2,109,600 256,757 * Tuan Sing Holdings, Ltd. 3,362,000 174,771 * Ultro Technologies, Ltd. 530,000 32,057 Unisteel Technology, Ltd. 974,000 807,579 United Engineers, Ltd. 846,666 821,301 United Overseas Insurance, Ltd. 125,500 275,726 United Pulp & Paper Co., Ltd. 354,000 90,996 UOB-Kay Hian Holdings, Ltd. 1,602,000 958,055
18 Vicom, Ltd. 120,000 69,579 WBL Corp., Ltd. 647,000 1,302,552 * Xpress Holdings, Ltd. 1,392,000 59,554 * Yongnam Holdings, Ltd. 1,506,000 22,932 ------------------ TOTAL COMMON STOCKS (Cost $56,843,330) 53,226,022 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 66,513 ------------------ (Cost $66,214) RIGHTS/WARRANTS -- (0.0%) * Yongnam Holdings, Ltd. Warrants 08/26/09 251,000 1,534 ------------------ (Cost $0) TOTAL -- SINGAPORE (Cost $56,909,544) 53,294,069 ------------------ UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Exergy, Inc. 7,260 0 ------------------ (Cost $ 0) NEW ZEALAND -- (6.7%) COMMON STOCKS -- (6.7%) AFFCO Holdings, Ltd. 1,806,887 515,467 Cavalier Corp., Ltd. 283,674 935,486 CDL Hotels New Zealand, Ltd. 1,387,344 574,820 CDL Investments New Zealand, Ltd. 306,025 80,847 Colonial Motor Co., Ltd. 126,795 268,308 * Cue Energy Resources NL 452,354 138,064 Ebos Group, Ltd. 112,108 336,142 * Evergreen Forests, Ltd. 323,301 75,973 Hallenstein Glassons Holdings, Ltd. 241,638 679,838 Hellaby Holdings, Ltd. 201,679 911,442 Horizon Energy Distribution, Ltd. 40,420 127,813 Met Lifecare, Ltd. 270,895 522,839 Michael Hill International, Ltd. 156,746 919,173 * New Zealand Oil & Gas, Ltd. 584,872 459,254 New Zealand Refining Co., Ltd. 84,779 1,782,262 Northland Port Corp. (New Zealand), Ltd. 219,997 481,353 Nuplex Industries, Ltd. 271,267 1,056,695 * Pacific Retail Group, Ltd. 194,156 304,513 Port of Tauranga, Ltd. 541,952 2,185,411 * Provenco Group, Ltd. 281,600 160,888 Pyne Gould Guinness, Ltd. 229,634 308,527 Restaurant Brand New Zealand, Ltd. 369,175 360,331 * Richina Pacific, Ltd. 309,644 143,544 * Rubicon, Ltd. 995,760 754,457
19 Ryman Healthcare Group, Ltd. 415,999 969,769 Sanford, Ltd. 418,047 1,422,689 Scott Technology, Ltd. 60,843 142,259 * Seafresh Fisheries 80,520 1,615 South Port New Zealand, Ltd. 30,744 27,706 Steel & Tube Holdings, Ltd. 379,638 1,260,100 * Tasman Farms 157,056 0 Taylors Group, Ltd. 29,646 47,961 Tourism Holdings, Ltd. 402,452 589,532 * Trans Tasman Properties, Ltd. 2,311,308 661,565 Waste Management NZ, Ltd. 430,471 1,706,521 Williams & Kettle, Ltd. 57,558 137,370 Wrightson, Ltd. 222,276 272,721 ------------------ TOTAL COMMON STOCKS (Cost $11,977,485) 21,323,255 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 14,954 ------------------ (Cost $14,838) TOTAL -- NEW ZEALAND (Cost $11,992,323) 21,338,209 ------------------ MALAYSIA -- (0.1%) COMMON STOCKS -- (0.1%) * Autoways Holdings Berhad 10,000 3,395 * Jaks Resources Berhad 11,975 5,357 * Promet Berhad 1,143,000 87,229 * Rekapacific Berhad 473,000 0 * RNC Corp. Berhad 1,650 3,560 * Saship Holdings Berhad 223,520 52,351 ------------------ TOTAL -- MALAYSIA (Cost $1,212,987) 151,892 ------------------
FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (12.1%) Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04 (Collateralized by $37,206,292 U.S. Treasury Note 1.625%, 03/31/05, valued at $37,129,275) to be repurchased at $37,131,286 (Cost $37,129,275) ^ 37,129 37,129,275 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $1,372,000 FNMA Notes 2.95%, 11/14/07, valued at $1,373,925) to be repurchased at $1,355,071 (Cost $1,355,000) 1,355 1,355,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $38,484,275) 38,484,275 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $293,509,251) $ 316,726,350 ------------------
20 - ---------- + Securities have been fair valued. See Note B to Financial Statements. # Total or Partial Securities on Loan. * Non-Income Producing Securities. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 21 THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------ ------ UNITED KINGDOM -- (98.2%) COMMON STOCKS -- (97.3%) 4Imprint P.L.C. 50,375 $ 138,106 600 Group P.L.C. 100,910 130,855 Abacus Group P.L.C. 77,082 353,138 Abbeycrest P.L.C. 42,590 52,689 Abbot Group P.L.C. 295,728 1,214,140 Aberdeen Asset Management P.L.C. 420,124 819,199 Acal P.L.C. 37,689 283,773 * Acambis P.L.C. 159,373 782,749 AEA Technology P.L.C. 95,244 321,344 AGA Food Service Group P.L.C. 199,923 977,815 Aggreko P.L.C. 439,570 1,289,549 Air Partner P.L.C. 15,611 136,297 * Airflow Streamlines P.L.C. 20,500 22,924 Airsprung Furniture Group P.L.C. 58,000 53,770 Alba P.L.C. 105,025 1,359,958 Alexandra P.L.C. 86,243 164,323 Alexon Group P.L.C. 116,632 719,418 * Alizyme P.L.C. 257,044 635,568 Alpha Airports Group P.L.C. 392,541 698,813 Alphameric P.L.C. 172,688 242,416 * Alterian P.L.C. 57,131 102,075 Alumasc Group P.L.C. 100,245 310,984 * Amberley Group P.L.C. 200,000 43,289 Amec P.L.C. 49,000 277,290 Amstrad P.L.C. 149,652 494,096 * Anglesey Mining P.L.C. 55,000 4,205 Anglo Eastern Plantations P.L.C. 87,249 278,551 Anglo Pacific Group P.L.C. 143,361 268,823 * Anite Group P.L.C. 638,587 650,431 * Antisoma P.L.C. 389,246 122,839 * API Group P.L.C. 57,134 107,287 * Applied Optical Technologies P.L.C. 75,383 33,797 * ARC International P.L.C. 228,396 141,755 * Arena Leisure P.L.C. 1,136,685 804,074 * Argonaut Games, Ltd. 100,000 5,973 Arla Foods UK P.L.C. 1,658,226 1,709,118 Arm Holdings P.L.C. 127,000 249,102 Arriva P.L.C. 129,697 1,214,708 * Ashtead Group P.L.C. 542,850 832,883 Ashtenne Holdings P.L.C. 51,168 376,604 * Aston Villa P.L.C. 8,000 50,682 Atkins (WS) P.L.C. 160,065 2,156,570 Atrium Underwriting P.L.C. 88,040 325,541 Austin Reed Group P.L.C. 68,999 170,128 Autologic Holdings P.L.C. 72,986 412,105 * Autonomy Corp. P.L.C. 188,658 546,229 Avesco P.L.C. 29,998 54,356 Aveva Group P.L.C. 31,324 381,926 Avis Europe P.L.C. 1,767,228 2,178,902 Avon Rubber P.L.C. 40,705 159,241 * AWG P.L.C. 16,000 230,043 * Axis-Shield P.L.C. 68,430 290,991 Axon Group P.L.C. 88,403 243,486 Babcock International Group P.L.C. 383,561 933,647 Baggeridge Brick P.L.C. 98,000 270,334 * Bailey (C.H.) P.L.C. 109,500 41,862 * Bailey (C.H.) P.L.C. Class B 10,000 $ 20,071 * Baltimore Technologies P.L.C. 60,656 12,192 Barr (A.G.) P.L.C. 43,000 608,183 Beale P.L.C. 22,161 29,013 Beattie (James) P.L.C. 132,247 325,893 * Bede P.L.C. 105,978 79,496 Belhaven Brewery Group P.L.C. 42,948 358,945 Bellway P.L.C. 127,364 1,733,467 Ben Bailey P.L.C. 26,000 186,863 Bespak P.L.C. 55,918 505,445 * Biocompatibles International P.L.C. 54,080 250,459 * Bioquell P.L.C. 50,194 123,878 Biotrace International P.L.C. 75,000 118,206 Birse Group P.L.C. 421,901 118,886 Black Arrow Group P.L.C. 56,500 65,340 Blacks Leisure Group P.L.C. 60,959 564,069 Bloomsbury Publishing P.L.C. 101,005 526,846 * BNB Resources P.L.C. 89,395 23,081 Body Shop International P.L.C. 583,233 1,945,493 Bodycote International P.L.C. 481,180 1,461,431 Boot (Henry) P.L.C. 71,794 602,306 Bovis Homes Group P.L.C. 218,408 2,104,941 BPP Holdings P.L.C. 106,500 676,599 * Bradstock Group P.L.C. 5,200 4,373 * Braemar Seascope Group P.L.C. 29,642 227,951 Brammer P.L.C. 119,123 376,785 Brandon Hire P.L.C. 51,098 145,120 Brewin Dolphin Holdings P.L.C. 361,518 657,882 Bristol Water Group P.L.C. 35,257 347,387 Britannic P.L.C. 261,455 2,074,864 British Polythene Industries P.L.C. 56,740 348,179 British Vita P.L.C. 370,957 1,899,449 Brixton P.L.C. 296,900 1,832,218 Broadcastle P.L.C. 74,468 106,700 * Brown & Jackson P.L.C. 748,566 873,398 Brown (N) Group P.L.C. 562,850 1,439,968 BSS Group P.L.C. 47,905 753,625 * BTG P.L.C. 255,913 461,860 Burtonwood Brewery P.L.C. 38,000 342,496 Business Post Group P.L.C. 157,099 1,772,371 BWD Securities P.L.C. 40,834 384,288 Caffyns P.L.C. 6,000 78,465 * Cambridge Antibody Technology Group P.L.C. 71,681 819,889 Capital & Regional P.L.C. 105,849 1,274,820 Capital Radio P.L.C. 117,032 905,576 Carclo P.L.C. 100,463 89,078 Care UK P.L.C. 90,334 640,443 Carillion P.L.C. 349,691 1,506,829 * Carlisle Holdings, Ltd. 8,709 58,164 Carpetright P.L.C. 125,839 2,621,990 Carr's Milling Industries P.L.C. 19,000 169,694 Castings P.L.C. 79,000 258,887 * Celtic P.L.C. 40,759 40,070 * Cenes Pharmaceuticals P.L.C. 298,612 41,460 Chamberlin & Hill P.L.C. 18,000 71,181 Chapelthorpe P.L.C. 646,612 250,895 Character Group P.L.C. 97,314 151,805
220
SHARES VALUE+ ------ ------ Charles Taylor Consulting P.L.C. 67,918 $ 306,829 * Charter P.L.C. 262,215 1,032,711 * Che Group P.L.C. 51,533 42,357 Chemring Group P.L.C. 51,708 432,962 Chesnara P.L.C. 92,900 176,246 * Chime Communications P.L.C. 354,020 191,244 Chloride Group P.L.C. 485,500 473,658 Christie Group P.L.C. 53,263 96,791 Chrysalis Group P.L.C. 328,544 1,105,344 Churchill China P.L.C. 30,000 142,056 City North Group P.L.C. 33,044 140,100 City Restaurant Group P.L.C. 307,772 640,215 Clarkson (Horace) P.L.C. 44,733 666,848 * Clinical Computing P.L.C. 46,666 26,945 Clinton Cards P.L.C. 433,380 779,242 * CLS Holdings P.L.C. 166,734 1,233,210 CML Microsystems P.L.C. 28,361 198,833 Colefax Group P.L.C. 60,000 112,396 Collins Stewart Tullett P.L.C. 137,946 991,481 * Colt Telecom Group P.L.C. 2,574,360 2,179,450 Comino Group P.L.C. 23,596 92,987 Communisis P.L.C. 237,134 506,033 Compel Group P.L.C. 48,999 86,561 Computacenter P.L.C. 452,614 2,344,536 * Cookson Group P.L.C. 2,842,939 1,833,181 Coral Products P.L.C. 50,000 36,940 Corin Group P.L.C. 58,244 379,616 * Corporate Services Group P.L.C. 1,704,859 220,963 Cosalt P.L.C. 30,700 197,716 * Costain Group P.L.C. 1,176,378 950,197 * Country & Metropolitan P.L.C. 40,047 143,662 Countryside Property P.L.C. 124,717 679,624 Countrywide P.L.C. 185,800 1,059,253 Courts P.L.C. 110,722 28,712 Cox Insurance Holdings P.L.C. 609,714 999,115 Cranswick P.L.C. 60,394 537,862 Crest Nicholson P.L.C. 267,250 1,728,916 Creston P.L.C. 28,278 80,413 Croda International P.L.C. 235,353 1,442,138 Cropper (James) P.L.C. 22,000 67,333 * Culver Holdings P.L.C. 338 65 Daejan Holdings P.L.C. 25,000 1,302,730 Dairy Crest Group P.L.C. 206,634 1,645,883 * Dana Petroleum P.L.C. 126,354 986,759 * Danka Business Systems P.L.C. 367,079 280,673 Dart Group P.L.C. 74,000 470,116 * Datamonitor P.L.C. 98,643 221,570 Davis Service Group P.L.C. 227,016 1,710,600 Dawson Holdings P.L.C. 122,588 392,161 * Dawson International P.L.C. 100,688 18,274 De La Rue P.L.C. 302,052 1,942,489 Dechra Pharmaceiticals P.L.C. 76,357 264,090 Dee Valley Group P.L.C. 4,214 59,941 Delta P.L.C. 289,145 533,929 Deltron Electronics P.L.C. 73,691 121,895 * Densitron International P.L.C. 74,175 21,627 Derwent Valley Holdings P.L.C. 96,752 1,817,582 Detica Group P.L.C. 32,953 443,893 Development Securities P.L.C. 57,390 437,734 DeVere Group P.L.C. 132,501 1,109,968 Devro P.L.C. 229,507 520,648 Dewhurst P.L.C. 9,000 $ 22,020 Dewhurst P.L.C. Class A Non-Voting 15,500 33,332 Dicom Group P.L.C. 38,035 583,273 * Dimension Data Holdings P.L.C. 939,000 600,575 Diploma P.L.C. 40,758 463,140 Domestic & General Group P.L.C. 66,440 777,583 Domino Printing Sciences P.L.C. 355,935 1,667,360 Domnick Hunter Group P.L.C. 51,942 389,316 * Dowding & Mills P.L.C. 336,440 69,063 DRS Data Research Services P.L.C. 26,825 17,811 DTZ Holdings P.L.C. 114,500 418,857 * Duelguide Units P.L.C. 3,971 40,822 * Durlacher Corp. P.L.C. 15,272 18,310 Dyson Group P.L.C. 44,875 295,835 East Surrey Holdings P.L.C. 234,414 1,677,200 * Easyjet P.L.C. 1,068,671 3,799,438 * Easynet Group P.L.C. 179,628 250,460 * Easyscreen P.L.C. 72,275 25,226 * Ebookers P.L.C. 109,492 649,572 * Edinburgh Oil & Gas P.L.C. 68,779 242,615 * Eidos P.L.C. 200,222 306,085 Eleco P.L.C. 104,685 56,650 Electronic Data Processing P.L.C. 55,200 75,914 * Elementis P.L.C. 721,332 445,594 * Emerald Energy P.L.C. 72,830 184,999 * Emess P.L.C. 350,042 56,037 Ennstone P.L.C. 522,823 354,736 * Enodis P.L.C. 631,211 1,212,742 * Entertainment Rights P.L.C. 633,958 179,379 * Erinaceous Group P.L.C. 54,863 175,611 * Eurodis Electron P.L.C. 1,230,802 44,010 Euromoney Institutional Investors P.L.C. 205,774 1,646,143 * European Colour P.L.C. 82,090 28,637 European Motor Holdings P.L.C. 118,325 455,655 Expro International Group P.L.C. 117,277 818,589 Fenner P.L.C. 193,713 481,555 * Ferguson International Holdings P.L.C. 89,105 40,878 Ferraris Group P.L.C. 63,540 134,979 * Fibernet Group P.L.C. 86,796 130,145 * FII Group P.L.C. 41,166 5,311 Filtronic P.L.C. 117,386 439,103 * Financial Objects P.L.C. 7,000 7,622 Findel P.L.C. 142,288 1,176,618 First Choice Holidays P.L.C. 862,478 2,273,502 First Technology P.L.C. 128,111 870,531 Fisher (James) & Sons P.L.C. 89,846 487,131 FKI P.L.C. 773,617 1,960,963 Forminster P.L.C. 43,333 14,918 Forth Ports P.L.C. 142,983 3,550,158 Fortress Holdings P.L.C. 120,728 66,347 * Fortune Oil P.L.C. 3,248,130 481,247 Freeport P.L.C. 53,348 399,963 French Connection Group P.L.C. 284,510 1,401,332 Fuller, Smith & Turner P.L.C. Series A 20,000 273,106 Fulmar P.L.C. 107,500 169,255 Future Network P.L.C. 456,752 554,120 Galliford Try P.L.C. 517,870 519,638 Game Group P.L.C. 534,000 695,627 Games Workshop Group P.L.C. 43,442 683,081
221
SHARES VALUE+ ------ ------ * Garton Engineering P.L.C. 10,248 $ 0 * Gaskell P.L.C. 36,000 6,523 GB Group P.L.C. 250,000 106,125 Geest P.L.C. 142,649 1,594,049 * Genetix Group P.L.C. 92,497 83,210 Get Group P.L.C. 20,485 100,829 Gibbs & Dandy P.L.C. 13,681 86,364 Gleeson (M.J.) Group P.L.C. 112,355 435,216 * Global Natural Energy P.L.C. 11,004 39,936 * Glotel P.L.C. 49,741 106,962 Go-Ahead Group P.L.C. 93,733 2,467,617 Goldshield Group P.L.C. 49,104 203,047 Gowrings P.L.C. 5,000 9,702 Grainger Trust, Ltd. 48,556 1,605,432 Great Portland Estates P.L.C. 307,973 1,885,208 Greene King P.L.C. 92,950 2,119,838 * Greenwich Resources P.L.C. 438,664 24,107 Greggs P.L.C. 26,000 1,813,289 * Gresham Computing P.L.C. 75,530 494,979 Group 4 Securicor P.L.C. 290,000 701,233 Guiness Peat Group P.L.C. 1,137,590 1,720,268 GWR Group P.L.C. 225,354 972,066 * Gyrus Group P.L.C. 153,080 648,490 Halma P.L.C. 642,966 1,917,779 Halstead (James) Group P.L.C. 52,208 618,369 * Hampson Industries P.L.C. 250,757 104,357 * Hampton Trust P.L.C. 232,050 6,099 Hardy Underwriting Group P.L.C. 46,683 212,008 Hardys & Hansons P.L.C. 48,000 507,711 * Harvey Nash Group P.L.C. 183,750 280,425 Havelock Europa P.L.C. 40,813 102,225 * Hawtin P.L.C. 196,500 46,088 Haynes Publishing Group P.L.C. 14,703 98,413 Headlam Group P.L.C. 152,974 1,155,721 Heath (Samuel) & Sons P.L.C. 7,500 68,814 Helical Bar P.L.C. 46,000 936,968 Helphire Group P.L.C. 173,986 721,590 * Heywood Williams Group P.L.C. 140,400 236,528 Highbury House Communications P.L.C. 439,166 75,515 Highway Insurance Holdings P.L.C. 467,933 288,406 Hill & Smith Holdings P.L.C. 108,912 249,744 Hiscox P.L.C. 419,927 1,275,894 Hit Entertainment P.L.C. 273,440 1,358,459 Hitachi Capital (UK) P.L.C. 124,239 566,435 Holidaybreak P.L.C. 92,974 990,471 Homeserve P.L.C. 101,138 1,301,792 * Homestyle Group P.L.C. 94,472 231,838 Hornby P.L.C. 50,000 252,017 House of Fraser P.L.C. 427,439 862,749 Hunting P.L.C. 223,174 774,564 Huntleigh Technology P.L.C. 90,597 722,724 Huntsworth P.L.C. 480,401 187,882 Hyder Consulting P.L.C. 16,308 49,097 * Hydro International P.L.C. 17,669 33,677 * IAF Group P.L.C. 30,000 9,749 ICM Computer Group P.L.C. 37,114 251,703 IFX Group P.L.C. 34,486 64,594 * Imagination Technologies Group P.L.C. 266,048 343,287 * IMS Group P.L.C. 75,000 6,451 Incepta Group P.L.C. 280,643 $ 364,712 Inchcape P.L.C. 19,200 600,018 Incisive Media P.L.C. 137,054 347,359 Independent Media Distribution P.L.C. 21,621 28,719 * Industrial & Commercial Holdings P.L.C. 5,000 143 Infast Group P.L.C. 301,224 108,006 * Intec Telecom Systems P.L.C. 654,113 842,657 Intelek P.L.C. 99,880 16,654 Intertek Group P.L.C. 70,100 944,505 Intserve P.L.C. 179,459 1,079,584 * Invensys P.L.C. 5,864,457 1,956,999 Inveresk P.L.C. 150,000 27,318 * IQE P.L.C. 107,400 20,993 ISIS Asset Management P.L.C. 268,751 1,219,903 Isoft Group P.L.C. 210,764 1,552,064 Isotron P.L.C. 50,325 459,195 Ite Group P.L.C. 518,511 814,990 Itnet P.L.C. 115,160 596,105 * Itouch International P.L.C. 615,741 397,312 * Jarvis Porter Group P.L.C. 99,894 19,095 JJB Sports P.L.C. 448,783 1,741,970 JKX Oil and Gas P.L.C. 264,746 615,117 John David Group P.L.C. 114,500 431,925 Johnson Service Group P.L.C. 125,535 950,615 * Kalamazoo Computer Group P.L.C. 56,120 1,877 KBC Advanced Technologies P.L.C. 68,734 48,500 Keller Group P.L.C. 123,128 571,421 Kensington Group P.L.C. 98,187 786,076 * Kewill Systems P.L.C. 128,018 158,804 Kidde P.L.C. 232,000 672,558 Kier Group P.L.C. 63,370 847,229 Kiln P.L.C. 383,129 589,623 * Kingston Communications P.L.C. 850,036 1,001,415 Kleeneze P.L.C. 109,256 271,087 * Knowledge Support Systems Group P.L.C. 25,000 382 La Fitness P.L.C. 53,738 210,933 Laing (John) P.L.C. 353,630 1,602,032 Laird Group P.L.C. 291,676 2,037,150 Lambert Howarth Group P.L.C. 43,203 234,725 * Lastminute.com P.L.C. 504,477 990,057 Latchways P.L.C. 15,838 124,842 * Laura Ashley Holdings P.L.C. 2,505,661 658,049 Lavendon Group P.L.C. 61,795 173,246 Lincat Group P.L.C. 19,000 144,081 Linton Park P.L.C. 39,000 275,647 Linx Printing Technologies P.L.C. 27,000 280,553 Litho Supplies P.L.C. 20,000 18,559 * London Clubs International P.L.C. 332,581 873,851 London Industrial P.L.C. 30,631 1,188,765 London Merchant Securities P.L.C. 597,381 2,287,338 London Scottish Bank P.L.C. 263,000 646,741 Lookers P.L.C. 63,057 364,052 * Lorien P.L.C. 60,000 61,359 Low & Bonar P.L.C. 166,108 378,837 Luminar P.L.C. 135,289 1,294,900 Lupus Capital P.L.C. 354,881 111,738 * M.L. Laboratories P.L.C. 377,657 129,730 Macfarlane Group P.L.C. 228,287 135,438
222
SHARES VALUE+ ------ ------ Macro 4 P.L.C. 42,500 $ 150,591 Maiden Group P.L.C. 16,800 72,944 Mallett P.L.C. 24,837 135,964 Management Consulting Group P.L.C. 331,679 277,946 Manchester United P.L.C. 609,642 3,210,240 Manganese Bronze Holdings P.L.C. 32,184 117,339 Marchpole Holdings P.L.C. 189,130 99,168 Marlborough Stirling P.L.C. 408,654 324,522 Marshalls P.L.C. 221,135 1,213,146 * Marylebone Warwick Balfour Group P.L.C. 239,501 305,051 Matalan P.L.C. 84,701 348,722 * Mayflower Corp. P.L.C. 550,636 71,046 McAlpine (Alfred) P.L.C. 198,580 1,096,293 McBride P.L.C. 314,973 912,373 McCarthy & Stone P.L.C. 194,968 2,048,964 McKay Securities P.L.C. 97,232 473,623 * Medical Solutions P.L.C. 126,658 16,342 * Medisys P.L.C. 586,814 82,701 Meggitt P.L.C. 514,738 2,513,664 * Melrose Resouces P.L.C. 109,660 568,138 Menzies (John) P.L.C. 103,775 906,595 Merchant Retail Group P.L.C. 185,666 554,298 Merrydown P.L.C. 59,927 144,885 Mersey Docks & Harbour Co. P.L.C. 117,087 1,998,898 Metal Bulletin P.L.C. 95,500 412,159 Metalrax Group P.L.C. 358,740 531,873 MFI Furniture Group P.L.C. 60,855 134,827 Mice Group P.L.C. 139,909 136,132 Michael Page International P.L.C. 608,273 1,960,127 * Microgen P.L.C. 165,574 173,910 Millennium and Copthorne Hotels P.L.C. 80,633 556,444 Minerva P.L.C. 266,135 1,475,228 Mitie Group P.L.C. 589,515 1,664,945 Molins P.L.C. 68,000 198,426 * Monsoon P.L.C. 71,000 303,582 * Morgan Crucible Company P.L.C. 435,211 1,378,320 Morgan Sindall P.L.C. 78,265 700,713 Morse P.L.C. 277,169 528,750 Moss Brothers Group P.L.C. 163,400 330,099 Mothercare P.L.C. 100,783 560,145 Mouchel Parkman P.L.C. 152,923 696,941 Mowlem (John) & Co. P.L.C. 341,969 1,222,580 MS International P.L.C. 71,500 102,516 MSB International P.L.C. 16,000 25,105 Mtl Instruments Group P.L.C. 24,678 120,568 Mucklow (A & J) Group P.L.C. 175,000 1,132,721 * Music Choice Europe P.L.C. 33,796 11,133 * My Travel Group P.L.C. 628,934 62,308 National Express Group P.L.C. 25,000 360,225 * Ncipher P.L.C. 42,512 177,561 Nestor Healthcare Group P.L.C. 180,200 465,261 * Netstore P.L.C. 143,737 90,764 * New Avesco P.L.C. 29,998 42,434 Newcastle United P.L.C. 198,896 144,472 * Next Fifteen Communtications P.L.C. 25,000 27,458 NHP P.L.C. 311,286 1,529,367 Nichols P.L.C. 66,550 217,223 Nord Anglia Education P.L.C. 63,924 $ 287,005 Northamber P.L.C. 75,888 136,356 Northern Foods P.L.C. 527,042 1,694,889 Northern Recruitment Group P.L.C. 22,158 76,228 * Northgate Information Solutions P.L.C. 933,445 1,215,860 Northgate P.L.C. 118,200 1,766,043 Novar P.L.C. 646,454 2,005,610 * NSB Retail P.L.C. 636,455 343,990 * NXT P.L.C. 125,976 120,232 Ocean Wilsons Holdings, Ltd. 84,250 394,832 * Orbis P.L.C. 11,428 1,090 * Osmetech P.L.C. 669,354 39,321 Ottakar's P.L.C. 34,693 221,410 Owen (H.R.) P.L.C. 46,993 181,932 * Oxford Biomedica, Ltd. 523,967 167,730 Oxford Instruments P.L.C. 63,163 233,940 * Pace Micro Technology P.L.C. 428,871 450,882 Paladin Resources P.L.C. 626,476 2,131,292 Paragon Group of Companies P.L.C. 153,200 1,031,055 Parity Group P.L.C. 381,072 72,823 Park Group P.L.C. 291,600 167,419 Partridge Fine Arts P.L.C. 58,000 64,303 Pendragon P.L.C. 239,375 1,215,664 Penna Consulting P.L.C. 33,000 83,912 * Pharmagene P.L.C. 160,000 123,983 Photo-Me International P.L.C. 850,594 1,503,385 PHS Group P.L.C. 729,053 969,168 * Phytopharm P.L.C. 56,696 206,268 * Pillar Property P.L.C. 171,938 2,316,807 Pittards P.L.C. 60,985 28,594 * Planestation Group P.L.C. 76,551 63,637 Planit Holdings P.L.C. 235,000 114,616 * Plantation & General P.L.C. 70,623 24,974 * Plasmon P.L.C. 100,000 357,323 Portmeirion Group P.L.C. 22,856 79,733 Porvair P.L.C. 62,000 122,969 Premier Farnell P.L.C. 18,000 70,300 * Premier Oil P.L.C. 141,425 1,513,039 * Pressac P.L.C. 78,129 7,611 Primary Health Properties P.L.C. 23,784 123,497 * Primback Units 135,600 0 * Probus Estates P.L.C. 83,333 1,314 * Protherics P.L.C. 557,510 575,553 * Provalis P.L.C. 586,513 95,700 PSD Group P.L.C. 43,500 216,005 Psion P.L.C. 683,616 717,293 PZ Cuzzons P.L.C. 40,541 988,791 * QA P.L.C. 158,950 8,746 * Quantica P.L.C. 76,321 76,676 Quintain Estates & Development P.L.C. 158,650 1,434,515 * QXL Ricardo P.L.C. 130 1,677 RAC P.L.C. 142,900 1,665,865 Radamec Group P.L.C. 35,000 18,448 Radstone Technology P.L.C. 40,384 233,415 Ransom (William) & Son P.L.C. 30,000 29,535 Redrow P.L.C. 238,311 1,549,066 * Redstone P.L.C. 257,485 38,867 Reed Health Group P.L.C. 155,333 185,146 Reg Vardy P.L.C. 112,005 958,341 Regent Inns P.L.C. 162,667 156,893
223
SHARES VALUE+ ------ ------ * Regus Group P.L.C. 1,049,446 $ 1,748,769 Reliance Security Group P.L.C. 66,349 590,351 Renishaw P.L.C. 188,734 2,184,251 Renold P.L.C. 144,000 203,833 * Retail Decisions P.L.C. 381,092 179,661 Ricardo P.L.C. 114,409 479,619 Richmond Foods P.L.C. 40,237 436,011 * Richmond Oil & Gas P.L.C. 220,000 0 RM P.L.C. 153,319 460,648 * RMS Communications P.L.C. 15,000 0 Robert Walters P.L.C. 124,017 245,035 Robert Wiseman Dairies P.L.C. 199,037 894,942 ROK property solutions P.L.C. 58,166 457,732 Rotork P.L.C. 185,440 1,546,991 Roxboro Group P.L.C. 55,682 394,942 * Royal Doulton P.L.C. 585,904 123,213 Royalblue Group P.L.C. 47,200 406,254 RPC Group P.L.C. 123,353 497,344 RPS Group P.L.C. 309,949 889,361 Rugby Estates P.L.C. 15,328 82,732 Rutland Trust P.L.C. 174,255 123,243 S & U P.L.C. 21,140 221,634 * Safeland P.L.C. 25,000 27,261 Salvesen (Christian) P.L.C. 396,216 452,630 Sanctuary Group P.L.C. 489,749 432,855 Savills P.L.C. 104,000 829,405 Scapa Group P.L.C. 163,581 87,820 * Scipher P.L.C. 34,563 743 Scottish Radio Holdings P.L.C. 75,876 1,338,976 SCS Upholstery P.L.C. 47,547 327,964 * SDL P.L.C. 95,883 220,868 * Seashell Group P.L.C. 1,441 3,305 Secure Trust Group P.L.C. 27,118 159,214 Senior P.L.C. 433,410 315,081 Serco Group P.L.C. 235,235 1,003,336 * Servicepower Technologies P.L.C. 150,000 93,222 Severfield-Rowan P.L.C. 26,211 238,244 * SFI Group P.L.C. 26,713 15,829 Shaftesbury P.L.C. 189,732 1,102,476 Shanks & McEwan Group P.L.C. 330,006 832,723 Shiloh P.L.C. 14,500 35,058 SHL Group P.L.C. 73,174 153,852 * ShopRite Group P.L.C. 204,780 47,951 Shore Capital Group P.L.C. 344,465 237,462 SIG P.L.C. 231,332 2,312,092 * Simon Group P.L.C. 348,089 286,669 Sinclair (William) Holdings P.L.C. 53,000 56,660 Singer & Friedlander Group P.L.C. 248,303 1,331,083 Sirdar P.L.C. 41,600 25,741 * Skyepharma P.L.C. 1,025,478 1,312,647 Smart (J.) & Co. (Contractors) P.L.C. 22,500 251,601 * Smart Approach Group P.L.C. 12,599 3,856 SMG P.L.C. 574,831 1,169,453 Smith (David S.) Holdings P.L.C. 768,516 2,187,879 Smith (James) Estates P.L.C. 17,524 136,501 Smith (WH) P.L.C. 216,982 1,236,388 * Soco International P.L.C. 132,328 752,445 Somerfield P.L.C. 722,361 2,107,753 Sondex P.L.C. 89,293 348,360 South Staffordshire Group P.L.C. 21,600 461,397 Southampton Leisure Holdings P.L.C. 19,615 14,042 Spectris P.L.C. 242,231 $ 1,874,163 Speedy Hire P.L.C. 80,739 744,263 Spirax-Sarco Engineering P.L.C. 122,800 1,444,064 * Spirent P.L.C. 1,610,055 2,192,960 * Sportech P.L.C. 846,974 149,713 Spring Group P.L.C. 406,488 750,092 SSL International P.L.C. 284,176 1,534,081 St. Ives P.L.C. 154,964 1,147,086 St. Modwen Properties P.L.C. 228,607 1,341,218 Stanelco P.L.C. 1,201,354 134,687 Stanley (Charles) Group P.L.C. 86,800 424,750 Stanley Leisure P.L.C. 235,641 2,011,568 * Sterling Publishing Group P.L.C. 75,298 19,431 Stylo P.L.C. 64,096 74,737 * Superscape P.L.C. 189,476 191,757 * Surfcontrol P.L.C. 56,124 593,986 Swallowfield P.L.C. 15,000 25,037 Sygen International P.L.C. 492,975 387,050 T&F Informa Group P.L.C. 355,029 2,583,316 T. Clarke P.L.C. 18,714 214,266 * Tadpole Technology P.L.C. 427,207 85,825 * Tandem Group P.L.C. 327,365 0 Tarsus Group P.L.C. 86,934 199,142 Taylor Nelson AGB P.L.C. 109,000 478,996 TBI P.L.C. 1,238,853 2,175,033 Ted Baker P.L.C. 82,767 731,413 Teesland P.L.C. 69,925 106,261 * Telecity P.L.C. 549,148 144,057 Telecom Plus P.L.C. 89,103 440,742 * Telecommunications Group P.L.C. 45,958 659 Telemetrix P.L.C. 177,320 437,146 * Telspec P.L.C. 25,000 5,968 * Terence Chapman Group P.L.C. 62,500 379 Tex Holdings P.L.C. 14,000 34,462 The Big Food Group P.L.C. 595,901 1,054,322 * The Innovation Group P.L.C. 940,000 688,036 The Malcolm Group P.L.C. 109,377 203,976 The Peacock Group P.L.C. 172,468 922,323 * The Television Corp. P.L.C. 81,937 151,318 * The Wireless Group P.L.C. 189,923 281,328 * Theratase P.L.C. 46,347 34,553 Thorntons P.L.C. 158,000 463,644 Thorpe (F.W.) P.L.C. 24,000 152,577 * Thus Group P.L.C. 2,022,919 551,895 Tinsley (Eliza) Group P.L.C. 19,844 9,680 * Toad Group P.L.C. 85,507 17,229 Topps Tiles P.L.C. 348,450 1,519,141 Tops Estates P.L.C. 116,033 760,342 * Torotrak P.L.C. 167,633 238,071 * Tottenham Hotspur P.L.C. 150,000 78,255 Town Centre Securities (New) P.L.C. 142,137 887,952 Trace Computers P.L.C. 33,552 51,620 * Trafficmaster P.L.C. 198,201 289,554 Transport Development Group P.L.C. 133,173 575,685 Treatt P.L.C. 9,957 35,782 Trifast P.L.C. 135,388 203,238 Trio Holdings P.L.C. 111,411 48,386 TT Electronics P.L.C. 254,463 935,507 * TTP Communications P.L.C. 325,621 364,785 Tullow Oil P.L.C. 500,218 1,402,232 U.K. Coal P.L.C. 205,912 522,890
224
SHARES VALUE+ ------ ------ UCM Group P.L.C. 41,980 $ 56,307 Ulster Television, Ltd. 115,602 986,808 Ultra Electronics Holdings P.L.C. 100,269 1,280,801 Ultraframe P.L.C. 162,456 263,869 Umeco P.L.C. 51,019 402,112 Uniq P.L.C. 186,872 745,219 Unite Group P.L.C. 156,391 751,684 Universal Salvage P.L.C. 36,111 52,805 * Vanco P.L.C. 145,748 765,347 Vega Group P.L.C. 32,300 106,913 * Venture Production P.L.C. 197,404 901,756 * Vernalis P.L.C. 244,324 403,510 Victoria P.L.C. 12,000 52,282 Victrex P.L.C. 136,254 901,966 Vislink P.L.C. 103,960 41,778 Vitec Group P.L.C. 62,856 372,796 * Volex Group P.L.C. 58,801 107,391 VP P.L.C. 108,111 325,417 VT Group P.L.C. 257,959 1,460,252 Wagon P.L.C. 74,388 233,315 * Walker Greenbank P.L.C. 53,105 9,136 Warner Estate Holdings P.L.C. 95,471 896,265 * Waterdorm P.L.C. 105,000 0 Waterman P.L.C. 74,473 133,292 Watermark Group P.L.C. 68,660 198,545 Weir Group P.L.C. 356,454 2,024,411 Wellington Holdings P.L.C. 32,446 97,580 Wembley P.L.C. 36,926 480,659 Westbury P.L.C. 202,522 1,481,884 * Weston Medical Group P.L.C. 50,200 2,399 Wetherspoon (J.D.) P.L.C. 282,231 1,230,702 Whatman P.L.C. 241,935 1,179,246 White Young Green P.L.C. 74,666 406,810 Whitehead Mann Group P.L.C. 95,000 287,055 Whittard of Chelsea P.L.C. 37,487 135,109 Wilmington Group P.L.C. 143,376 375,693 * Wilshaw P.L.C. 198,409 33,185 Wilson Bowden P.L.C. 7,000 133,186 Wincanton P.L.C. 163,303 870,149 Windsor P.L.C. 101,510 90,761 Wolverhampton & Dudley Breweries P.L.C. 125,925 2,202,565 Wood Group (John) P.L.C. 881,804 2,443,289 Woolworths Group P.L.C. 2,617,775 2,227,011 Workplace Systems International P.L.C. 238,739 74,240 WSP Group P.L.C. 94,842 418,774 Wyevale Garden Centres P.L.C. 78,824 559,382 Wyndeham Press Group P.L.C. 73,066 179,540 * XAAR P.L.C. 108,722 267,704 XANSA P.L.C. 575,870 1,018,183 * Xenova Group P.L.C. 607,931 72,352 XKO Group P.L.C. 30,304 40,506 XP Power P.L.C. 26,903 225,639 * Yorkshire Group P.L.C. 82,504 9,068 Young & Co's Brewery P.L.C. 10,000 185,921 Young & Co's Brewery P.L.C. Class A 5,234 $ 131,216 Yule Catto & Co. P.L.C. 278,083 1,559,934 Zotefoams P.L.C. 62,000 79,996 --------------- TOTAL COMMON STOCKS (Cost $274,387,702) 371,382,332 --------------- INVESTMENT IN CURRENCY -- (0.9%) * British Pound Sterling (Cost $3,631,644) 3,641,345 --------------- RIGHTS/WARRANTS -- (0.0%) * Letter of Entitlements - Audemars Piguet 90,242 0 * Planestation Group P.L.C. Warrants 01/13/11 229,653 2,724 * SFI Holdings Litigation Certificate 26,713 0 * Xenova Group P.L.C. Contingent Rights 08/14/11 94,500 0 * Xenova Group P.L.C. Warrants 12/31/08 56,991 2,315 --------------- TOTAL RIGHTS/WARRANTS (Cost $4,780) 5,039 --------------- TOTAL -- UNITED KINGDOM (Cost $278,024,126) 375,028,716 --------------- UNITED STATES -- (0.1%) COMMON STOCKS -- (0.1%) * Bookham, Inc. (Cost $500,697) 57,292 307,085 --------------- EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency (Cost $101) 127 --------------- FACE AMOUNT ------ (000) TEMPORARY CASH INVESTMENTS -- (1.7%) Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $6,458,000 FNMA Notes 2.95%, 11/14/07, valued at $6,467,061) to be repurchased at $6,378,333 (Cost $6,378,000) $ 6,378 6,378,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $284,902,924) $ 381,713,928 ===============
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 225 THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ FRANCE -- (12.5%) COMMON STOCKS -- (12.5%) Affine 1,400 $ 127,012 Ales Groupe SA 6,648 114,679 Altedia SA 2,800 51,136 * Alten SA 21,372 483,168 * # Altran Technologies SA 82,633 857,783 Apem SA 1,000 79,347 April Group SA 31,201 724,059 Ares (Groupe) SA 5,500 35,896 Arkopharma 18,720 423,610 Assystem Brime SA 7,580 151,159 Aubay SA 5,774 30,186 Audika SA 1,900 174,175 * Baccarat SA 1,090 126,707 Bacou-Dalloz 6,287 484,287 # Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,433,224 Banque Tarneaud SA 1,000 174,614 # Beneteau SA 13,527 1,072,045 * Bigben Interactive 2,100 8,108 Boiron SA 16,659 504,084 Boizel Chanoine Champagne SA 600 37,987 # Bonduelle SA 6,723 606,701 Bongrain SA 13,083 887,920 Bricorama SA 3,379 211,944 Brioche Pasquier SA 2,888 206,764 Buffalo Grill SA 1,028 18,850 * Bull SA 379,800 237,573 Burelle SA 4,030 478,349 * Business Objects SA 16,500 385,205 * BVRP SA 2,900 55,079 Camaieu SA 4,988 465,368 * Carbone Lorraine 40,631 1,975,195 Cegedim SA 6,902 526,110 CEGID SA 18,000 587,040 * Cesar SA 16,955 20,292 CFF Recycling SA 84,608 2,225,250 Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux Sa 6,400 363,242 Clarins SA 8,798 487,472 * # Club Mediterranee SA 15,665 719,525 Consortium International de Diffusion et de Representation Sante 600 6,594 Crometal SA 1,100 70,027 * CS Communication et Systemes 4,983 196,084 * Cybergun 1,058 21,933 * Damartex SA 22,900 728,108
1 * Dane-Elec Memory SA 11,400 51,830 Delachaux SA 1,300 171,307 Deveaux SA 1,040 107,787 Didot-Bottin 1,620 193,990 * DMC (Dollfus Mieg et Cie) 9,630 56,084 * Dynaction SA 10,660 232,632 Electricite de Strasbourg 23,784 3,327,592 Elior 104,108 1,063,766 Esso SA 3,200 475,319 Etam Developpement SA 7,300 154,651 * Eurafrance 12,668 987,991 * Euraltech SA 11,700 21,500 * # Euro Disney SCA 797,643 287,105 Evialis SA 1,200 47,908 Exel Industries SA 1,800 122,994 * Explosifs et de Produits Chimiques 524 197,094 Faurecia SA 6,500 486,138 # Fimalac SA 111,143 5,037,658 Fininfo SA 9,760 290,909 Fleury Michon SA 3,100 148,810 Francois Freres (Tonnellerie) SA 3,150 86,219 * Gantois Series A 647 9,115 Gascogne SA 6,472 579,628 Gaumont 14,607 1,060,047 * GCI (Groupe Chatellier Industrie SA) 7,258 965 * Generale de Geophysique SA 20,770 1,315,273 Generale de Sante 32,259 637,283 Generale Location SA 9,000 233,743 * Geodis SA 4,379 456,689 Gevelot 3,584 250,314 GFI Informatique SA 26,700 158,416 Gifi 4,678 217,100 * Ginger (Groupe Ingenierie Europe) 2,600 51,256 Grands Moulins de Strasbourg 110 65,861 Groupe Bourbon SA 19,038 915,112 Groupe Crit 6,900 168,816 * Groupe Flo SA 11,900 80,085 * Groupe Focal SA 1,400 8,745 Groupe Go Sport SA 2,207 152,875 Groupe Guillin SA 1,200 82,802 Groupe Open SA 6,000 68,182 Groupe Steria 14,365 539,118 Guerbet SA 1,700 153,790 Guyenne et Gascogne SA 26,000 2,871,779 Havas SA 62,300 344,269 * Hotels et Casinos de Deauville 2,055 1,231,323 Hyparlo SA 5,514 312,305 IDSUD 614 20,458 * Iliad SA 8,500 251,572 * IMS International Metal Service SA 12,630 127,572 Industrielle et Financiere d'Entreprise SA 300 66,150 * # Infogrames Entertainment SA 83,638 139,063 Ingenico SA 61,820 1,010,755 Ioltech SA 500 54,371
2 Ipsos SA 5,776 582,014 Kaufman et Broad SA 7,722 398,245 Lafuma SA 810 59,088 Laurent-Perrier 3,100 129,319 Lectra Systemes SA 23,092 158,185 Lisi SA 7,827 406,237 Manitou SA 44,368 1,422,008 Manutan International SA 4,700 231,606 # Marionnaud Parfumeries Retails Perfumes 11,209 331,281 * Matussiere et Forest SA 13,600 52,418 * Metaleurop SA 35,449 25,441 MGI Coutier SA 1,400 64,980 Montupet SA 32,450 908,243 Mr. Bricolage SA 6,600 149,138 Neopost SA 7,200 518,749 Nexans 15,136 583,055 Norbert Dentressangle 8,372 455,465 Nord Est SA 21,507 1,246,469 * # Oberthur Card Systems SA 53,640 374,390 * Oeneo 31,265 42,323 * Otor SA 13,700 67,356 Parcours SA 5,300 35,490 * Paris Orleans et Cie SA 2,832 647,137 Passat SA 2,400 48,014 * Penauille Polyservices SA 10,200 109,781 Petit Forestier SA 3,043 123,913 # Pierre & Vacances 6,635 706,897 Pinguely-Haulotte SA 25,000 185,364 Plastic Omnium SA 15,423 823,385 Plastivaloire SA 1,700 49,745 Prosodie SA 4,500 116,332 Provimi SA 13,972 294,071 PSB Industries SA 1,240 212,572 * Radiall SA 1,340 110,514 Remy Cointreau SA 8,774 324,763 Robertet SA 1,076 144,221 # Rodriguez Group SA 9,687 492,332 Rougier SA 2,040 160,135 * S.T. Dupont SA 3,800 25,325 Sabeton 13,500 200,334 Samse SA 4,400 665,477 Sasa Industries SA 1,000 29,054 * Saveurs de France-Brossard 900 31,403 * # Scor SA 524,279 974,499 SDR de Bretagne SA 1,314 46,464 SEB SA Prime Fidelite 2002 3,300 333,655 Sechilienne-Sidec 2,200 568,962 Securidev SA 1,500 24,533 Selectibail 29,286 1,141,306 Signaux Girod SA 600 41,958 SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 15,009 1,358,500 Skis Rossignol SA 41,668 755,322 Smoby SA 500 53,255
3 Societe du Louvre SA 14,513 1,621,782 Societe Industrielle D'Aviations Latecoere SA 3,700 159,053 Societe Pour L'Informatique Industrielle SA 1,800 80,592 Solving International SA 2,160 11,201 Somfy Interational SA 22,900 4,835,130 Sopra SA 7,618 437,718 # SR Teleperformance 90,928 2,283,048 Stallergenes SA 1,949 160,961 Ste Virbac SA 7,637 253,774 Stef-Tfe SA 2,032 215,257 Sucriere de Pithiviers-le-Vieil 1,825 1,379,849 * Sylis SA 4,700 34,412 Synergie SA 8,000 227,231 Taittinger SA 12,700 3,574,538 * Teisseire France SA 700 68,840 Tessi SA 1,700 84,206 Touax (Touage Investissement SA) 10,378 274,343 Toupargel-Agrigel SA 6,200 214,041 Trigano SA 7,953 570,503 * # Ubi Soft Entertainment SA 10,800 230,902 Unilog SA 9,747 630,323 # Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 4,383,017 * Valtech, La Defense 68,224 89,824 Viel et Compagnie 44,339 215,002 Vilmorin et Cie SA 2,349 457,848 VM Materiaux SA 600 62,073 Vranken Monopole 2,800 133,623 Zodiac SA 14,964 617,256 ------------------ TOTAL COMMON STOCKS (Cost $47,280,511) 89,105,077 ------------------ RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 24,800 27,687 * Ales Groupe SA Warrants 03/23/09 316 1,575 * Carbone Lorraine Rights 10/06/04 8 19 * Ginger (Groupe Ingenierie Europe) Warrants 09/30/05 2,600 173 * Groupe Open SA Warrants 10/21/06 1,000 487 * Oeneo Warrants 08/26/06 14,365 764 * Prosodie SA Warrants 10/28/06 900 449 * Ubi Soft Entertainment SA Warrants 05/14/06 4,100 1,089 * Valtech, La Defense Warrants 07/29/05 20,000 807 ------------------ TOTAL RIGHTS/WARRANTS (Cost $20,863) 33,050 ------------------ TOTAL -- FRANCE (Cost $47,301,374) 89,138,127 ------------------ GERMANY -- (11.5%) COMMON STOCKS -- (11.5%) A.S. Creation Tapeton AG 2,900 88,216
4 Aareal Bank AG 46,391 1,418,237 * Acg AG Fuer Chipkarten und Informationssysteme 16,940 23,178 Ackermann-Goeggingen AG 8,100 157,250 AC-Service AG 4,300 28,875 * Adva AG Optical Networking 39,883 264,788 * Agrob AG 5,800 64,763 * # Aixtron AG 74,124 331,688 * Amadeus Fire AG 4,900 25,372 Andreae-Noris Zahn AG, Anzag 27,200 1,165,433 * Articon Integralis AG 7,900 23,012 Atoss Software AG 3,700 50,035 * Augusta Technologie AG 11,750 7,800 Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,023,757 AWD Holding AG 52,932 1,988,042 * Baader Wertpapier Handelsbank AG 19,026 132,122 # Balda AG 40,277 460,379 * Basler AG 3,200 63,767 # Beate Uhse AG 56,241 814,421 # Bechtle AG 25,498 534,592 * Berliner Elektro Holding AG 17,611 178,427 Bertrandt AG 9,850 159,888 # Beru AG 14,051 1,283,506 Beta Systems Software AG 2,850 46,535 Bien-Haus AG 2,400 30,272 Bilfinger & Berger Bau AG 44,787 1,677,853 * Biolitec AG 8,000 44,168 * Biotest AG 3,804 60,949 * BKN International AG 17,600 139,241 * BMP AG 10,600 29,896 Boewe Systec AG 7,866 414,951 * Borussia Dortmund GMBH & Co. KGAA 21,650 72,599 Bremer Energiekonto AG 14,700 22,108 * CBB Holding AG 102,602 8,182 * # Ce Consumer Electrnic AG 21,600 33,600 * Ceag AG 20,670 230,868 * Cenit AG Systemhaus 3,500 67,699 * Centrotec Hochleistungskunststoffe AG 7,500 192,072 Cewe Color Holding AG 7,073 165,034 Comdirect Bank AG 120,666 1,170,685 * Computec Media AG 4,650 38,961 Computerlinks AG 5,700 97,090 * Condomi AG 1,800 3,415 * CTS Eventim AG 14,800 295,957 Curanum AG 21,500 55,128 * D. Logistics AG 37,750 67,822 * # DAB Bank AG 70,271 499,756 * Data Modul AG 3,194 48,383 * DEAG Deutsche Entertainment AG 10,500 21,341 Deutsche Euroshop AG 18,927 927,683 * Deutsche Steinzeug Cremer & Breuer AG 87,200 90,536 * # Deutz AG 96,790 391,089 * Dierig Holding AG 10,500 175,145 Dis Deutscher Industrie Service AG 18,524 642,726 * Dom-Braugerei AG 900 25,312
5 Douglas Holding AG 43,825 1,450,046 * Dr. Scheller Cosmetics AG 4,000 19,628 * Drillisch AG 28,287 132,387 * Duerr Beteiligungs AG 17,593 349,862 DVB Bank AG 7,124 967,410 * Eckert and Ziegler Strahlen - und Medizintechnik AG 3,000 33,278 * Elexis AG 8,600 76,974 Elmos Semiconductor AG 23,218 395,877 ElreingKlinger AG 3,000 224,173 * # Em.TV AG 18,773 72,106 * Emprise Management Consulting AG 8,950 19,535 * Epcos AG 55,500 881,305 Erlus Baustoffwerke AG 297 141,231 * Escada AG 20,520 437,119 * Euwax AG 536 19,262 * Evotec Biosystems AG 42,707 153,859 Feilmann AG 29,181 2,016,941 # FJA AG 9,889 65,656 Fortec Elektronik AG 1,400 51,071 * Freenet.De AG 50,400 1,088,857 Fuchs Petrolub AG Oel & Chemie 6,693 668,086 GFK AG 45,483 1,656,509 * Gft Technologies AG 22,600 51,999 * GPC Biotech AG 23,900 375,512 # Grenkeleasing AG 15,958 678,297 Gwag Bayerische Wohnungs- Aktiengesellschaft AG 3,383 173,276 Hamborner AG 21,000 627,738 Hawesko Holdings AG 4,300 144,004 * Herlitz AG 6,962 26,404 Hochtief AG 34,000 1,009,771 * Hoeft & Wessel AG 6,100 24,320 Hucke AG 8,300 34,417 Hugo Boss AG 25,100 719,360 Hutschenreuther AG 2,800 35,400 * I-D Media AG 9,700 15,956 * IFA Hotel & Touristik AG 7,000 65,886 * IM International Media AG 19,800 16,081 * # Innovation in Traffic Systems AG 12,300 55,676 Interseroh AG 11,845 266,867 * # Intershop Deutschland AG 7,955 7,718 * Intertainment AG 8,500 22,933 * Isra Vision Systems AG 3,650 61,169 IVG Immobilien AG 143,237 2,179,536 Iwka AG 26,613 648,382 * Jenoptik AG 67,265 719,330 K & S Aktiengesellschaft AG 129,500 6,596,434 Kampa-Haus AG 10,375 84,577 Keramag Keramische Werke AG 13,000 818,692 * # Kloeckner-Werke AG 53,211 855,835 * Kontron AG 53,965 512,721 Krones AG 10,180 1,042,394 KSB AG 2,387 418,646 KWS Kleinwanzlebener Saatzucht AG 1,650 1,328,738 * Leica Camera AG 4,400 25,249
6 Leifheit AG 12,500 324,475 Leoni AG 37,500 2,496,154 * Loewe AG 7,100 58,963 LPKF Laser & Electronics AG 9,000 35,949 Masterflex AG 4,400 158,450 * Maternus-Kliniken AG, Bad Oyenhausen 165 109 * Maxdata AG 32,897 123,059 * Mediclin AG 30,850 74,210 * # Medigene AG 8,600 87,332 * Mensch und Maschine Software AG 10,700 38,957 * # Morphosys AG 4,800 221,880 * Mosaic Software AG 5,200 6,655 Muehlabauer Holdings AG & Co. KGAA 7,423 274,453 * MVS Miete Vertrieb Service AG 13,050 31,044 MVV Energie AG 58,291 1,151,032 * MWG Biotech AG 30,700 21,682 * Nemetschek AG 7,400 66,949 * Neschen AG 5,800 21,596 * Norddeutsche Affinerie AG 37,449 614,942 Norddeutsche Steingutfabrik AG 5,960 50,383 * November AG 5,400 40,504 * Ohb Teledata 12,650 111,644 * Pandatel AG 5,700 8,710 * Paragon AG 11,282 223,789 * Parsytec AG 11,900 44,345 PC-Ware Information Technologies AG 5,100 51,510 * Personal & Informatik AG 5,900 61,904 Pfeiffer Vacuum Technology AG 8,250 367,915 * Pfleiderer AG 51,351 550,238 * Plambeck Neue Energien AG 19,350 20,817 * Plasmaselect AG 4,290 22,833 * Plenum AG 9,300 20,617 * Primacom AG 15,200 24,552 * Produkte und Syteme der Informationstechnologie AG 10,300 44,540 Progress-Werk Oberkirch AG 5,000 205,379 * PVATepla AG 15,550 37,117 * # Qs Communications AG 124,164 618,103 Rational AG 15,083 1,364,009 * Realtech AG 3,650 25,704 Renk AG 19,400 683,894 REpower Systems AG 5,000 94,685 Rheinmetall Berlin AG 45,000 2,304,151 Rhoen Klinikum AG 24,107 1,334,374 * Rinol AG 5,900 11,348 * Rohwedder AG 4,860 28,572 * Ruecker AG 7,800 25,398 * S.A.G. Solarstrom AG 4,319 29,332 Salzgitter AG 85,948 1,737,674 Sartorius AG 11,252 224,300 Schlott Sebaldus AG 7,440 198,753 Schwarz Pharma AG 30,101 1,249,192 Sektkellerei Schloss Wachenheim AG 15,120 184,419 * Senator Entertainment AG 980 1,967 * # SGL Carbon AG 57,758 759,240
7 * # Singulus Technologies AG 36,100 638,157 Sinner AG, Karlsruhe 4,160 60,896 Sixt AG 19,433 352,695 * Sm Wirtschaftsberatungs AG 3,350 26,130 * Software AG 34,296 1,048,876 Stada Arzneimittel AG 50,186 1,321,970 Stahl (R.) AG 6,300 95,203 * # Steag Hamtech AG 35,473 69,772 * Stoehr & Co. AG 16,000 72,500 * Strabag AG 4,840 301,942 Stratec Biomedical Systems AG 3,200 72,059 Stuttgarter Hofbraeu AG 18,000 575,114 Sued-Chemie AG 29,146 1,067,674 * # Suess Microtec AG 17,785 142,778 Syskoplan AG 3,300 22,379 * Syzygy AG 18,000 105,912 Takkt AG 87,707 858,908 * Techem AG 29,076 971,402 Technotrans AG 6,450 121,968 * Telegate AG 20,500 369,478 * Teles AG Informationstechnologien 26,657 247,143 * Textilgruppe Hof AG 12,170 112,212 * TFG Venture Capital AG & Co. KGAA 8,800 24,241 * Tomorrow Focus AG 42,650 125,675 * TTL Information Technology AG 6,400 25,998 * TV Loonland AG 7,000 18,258 United Internet AG 79,458 2,080,469 * Utimaco Safeware AG 12,200 60,865 * Value Management & Research AG 7,650 22,571 * VBH (Vereinigter Baubeschlag-Handel) AG 9,415 46,915 * Vereinigte Deutsche Nickel-Werke AG 12,150 8,065 * Vivacon AG 3,032 25,732 Vossloh AG 21,469 970,693 Wanderer-Werke AG 7,903 253,047 * WaveLight Laser Technologies AG 1,159 19,532 * WCM Beteiligungs AG 346,726 603,815 Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 77,740 Wuerttembergische Lebensversicherung AG 11,330 230,874 Wuerttembergische Metallwarenfabrik AG 30,330 540,638 Wuerzburger Hofbraeu AG 133 73,357 Zapf Creation AG 7,500 158,255 ------------------ TOTAL COMMON STOCKS (Cost $58,435,826) 82,230,805 ------------------ RIGHTS/WARRANTS -- (0.0%) * BMP AG Rights 12/06/04 10,600 0 * D. Logistics AG Rights 12/06/04 37,750 0 * Intershop Holding AG, Zurich Rights 12/14/04 7,955 0 * Medigene AG Rights 11/09/04 8,600 0 * MWG Biotech AG Rights 12/09/04 30,700 0 * November AG Rights 12/07/04 5,400 0 * Paragon AG Rights 12/03/04 11,282 0
8 TOTAL RIGHTS/WARRANTS (Cost $0) 0 ------------------ TOTAL -- GERMANY (Cost $58,435,826) 82,230,805 ------------------ SWITZERLAND -- (9.9%) COMMON STOCKS -- (9.8%) * 4M Technologies Holding SA 3,751 19,829 * A. Hiestad Holding AG 561 440,593 * Actelion, Ltd. 4,400 405,668 AFG Arbonia-Forster Holding AG 2,610 355,051 * Agie Charmilles Holding AG 3,402 232,839 Allreal Holding AG 5,733 539,396 Also Holding AG 268 76,468 * Amazys Holding AG 2,152 106,085 * Ascom Holding AG 32,674 498,918 Bachem AG 6,984 395,067 Baloise-Holding 7,415 311,706 Bank Coop AG 29,405 1,311,454 Bank Sarasin & Cie Series B, Basel 502 835,214 * Banque Cantonale de Geneve 1,344 216,313 Banque Cantonale du Jura 450 101,855 Banque Cantonale Vaudoise 600 92,619 Banque Privee Edmond de Rothschild SA, Geneve 120 1,472,010 Barry Callebaut AG 3,526 866,473 Basellandschaftliche Kantonalbank 600 459,423 Basler Kantonalbank 5,250 415,936 Batigroup Holding AG 9,987 120,441 Belimo Holdings 593 345,669 * Berna Biotech 33,198 285,121 Berner Kantonalbank 4,815 684,299 BHB Beteiligungs und Finanzgesellschaft 150 5,788 Bobst Group SA 18,200 718,899 Bossard Holding AG 6,350 365,558 Bucher Industries AG, Niederweningen 3,355 717,077 BVZ (Brig Visp Zermatt) Holding AG 370 81,334 # Caisse d'Epargne Cantonale Vaudoise, Lausanne 697 681,761 Calida Holding AG 396 102,229 * Card Guard AG 5,402 21,786 Carlo Gavazzi Holding AG 910 68,889 Charles Voegele Holding AG 3,960 176,721 Cie Financiere Tradition 5,202 478,781 Conzzeta Holdings AG 1,415 1,425,684 * COS Computer Systems AG 2,430 70,028 * Crossair AG, Basel 13,517 100,668 Daetwyler Holding AG, Atldorf 348 775,487 Edipresse SA, Lausanne 694 359,300 EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,761 3,269,055 Eichhof Holding AG 188 178,546 Ems-Chemie Holding AG 3,663 324,788 Energie Electrique du Simplon SA 350 74,489 Energiedienst Holding AG 8,265 2,858,844
9 Escor Casino & Entertainment AG 744 20,884 * Feintol International Holding AG 254 49,962 * Fischer (Georg) AG, Schaffhausen 3,073 793,343 * Flughafen Zuerich AG 3,965 452,273 * Forbo Holding AG, Eglisau 1,100 307,418 Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 602,199 Galenica Holding, Ltd. AG, Bern 6,922 1,262,283 * Generale d'Affichage 1,772 279,337 Generali (Switzerland) Holdings, Adliswil 1,670 323,992 * Getaz Romang Holding SA 125 21,933 * Golay-Buchel Holding SA, Lausanne 40 27,484 Gornergrat Monte Rasa-Bahnen Zermatt 70 55,326 Gurit-Heberlein AG 1,125 898,356 # Helvetia Patria Holding 4,331 603,650 Industrieholding Cham AG, Cham 864 197,373 * Interroll-Holding SA 320 42,077 Jelmoli Holding AG 1,521 2,099,679 # Jelmoli Holding AG, Zuerich (Namen) 2,835 775,170 Kaba Holding AG 2,970 826,023 Kardex Ag, Zuerich 8,245 233,511 * Komax Holding AG 4,975 426,847 * Kudelski SA 22,850 858,072 Kuoni Reisen Holding AG 3,130 1,328,346 * Leica Geosystems Holdings AG 3,216 949,370 * Lem Holdings AG, Lyss 371 89,386 * Logitech International SA 22,086 1,300,814 Luzerner Kantonalbank AG 5,601 1,026,917 * Maag Holding AG, Zuerich 922 138,272 * Micronas Semi 24,941 1,075,763 * Mikron Holding AG, Biel 10,454 139,843 * Mobilezone Holding AG 13,349 47,304 * Moevenpick-Holding, Zuerich 1,320 389,546 Nobel Biocare Holding AG 23,200 4,166,724 Orell Fussli Graphische Betriebe Ag, Zuerich 2,400 280,212 Oz Holding AG 4,400 244,688 * Parco Industriale e Immobiliare SA 600 1,846 Phoenix Mecano AG, Stein am Rhein 2,749 763,551 Phonak Holding AG 48,668 1,535,747 PSP Swiss Property AG 47,132 2,013,291 Publicitas Holding SA, Lausanne 1,937 565,193 Rieters Holdings AG 5,207 1,513,291 SAIA-Burgess Electronics AG 693 417,546 Sarna Kunststoff Holding AG 1,760 167,919 * Saurer AG 17,705 1,055,431 * Schaffner Holding AG 888 140,286 * Schweiter Technology AG 1,103 208,217 Schweizerhall Holding AG, Basel 140 218,774 Schweizerische National Versicherungs Gesellschaft 917 474,301 * SEZ Holding AG 2,982 71,907 SIA Abrasives Holding AG 878 172,818 Siegfried Holding AG 8,560 1,058,814 Sig Holding AG 6,922 1,560,034 * Sihl 150 395 * Sika Finanz AG, Baar 2,303 1,360,460
10 Sopracenerina 2,409 486,579 # St. Galler Kantonalbank 3,636 891,921 Sulzer AG, Winterthur 1,637 621,822 * Swiss Prime Site AG 3,460 858,703 * Swissfirst AG 207 19,971 * Swisslog Holding AG 17,025 14,172 * Swissquote Group Holding SA 270 22,053 * Tamedia AG 5,300 478,384 # Tecan Group AG 5,859 159,801 * Temenos Group AG 35,359 290,073 * UMS Schweizerische Metallwerke Holding AG, Bern 2,560 25,816 Unaxis Holding AG 2,013 212,689 Unilabs SA 6,102 180,517 * Valiant Holding AG 17,966 1,630,558 Valora Holding AG 3,485 844,637 Vaudoise Assurances Holding, Lausanne 45 79,207 Villars Holding SA, Fribourg 150 38,818 * Von Roll Holding AG, Gerlafingen 46,048 44,003 Vontobel Holdings AG 58,345 1,356,586 Walliser Kantonalbank 351 104,840 * Wmh Walter Meier Holding Ag, Zuerich 1,000 53,521 Zehnder Holding AG 512 623,935 Zschokke Holding SA, Geneve 431 213,711 * Zueblin Holding AG 25,262 201,744 Zuger Kantonalbank 590 1,501,879 ------------------ TOTAL COMMON STOCKS (Cost $42,935,999) 70,034,297 ------------------ PREFERRED STOCKS -- (0.1%) Fuchs Petrolub AG Oel & Chemie 6,003 580,677 ------------------ (Cost $266,229) RIGHTS/WARRANTS -- (0.0%) * Helvetia Patria Holding Rights 12/07/04 4,331 48,338 ------------------ (Cost $0) INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs 8,678 ------------------ (Cost $7,914) TOTAL -- SWITZERLAND (Cost $43,210,142) 70,671,990 ------------------ ITALY -- (7.8%) COMMON STOCKS -- (7.8%) Acea SpA 163,000 1,664,643 Acegas SpA 31,875 314,932 * Actelios SpA 25,801 208,610 * Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 4,291 19,974 Aem Torino SpA 450,627 1,122,396 Aeroporto de Firenze SpA 6,000 76,679 * Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,271,617
11 Amplifon SpA 18,242 840,572 Azienda Mediterranea Gas e Acqua SpA 360,014 697,642 # Banca Ifis SpA 19,351 235,970 Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 963,369 # Banca Popolare Dell'etruria e Del Lazio Scrl 23,918 573,112 Banca Profilo SpA 114,243 266,334 Banco di Desio e della Brianza SpA 109,105 672,384 # Banco Piccolo Valellinese Scarl SpA 56,071 678,216 * Beghelli SpA 142,000 107,715 Beni Stabili SpA, Roma 1,309,500 1,289,545 Biesse SpA 17,100 58,785 Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 250,034 Bremba SpA 74,782 543,516 Buzzi Unicem SpA 94,100 1,319,171 Caltagirone Editore SpA 132,868 1,129,525 # Caltagirone SpA 178,399 1,343,666 CAMFIN (Cam Finanziaria) 36,527 103,162 Carraro SpA 34,400 158,649 Cementir Cementerie del Tirreno SpA 249,704 1,242,882 * Centrale del Latte di Torino & Co. SpA 4,182 23,465 CIR SpA (Cie Industriale Riunite), Torino 591,100 1,482,384 * Cirio Finanziaria SpA 175,000 40,469 Class Editore SpA 83,868 192,279 * # CMI SpA 90,302 377,195 * Coats Cucirini SpA 30,000 43,658 * Compagnia Immobiliare Azionaria 44,000 8,070 Credito Artigiano SpA 114,446 483,653 # Cremonini SpA 135,428 316,883 * CSP International Industria Calze SpA 10,000 17,229 Danieli & C.Officine Meccaniche SpA 66,500 399,333 Davide Campari - Milano SpA 27,599 1,671,921 De Longhi SpA 139,386 593,914 * # Ducati Motor Holding SpA 129,900 160,111 Emak SpA 27,000 133,324 Erg SpA 173,330 1,929,190 Ergo Previdenza SpA 95,165 520,985 Esprinet SpA 3,700 183,832 * Finarte Casa d'Aste SpA (Milano) 56,266 67,464 * Finarte Partecipazioni Pro Arte SpA 242,693 24,353 * # Finmatica SpA 35,900 108,737 Gabetti Holding SpA 55,000 159,475 Gefran SpA 11,000 63,680 # Gemina SpA 331,283 391,350 Gewiss SpA 221,700 1,217,089 * Giovanni Crespi SpA 49,200 54,770 Grandi Navi Veloci SpA 53,833 181,345 # Granitifiandre SpA 33,237 273,193 * Gruppo Ceramiche Ricchetti SpA 41,000 78,032 I Grandi Viaggi SpA 28,100 40,255 * # Immobiliare Lombardia SpA 425,000 99,955 # Immsi SpA 287,000 561,228 # Impregilo SpA 592,300 324,324 Industria Macchine Automatique SpA 33,671 498,330 * Industria Romagnola Conduttori Elettrici SpA 17,500 63,516
12 Industrie Zignago S. Margherita SpA 52,000 1,052,598 Interpump Group SpA 75,402 393,789 * ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 267,291 Italmobiliare SpA, Milano 20,975 1,214,946 * Juventus Footbal Club SpA 98,000 197,034 La Doria SpA 22,000 62,983 * Lavorwash SpA 10,000 23,134 Linificio and Canapificio Nazionale SpA 22,000 83,998 Maffei SpA 52,500 109,607 Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 2,458,770 * Marcolin SpA 35,100 58,187 Mariella Burani Fashion Group SpA 26,077 278,432 Meliorbanca SpA 90,667 379,533 Merloni Elettrodomestici SpA 155,000 2,600,000 Milano Assicurazioni SpA 266,700 1,343,898 Mirato SpA 12,000 102,507 * Monrif SpA 150,000 168,172 * Montefibre SpA 143,130 51,614 Navigazione Montanari SpA 110,917 343,174 * Necchi SpA 164,250 15,499 * Negri Bossi SpA 13,700 41,907 * NGP SpA 17,891 8,322 Olidata SpA 20,000 22,344 * Opengate Group SpA 4,000 10,154 * Pagnossin SpA 9,000 6,806 Permasteelisa SpA 24,470 406,522 Pininfarina SpA 31,285 927,115 Pirelli & C.Real Estate SpA 9,600 458,033 Poligrafici Editoriale SpA 132,000 279,695 * Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 526,834 Premuda SpA 109,728 200,133 * Ratti SpA 31,768 18,992 Recordati Industria Chimica e Farmaceutica SpA 58,644 1,324,871 * # Reno de Medici SpA, Milano 332,210 347,299 * Richard-Ginori 1735 SpA 140,800 99,957 Risanamento Napoli SpA 255,850 616,779 Sabaf SpA 9,200 225,323 # SAES Getters SpA 14,750 322,432 * Schiapparelli 1824 SpA, Milano 831,000 47,496 * Sirti SpA 29,967 73,121 SISA (Societa Imballaggi Speciali Asti SpA) 65,000 186,343 * # SNIA SpA 227,590 76,981 Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,196,246 Sogefi SpA 182,500 772,069 Sol SpA 81,830 411,669 * SOPAF (Societa Partecipazioni Finanziarie SpA) 85,000 15,764 * Sorin SpA 341,385 1,023,348 * STA Metallurgica Italiana SpA 282,640 177,891 Stefanel SpA 54,400 128,807 Targetti Sankey SpA 14,500 84,833 * Tecnodiffusione Italia SpA 3,332 8,857 Terme Demaniali di Acqui SpA 532,000 424,723 Tod's Group SpA 30,476 1,384,971 Trevi-Finanziaria Industriale SpA 52,400 82,126
13 * Vemer Siber Group SpA 46,000 38,836 * Viaggi del Ventaglio SpA 58,384 78,995 Vianini Industria SpA 52,520 175,755 Vianini Lavori SpA 180,752 1,341,022 Vittoria Assicurazioni SpA 51,500 435,728 Zucchi (Vincenzo) SpA 144,350 723,442 ------------------ TOTAL COMMON STOCKS (Cost $36,266,091) 55,875,798 ------------------ RIGHTS/WARRANTS -- (0.0%) * Immsi SpA Rights 12/20/04 287,000 30,515 * Tecnodiffusione Italia SpA Warrants 11/15/04 1,332 141 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 30,656 ------------------ TOTAL -- ITALY (Cost $36,266,091) 55,906,454 ------------------ SWEDEN -- (7.3%) COMMON STOCKS -- (7.3%) * # Active Biotech AB 38,640 209,994 Addtech AB Series B 22,300 172,786 Alfa Laval AB 18,600 292,064 * Alfaskop AB 3,200 380 Angpannefoereningen AB Series B 10,800 225,219 * Anoto Group AB 134,833 203,001 Axfood AB 73,400 2,336,155 * # Axis AB 76,994 212,799 * B & N Bylock & Nordsjoefrakt AB Series B 41,800 130,349 * Ballingslov International AB 2,800 37,283 Beiger Electronics AB 11,700 124,664 Beijer AB Series B 11,700 208,979 Beijer Alma AB Series B 10,400 181,199 Bergman & Beving AB Series B 36,200 382,361 Biacore International AB 11,150 223,292 Bilia AB Series A 116,725 1,859,130 Billerud AB 58,700 982,918 * Boliden AB 197,400 762,261 * Bong Ljungdahl AB 9,000 46,960 * Boras Waefveri AB Series B 8,600 31,794 * Boss Media AB 63,200 230,507 * Capio AB 78,700 877,752 Capona AB 25,400 362,769 Carbo AB 37,100 1,020,954 Castellum AB 43,600 1,514,584 Cloetta AB Series B 22,250 691,991 Concordia Maritime AB Series B 37,300 183,219 * Consilium AB Series B 5,246 23,758 D. Carnegie & Co. AB 74,000 852,252 Digital Illusions AB Series A 7,800 70,699 * Doro Telefoni AB Series A 2,000 2,973
14 * Duroc AB Series B 2,700 6,053 * Elekta AB 28,600 782,316 * Enea Data AB Series B 440,000 281,920 Eniro AB 154,000 1,510,294 * Expanda AB 6,547 39,051 Fagerhult AB 14,100 201,829 * Finnveden AB 57,000 636,315 * # Framtidsfabriken AB 966,000 73,365 * Frontec AB Series B 50,800 49,078 Getinge AB 176,604 2,192,889 Geveko AB Series B 8,300 211,396 * Glocalnet AB 187,500 71,800 Gorthon Lines AB Series B 41,800 130,552 Gunnebo AB 50,000 628,051 Haldex AB 39,000 638,272 Heba Fastighets AB Series B 13,500 229,920 Hexagon AB Series B 3,572 150,552 Hiq International AB 41,889 116,653 HL Display AB Series B 6,000 111,874 Hoganas AB Series B 38,200 989,084 * IBS AB Series B 83,200 144,342 * Industrial & Financial AB Series B Issue 2004 59,300 40,532 * Industrial & Financial Systems AB Series B 59,300 40,532 * Industrifoervaltnings AB Skandigen 63,975 228,339 * Intentia International AB Series B 149,420 292,165 * Intrum Justitia AB 115,700 775,115 * Invik and Co. AB Series B 155,400 1,526,412 Karlshamns AB 23,800 338,634 * Klippans Finpappersbruk AB 5,800 14,237 Klovern AB 53,276 146,730 Kungsleden AB 17,600 685,801 Lagercrantz Group AB Series B 23,800 63,108 * LB Icon AB 14,530 66,840 # Lindex AB 16,100 543,017 Ljungberg Gruppen AB Series B 3,800 81,399 * Lundin Petroleum AB 322,400 2,184,460 * Mandator AB 20,520 3,756 Meda AB Series A 9,725 328,370 * Medivir Series B 10,650 166,770 * Micronic Laser Systems AB 42,600 400,382 * Modern Times Group AB Series B 48,700 1,237,538 Naerkes Elektriska AB Series B 4,250 65,588 NCC AB Series B 118,100 1,490,795 Nefab AB Series B 5,100 130,599 * Net Insight AB Series B 199,000 60,422 New Wave Group AB 20,800 406,828 Nibe Industrier AB 22,800 624,802 * Nobia AB 13,800 209,480 Nolato AB Series B 42,840 360,515 Observer AB 137,856 591,079 OEM International AB Series B 7,100 121,429 * OMHEX AB 78,100 986,544 Orc Software AB 16,500 132,668 * Ortivus AB 11,507 42,379
15 * Partnertech AB 9,800 105,430 # PEAB AB Series B 105,200 971,177 * Pergo AB 43,300 165,796 Poolia AB Series B 18,150 89,718 * Prevas AB Series B 16,000 46,435 * # Pricer AB Series B 431,500 85,049 * Proact It Group AB 15,000 49,461 * Proffice AB 72,800 168,785 Profilgruppen AB 4,000 38,987 Protect Data AB 6,500 66,638 * PyroSequencing AB 51,940 58,587 Q-Med AB 34,000 875,753 * Readsoft AB Series B 17,800 38,964 # Rottneros Bruk AB 366,600 409,523 Salus Ansvar AB Series B 12,900 40,690 Sardus AB 11,200 177,565 * Scribona AB Series A 40,100 77,915 * Scribona AB Series B 46,300 93,154 * Semcon AB 18,300 75,045 * Sigma AB Series B 25,800 25,367 Skistar AB 21,000 412,062 SSAB Swedish Steel Series A 60,300 1,454,603 SSAB Swedish Steel Series B 17,100 405,107 Sweco AB Series B 23,450 427,288 * # Switchcore AB 154,820 49,893 * Teleca AB Series B 69,200 363,727 * Telelogic AB 196,200 460,160 * Ticket Travel Group AB 15,152 26,975 Trelleborg AB Series B 75,400 1,248,367 TV 4 AB Series A 22,200 418,231 * Uniflex AB Series B 3,630 25,084 * VBG AB Series B 271 4,374 # Wallenstam Byggnads AB Series B 16,700 668,283 * Wedins Norden AB Series B 280,000 30,375 * Westergyllen AB Series B 4,300 62,609 Whilborg Fastigheter AB Class B 164,145 3,261,797 Wilh. Sonesson AB Series A 4,160 15,919 Wilh. Sonesson AB Series B 4,160 14,837 WM-Data AB Series B 437,600 996,043 Xponcard Group AB 2,800 51,728 ------------------ TOTAL COMMON STOCKS (Cost $31,114,196) 52,095,418 ------------------ RIGHTS/WARRANTS -- (0.0%) * Active Biotech AB Rights 12/06/04 38,640 230 * Duroc AB Rights 11/08/04 2,700 0 * Nanook Investment Special Rights 250 0 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 230 ------------------ TOTAL -- SWEDEN (Cost $31,114,196) 52,095,648 ------------------
16
SHARES VALUE+ ------------ ------------------ NETHERLANDS -- (5.6%) COMMON STOCKS -- (5.6%) Aalberts Industries NV 25,910 1,063,468 Accell Group NV 5,260 279,951 * AFC Ajax NV 10,787 119,798 Airspray NV 3,800 95,811 AM NV 75,747 688,757 Arcadis NV 14,000 220,644 * ASM International NV 40,484 648,026 * Atag Group NV 4,630 1,784 Athlon Groep NV 34,250 783,312 Batenburg Beheer NV 3,000 120,999 * Begemann Groep NV 11,909 37,276 * Begemann Groep NV Series B 13,451 4,473 Beter Bed Holding NV 4,900 89,904 Boskalis Westminster NV 51,300 1,499,200 Brunel International NV 12,000 130,510 Buhrmann NV 112,817 1,007,851 * Crucell NV 33,880 407,173 # Draka Holding NV 24,283 300,384 * Econosto NV 17,305 33,643 # Eriks Group NV 9,483 501,554 Exact Holding NV 19,764 564,049 Fornix Biosciences NV 2,665 49,043 * # Fox Kids Europe NV 66,840 1,217,849 Gamma Holding NV 15,705 745,484 Gemeenschappeljk Bezit Crown van Gelder NV 12,000 257,173 * # Getronics NV 554,907 1,172,086 Grolsche NV 32,100 961,948 Grontmij NV 2,053 108,890 * # Hagemeyer NV 493,757 1,004,690 # Heijmans NV 19,031 586,905 ICT Automatisering NV 5,800 90,226 # Imtech NV 28,645 911,124 * # Ispat International NV 84,322 3,534,696 Kas Bank NV 42,888 847,054 * Kendrion NV 21,454 49,473 Koninklijke Bam NV 25,037 1,070,918 Koninklijke Frans Maas Groep NV 12,349 509,068 Koninklijke Nedlloyd NV 33,528 1,701,290 Koninklijke Ten Cate NV 11,531 784,169 # Koninklijke Vopak NV 50,371 1,088,020 * # Laurus NV 92,985 551,327 MacIntosh NV 15,590 484,765 * Maverix Capital NV 1,500 75,756 Nederlandsche Apparatenfabriek 14,000 511,407 NH Hoteles 21,703 260,057 Nutreco Holding NV 31,673 774,812 NV Holdingsmij de Telegraaf 42,524 1,012,196 Oce NV 96,974 1,449,687 Opg Groep NV Series A 12,903 702,454 * # Petroplus International NV 22,363 228,907
17 * Pharming Group NV 67,601 188,709 Pinkroccade NV 16,914 306,846 Randstad Holdings NV 21,290 818,369 Reesink NV 2,050 151,517 Roto Smeets de Boer NV 2,640 119,294 Rubber Cultuur Maatschappij Amsterdam NV 40,800 170,449 * Samas-Groep NV 24,184 163,659 * Semiconductor Industries NV 21,900 119,407 # Sligro Food Group Beheer 15,046 687,436 Smit Internationale NV 20,578 854,498 Stern Groep NV 1,236 47,775 Stork NV 34,021 1,091,265 * Textielgroep Twenthe NV 1,000 3,323 * Tulip Computers NV 53,860 15,040 Twentsche Kabel Holding NV 18,244 697,129 United Services Group NV 18,374 415,023 Univar NV 10,125 274,668 * # Van Der Mollen Holding NV 57,660 346,827 Vedior NV 21,796 365,984 * # Versatel Telecom International NV 376,079 999,570 * Wegener Arcade NV . 70,830 849,632 ------------------ TOTAL -- NETHERLANDS (Cost $21,941,138) 40,026,461 ------------------ FINLAND -- (5.5%) COMMON STOCKS -- (5.5%) Alandsbanken AB Series B 4,890 123,480 * Aldata Solutions Oyj 64,735 93,905 Alma Media Oyj 34,388 420,459 * Amanda Capital Oyj 180,700 45,728 Amer-Yhtymae Oyj Series A 25,370 1,345,755 Aspo P.L.C. 8,200 176,419 # Aspocomp Group P.L.C. 12,738 180,482 Basware Oyj 7,050 80,234 * Benefon Oy 1,900 380 * Biotie Therapies Oyj 39,754 55,020 Capman Oyj Series B 12,485 37,169 Chips Corp. Series B 17,750 534,411 * Componenta Oyj 5,400 38,659 # Comptel Oyj 149,541 380,110 Efore Oy 12,920 120,688 Elcoteq Network Corp. 21,260 511,801 Elektrobit Group Oyj 663,597 495,511 * Elisa Communications Corp. 74,525 1,237,543 * Eq Online Oyj 23,900 66,200 * Evox Rifa Group Oyj 51,210 6,797 Finnair Oyj 118,150 808,760 Finnlines Oyj 60,560 1,055,412 # Fiskars Oy AB Series A 41,270 753,976 * # F-Secure Oyj 140,928 342,884 # HK Ruokatalo Oy Series A 26,160 249,930
18 Honkarakenne Oy Series B 3,030 22,573 Huhtamaki Van Leer Oyj 125,650 1,838,464 Ilkka-Yhtyma Oyj 7,560 85,072 * Incap Oyj 11,000 29,275 J.W. Suominen Yhtyma Oy 17,955 102,768 Jaakko Poyry Group Oyj 14,610 391,522 KCI Konecranes International Oyj 13,800 639,204 * Kemira GrowHow Oyj 25,160 183,913 Kemira Oyj 118,400 1,638,806 # Kesko Oyj 32,060 745,591 Laennen Tehtaat Oy 5,870 94,359 # Lassila & Tikanoja Oyj 33,980 578,373 * Lassila & Tikanoja Oyj 6,796 115,675 # Lemminkainen Oy 16,600 394,466 Leo Longlife Oy 2,920 34,918 Martela Oy 530 9,439 Metsaemarkka Oyj Series B 700 7,085 New Kyro Corp. Oyj 91,340 460,984 Nokian Renkaat Oyj 12,180 1,751,041 Nordic Aluminium Oy 1,900 25,798 * Okmetic Oyj 16,204 57,169 Okobank Class A 101,080 1,405,268 Olvi Oyj Series A 3,320 58,803 Orion-Yhtyma Oyj Series A 41,180 650,902 Orion-Yhtyma Oyj Series B 60,920 967,283 Oy Stockmann AB Series B 30,200 919,549 Perlos P.L.C. Warrants 04/04/04 72,311 1,225,523 PK Cables Oyj 16,590 226,454 * Pmj Automec Oyj 23,910 22,290 Pohjola Group P.L.C. Series D 146,205 1,624,529 Ponsse Oyj 12,600 250,161 * Proha Oyj 51,232 32,062 Raisio Group P.L.C. Series V 118,423 299,404 Rakentajain Koneuvokrammo Oy 10,260 96,147 Ramirent Oyj 12,270 328,144 # Rapala VMC Oyj 36,040 273,212 Rautaruukki Oyj Series K 188,780 2,277,859 Raute Oy Series A 2,390 27,415 Rocla Oy 1,300 13,992 * Saunalahti Group Oyj 124,754 259,017 # Scanfil Oyj 63,879 411,959 Sponda Oyj 109,111 1,023,285 Stockmann Oyj AB 35,240 1,071,357 * Stonesoft Corp. 49,279 34,798 Sysopen P.L.C. 7,720 34,011 Talentum Oyj 18,300 150,963 * Tecnomen Holding Oyj 49,370 89,242 Teleste Corp. Oyi 14,699 111,711 Tulikivi Oyj 5,710 53,134 Turkistuottajat Oy 2,590 29,515 Uponor Oyj Series A 88,800 1,624,826 Vacon Oyj 14,537 227,242 Vaisala Oy Series A 19,050 501,864 Viking Line AB 10,360 324,190
19 # Wartsila Corp. Oyj Series B 66,460 2,306,907 Yit-Yhtymae Oyj 67,708 1,506,257 Yomi Oyj 15,450 142,373 ------------------ TOTAL -- FINLAND (Cost $21,865,536) 38,969,856 ------------------ GREECE -- (5.3%) COMMON STOCKS -- (5.3%) * A. Cambas Holding & Real Estate S.A. 45,937 147,207 * Aegek S.A. 99,835 91,564 * Agrotiki Insurance S.A. 34,455 128,777 Aktor Technical Co. S.A. 196,380 761,610 Alco Hellas ABEE S.A. 38,730 71,520 * Alfa Alfa Energy S.A. 3,810 10,943 Alfa-Beta Vassilopoulos S.A. 15,172 252,142 Alisida S.A. 2,160 10,231 * Allatini Industrial & Commercial Co. 15,370 25,012 Alte Technological Co. S.A. 85,048 32,768 * Altec Information & Communication Systems S.A. 80,278 46,934 Alumil Milonas S.A. 27,516 92,576 * Aluminum of Attica S.A. 104,982 40,455 Anek Lines S.A. 60,821 87,231 Arcadia Metal Industry C. Rokas S.A. 22,389 220,541 AS Co. S.A. 25,370 35,716 * Aspis Bank S.A. 45,604 156,621 * Aspis Pronia General Insurance S.A. 48,640 45,913 * Astir Palace Vouliagmenis S.A. 58,560 429,572 * Athens Medical Center S.A. 104,974 198,036 Athens Water Supply & Sewage Co. S.A. 53,245 367,140 Atlantic Super Market S.A. 13,640 24,526 Attica Enterprises S.A. Holdings 138,964 539,366 Attica Publications S.A. 16,674 101,891 Atti-Kat S.A. 88,984 53,300 Autohellas S.A. 44,980 185,566 Babis Vovos S.A. 50,982 774,287 Balafas Construction Holdings S.A. 15,200 4,450 Bank of Attica S.A. 115,721 657,908 Bank of Greece 9,296 1,176,042 Bank of Piraeus S.A. 163,829 2,573,981 Benrubi S.A. 11,121 199,458 Betanet S.A. 11,220 52,220 * Bitros Holdings S.A. 19,302 80,102 Byte Computers S.A. 17,230 47,610 Chipita S.A. 60,222 173,974 Commercial Bank of Greece 1,960 59,763 * Compucon Computer Applications S.A. 11,260 9,884 Computer Peripherals International S.A. 9,110 15,599 Cyclon Hellas S.A 18,131 18,082 Daios Plastics S.A. 16,350 125,687 Delta Holdings S.A. 33,747 256,002 Dionic S.A. 12,948 13,277
20 Domiki Krittis S.A. 17,730 18,399 Dynamic Life S.A. 16,440 33,883 Edrasi Psalllidas Technical Co. S.A. 31,108 35,569 Egnatia Bank S.A. 117,107 412,602 El. D. Mouzakis S.A. 31,653 31,995 Elais Oleaginous Production S.A. 16,707 387,801 * Elbisco Holding S.A. 56,000 429,207 Elektrak S.A. 14,040 33,943 Elektroniki of Athens S.A. 21,560 82,864 Elgeka S.A. 18,590 47,136 Elmec Sport S.A. 64,256 152,481 Elton S.A. 18,640 28,511 * Empedos SA 15,974 4,458 Ethniki General Insurance Co. S.A. 118,768 625,466 * Etma Rayon S.A. 11,242 17,310 * Euro Reliance General Insurance 14,830 21,981 Eurodrip S.A. 11,620 31,484 Euromedica S.A. 33,300 67,134 * Europaiki Techniki 32,750 10,011 Everest S.A. 30,730 87,882 Evrofarma S.A. 9,500 22,056 F.G. Europe SA Common Registered Shares 4,536 19,921 * Fanco S.A. 10,110 9,397 * Forthnet S.A. 17,510 119,112 * Fourlis S.A. 64,420 408,552 Frigoglass S.A. 49,990 216,556 G.Polyhronos S.A. 10,580 14,763 Galaxidi Fish S.A. 12,940 9,477 General Construction Co. S.A. 34,649 271,762 General Commercial & Industry 24,060 25,023 * General Hellenic Bank 35,139 341,980 Germanos S.A. 61,810 1,756,239 Goody's S.A. 17,740 306,473 Halkor S.A. 121,226 321,998 Hatziioannou S.A. 44,200 74,026 Hellas Can Packaging Manufacturers S.A. 27,902 289,021 * Hellenic Cables S.A. 26,908 36,793 Hellenic Duty Free Shops S.A. 80,020 1,406,449 Hellenic Fabrics S.A. 17,110 42,161 Hellenic Sugar Industry S.A. 35,750 195,957 Hellenic Technodomiki S.A. 163,867 727,782 Heracles General Cement Co. 93,293 1,096,454 Hermes Real Estate S.A. 23,136 113,299 * Hippotour S.A. 12,155 15,605 Hyatt Regency S.A. 130,260 1,439,981 Iaso S.A. 49,300 281,461 Iktinos Hellas S.A. 6,500 19,648 Inform P. Lykos S.A. 20,610 79,516 Informatics S.A. 18,890 7,275 * Intersat S.A. 19,392 9,021 Intertech S.A. 12,236 40,990 Intracom Constructions S.A. 30,520 40,190 Intracom S.A. 172,366 906,690 * Ionian Hotel Enterprises 16,754 215,512
21 Ipirotiki Software & Publications S.A. 14,380 33,073 * J Boutaris & Son Holding S.A. 28,150 34,376 J&P-Avax S.A. 100,626 571,941 Kalpinis Simos Steel Service Center 12,432 59,854 Karelia Tobacco Co., Inc. S.A. 2,160 172,235 Kathimerini S.A. 21,240 165,917 Katselis Sons S.A. 18,000 52,203 Kego S.A. 21,670 33,707 Kekrops S.A. 2,244 38,145 * Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 9,883 * Klonatex Group S.A. Bearer Shares 20,351 28,655 Kordellou Brothers S.A. 12,300 28,330 * Lambrakis Press S.A. 107,586 509,488 * Lampsa Hotel Co. 19,051 139,190 * Lan-Net S.A. 19,045 27,078 * Lavipharm S.A. 39,294 65,180 Lazarides Vineyards S.A. 18,326 32,810 Light Metals Industry 37,502 100,769 * Logic Dis S.A. 77,230 35,916 * Loulis Mills S.A. 15,382 38,755 * Mailis (M.J.) S.A. 101,594 470,613 * Maritime Company of Lesvos S.A. 30,753 15,120 * Maxim Knitwear Factory C.M. 16,360 8,730 Medicon Hellas S.A. 2,860 17,515 Mesochoritis Bros. Construction Co. 23,700 9,764 Metka S.A. 59,820 351,687 Michaniki S.A. 98,065 237,152 Minerva Knitwear 5,140 16,310 Minoan Lines S.A. 77,309 192,210 MLS Multimedia S.A. 8,300 18,528 Mochlos S.A. 101,679 52,756 Motor Oil (Hellas) Corinth Refineries S.A. 152,870 2,055,589 Mytilineos Holdings S.A. 47,000 357,260 * N. Levederis S.A. 8,355 8,236 N.B.G. Real Estate Development Co. 134,960 757,637 * Naoussa Spinning Mills S.A. 21,832 27,833 Naytemporiki S.A. 26,080 61,698 * Neochimiki Lv Lavrentiadis S.A. 20,750 101,598 * Neorion-Syro's Shipyards S.A. 27,210 35,029 Nexans Hellas S.A. 3,003 11,291 Nikas S.A. 25,287 141,805 Notos Com.Holdings S.A. 94,554 370,751 Pantechniki S.A. 50,460 78,428 * Pegasus Publishing & Printing S.A. 58,590 116,102 Persefs S.A. Health Care 23,592 25,437 Petros Petropoulos S.A. 7,360 53,809 * Petzetakis S.A. 22,560 67,967 * Pilias S.A. 103,584 24,758 Pipeworks L. Girakian Profil S.A. 11,730 23,895 Piraeus Leasing 5,765 49,143 * Prodeftiki Technical Co. 32,257 16,724 * Promota Hellas S.A. 26,580 16,290 Rilken S.A. 1,982 17,113 * Sanyo Hellas S.A. 59,251 69,282
22 Sarantis S.A. 43,940 264,084 Sato S.A. 28,850 27,966 Selected Textile Industry Assoc. S.A. 44,649 35,041 Sfakianakis S.A. 13,390 60,911 * Sheet Steel S.A. 25,850 10,696 * Shelman Hellenic-Swiss Wood S.A. 38,042 48,608 Silver and Baryte Ores Mining Co. S.A. 34,961 262,400 * Singular S.A. 54,600 169,888 Spyroy Agricultural House S.A. 22,258 24,588 * Stabilton S.A. 27,530 2,927 Strintzis Shipping Lines S.A. 131,240 148,407 Technical Olympic S.A. 180,370 987,825 * Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,891 Teletypos S.A. Mega Channel 36,227 174,972 Terna Tourist Technical & Maritime S.A. 63,180 541,931 Themeliodomi S.A. 37,422 61,175 Thrace Plastics Co. S.A. 45,500 79,276 Uncle Stathis S.A. 10,999 82,479 Unisystems S.A. 41,820 87,796 Vardas S.A. 13,780 44,497 * Varvaressos S.A. European Spinning Mills 7,200 8,320 * Veterin S.A. 18,984 66,279 Viohalco S.A. 296,585 2,587,202 Vioter S.A. 61,470 76,040 * Vis Container Manufacturing Co. 4,259 13,251 * Zampa S.A. 830 12,450 ------------------ TOTAL COMMON STOCKS (Cost $34,259,881) 37,775,206 ------------------ PREFERRED STOCKS -- (0.0%) Egnatia Bank S.A. 3,196 9,807 ------------------ (Cost $8,592) TOTAL -- GREECE (Cost $34,268,473) 37,785,013 ------------------ SPAIN -- (5.0%) COMMON STOCKS -- (5.0%) Abengoa SA 66,042 639,629 Adolfo Dominguez SA 3,700 80,698 Aldeasa SA 15,329 516,174 * Amper SA 56,800 311,566 * Avanzit SA 17,275 45,524 * # Azkoyen SA 52,500 464,363 Banco de Andalucia 9,800 919,248 Banco de Credito Balear SA 35,424 933,399 Banco de Valencia SA 191,814 5,136,773 Banco Guipuzcoano SA 21,194 675,968 Banco Pastor SA 34,300 1,119,684 * Baron de Ley SA 5,642 247,663 CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 599,733 Campofrio Alimentacion SA 92,800 1,461,714
23 Cementos Portland SA 16,881 944,200 Compania de Distribucion Integral Logista SA 29,600 1,374,099 Cortefiel SA 57,093 810,853 * Dogi International Fabrics SA 4,000 22,335 * Dogi International Fabrics SA 2,000 11,167 * Duro Felguera SA 10,860 99,409 Elecnor SA 18,300 1,017,119 * Ercros SA 100,518 48,141 * Espanola del Zinc SA 29,250 65,836 * Estacionamientos Urbanos SA 4,200 0 # Europistas Concesionaria Espanola SA 174,940 1,176,816 Faes Farma SA 36,107 636,016 Funespana SA 4,500 50,039 Grupo Empresarial Ence SA 18,593 563,817 * Grupo Picking Pack SA 145,775 95,036 Hullas del Coto Cortes 8,666 115,175 Iberpapel Gestion SA 6,700 134,507 Inbesos SA 8,050 48,441 Indo Internacional SA 33,600 281,617 Indra Sistemas SA 75,200 1,181,436 Inmobiliaria Colonial SA ICSA 35,200 1,355,135 Inmobiliaria del Sur SA 378 62,295 * Inmobiliaria del Sur SA Issue 2004 37 6,230 Inmobiliaria Urbis SA 80,282 1,104,320 Lingotes Especiales SA 22,080 138,228 * LSB (La Seda de Barcelona SA) Series B 32,010 81,040 * Mecalux SA 9,500 87,192 Metrovacesa SA 744 35,442 Miquel y Costas y Miquel SA 4,891 309,638 Natra SA 14,979 81,832 * Nicolas Correa SA 15,750 73,718 Obrascon Huarte Lain SA 65,366 534,057 Pescanova SA 26,443 541,895 Prosegur Cia de Seguridad SA 45,049 823,545 Recoletos Grupo de Comunicacion SA 95,420 737,379 Sol Melia SA 112,700 1,057,063 # SOS Cuetara SA 20,902 892,215 Tavex Algodonera SA 31,944 127,481 * Tecnocom Telecomunicaciones y Energia SA 6,300 49,611 # Tele Pizza SA 163,225 321,461 Transportes Azkar, SA 35,477 283,296 # Tubacex SA 73,130 176,224 Tubos Reunidos SA 12,466 114,285 Unipapel SA 41,935 995,207 * Unipapel SA Issue 04 2,329 55,289 * Uralita SA 338,493 1,597,993 Vidrala SA, Alava 47,040 947,895 Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 925,749 ------------------ TOTAL -- SPAIN (Cost $15,762,077) 35,343,910 ------------------
24 DENMARK -- (5.0%) COMMON STOCKS -- (5.0%) Aarhus Oliefabrik A.S. Aeries A 4,950 502,558 * Alm. Brand A.S. 28,360 994,557 # Amagerbanken A.S. 2,734 401,617 Ambu International A.S. Series B 1,500 35,713 Amtssparekassen Fyn A.S. 2,243 419,709 AS Dampskibsselsk Torm 49,460 2,183,069 Bang & Olufsen Holding A.S. Series B 13,387 848,495 * # Bavarian Nordic A.S. 4,930 515,877 * Brodrene Hartmann A.S. Series B 5,865 113,448 Bryggerigruppen A.S. 8,515 546,814 Christian Hansen Holding A.S. Series B 10,855 1,243,044 Codan A.S. 43,400 2,222,991 Dalhoff, Larsen & Hornemann A.S. Series B 1,370 94,428 Danware A.S. 4,185 78,056 DFDS A.S., Copenhagen 11,760 559,857 DiskontoBanken A.S. 713 165,333 DSV, De Sammensluttede Vognmaend A.S. 22,630 1,467,948 East Asiatic Co., Ltd. 22,723 1,160,009 Edb Gruppen A.S. 3,230 70,639 * Fimiston Resources & Technology Ltd. 400 5,437 * # FLS Industries 73,180 1,177,535 Fluegger A.S. Series B 2,913 239,810 Foras Holding A.S. Series A 13,292 172,663 Forstaedernes Bank 4,322 356,789 * Genmab A.S. 28,629 490,099 * Glunz & Jensen A.S. 1,470 8,560 GN Great Nordic A.S. 210,980 2,180,407 H&H International A.S. Series B 1,140 248,818 Harboes Bryggeri A.S. 575 195,529 Hedegaard (Peder P.) A.S. 660 53,324 Hojgaard Holding A.S. Series B 2,500 89,696 * IC Co. A.S. 3,510 52,227 * Incentive A.S. 3,575 11,832 * Jyske Bank A.S. 75,520 2,712,614 Kjobenhavns Sommer Tivoli A.S. 580 259,802 Koebenhavns Lufthavne 9,910 1,818,859 # Kompan A.S. 230 47,389 Lan & Spar Bank A.S. 2,250 120,408 Lollands Bank 150 34,885 * # Neurosearch A.S. 9,160 388,976 NKT Holding A.S. 30,245 791,224 Nordjyske Bank A.S. 920 185,213 * NTR Holdings A.S. 1,130 9,734 Oestjydsk Bank 400 51,566 Ove Arkil Series B 270 37,431 Per Aarsleff A.S. Series B 1,545 81,559 * Pharmexa A.S. 12,940 61,993 Ringkjobing Bank 1,670 148,647 # Ringkjobing Landbobank 1,620 639,367 Rockwool, Ltd. 24,520 1,180,659 * # RTX Telecom A.S. 8,400 83,563 Salling Bank 250 25,473
25 Sanistal A.S. Series B 1,786 129,639 * # SAS Danmark A.S. 34,300 285,324 Satair A.S. 1,350 28,102 Schouw & Co. A.S. 15,485 340,944 Simcorp A.S. 5,240 323,891 Sjaelso Gruppen A.S. 2,388 245,861 Skjern Bank A.S. 725 66,433 * Sondagsavisen A.S. 21,165 83,782 Spar Nord Holding 6,823 891,307 Sparbank Vest A.S. 6,600 344,469 Sparekassen Faaborg A.S. 481 158,996 Sydbank A.S. 8,172 1,551,616 Thrane & Thrane A.S. 5,258 219,443 * # TK Development 12,478 32,465 * Topdanmark A.S. 28,300 2,137,268 * Treka A.S. 8,498 150,420 Vestfyns Bank 200 26,137 Vestjysk Bank A.S. 10,800 413,474 VT Holdings Shares B 3,130 199,314 * Wessel & Vett Magasin du Nord A.S. Series C 2,102 61,261 ------------------ TOTAL COMMON STOCKS (Cost $17,197,739) 35,276,396 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 14,559 ------------------ (Cost $13,468) TOTAL -- DENMARK (Cost $17,211,207) 35,290,955 ------------------ NORWAY -- (4.6%) COMMON STOCKS -- (4.6%) * Aker Kvaerner OGEP ASA 45,609 1,166,166 * # Aker Yards AS 28,121 578,891 Aktiv Kapital ASA 57,017 1,173,036 Arendals Fosse Kompani ASA 100 9,674 * Blom ASA 18,367 18,299 Bonheur ASA 16,850 732,731 * Choice Hotel Scandinavia ASA 27,740 103,332 * Corrocean ASA 19,321 10,060 # Det Norske Oljeselskap ASA Series A 88,945 411,970 * # DOF ASA 97,006 314,255 * # EDB Elektronisk Data Behandling ASA 149,417 1,123,659 Ekornes ASA 56,490 1,319,504 * # Eltek ASA 40,842 425,378 Expert ASA 48,758 469,286 Farstad Shipping ASA 60,790 775,460 * # Fjord Seafood ASA 783,483 332,513 * # Fred Olsen Energy ASA 91,600 1,171,059 Ganger Rolf ASA 6,690 263,285 Gresvig ASA 4,590 30,808 * Home Invest ASA 15,077 12,316
26 # Kongsberg Gruppen ASA 49,500 709,074 Kverneland ASA 16,160 198,168 * # Merkantildata ASA 320,521 130,725 Natural ASA 10,143 65,943 # Nera ASA 187,753 500,478 * Nordic Semiconductor ASA 25,000 217,671 * Northern Offshore, Ltd. 214,000 97,867 * # Ocean Rig ASA 105,531 453,334 Odfjell ASA Series A 24,910 1,649,626 Olav Thon Eiendomsselskap ASA 8,320 502,698 * P4 Radio Hele Norge ASA 32,200 89,619 * Photocure ASA 26,690 200,883 Prosafe ASA 55,980 1,478,195 Rieber and Son ASA Series A 63,654 576,932 Schibsted ASA 112,960 3,140,732 * Sinvest ASA 6,220 18,340 Smedvig ASA Series A 83,580 1,259,758 * Software Innovation ASA 13,423 41,622 Solstad Offshore ASA 54,100 601,262 Steen and Stroem ASA 19,512 436,700 Storebrand ASA 183,330 1,632,445 Tandberg ASA Series A 217,280 2,463,681 * # Tandberg Data ASA 58,950 77,053 * Tandberg Storage ASA 48,450 19,422 * Tandberg Television ASA 90,430 696,180 * Telecomputing ASA 44,963 59,931 * # Tgs-Nopec Geophysical Co. ASA 40,910 944,697 Tomra Systems ASA 294,480 1,584,935 * Tybring-Gjed ASA 145,146 63,123 * Unit 4 Agresso NV 4,620 52,082 Veidekke ASA 21,846 325,025 Visma ASA 47,393 543,488 Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,381,028 ------------------ TOTAL COMMON STOCKS (Cost $18,720,500) 32,654,399 ------------------ RIGHTS/WARRANTS -- (0.0%) * Ementor ASA Rights 12/01/04 320,521 32,991 ------------------ (Cost $69,669) INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone 11,887 ------------------ (Cost $10,735) TOTAL -- NORWAY (Cost $18,800,904) 32,699,277 ------------------ BELGIUM -- (3.9%) COMMON STOCKS -- (3.9%) * Abfin SA 2,560 0 Ackermans & Van Haaren SA 32,186 1,092,987 * Arinso International NV 14,739 242,647
27 Banque Nationale de Belgique 710 3,005,926 Barco (New) NV 12,051 1,110,434 Bekaert SA 23,290 1,822,070 Brantano NV 2,060 112,344 Brederode SA 12,180 312,945 Carrieres Unies Porphyre 20 34,597 CFE (Compagnie Francois d'Entreprises) 2,080 686,191 Cie Martime Belge SA 8,237 2,386,893 Cofinimmo SA 9,778 1,565,740 Commerciale de Brasserie SA COBRHA 115 162,227 Deceuninck SA 63,700 1,932,919 D'Ieteren SA 5,831 1,103,575 Distrigaz 57 218,705 * Docpharma SA NV 4,489 206,344 Dolmen Computer Applications 1,476 21,445 Duvel Moorgat NV 5,019 163,212 EVS Broadcast Equipment SA 1,100 116,198 Exmar NV 3,677 213,706 Floridienne NV 2,033 154,314 Glaces de Moustier-sur-Sambre SA 13,370 558,734 * ICOS Vision Systems Corp. NV 6,053 143,369 * Immobel (Cie Immobiliere de Belgique SA) 4,600 216,282 * Innogenetics NV 1,572 28,052 * Integrated Production & Test Engineering NV 4,380 18,158 * Ion Beam Application SA 23,058 249,525 * Ipso-Ilg SA 5,990 58,242 Keytrade Bank SA 2,800 86,096 Kinepolis Group NV 5,020 166,799 Lotus Bakeries NV 650 83,972 * Melexis NV 47,001 595,069 Metiers Automatiques Picanol 16,120 386,237 * Neuhaus NV 670 36,047 Nord-Sumatra Investissements SA 650 198,885 Omega Pharma SA 26,708 1,367,112 * Option NV 5,619 195,477 Papeteries de Catala SA 315 35,585 Quick Restaurants SA 19,501 342,399 * # Real Software SA 10,280 9,164 Recticel SA 22,870 263,415 Resilux NV 1,754 114,145 Rosier SA 655 103,340 Roularta Media Groep 9,837 650,933 * Sait Radioholland 7,313 47,917 Sapec SA 3,635 305,625 * Sapec SA VVPR 75 409 Sioen Industries 21,502 273,718 * SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,545 260,820 * Solvus SA 38,344 712,455 * Solvus SA Interim Strip VVPR 18,176 242 Spector Photo Group SA 5,408 52,785 * Systemat SA 6,330 49,306 Telindus Group SA 39,392 403,833 Ter Beke NV 2,281 183,399
28 Tessenderlo Chemie 28,984 1,207,984 UNIBRA 1,600 155,732 Union Miniere SA 9,586 867,986 Van de Velde NV 2,683 413,286 VPK Packaging Group SA 7,185 234,423 Warehouses de Pauw Sicafi 6,608 298,116 TOTAL COMMON STOCKS (Cost $16,342,460) 28,040,492 ------------------ RIGHTS/WARRANTS -- (0.0%) * Belge des Betons Contingent Rights 8,500 0 ------------------ (Cost $0) TOTAL -- BELGIUM (Cost $16,342,460) 28,040,492 ------------------ AUSTRIA -- (3.1%) COMMON STOCKS -- (3.1%) Andritz AG 13,609 955,807 * Austria Email AG 715 3,554 * Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 561,704 Bank Fuer Kaernten und Steiermark AG 520 64,618 * # Betandwin.com Interactive Entertainment AG 12,749 356,931 Bohler Uddeholm AG 11,195 1,326,871 BWT AG 21,819 755,555 * Ca Immobilien Invest AG 34,838 926,602 Constantia-Verpackungen AG 19,123 503,472 * Demeter Vermoegensverwaltung 15,000 0 Flughafen Wien AG 25,698 1,845,515 * Immofinanz Immobilien Anlagen AG 165,130 1,521,265 Lenzing AG 3,948 902,834 Manner (Josef) & Co. AG 870 42,146 Mayr-Melnhof Karton AG 11,760 1,881,113 Oberbank AG 5,384 562,737 Palfinger AG 10,383 502,625 * RHI AG, Wien 19,649 527,737 Rosenbauer International AG 1,530 109,226 * Sparkassen Immobilien AG 29,760 319,732 Ubm Realitaetenentwicklung AG 1,440 52,105 Uniqa Versicherungen AG 128,555 1,770,339 * # VA Technologie AG 17,392 1,356,003 Voestalpine AG 30,095 2,152,803 Wienerberger AG 63,642 2,831,163 * Wolford AG 4,900 116,524 TOTAL COMMON STOCKS (Cost $12,188,779) 21,948,981 ------------------ RIGHTS/WARRANTS -- (0.0%) * Jenbacher AG Rights 03/31/08 7,860 0 * Sparkassen Immobilien AG Profit Share Certificate Rights 10/28/04 29,760 395
29 * Sparkassen Immobilien AG Rights 10/28/04 29,760 395 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 790 ------------------ TOTAL -- AUSTRIA (Cost $12,188,779) 21,949,771 ------------------ IRELAND -- (2.5%) COMMON STOCKS -- (2.5%) Abbey P.L.C. 25,557 271,655 * Arcon International Resources P.L.C. 14,375 7,072 * Ardagh P.L.C. 14,262 35,185 DCC P.L.C. 91,965 1,926,902 * Dragon Oil P.L.C. 159,204 164,813 FBD Holdings P.L.C. 10,822 267,522 Fyffes P.L.C. 380,502 1,052,182 Glanbia P.L.C. 321,765 1,156,208 Grafton Group P.L.C. 253,939 2,575,097 Greencore Group P.L.C. 218,422 841,849 Heiton Holdings P.L.C. 51,677 484,201 * Horizon Technology Group P.L.C. 19,455 28,530 IAWS Group P.L.C. 105,879 1,554,576 IFG Group P.L.C. 52,309 54,894 Independent News & Media P.L.C. 645,069 1,912,359 * Iona Technologies P.L.C. 21,281 111,158 Irish Intercontental Group P.L.C. 18,872 280,648 * IWP International P.L.C. 39,611 9,476 Jurys Hotel Group P.L.C. 69,061 1,073,157 Kingspan Group P.L.C. 183,188 1,638,520 McInerney Holdings P.L.C. 33,991 273,312 Paddy Power P.L.C. 49,663 715,367 Readymix P.L.C. 109,762 262,582 United Drug P.L.C. 190,860 870,122 * Waterford Wedgwood P.L.C. 1,026,650 107,853 ------------------ TOTAL -- IRELAND (Cost $9,337,566) 17,675,240 ------------------ PORTUGAL -- (1.6%) COMMON STOCKS -- (1.6%) * Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 281,248 Efacec Capital SGPS SA 60,600 188,237 * Gescartao SGPS SA 3,064 43,095 Ibersol SGPS SA 14,462 89,384 * Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,307,460 * Investimentos Participacoes e Gestao SA Inapa 43,702 159,387 Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho * Administracao e Participacoes Financeiros SA) 170,757 2,172,482 Mota-Engil SGPS SA 250,900 609,574 * Novabase SGPS 56,005 451,259
30 * ParaRede-SGPS SA 44,939 22,157 Portucel-Empresa Produtora de Pasta de Papel SA 466,977 951,402 Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 398,057 Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 275,754 * Sociedad Construcoes Soares da Costa SA 19,200 48,750 Sociedade de Investimento e Gestao SGPS SA 160,396 885,790 Sonae SGPS SA 1,079,900 1,421,066 * Sonaecom SGPS SA 321,175 1,509,706 Teixeira Duarte Engenharia e Construcoes SA 609,000 898,593 ------------------ TOTAL -- PORTUGAL (Cost $6,643,075) 11,713,401 ------------------ UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Epicor Software Corp. 2,171 34,237 * InFocus Corp. 10,455 70,048 ------------------ TOTAL -- UNITED STATES (Cost $214,919) 104,285 ------------------
VALUE+ ------------------ EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency 67,307 ------------------ (Cost $64,998) FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (8.9%) Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04 (Collateralized by $60,319,792 U.S. Treasury Note 1.625%, 03/31/05, valued at $60,194,931) to be repurchased at $60,198,191 (Cost $60,194,930) ^ 60,195 60,194,930 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $3,177,000 FNMA Notes 2.95%, 11/14/07, valued at $3,181,457) to be repurchased at $3,137,164 (Cost $3,137,000) 3,137 3,137,000 ------------------ TOTAL TEMPORARY CASH INVESTMENTS (Cost $63,331,930) 63,331,930 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $454,300,691) $ 713,040,922 ------------------
- ---------- + See Note B to Financial Statements. 31 * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 32 THE EMERGING MARKETS SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ SOUTH AFRICA -- (11.1%) COMMON STOCKS -- (11.1%) ABSA Group, Ltd. 480,421 $ 5,831,955 African Oxygen, Ltd. 293,197 1,162,348 Amalgamated Beverage Industries, Ltd. 97,702 1,536,131 Anglo American Platinum Corp., Ltd. 210,559 7,712,550 Anglo American PLC 667,281 15,937,778 Anglogold, Ltd. 222,894 8,928,836 * Anglovaal Mining, Ltd. 93,775 476,090 AVI, Ltd. 178,834 740,400 Barloworld, Ltd. 117,583 1,991,299 Bidvest Group, Ltd. 197,103 2,565,102 * Dimension Data Holdings PLC 246,926 161,145 * Discovery Holdings, Ltd. 299,059 959,173 Edgars Consolidated Stores, Ltd. 39,111 1,921,164 Firstrand, Ltd. 4,491,809 10,130,981 Gold Fields, Ltd. 306,889 4,240,209 Harmony Gold Mining Co., Ltd. 200,055 2,072,705 Impala Platinum Holdings, Ltd. 35,459 3,030,461 Imperial Holdings, Ltd. 122,567 2,157,872 Investec, Ltd. 23,111 658,184 Iscor, Ltd. 379,417 4,257,576 JD Group, Ltd. 87,800 981,918 Kumba Resources, Ltd. 15,092 123,420 Liberty Group, Ltd. 216,712 2,383,738 * Massmart Holdings, Ltd. 105,794 934,346 MTN Group, Ltd. 1,045,719 7,304,273 Nampak, Ltd. 354,006 914,649 Naspers, Ltd. Series N 166,481 1,867,251 Nedcor, Ltd. 333,048 4,336,670 * Network Healthcare Holdings, Ltd. 1,152,562 1,032,173 Old Mutual PLC 1,956,729 4,841,598 Pick'n Pay Stores, Ltd. 440,827 1,787,023 Pretoria Portland Cement Co., Ltd. 49,951 2,069,569 Sanlam, Ltd. 1,467,709 3,065,902 Sappi, Ltd. 131,990 1,762,411 Standard Bank Group, Ltd. 634,566 6,608,059 Steinhoff International Holdings, Ltd. 745,364 1,530,546 Telkom SA, Ltd. 500,646 8,563,415 Tiger Brands, Ltd. 85,239 1,469,237 * Woolworths Holdings, Ltd. 523,255 952,986 ------------------ TOTAL -- SOUTH AFRICA (Cost $96,979,478) 129,001,143 ------------------
1
SHARES VALUE+ ------------ ------------------ BRAZIL -- (11.1%) PREFERRED STOCKS -- (9.7%) Ambev Cia de Bebidas das Americas 12,453,835 3,218,767 Aracruz Celulose SA Series B 711,999 2,654,290 Banci Itau Holding Financeira SA 75,900 9,877,883 Banco Bradesco SA 120,418 7,880,296 Brasil Telecom Participacoes SA 230,843,872 1,714,355 Brasil Telecom SA 626,730,875 3,050,705 Brasileira de Distribuicao Pao de Acucar 58,650,000 1,438,219 * Braskem SA 81,400,000 3,543,294 Cemig Cia Ene 96,800,000 2,242,059 * Companhia Siderurgica Paulista 65,000 27,721 Compania Paranaense de Energia Series B 100,000,000 460,294 Embraer Empresa Brasileira de Aeronautica 717,421 5,037,772 Embratel Participacoes SA 143,582,922 335,731 * Empresa Nasional de Comercio Redito e Participacoes SA 480,000 1,500 Gerdau SA 302,604 5,446,872 Investimentos Itau SA 3,300,893 5,157,645 Klabin SA 682,875 1,205,073 * Lojas Renner SA 800,000 9,559 Metalurgica Gerdau SA 65,900 1,550,830 Siderurgica Belgo-Mineira 9,240,000 4,738,897 Siderurgica de Tubarao Sid Tubarao 58,620,000 3,060,309 Siderurgica Paulista Casipa Series B 325 5,741 Suzano Bahia Sul Papel e Celullose SA 143,545 646,480 Tele Centro Oeste Celular Participacoes SA 230,447,518 773,524 Tele Norte Leste Participacoes SA 180,034 2,763,390 Telemar Norte Leste SA 225,100 5,260,057 * Telesp Celular Participacoes 1,404,441,089 3,691,821 Telesp Participacoes SA 577,200,000 10,313,206 Telesudeste Celular Participacoes SA 81,000,000 181,654 Unibanco-Uniao de Bancos Brasileiros SA 20,000 48,456 Unibanco-Uniao de Bancos Brasileiros SA 513,130 2,839,194 Usinas Siderurgicas de Minas Gerais SA 178,839 3,612,942 Vale do Rio Doce Series A 819,580 16,873,706 Vale do Rio Doce Series B 81,160 0 Votorantim Celulose e Papel SA 14,267,325 1,075,347 Weg SA 489,800 1,269,518 ------------------ TOTAL PREFERRED STOCKS (Cost $67,635,358) 112,007,107 ------------------ COMMON STOCKS -- (1.4%) Ambev Cia de Bebidas das Americas 5,420,000 2,704,022 Brasil Telecom Participacoes SA 59,520,574 566,758 Companhia Siderurgica Nacional 241,404 4,597,326 Cpfl Geracao Energia SA 3,140,000 8,081 * Embratel Participacoes 57,550,000 327,316 Petroquimica do Sul Copesul 5,276,000 620,706 Souza Cruz Industria e Comercio 461,300 5,884,967 Tele Centro Oeste Celular Participacoes SA 59,246,130 271,182 * Tele Norte Celular Participacoes 57,624,254 13,982 Tele Norte Leste Participacoes SA 59,254 925,844
2 * Tele Sudeste Celular Participacoes SA 3,072,951 5,649 Tractebel Energia SA 96,601,189 332,500 ------------------ TOTAL COMMON STOCKS (Cost $9,281,143) 16,258,333 ------------------ RIGHTS/WARRANTS -- (0.0%) * Telesp Celular Participacoes SA Preferred Rights 12/17/04 479,859,123 372,244 ------------------ (Cost $0) TOTAL -- BRAZIL (Cost $76,916,501) 128,637,684 ------------------ SOUTH KOREA -- (10.9%) COMMON STOCKS -- (10.9%) Amorepacific Corp. 4,120 797,087 CJ Corp. 8,690 575,263 Daegu Bank Co., Ltd. 40,830 283,494 Daelim Industrial Co., Ltd. 14,090 647,094 Daewoo Engineering & Construction Co., Ltd. 208,740 1,103,748 * Daewoo Heavy Industries & Machinery, Ltd. 91,180 775,652 * Daewoo Securities Co., Ltd. 56,445 184,861 Daewoo Shipbuilding & Marine Engineering Co., Ltd. 108,840 1,604,210 Daishin Securities Co., Ltd. 5,340 65,473 Dongkuk Steel Mill Co., Ltd. 14,670 269,181 Doosan Heavy Industries & Construction Co., Ltd. 18,360 236,420 * GS Holdings Corp. 42,945 923,614 Halla Climate Control Corp. 41,670 390,891 Hanjin Shipping Co., Ltd. 31,470 723,077 Hankook Tire Manufacturing Co., Ltd. 61,950 624,777 Hanwha Chemical Corp. 32,000 311,500 Hite Brewery Co., Ltd. 10,890 880,635 Hyundai Development Co. 27,930 456,227 Hyundai Heavy Industries Co., Ltd. 36,910 1,054,469 * Hyundai Merchant Marine Co., Ltd. 58,140 888,967 Hyundai Mobis 39,820 2,362,812 Hyundai Motor Co., Ltd. 95,919 4,707,393 * Hyundai Securities Co., Ltd. 61,090 244,731 INI Steel Co., Ltd. 38,220 500,986 * Kangwon Land, Inc. 122,360 1,618,769 Kia Motors Corp. 217,640 2,068,476 * Kookmin Bank 139,085 5,251,839 Korea Electric Power Corp. 401,210 9,981,231 * Korea Exchange Bank 412,800 3,102,899 Korea Gas 56,390 1,850,052 * Korean Air Co., Ltd. 35,500 621,519 KT Corp. 162,170 6,523,746 KT&G Corp. 94,990 3,022,222 Kumgang Korea Chemical Co., Ltd. 5,120 587,700 * LG Card Co., Ltd. 169,320 2,415,167 LG Chemical Investment, Ltd. 107,005 1,634,257 LG Chemical, Ltd. 28,206 1,166,244 LG Electronics, Inc. 66,080 3,965,827
3 LG Engineering & Construction Corp. 18,870 489,113 * LG Investment & Securities Co., Ltd. 40,060 289,723 LG Petrochemical Co., Ltd. 18,420 459,439 Lotte Chilsung Beverage Co., Ltd. 400 310,091 * NCsoft Corp. 8,770 793,028 Nong Shim Co., Ltd. 2,550 544,395 POSCO 35,010 6,539,733 Pusan Bank 50,610 391,019 S1 Corp. 17,658 571,414 Samsung Corp. 48,410 702,892 * Samsung Electro-Mechanics Co., Ltd. 32,707 847,291 Samsung Electronics Co., Ltd. 51,538 21,236,622 Samsung Fire and Marine Insurance, Ltd. 21,719 1,623,959 Samsung Heavy Industries Co., Ltd. 85,610 481,057 Samsung SDI Co., Ltd. 20,352 2,076,781 Samsung Securities Co., Ltd. 22,530 424,746 * Samsung Techwin Co., Ltd. 28,000 203,431 * Seoul Bank 90,420 2,396,319 Shinhan Financial Group Co., Ltd. 151,242 3,162,538 Shinsegae Co., Ltd. 6,450 1,815,351 SK Corp., Ltd. 56,884 3,577,878 SK Telecom Co., Ltd. 45,435 8,519,611 S-Oil Corp. 75,660 4,748,066 * Ssangyong Motor Co. 45,930 281,478 ------------------ TOTAL -- SOUTH KOREA (Cost $74,443,776) 126,908,485 ------------------ MEXICO -- (10.4%) COMMON STOCKS -- (10.4%) Alfa S.A. de C.V. Series A 614,990 3,045,712 America Movil S.A. de C.V. Series L 7,988,600 18,614,628 * America Telecom S.A. de C.V. Series A 4,184,776 10,399,737 * Carso Global Telecom S.A. de C.V. Telecom Series A1 3,141,271 4,980,482 Cementos de Mexico S.A. de C.V. Series B 1,327,717 8,562,292 Coca-Cola Femsa S.A. de C.V. Series L 1,310,600 2,861,274 * Consorcio Ara S.A. 157,500 463,658 Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 710,085 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 75,000 203,086 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 148 Corporativo Fragua S.A. de C.V. Series B 21 75 * Desc S.A. de C.V. Series B 619,841 167,842 El Puerto de Liverpool S.A. Series C1 339,500 538,277 Embotelladora Arca SA de CV , Mexico 466,500 868,448 * Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 222,775 Empresas la Moderna S.A. de C.V. Series A 120,000 12,613 Fomento Economico Mexicano Series B & D 554,000 2,640,527 Gruma S.A. de C.V. Series B 90,406 189,078 Grupo Carso S.A. de C.V. Series A-1 981,109 4,797,727 Grupo Continental S.A. 358,600 587,725 Grupo Elektra S.A. de C.V. 127,000 1,195,707
4 Grupo Financiero del Norte S.A. Series C 549,084 3,081,238 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,746 6,078 Grupo Financiero Inbursa S.A. de C.V. Series O 2,822,959 5,277,922 * Grupo Gigante S.A. de C.V. Series B 117,282 81,484 Grupo Industrial Bimbo S.A. de C.V. Series A 1,377,300 3,313,592 Grupo Industrial Maseca S.A. de C.V. Series B 229,000 110,148 Grupo Modelo S.A. de C.V. Series C 2,090,400 5,479,811 * Grupo Nutrisa S.A. de C.V. 129 46 * Grupo Qumma S.A. de C.V. Series B 1,591 25 Grupo Televisa S.A. (Certificate Representing Series A, Series D & Series L) 1,623,900 5,043,792 * Grupo Tribasa S.A. de C.V. 2,120 0 * Hylsamex S.A. de C.V. Series B 153,914 449,674 Industrias Penoles S.A. de C.V. 247,800 1,291,229 Kimberly Clark de Mexico S.A. de C.V. Series A 749,800 2,504,509 * Nueva Grupo Mexico S.A. de C.V. Series B 776,727 3,753,307 Organizacion Soriana S.A. de C.V. Series B 654,600 2,250,657 Telefonos de Mexico S.A. Series A 100,000 175,117 Telefonos de Mexico S.A. Series L 6,971,000 12,170,183 TV Azteca S.A. de C.V. Series A 1,832,100 1,236,985 * US Commercial Corp. S.A. de C.V. 223,000 94,152 Vitro S.A. 121,600 112,645 Wal-Mart de Mexico S.A. de C.V. Series V 3,999,535 13,715,643 ------------------ TOTAL COMMON STOCKS (Cost $81,116,490) 121,210,133 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Mexican Peso 15,482 ------------------ (Cost $15,009) TOTAL -- MEXICO (Cost $81,131,499) 121,225,615 ------------------ TAIWAN -- (10.3%) COMMON STOCKS -- (10.3%) * Accton Technology Corp. 99,296 40,032 Acer, Inc. 859,883 1,309,553 * Advanced Semiconductor Engineering, Inc. 1,794,396 1,322,715 Advantech Co., Ltd. 96,254 220,265 Amtran Technology Co., Ltd. 72,887 29,375 * Arima Computer Corp. 178,800 52,182 Asia Cement Corp. 830,750 544,459 * Askey Computer Co., Ltd. 63,811 32,892 Asustek Computer, Inc. 1,152,062 2,651,836 Au Optronics Corp. 2,194,487 2,863,460 Benq Corp. 998,160 1,031,790 Catcher Co., Ltd. 45,600 135,022 Cathay Financial Holdings Co., Ltd. 3,854,529 7,391,350 Cathay Real Estate Development Co., Ltd. 447,213 241,726 * Chang Hwa Commercial Bank 2,102,796 1,306,008 Cheng Shin Rubber Industry Co., Ltd. 404,437 501,228 Cheng Uei Precision Industry Co., Ltd. 43,136 82,400
5 Chi Mei Optoelectronic Corp. 2,006,177 2,494,148 Chicony Electronics Co., Ltd. 96,288 87,819 China Airlines 829,157 474,329 * China Development Financial Holdong Co., Inc. 5,111,000 2,478,819 China Motor Co., Ltd. 621,628 685,984 China Steel Corp. 4,855,753 5,338,583 Chinatrust Financial Holdings Co., Ltd. 2,427,473 2,767,333 * Chungwa Picture Tubes Co., Ltd. 2,978,298 1,242,047 CMC Magnetics Corp. 1,356,400 634,620 Compal Electronics 1,452,372 1,386,643 * Compeq Manufacturing Co., Ltd. 131,300 46,564 * Cosmos Bank Taiwan 478,000 221,618 CTB Financial Holding Co., Ltd. 5,160,535 3,353,865 Delta Electronics Industrial Co., Ltd. 733,228 1,136,120 D-Link Corp. 145,122 155,967 E.Sun Financial Holding Co., Ltd. 1,220,744 898,850 Elitegroup Computer Systems Co., Ltd. 105,787 50,594 Eternal Chemical Co., Ltd. 93,000 56,969 * Eva Airways Corp. 858,289 376,760 Evergreen Marine Corp., Ltd. 1,061,382 997,451 Far East Textile, Ltd. 1,983,668 1,536,800 Far Eastern International Bank 492,000 293,482 * First Financial Holding Co., Ltd. 2,581,000 2,124,813 Formosa Chemicals & Fiber Co., Ltd. 2,651,090 4,927,373 Formosa Plastics Corp. 2,483,210 3,957,059 Formosa Taffeta Co., Ltd. 436,767 201,213 Fu Sheng Industria 203,035 307,983 Fubon Financi 4,386,052 4,386,396 Fuh-Hwa Financial Holding Co., Ltd. 905,976 445,432 Giga-Byte Technology Co., Ltd. 167,160 199,594 High Tech Computer Corp. 81,600 327,555 Hon Hai Precision Industry Co., Ltd. 655,306 2,629,547 Hotai Motor Co., Ltd. 171,000 341,513 * Hsinchu International Bank 382,800 242,486 Hua Nan Financial Holding Co., Ltd. 2,583,320 2,125,601 International Bank of Taipei 822,928 572,219 Inventec Corp. 674,888 311,311 King Yuan Electronics Co., Ltd. 136,182 88,103 Kinpo Electronics, Inc. 204,336 87,099 Largan Precision Co., Ltd. 27,500 160,393 Lite-On Technology Corp. 998,010 1,006,724 * Macronix International Co., Ltd. 1,547,500 336,008 Media Tek, Inc. 337,730 2,154,659 Micro-Star International Co., Ltd. 198,770 119,342 Mitac International Corp. 166,000 76,797 * Mosel Vitelic Inc. Co., Ltd. 300,826 20,917 Nan Ya Plastic Corp. 3,229,625 4,632,041 * Nanya Technology Co., Ltd. 1,789,989 1,277,944 Nien Hsing Textile Co., Ltd. 95,000 91,405 Nien Made Enterprise Co., Ltd. 57,876 84,852 Optimax Technology Corp. 84,915 189,064 Oriental Union Chemical Corp. 122,958 128,996 * Pacific Electric Wire & Cable Corp. 233,200 3,763 Pihsiang Machinery Mfg. Co., Ltd. 33,742 67,867
6 Pou Chen Corp. 731,859 615,551 Premier Image Technology Corp. 145,740 112,133 President Chain Store Corp. 400,260 594,216 * Q-Run Technology Co., Ltd. 66,200 129,881 Quanta Computer, Inc. 1,579,308 2,560,962 * Quanta Display, Inc. 1,577,000 839,814 Realtek Semiconductor Corp. 194,001 203,380 Ritek Corp. 580,204 207,596 Shin Kong Fin 1,252,056 1,108,284 * Silicon Integrated Systems Corp. 365,431 129,352 Siliconware Precision Industries Co., Ltd. 824,200 635,297 SinoPac Holdings Co., Ltd. 1,647,096 912,598 Sunplus Technology Co., Ltd. 316,145 438,580 Synnex Tech International Corp. 326,680 479,780 Systex Corp., Ltd. 167,687 55,815 Taishin Financial Holdings Co., Ltd. 1,998,135 1,804,337 * Taiwan Business Bank 863,120 316,003 Taiwan Cement Corp. 1,023,731 614,413 Taiwan Glass Ind. Corp. 420,079 383,730 Taiwan Life Insurance Co., Ltd 101,200 165,934 Taiwan Semiconductor Manufacturing Co., Ltd. 10,081,936 14,594,208 Taiwan Styrene Monomer Corp. 84,700 62,443 * Tatung Co., Ltd. 1,568,000 581,422 Teco Electric & Machinery Co., Ltd. 501,000 152,420 * The Farmers Bank of China 432,375 145,528 Tong Yang Industry Co., Ltd. 78,492 118,093 Transcend Information, Inc. 35,187 68,304 U-Ming Marine Transport Corp. 253,050 414,012 Uni-President Enterprises Corp. 1,495,020 734,616 * United Microelectronics Corp. 7,413,611 4,564,112 * Via Technologies, Inc. 342,245 184,427 * Walsin Lihwa Corp. 1,338,000 702,081 Wan Hai Lines Co., Ltd. 615,934 609,496 Waterland Financial Holdings 572,000 222,764 * Winbond Electronics Corp. 1,682,000 642,258 Wintek Corp. 53,000 48,479 Ya Hsin Industrial Co., Ltd. 223,683 205,301 * Yageo Corp. 608,440 206,371 Yang Ming Marine Transport Corp. 1,007,894 903,452 Yieh Phui Enterprise Co., Ltd. 248,300 174,804 Yuen Foong Yu Paper Manufacturing Co., Ltd. 383,022 186,985 Yulon Motor Co., Ltd. 584,753 640,584 Zyxel Communication Corp. 97,980 222,570 ------------------ TOTAL COMMON STOCKS (Cost $108,748,015) 118,790,113 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Taiwan Dollar 176,469 ------------------ (Cost $171,829) TOTAL -- TAIWAN (Cost $108,919,844) 118,966,582 ------------------
7 MALAYSIA -- (6.8%) COMMON STOCKS -- (6.8%) AMFB Holdings Berhad 394,500 664,275 AMMB Holdings Berhad 1,347,731 1,212,131 * Aokam Perdana Berhad 16 5 Berjaya Sports Toto Berhad 746,800 813,061 British American Tobacco Berhad 231,400 2,693,641 CIMB Berhad 199,700 270,285 Commerce Asset Holding Berhad 1,951,700 2,495,011 * Digi.Com Berhad 597,062 855,339 Diversified Resources Berhad 581,000 345,412 Gamuda Berhad 510,000 710,749 Genting Berhad 537,600 2,614,303 Golden Hope Plantations Berhad 900,300 966,185 Highlands and Lowlands Berhad 107,500 101,214 Hong Leong Bank Berhad 1,262,750 1,860,318 Hong Leong Credit Berhad 1,012,629 1,234,592 Hong Leong Properties Berhad 175,328 28,103 IJM Corp. Berhad 196,400 241,822 IOI Corp. Berhad 771,100 1,927,508 IOI Oleochemical Industries Berhad 22,041 55,084 IOI Properties Berhad 151,300 308,318 Kuala Lumpur Kepong Berhad 590,800 1,070,785 Magnum Corp. Berhad 1,115,300 741,706 Malakoff Berhad 616,400 1,127,951 Malayan Banking Berhad 2,723,700 8,591,737 Malayan Cement Berhad 2,153,100 438,583 Malaysia Mining Corp. Berhad 828,700 466,613 Malaysian Airlines System Berhad 1,090,600 1,289,482 Malaysian International Shipping Corp. (Foreign) 1,192,566 4,606,183 Malaysian Pacific Industries 163,000 637,753 Malaysian Plantations Berhad 520,800 323,121 Maxis Communications Berhad 1,015,300 2,468,833 * MBF Holdings Berhad 7,050 417 Mentakab Rubber Co. (Malaya) Berhad 1,100 791 Nestle (Malaysia) Berhad 176,200 1,125,758 Oriental Holdings Berhad 215,300 252,572 Oyl Industries Berhad 100,100 1,047,114 Petronas Dagangan Berhad 386,700 752,855 Petronas Gas Berhad 1,736,600 3,336,742 Plus Expressways Berhad 1,766,700 1,291,475 PPB Group Berhad 441,200 765,911 Proton Holdings Berhad 389,000 931,553 Public Bank Berhad 1,550,201 3,237,647 Resorts World Berhad 881,600 2,235,988 RHB Capital Berhad 1,431,500 903,212 Shell Refining Co. Federation of Malaysia Berhad 104,700 245,207 * Silverstone Corp. Berhad 11,587 1,157 Sime Darby Berhad (Malaysia) 1,776,400 2,825,512 Southern Bank Berhad 48,440 40,497 Southern Bank Berhad (Foreign) 1,062,937 905,505 SP Setia Berhad 257,300 272,110 Star Publications (Malaysia) Berhad 160,600 287,188
8 Telekom Malaysia Berhad 2,421,800 7,640,956 Tenaga Nasional Berhad 2,504,900 7,445,967 * Time Dotcom Berhad 1,550,000 282,832 UMW Holdings Berhad 340,833 484,348 YTL Corp. Berhad 1,164,762 1,562,742 ------------------ TOTAL -- MALAYSIA (Cost $67,790,034) 79,036,159 ------------------ TURKEY -- (6.6%) COMMON STOCKS -- (6.6%) Akbank T.A.S. 2,264,998,827 10,743,503 Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246,814 2,972,428 * Arcelik A.S. 1,549,702,646 8,335,271 * Dogan Sirketler Grubu Holdings A.S. 722,062,463 1,251,785 * Dogan Yayin Holding A.S. 282,794,524 1,087,249 Enka Insaat Ve Sanayi A.S. 164,940,663 4,251,126 Eregli Demir ve Celik Fabrikalari Turk A.S. 1,595,341,000 6,625,048 Ford Otomotiv Sanayi A.S. 722,990,000 5,056,080 Hurriyet Gazetecilik ve Matbaacilik A.S. 629,278,201 1,220,341 Koc Holding A.S. 1,058,111,057 5,807,329 Migros Turk A.S. 450,270,375 2,909,670 * Tat Konserve Sanayii A.S. 36 0 * Tofas Turk Otomobil Fabrikasi A.S. 1,489,092,271 2,815,677 Trakya Cam Sanayii A.S. 187,301,438 486,271 Tupras-Turkiye Petrol Rafineleri A.S. 289,886,950 2,941,055 Turk Sise ve Cam Fabrikalari A.S. 639,484,793 1,501,583 * Turkiye Garanti Bankasi A.S. 2,261,914,936 5,531,855 Turkiye Is Bankasi A.S. Series C 2,002,976,408 9,438,028 * Vestel Elektronik Sanayi Ticaret A.S. 240,241,000 839,715 * Yapi ve Kredi Bankasi A.S. 904,146,481 3,291,995 ------------------ TOTAL -- TURKEY (Cost $29,310,927) 77,106,009 ------------------ INDONESIA -- (6.6%) COMMON STOCKS -- (6.6%) PT Astra Agro Lestari Tbk 2,153,000 786,870 PT Astra International Tbk 8,470,461 8,436,117 PT Bank Central Asia Tbk 1,980,000 603,442 PT Bank Danamon Indonesia Tbk 1,762,000 859,340 PT Bimantara Citra Tbk 2,285,400 488,624 PT Gudang Garam Tbk 4,695,500 6,937,933 PT Hanjaya Mandala Sampoerna Tbk 13,377,500 9,996,413 * PT Indocement Tunggal Prakarsa Tbk 7,362,000 2,361,360 PT Indofood Sukses Makmur Tbk 18,886,400 1,565,921 PT Indonesian Satellite Corp.Tbk 14,967,500 9,527,867 PT International Nickel Indonesia Tbk 580,000 759,688 PT Kalbe Farma Tbk 2,500,000 172,731 * PT Lippo Karawaci Tbk 177,822 35,472
9 * PT Makindo Tbk 2,236,500 229,862 PT Medco Energi International Tbk 9,754,000 2,243,129 * PT Panasia Indosyntec Tbk 75,100 4,068 PT Ramayana Lestari Sentosa Tbk (Foreign) 20,020,000 1,883,053 PT Sari Husada Tbk 137,930 28,673 PT Semen Gresik Tbk 1,739,502 2,476,777 PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 20,558,242 PT Tempo Scan Pacific 646,000 630,805 PT Unilever Tbk 16,022,000 5,904,355 ------------------ TOTAL -- INDONESIA (Cost $47,079,243) 76,490,742 ------------------ ISRAEL -- (5.6%) COMMON STOCKS -- (5.6%) Africa-Israel Investments, Ltd. 108,700 2,944,374 Agis Industries (1983), Ltd. 71,436 2,044,653 Bank Hapoalim, Ltd. 2,309,640 6,733,271 Bank Leumi Le-Israel 2,802,069 6,579,850 * Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 4,112,694 Blue Square Israel, Ltd. 16,186 153,468 CLAL Industries, Ltd. 289,038 1,287,043 CLAL Insurance, Ltd. 114,684 2,147,572 Delek Group, Ltd. 4,584 387,132 Discount Investment Corp 66,100 1,562,028 Elbit Systems, Ltd. 98,319 2,193,673 * Elron Electronic Industries, Ltd. 0 5 * First International Bank of Israel 48,660 284,181 * First International Bank of Israel, Ltd. 347,200 427,372 IDB Development Corp., Ltd. Series A 101,015 2,633,179 IDB Holding Corp., Ltd. 36,578 750,085 Israel Chemicals, Ltd. 2,410,526 5,223,281 * Israel Corp. Series A 5,500 1,089,892 * Koor Industries, Ltd. 25,971 1,208,254 M.A.Industries, Ltd. 843,283 4,145,950 Migdal Insurance Holdings 2,079,107 2,935,520 Osem Investment, Ltd. 210,522 2,057,481 * Strauss Elite, Ltd. 33,250 309,166 * Super-Sol, Ltd. Series B 372,926 874,083 Teva Pharmaceutical Industries, Ltd. 418,280 11,471,432 United Mizrahi Bank, Ltd. 385,384 1,455,289 ------------------ TOTAL -- ISRAEL (Cost $37,006,829) 65,010,928 ------------------ THAILAND -- (4.7%) COMMON STOCKS -- (4.7%) Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 14,875,311 * Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 2,376,459 Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,133,547
10 * Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,654,369 Banpu Public Co., Ltd. (Foreign) 132,000 519,158 BEC World Public Co., Ltd. (Foreign) 3,915,000 1,519,906 Central Pattana Public Co., Ltd. (Foreign) 4,177,500 869,208 Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,297,251 Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 1,737,677 Hana Microelectronics Public Co., Ltd. 1,191,500 592,576 * International Broadcasting Corp. Public Co., Ltd. (Foreign) 612,000 366,486 Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 3,951,452 Land & Houses Public Co., Ltd. (Foreign) 2,130,310 594,606 National Finance and Securities Public Co., Ltd. (Foreign) 630,150 201,469 National Petrochemical Public Co., Ltd. (Foreign) 441,500 1,176,288 Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 2,200,000 2,177,112 Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,902,969 Siam Cement Public Co., Ltd. (Foreign) 270,000 1,726,465 Siam City Cement Public Co., Ltd. (Foreign) 633,413 3,439,492 Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 3,266,503 * Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 1,292,513 * Thai Military Bank Public Co., Ltd. (Foreign) 12,415,080 1,228,592 Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 2,056,642 TISCO Finance Public Co., Ltd. (Foreign) 1,231,100 749,718 Vanachai Group Co-Foreign 950,200 196,502 ------------------ TOTAL COMMON STOCKS (Cost $43,496,151) 54,902,271 ------------------ RIGHTS/WARRANTS -- (0.0%) * Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants 03/31/08 1,444,563 0 ------------------ (Cost $0) TOTAL -- THAILAND (Cost $43,496,151) 54,902,271 ------------------ UNITED STATES -- (4.2%) COMMON STOCKS -- (4.2%) Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,752,660 Banco de Chile Series F ADR 47,643 1,743,734 Banco Santander Chile Sponsored ADR 295,998 8,805,940 Cia Telecom de Chile ADR 421,400 4,466,840 Compania Cervecerias Uni ADR 115,400 2,930,006 Cristalerias de Chile SA ADR 35,600 1,103,600 Distribucion y Servicio D&S SA ADR 208,828 3,466,545 Embotelladora Andina SA Andina ADR 109,600 1,391,920 Embotelladora Andina SA Andina Series B ADR 89,100 1,106,622 Empresa Nacional de Electricidad SA ADR 514,018 8,424,755 Enersis SA ADR 285,903 2,135,695 Grupo Financiero Galicia SA ADR 211,011 1,529,830 Lan Chile SA ADR 125,900 3,438,329 * Madeco SA 4,450 46,280 Masisa SA ADR 25,100 480,665 Sociedad Quimica y Minera de Chile SA ADR 61,300 3,737,461 Sociedad Quimica y Minera de Chile SA ADR Class A 902 54,797
11 Vina Concha y Toro SA Conchatoro ADR 27,100 2,004,858 ------------------ TOTAL -- UNITED STATES (Cost $40,357,553) 48,620,537 ------------------
SHARES VALUE+ ------------ ------------------ HUNGARY -- (3.3%) COMMON STOCKS -- (3.3%) Budapesti Elektromos Muvek RT 185 19,979 Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 172,595 Egis RT 37,757 2,191,573 Gedeon Richter, Ltd. 46,937 5,787,398 Magyar Olay-Es Gazipari RT 168,429 11,378,991 Matav RT 1,050,555 4,470,569 Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,120,548 * Tiszai Vegyi Kombinat RT 117,534 3,337,215 ------------------ TOTAL -- HUNGARY (Cost $15,788,433) 38,478,868 ------------------ POLAND -- (2.9%) COMMON STOCKS -- (2.9%) * Agora SA 98,779 1,627,704 Bank Polska Kasa Opieki - Grupa Pekao SA 156,792 6,298,522 Bank Przemyslowo Handlowy Pbk 31,526 4,505,988 Bank Zackodni Wbk SA 93,312 2,588,125 * Big Bank Gdanski SA 2,029,541 2,017,712 Browary Zywiec SA 15,860 2,265,539 * Budimex SA 36,763 498,247 * Cersanit-Krasnystaw SA 19,143 669,795 Debica SA 19,800 629,652 Frantschach Swiecie SA 103,599 1,870,135 * Kredyt Bank SA 418,562 1,130,787 * Netia Holdings SA 495,665 693,189 * Optimus Technologie 6,873 19,884 Orbis SA 77,409 588,461 Polski Koncern Naftowy Orlen S.A. 267,237 3,176,793 * Prokom Software SA 21,336 860,594 Telekomunikacja Polska SA 712,274 3,880,717 Zaklady Metali Lekkich Kety SA 15,120 634,050 ------------------ TOTAL -- POLAND (Cost $20,586,160) 33,955,894 ------------------ PHILIPPINES -- (2.8%) COMMON STOCKS -- (2.8%) Aboitiz Equity Ventures, Inc. 7,803,400 450,948 Ayala Corp. 42,503,520 4,919,169 Ayala Land, Inc. 27,511,576 3,520,442
12 Bank of the Philippine Island 4,641,373 4,205,045 * Equitable PCI Bank, Inc. 2,217,300 2,033,902 * Filipina Water Bottling Corp. 2,006,957 0 Metro Bank and Trust Co. 4,584,435 2,367,654 Petron Corp. 28,593,000 1,678,003 * Philippine Long Distance Telephone Co. 347,030 8,433,097 SM Prime Holdings, Inc. 29,223,000 3,897,503 Union Bank of the Philippines 1,572,300 643,209 ------------------ TOTAL -- PHILIPPINES (Cost $42,708,447) 32,148,972 ------------------ ARGENTINA -- (1.6%) COMMON STOCKS -- (1.6%) * Acindar Industria Argentina de Aceros SA Series B 899,000 1,281,979 * Alpargatas SA Industrial y Comercial 1,078 510 Alto Palermo SA Series A 5,000 8,852 Banco del Sud Sociedad Anonima Series B 29,000 31,366 * Banco Frances del Rio de la Plata SA 489,961 927,377 * Capex SA Series A 52,893 80,023 * Celulosa Argentina SA Series B 18,750 15,632 * Central Costanera SA Series B 114,100 143,976 * Central Puerto SA Series B 16,000 8,240 * Garovaglio y Zorraquin SA 28,000 3,831 * Gas Natural SA, Buenos Aires 345,000 182,685 * Grupo Financiero Galicia SA Series B 150,000 103,812 * IRSA Inversiones y Representaciones SA 657,649 635,086 * Juan Minetti SA 353,151 384,233 Ledesma S.A.A.I. 242,632 149,957 * Metrogas SA Series B 543,115 197,555 * Molinos Rio de la Plata SA Series B 694,833 950,576 * Perez Companc SA 2,329,901 2,377,465 * Renault Argentina SA 399,465 78,438 Siderar SAIC Series A 721,484 4,354,572 Solvay Indupa S.A.I.C. 555,366 572,067 * Telecom Argentina Stet-France SA Series B 977,000 1,993,890 Tenaris SA 653,898 3,125,748 * Transportadora de Gas del Sur SA Series B 1,028,946 1,002,963 ------------------ TOTAL COMMON STOCKS (Cost $24,666,819) 18,610,833 ------------------ RIGHTS/WARRANTS -- (0.0%) * BBVA Banco Frances Rights 11/17/04 461,871 102,586 ------------------ (Cost $0) TOTAL -- ARGENTINA (Cost $24,666,819) 18,713,419 ------------------ CZECH REPUBLIC -- (0.6%) COMMON STOCKS -- (0.6%)
13 Ceske Telecom A.S. 146,147 2,187,806 CEZ A.S. 192,592 2,777,894 Komercni Banka A.S. 14,029 2,021,298 * Phillip Morris CR A.S. 478 318,931 ------------------ TOTAL -- CZECH REPUBLIC (Cost $5,099,679) 7,305,929 ------------------
FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (0.5%) Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $5,216,000 FNMA Notes 2.95%, 11/14/07, valued at $5,223,318) to be repurchased at $5,151,269 5,151 5,151,000 ------------------ (Cost $5,151,000) TOTAL INVESTMENTS - (100.0%) (Cost $817,432,373) $ 1,161,660,237 ------------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 14 THE EMERGING MARKETS SMALL CAP SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ------------ ------------------ BRAZIL -- (12.0%) PREFERRED STOCKS -- (10.9%) * Acesita SA 97,876 $ 1,282,823 Alpargatas-Santista Textil SA 500,000 69,118 Banco Mercantil do Brasil SA 130,000 29,298 * Braskem SA 53,000,001 2,307,059 Centrais Electricas de Santa Catarin Celesc Series B 840,000 327,353 Companhia Brasileira de Petroleo Ipiranga SA 60,800 440,353 Compania Paranaense de Energia Series B 232,500,000 1,070,184 Confab Industrial SA 357,000 357,000 Coteminas Cia Tecidos Norte de Minas 6,977,102 671,803 Distribuidora de Produtos de Petroleo Ipiranga SA 3,900 48,750 Duratex SA 13,400,000 591,176 * Electropaulo Electrecidade Metropolitana 29,980,000 791,384 Embraco SA 262,000 126,184 Embratel Participacoes SA 273,800,000 640,209 * Empressa Metropolitanade Aguas e Energia SA 24,000,000 63,529 Energetica do Ceara Coelce 72,000,000 100,588 * ENERSUL Empresa Energetjica de Mato Grosso do Sul SA Series B 13,156,000 41,137 Fertibras SA 3,400 34,000 Forca Luz Cataguazes Leopoldina Series A 23,400,000 10,754 Forjas Taurus SA 88,000 42,706 Fras-Le Preferred 20,200 59,337 Globex Utilidades SA 25,268 105,485 * Gradiente Eletronica SA 2,600 8,221 * Industria de Bebidas Antarctica Polar SA 23,000 22,197 * Inepar SA Industria e Construcoes 9,900,001 3,276 Klabin SA 687,000 1,212,353 Lojas Americanas SA 68,290,369 913,886 Magnesita SA Series A 20,500,000 109,660 Magnesita SA Series C 202,338 974 Marcopolo SA 124,000 289,029 Metal Leve SA 3,400,000 216,250 Metalurgica Gerdau SA 59,302 1,395,559 * Net Servicos de Communication SA 1,604,500 353,934 * Paranapanema SA 146,200,000 255,312 Perdigao SA NPV 47,900 845,822 Random Implementos e Participacoes SA 162,500 370,404 * Rasip Agro-Pastoril SA 51,000 4,594 * Refinaria de Petroleo Ipiranga SA 12,300 153,705 Ripasa SA Papel e Celulose 442,000 658,125 Sadia SA 585,000 1,182,904 Saraiva Livreiros Editores 4,000 17,794 * Sharp SA Equipamentos Eletronicos 30,200,000 222
1 Suzano Bahia Sul Papel e Celullose SA 292,650 1,317,968 Suzano Petroquimica SA 30,000 77,647 Tele Celular Sul Participacoes SA 783,795,284 1,207,391 Tele Centro Oeste Celular Participacoes SA 279,011,618 936,535 * Tele Leste Celular Participacoes SA 559,666,572 131,686 Tele Norte Celular Participacoes SA 549,505,027 103,032 Telemig Celular Participacoes SA 398,290,371 575,471 Telesudeste Celular Participacoes SA 355,800,000 797,934 Tim Sul SA Preferred Series B 13,950,000 417,987 Ultrapar Participants 69,939,437 1,289,508 Uniao des Industrias Petroquimicas SA Series B 563,520 743,764 * Varig Participacoes Em Transportes 122,026 538 * Varig Particpacoes Em Servicos 116,823 108 * Varig SA Viacao Aerea Riograndense 16,000 8,412 Weg SA 280,100 725,994 ------------------ TOTAL PREFERRED STOCKS (Cost $14,932,357) 25,558,426 ------------------ COMMON STOCKS -- (1.1%) * Acesita SA 4,290 54,414 Acos Villares SA Avil 120,000 16,324 Avipal SA Avicultura e Agropecua 50,900,000 149,332 Eternit SA 1,200 15,794 Metalurgica Gerdau SA 1,292 29,450 Petroquimica do Sul Copesul 18,200,000 2,141,176 * Rhodia Ster SA 640,780 49,472 Sao Paulo Alpargatas SA 510,000 54,373 ------------------ TOTAL COMMON STOCKS (Cost $1,145,539) 2,510,335 ------------------ TOTAL -- BRAZIL (Cost $16,077,896) 28,068,761 ------------------ SOUTH KOREA -- (11.7%) COMMON STOCKS -- (11.7%) * Anam Semiconductor, Inc. 112,513 301,360 Asia Cement Manufacturing Co., Ltd. 1,243 39,282 Bing Grae Co., Ltd. 3,480 103,814 Bu Kwang Pharmaceutical Co., Ltd. 10,550 122,568 Byuck San Engineering and Construction Co., Ltd. 8,750 32,858 * Capro Corp. 11,440 39,995 Cheil Communications, Inc. 2,497 359,580 Cheil Industrial, Inc. 25,600 381,009 Choong Wae Pharmaceutical 1,877 37,456 Chungho Comnet Co., Ltd. 720 3,003 * Comtec Systems Co., Ltd. 2,000 1,284 * Dae Ho Corp. 543 67 Dae Sang Corp. 8,020 36,626 Dae Won Kang Up Co., Ltd. 1,740 24,989 Daeduck Electronics Co., Ltd. 22,437 180,225 Daeduck Industries Co., Ltd. 7,526 70,505 Daegu Bank Co., Ltd. 63,640 441,869
2 Daehan City Gas Co., Ltd. 2,621 42,498 Daehan Flour Mills Co., Ltd. 470 27,971 Daesung Industrial Co., Ltd. 1,690 36,555 * Daewoo International Corp. 54,700 431,804 Daewoo Motor Sales Corp. 10,240 74,799 * Daewoo Precision Industries Co., Ltd. 2,800 42,522 * Daewoo Securities Co., Ltd. 137,720 451,043 Daewoong Co., Ltd. 4,686 32,900 * Daewoong Pharmaceutical Co., Ltd. 3,630 80,820 Daishin Securities Co., Ltd. 24,720 303,088 * Daou Technology, Inc. 7,000 8,815 DC Chemical Co., Ltd. 7,316 123,089 Dong Ah Tire Industrial Co., Ltd. 7,300 32,265 Dong Bu Insurance Co., Ltd. 36,790 246,815 * Dong Yang Mec 7,020 28,869 Dong-A Pharmaceutical Co., Ltd. 3,229 80,572 Dongbu Corp. 6,310 52,716 Dongbu Steel Co., Ltd. 7,290 98,574 Dongkuk Steel Mill Co., Ltd. 43,637 800,699 Dongwon F&B Co., Ltd. 900 36,813 Dongwon Financial Holding Co., Ltd. 19,848 167,948 * Doosan Corp. 7,390 91,277 Doosan Heavy Industries & Construction Co., Ltd. 54,500 701,791 * Doosan Industrial Development Co., Ltd. 44,730 161,174 * Eastel Systems Corp. 4,307 3,640 * Fursys, Inc. 2,880 34,783 Global Enterprise Co., Ltd. 5,900 30,923 * Good Morning Securities Co., Ltd. 94,500 315,679 Green Cross Corp. 1,825 43,734 Hae In Co., Ltd. 5,964 8,691 Halla Climate Control Corp. 53,740 504,116 Han Kuk Carbon Co., Ltd. 7,903 13,689 Han Wha Corp. 43,150 520,976 Hana Securities Co., Ltd. 5,930 38,016 Handok Pharmaceuticals Co., Ltd. 3,860 46,622 Handsome Corp. 13,420 111,474 Hanil Cement Manufacturing Co., Ltd. 3,308 167,814 Hanjin Heavy Industry Co., Ltd. 32,990 240,199 Hanjin Transportation Co., Ltd. 3,471 50,196 * Hankook Synthetics, Inc. 1,000 2,721 Hankuk Electric Glass Co., Ltd. 4,480 217,435 Hankuk Glass Industries, Inc. 6,360 553,282 Hankuk Paper Manufacturing Co., Ltd. 1,450 34,248 Hanmi Pharmaceutical Industrial Co, Ltd. 3,530 186,696 * Hansol Electronics Inc. 797 4,961 Hansol Paper Co., Ltd. 21,460 216,358 * Hanssem Co., Ltd. 6,820 40,083 * Hansung Enterprise Co., Ltd. 620 3,108 Hanwha Chemical Corp. 74,040 720,734 Hanwha Securities Co., Ltd. 13,070 30,064 Hotel Shilla, Ltd. 15,138 96,784 Huchems Fine Chemical Corp. 5,616 21,257 * Hung Chang Co., Ltd. 6 23 Hyosung T & C Co., Ltd. 16,258 174,838
3 * Hyundai Auton Co., Ltd. 106,390 254,545 Hyundai Cement Co., Ltd. 2,570 68,958 * Hyundai Corp. 1,505 5,293 Hyundai Department Store Co., Ltd. 13,140 418,220 Hyundai Development Co. 39,110 638,848 * Hyundai Elevator Co., Ltd. 3,394 158,220 Hyundai Hysco 42,530 348,741 Hyundai Marine & Fire Insurance Co., Ltd. 40,200 154,770 * Hyundai Merchant Marine Co., Ltd. 65,410 1,000,126 * Hyundai Mipo Dockyard Co., Ltd. 10,308 301,662 * Hyundai Securities Co., Ltd. 71,159 285,068 * Il Jin Diamond Co., Ltd. 2,000 28,538 * IlJin Electric, Ltd. 9,150 19,246 IlShin Spinning Co., Ltd. 380 13,460 * Inchon Oil Refinery Co., Ltd. 373 20 ISU Chemical Co., Ltd. 1,530 11,647 * Isupetasys Co., Ltd. 7,160 11,652 Jahwa Electronics Co., Ltd. 6,230 64,018 Jeonbuk Bank, Ltd. 8,590 36,121 * Jindo Corp. 500 3,984 K.C. Tech Co., Ltd. 6,000 16,089 * KDB Capital Corp. 21,440 55,286 KEC Corp. 3,035 57,386 Kolon Industries, Inc. 5,090 28,125 * Kolon International 321 1,236 Kolon International Corp. 2,264 10,282 Korea Circuit Co. 7,800 26,630 * Korea Data Systems Co., Ltd. 35,000 6,315 * Korea Development Co., Ltd. 3,480 59,280 Korea Electric Terminal Co., Ltd. 3,530 57,882 * Korea Express Co., Ltd. 3,200 76,195 Korea Fine Chemical Co., Ltd. 1,388 13,417 Korea Iron & Steel Co., Ltd. 5,230 112,435 Korea Iron & Steel Works Co., Ltd. 3,328 48,136 Korea Komho Petrochemical 12,080 165,456 Korea Line Corp. 5,130 181,738 Korea Polyol Co., Ltd. 1,570 48,339 Korea Reinsurance Co., Ltd. 57,700 230,524 Korea Zinc Co., Ltd. 10,530 301,311 * KP Chemical Corp. 45,391 209,505 * KTB Network, Ltd. 17,000 31,935 Kukdong City Gas Co., Ltd. 1,740 25,737 Kumho Electronics Co., Ltd. 1,987 53,125 Kumho Industrial Co., Ltd. 20,310 229,779 Kyeryong Construction Industrial Co., Ltd. 2,060 28,540 Kyobo Securities Co., Ltd. 10,440 20,616 LG Ad Inc., Ltd. 4,120 70,659 LG Cable, Ltd. 19,390 379,458 LG Caltex Gas Co., Ltd. 1,980 45,287 LG Engineering & Construction Corp. 28,150 729,652 LG Household & Healthcare Co., Ltd. 8,720 225,016 * LG Industrial Systems, Ltd. 16,950 290,119 LG Insurance Co., Ltd. 27,140 161,743 LG International Corp. 33,488 297,583
4 * LG Investment & Securities Co., Ltd. 61,810 447,023 * LG Life Sciences, Ltd. 9,215 318,888 LG Petrochemical Co., Ltd. 13,800 344,205 Lotte Chilsung Beverage Co., Ltd. 880 682,201 Lotte Confectionary Co., Ltd. 1,030 628,055 Lotte Sam Kang Co., Ltd. 230 20,374 Meritz Securities Co., Ltd. 2,940 7,110 * Midopa Co., Ltd. 27,910 122,648 Namhae Chemical Corp. 13,104 23,262 Namyang Dairy Products Co., Ltd. 340 107,986 Nong Shim Holdings Co., Ltd. 780 43,918 Oriental Fire & Marine Insurance Co., Ltd. 2,750 43,750 ORION Corp. 3,490 338,972 Ottogi Corporation 990 38,201 * Pacific Industries, Inc. 2,100 23,189 * Pantech Co., Ltd. 8,690 31,984 Poong San Corp. 12,640 169,570 Pulmuone Co., Ltd. 2,030 101,185 Pusan Bank 72,900 563,234 Pusan City Gas Co., Ltd. 3,000 42,904 Pyung Hwa Industrial Co., Ltd. 6,170 23,465 S1 Corp. 15,730 509,024 * Saehan Industries, Inc. 7,440 12,560 Samchully Co., Ltd. 1,370 81,006 * Samlip Industrial Co., Ltd. 4,560 27,768 * Samsung Engineering Co., Ltd. 15,780 109,501 Samsung Fine Chemicals 14,950 263,174 * Samsung Techwin Co., Ltd. 51,810 376,421 Samyang Corp. 4,730 162,288 Samyang Genex Co., Ltd. 220 8,323 * Samyoung Corp. 2,170 20,003 Samyoung Electronics Co., Ltd. 5,800 39,473 Sejong Securities Co., Ltd. 3,659 5,883 Seondo Electric Co., Ltd. 4,400 5,949 Seoul City Gas Co., Ltd. 2,750 64,156 * Seoul Securities Co., Ltd. 19,500 58,806 Shin Young Securities Co., Ltd. 2,620 34,960 * Shindongbang Corp. 710 10,364 * Shindongbang Corp. 1,696 11,598 Shinmoorim Paper Manufacturing Co., Ltd. 2,858 19,881 * Shinsung Engineering Co., Ltd. 11,880 32,875 Sindo Ricoh 5,860 347,528 * SK Chemicals Co., Ltd. 5,140 56,689 SK Gas Co., Ltd. 2,500 57,153 * SKC Co., Ltd. 14,290 116,133 * Ssang Bang Wool Co., Ltd. 6,950 16,042 * Ssangyong Cement Industry Co., Ltd. 148,450 173,162 * Ssangyong Motor Co. 53,830 329,892 STX Corp. 5,508 37,008 * STX Engine 4,692 21,614 Suheung Capsule Co., Ltd. 1,900 10,868 Sung Shin Cement Co., Ltd. 10,040 191,033 * Sunkyong Securities Co., Ltd. 120,920 54,530 Tae Kwang Industrial Co., Ltd. 200 68,802
5 Tae Young Corp. 3,274 112,360 Taegu Department Store Co., Ltd. 3,130 22,070 Tai Han Electric Wire Co., Ltd. 19,511 157,406 * Tong Yang Investment Bank 28,710 54,681 * Tongil Heavy Industries Co., Ltd. 46,780 32,028 * Trigem Computer, Inc. 21,159 56,596 Union Steel Manufacturing Co., Ltd. 3,862 137,206 Woongjin Coway Co., Ltd. 6,930 63,947 Woongjin.Com Co., Ltd. 6,810 23,820 Youlchon Chemical Co., Ltd. 8,890 69,309 * Young Poong Mining & Construction Corp. 1,580 83 Youngone Corp. 18,210 62,336 Yuhan Corp. 3,702 337,059 ------------------ TOTAL -- SOUTH KOREA (Cost $20,410,180) 27,468,496 ------------------ SOUTH AFRICA -- (11.6%) COMMON STOCKS -- (11.6%) ADCorp Holdings, Ltd. 43,285 124,482 Advtech, Ltd. 120,000 26,495 Aeci, Ltd. 79,460 506,641 Afgri, Ltd. 280,296 348,084 African Life Assurance Co., Ltd. 102,921 293,098 African Oxygen, Ltd. 94,934 376,356 * Afrikander Lease, Ltd. 116,023 36,028 Afrox Healthcare 45,403 111,955 AG Industries, Ltd. 107,512 50,838 Alexander Forbes, Ltd. 259,170 478,307 Allied Electronics Corp., Ltd. 84,012 240,755 Allied Technologies, Ltd. 82,724 663,604 Amalgamated Appliance Holdings, Ltd. 142,094 132,766 * Anglovaal Mining, Ltd. 93,461 474,496 Aspen Pharmacare Holdings PLC 297,721 847,245 Astral Foods, Ltd. 33,426 298,802 Aveng, Ltd. 241,648 484,439 Bearing Man, Ltd. 69,024 89,269 * Bell Equipment, Ltd. 57,476 61,452 Brandcorp Holdings, Ltd. 43,383 60,581 * Business Connexion Group, Ltd. 229,687 196,515 Bytes Technology Group, Ltd. 113,445 148,575 Capital Alliance Holdings, Ltd. 148,529 415,186 Capitec Bank Holdings, Ltd. 37,860 76,243 Cashbuild, Ltd. 13,473 82,424 Caxton & CTP Publishers & Printers, Ltd. 356,504 602,347 Ceramic Industries, Ltd. 13,297 217,654 City Lodge Hotels, Ltd. 28,074 164,766 * Connection Group Holdings, Ltd. 26,487 45,136 * Corpcapital, Ltd. 241,136 29,188 Cullinan Holdings, Ltd. 10,000 984 * Datacentrix Holdings, Ltd. 162,198 70,351 * Datatec, Ltd. 92,603 157,817
6 Delta Electrical Industries, Ltd. 38,338 215,025 * Dimension Data Holdings PLC 527,088 343,980 Distell Group, Ltd. 160,135 704,309 * Distribution & Warehousing Network, Ltd. 98,577 81,951 Dorbyl, Ltd. 18,237 80,526 * Durban Roodeport Deep, Ltd. 196,023 334,038 * Ellerine Holdings, Ltd. 62,039 555,892 Enviroserv Holdings, Ltd. 64,500 40,120 Famous Brands, Ltd. 9,678 11,622 Foschini, Ltd. 168,564 1,028,317 * Frontrange, Ltd. 62,223 51,508 Gold Reef Casino Resorts, Ltd. 169,887 333,109 Grindrod, Ltd. 36,506 248,733 Group Five, Ltd. 40,465 99,507 Highveld Steel & Vanadilum Corp., Ltd. 85,563 710,439 Hudaco Industries, Ltd. 23,083 125,222 Iliad Africa, Ltd. 112,877 187,711 Illovo Sugar, Ltd. 203,494 285,266 Investec, Ltd. 17,097 486,910 * JCI, Ltd. 1,622,051 92,297 Johnic Communications, Ltd. 86,930 434,028 Kersaf Investments, Ltd. 58,532 529,881 M Cubed Holdings, Ltd. 385,000 27,147 * Medi-Clinic Corp., Ltd. 277,002 681,819 Metair Investment, Ltd. 4,447 136,394 * Metorex, Ltd. 101,510 47,219 * Metoz Holdings, Ltd. 1,278,869 452,228 Metropolitan Holdings, Ltd. 451,465 744,437 Murray & Roberts Holdings, Ltd. 215,729 543,023 Mustek, Ltd. 20,612 30,206 New Clicks Holdings, Ltd. 290,335 485,819 Northam Platinum, Ltd. 183,217 282,407 * Nu-World Holdings 11,932 66,262 Oceana Group 86,619 228,048 Omnia Holdings, Ltd. 37,562 282,095 * Palabora Mining Co., Ltd. 20,554 132,879 Peregrine Holdings, Ltd. 134,813 62,416 * Primedia Limited 'n' 161,922 320,154 PSG Group, Ltd. 63,250 59,229 Rainbow Chicken, Ltd. 209,727 253,031 * Randgold and Expl CO 42,939 88,658 Rebserve Holdings, Ltd. 151,070 229,939 Redefine Income Fund, Ltd. 34,692 18,721 * Relyant Retail, Ltd. 724,775 275,746 Reunert 113,771 684,839 * SA Chrome and Alloys 798,852 117,692 * Sage Group, Ltd. 201,897 51,397 Santam, Ltd. 54,533 630,359 Shoprite Holdings Ltd 378,315 836,707 Specialty Stores Ltd. 173,245 337,992 Spur Corp., Ltd. 53,697 55,555 Super Group, Ltd. 280,556 604,103 Tiger Wheels, Ltd. 47,140 215,410 Tongaat-Hulett Group, Ltd. 93,729 808,683
7 Tourism Investment 647,510 156,466 Trans Hex Group, Ltd. 69,964 218,163 * Trencor, Ltd. 142,114 318,490 Truworths International, Ltd. 312,815 903,870 UCS Group, Ltd. 144,872 35,717 Unitrans Ltd 65,023 350,435 Value Group, Ltd. 49,189 14,569 * Western Areas Ltd 90,489 423,564 Wilson Bayly Holme 40,403 178,341 ------------------ TOTAL COMMON STOCKS (Cost $19,461,411) 27,283,499 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * South African Rand 3,331 ------------------ (Cost $3,130) TOTAL -- SOUTH AFRICA (Cost $19,464,541) 27,286,830 ------------------ MALAYSIA -- (10.9%) COMMON STOCKS -- (10.9%) * A&M Realty Berhad 65,000 23,608 ACP Industries Berhad 34,000 10,913 Affin Holdings Berhad 1,335,800 628,525 Amalgamated Industrial Steel Berhad 11,250 2,559 * AMBD Berhad 58,000 2,821 Amway (Malaysia) Holdings Berhad 190,700 338,284 Ann Joo Resources Berhad 83,000 41,485 * Anson Perdana Berhad 10,000 118 * Antah Holding Berhad 23,000 1,539 * Aokam Perdana Berhad 36 11 APM Automotive Holdings Berhad 74,500 47,822 * Arab Malaysia Corp. Berhad 558,000 198,061 Asas Dunia Berhad 16,000 3,990 * Asia Pacific Land Berhad 70,000 5,147 Asiatic Development Berhad 926,300 428,729 * Avenue Assets Berhad 254,000 36,722 Ayer Hitam Planting Syndicate Berhad 6,000 3,766 Bandar Raya Developments Berhad 466,600 243,009 Batu Kawan Berhad 302,400 477,646 * Berjaya Capital Berhad 391,000 92,536 Berjaya Land Berhad 465,000 100,233 Bernas Padiberas Nasional Berhad 242,500 108,941 Bimb Holdings Berhad 208,200 99,693 Bintai Kinden Corp. Berhad 16,000 5,215 Bolton Properties Berhad 96,000 23,061 Boustead Holdings Berhad 530,800 244,331 Cahya Mata Sarawak Berhad 153,000 66,458 * Camerlin Group Berhad 58,000 15,255 Carlsberg Brewery Malaysia Berhad 179,800 520,603 Cement Industries of Malaysia Berhad 48,800 23,108 Chemical Co. of Malaysia Berhad 102,000 60,387
8 Chin Teck Plantations Berhad 33,000 43,452 * Cosway Corp. Berhad 113,000 23,502 Courts Mammoth Berhad 149,000 64,607 Cycle & Carriage Bintang Berhad 15,000 12,384 * Damansara Realty Berhad 65,000 2,384 Datuk Keramik Holdings Berhad 24,000 634 Dijaya Corp. Berhad 96,000 24,585 Diperdana Corp. Berhad 3,000 1,339 Diversified Resources Berhad 704,300 418,716 DNP Holdings Berhad 34,000 6,000 * E&O Property Development Berhad 723,200 132,030 Eastern & Oriental Berhad 72,000 13,814 * Econstates Berhad 55,500 15,609 Edaran Otomobil Nasional Berhad 173,600 151,915 Esso Malaysia Berhad 183,500 120,682 Europlus Berhad 25,700 4,221 * Faber Group Berhad 16,000 2,526 Far East Holdings Berhad 23,700 23,452 * FCW Holdings Berhad 24,000 2,240 * Fountain View Development Berhad 447,600 588,800 Fraser & Neave Holdings Berhad 430,600 554,704 Globetronics Technology Berhad 796,400 112,162 Glomac Berhad 70,200 40,216 Gold IS Berhad 77,000 29,771 * Golden Plus Holdings Berhad 16,000 11,515 * Gopeng Berhad 17,000 2,753 Guiness Anchor Berhad 375,400 508,605 * Gula Perak Berhad 97,700 42,396 Guthrie Ropel Berhad 35,900 35,512 Hap Seng Consolidated Berhad 491,400 321,518 Heitech Padu Berhad 26,000 17,752 Highlands and Lowlands Berhad 411,700 387,628 * HLG Capital Berhad 12,000 3,124 Hock Seng Lee Berhad 44,160 38,109 Hong Leong Industries Berhad 224,200 282,972 Hong Leong Properties Berhad 259,100 41,530 Hume Industries (Malaysia) Berhad 163,967 215,494 Hwang-DBS (Malaysia) Berhad 97,500 42,524 IGB Corp. Berhad 1,480,450 505,736 IJM Corp. Berhad 255,500 314,590 IJM Plantations Berhad 37,600 11,968 * Insas Berhad 226,000 23,461 Island & Peninsular Berhad 439,700 548,045 * Jaks Resources Berhad 1,000 447 Jaya Jusco Stores Berhad 133,100 171,569 Jaya Tiasa Holdings Berhad 202,100 212,634 * Johan Holdings Berhad 30,000 2,132 John Hancock Life Insurance (M) Berhad 46,000 27,795 Johor Port Berhad 296,600 166,715 Johore Tenggara Oil Palm Berhad 59,200 16,807 JT International Berhad 315,100 374,568 K & N Kenanga Holdings Berhad 287,300 61,955 Keck Seng (Malaysia) Berhad 23,000 11,253 KFC Holdings (Malaysia) Berhad 163,200 148,500
9 Kian Joo Can Factory Berhad 72,900 54,622 Kim Hin Industry Berhad 52,000 30,061 KPJ Healthcare Berhad 62,000 24,461 * Kretam Holdings Berhad 15,000 3,350 KSL Holdings Berhad 64,500 39,117 * Kub Malaysia Berhad 181,000 28,560 Kulim Malaysia Berhad 127,850 95,867 * Kumpulan Hartanah Selangor Berhad 166,500 17,200 Kwantas Corp. Berhad 68,600 92,943 Ladang Perbadanan-Fima Berhad 11,000 9,389 * Land & General Berhad 180,000 14,198 Landmarks Berhad 182,600 42,643 * Leader Universal Holdings Berhad 69,000 7,898 * Leong Hup Holdings Berhad 46,000 11,007 Lingkaran Trans Kota Holdings Berhad 555,600 390,317 Lingui Development Berhad 219,000 77,572 Lion Diversified Holdings Berhad 321,000 180,661 Lion Industries Corp. Berhad 481,100 241,508 Liqua Health Corp. Berhad 173 44 MAA Holdings Berhad 137,533 195,198 Magnum 4D Berhad 80,000 77,820 Malayan Cement Berhad 1,453,050 295,984 Malayawata Steel Berhad 72,000 41,287 * Malaysia Aica Berhad 48,200 29,661 * Malaysia Building Society Berhad 35,000 7,486 Malaysia Industrial Development Finance Berhad 1,094,100 373,979 Malaysia Mining Corp. Berhad 732,900 412,671 Malaysia Smelting Corp. Berhad 23,000 37,513 Malaysian Mosaics Berhad 229,300 94,701 Malaysian National Reinsurance Berhad 80,500 72,841 Malaysian Oxygen Berhad 163,400 528,719 Malaysian Plantations Berhad 622,500 386,219 * Malaysian Resources Corp. Berhad 94,666 20,146 * Mancon Berhad 12,000 2,747 Maruichi Malaysia Steel Tube Berhad 58,600 33,755 Matsushita Electric Co. (Malaysia) Berhad 39,984 108,317 MBM Resources Berhad 102,966 65,044 * Media Prima Berhad 61,533 28,141 * Merces Holdings Berhad 1,250 177 Metro Kajang Holdings Berhad 58,800 22,258 Mieco Chipboard Berhad 69,000 48,932 * MTD Infraperdana Berhad 878,500 164,868 MUI Properties Berhad 75,200 7,026 * Mulpha International Berhad 1,287,350 231,855 * Multi-Purpose Holdings Berhad 457,000 135,535 * Mycron Steel Berhad 14,650 5,513 Naim Cendera Berhad 162,900 140,572 * Naluri Berhad 491,000 77,466 * Nam Fatt Berhad 9,000 1,396 Narra Industries Berhad 16,000 7,130 NCB Holdings Berhad 529,800 379,072 Negara Properties (Malaysia) Berhad 6,000 5,967 * New Straits Times Press (Malaysia) Berhad 210,800 231,653 Nikko Electronics Berhad 36,600 13,863
10 NV Multi Corp. Berhad 129,500 15,343 * NWP Holdings Berhad 112,000 24,709 Nylex (Malaysia) Berhad 41,500 7,748 Oriental Holdings Berhad 362,900 425,725 OSK Holdings Berhad 616,333 251,286 OSK Property Holdings Berhad 3,393 1,115 Pacific & Orient Berhad 40,400 18,056 Pacificmas Berhad 9,500 15,503 Pan Malaysia Cement Works Berhad 192,000 25,739 * Pan Malaysian Industries Berhad 818,000 18,301 * Pan Pacific Asia Berhad 12,000 284 * Panglobal Berhad 14,000 6,963 PBA Holdings Berhad 52,400 23,160 Pelangi Berhad 268,700 38,863 * Pernas International Holdings Berhad 224,000 40,388 Petaling Garden Berhad 94,000 39,071 Phileo Allied Berhad 557,200 367,595 PK Resources Berhad 14,000 2,594 * Prime Utilities Berhad 3,000 825 * Promet Berhad 52,000 3,968 * Puncak Niaga Holdings Berhad 491,100 423,292 QL Resources Berhad 57,000 35,528 * QSR Brand Berhad 32,000 16,947 Ramatex Berhad 292,700 268,227 * Ranhill Berhad 206,460 358,348 * Ranhill Utilities Berhad 92,060 61,565 * Rashid Hussain Berhad 182,000 33,018 * Rekapacific Berhad 55,000 0 Road Builders (Malaysia) Holdings Berhad 425,000 290,640 Sapura Telecommunications Berhad 64,846 27,269 Sarawak Enterprise Corp. Berhad 421,000 151,697 * Saship Holdings Berhad 23,000 5,387 SCB Developments Berhad 80,800 93,535 Scomi Group Berhad 1,072,600 485,296 Selangor Properties Berhad 316,800 189,993 Shangri-La Hotels (Malaysia) Berhad 114,000 37,179 Shell Refining Co. Federation of Malaysia Berhad 190,500 446,150 SHL Consolidated Berhad 75,000 31,789 * Sime Engineering Services Berhad 279,100 99,791 Sime UEP Properties Berhad 133,000 146,947 Southern Acids (Malaysia) Berhad 41,000 19,307 Southern Steel Berhad 118,400 69,420 SP Setia Berhad 351,400 371,626 * SRI Hartemas Berhad 65,000 7,099 Star Publications (Malaysia) Berhad 229,300 410,039 Subur Tiasa Holdings Berhad 65,000 40,708 Sunrise Berhad 241,220 105,943 Sunway City Berhad 139,000 61,836 * Sunway Holdings, Inc. Berhad 442,700 145,546 * Suria Capital Holdings Berhad 186,000 26,602 * Symphony House Berhad 20,571 4,485 Ta Ann Holdings Berhad 159,800 277,335 Ta Enterprise Berhad 1,428,500 338,060 Talam Corp. Berhad 12,850 3,720
11 * Tamco Corp. Holdings Berhad 83,000 7,972 Tan Chong Motor Holdings Berhad 716,900 313,053 * Tanah Emas Corp. Berhad 65,000 22,868 Tasek Corp. Berhad 37,000 24,351 * Time Dotcom Berhad 1,001,500 182,746 Top Glove Corp. Berhad 51,300 108,669 Tractors Malaysia Holdings Berhad 143,400 87,908 Tradewinds (Malaysia) Berhad 117,000 84,638 * Trengganu Development & Management Berhad 79,700 20,591 Tronoh Mines Malaysia Berhad 205,000 152,685 UAC Berhad 25,000 31,846 Uchi Technologies Berhad 253,500 152,682 UDA Holdings Berhad 81,000 32,331 * UEM World Berhad 1,947,500 552,606 Unico-Desa Plantations Berhad 316,000 38,266 Union Paper Holdings Berhad 70,000 14,350 Uniphone Telecommunications Berhad 43,000 9,890 Unisem (M) Berhad 152,500 302,244 United Malacca Rubber Estates Berhad 47,500 44,030 United Malayan Land Berhad 13,000 3,642 United Plantations Berhad 233,600 310,163 * Utama Banking Group Berhad 122,000 27,602 Wah Seong Corp 164,000 87,900 Worldwide Holdings Berhad 52,000 28,151 WTK Holdings Berhad 93,600 147,601 Yeo Hiap Seng (Malaysia) Berhad 47,300 24,416 Yu Neh Huat Berhad 500 167 ------------------ TOTAL COMMON STOCKS (Cost $26,120,664) 25,665,786 ------------------ RIGHTS/WARRANTS -- (0.0%) * Kulim Malaysia Berhad Warrants 06/30/09 13,250 2,894 * Liqua Health Marketing Berhad Warrants 09/09/08 34 6 * Mieco Chipboard Berhad Warrants 04/21/09 23,000 8,413 * QSR Brand Berhad Warrants 01/24/07 12,800 2,771 ------------------ TOTAL RIGHTS/WARRANTS (Cost $605) 14,084 ------------------ TOTAL -- MALAYSIA (Cost $26,121,269) 25,679,870 ------------------ TAIWAN -- (10.8%) COMMON STOCKS -- (10.8%) Ability Enterprise Co., Ltd. 66,197 32,887 Abit Computer Co., Ltd. 131,260 39,739 * Accton Technology Corp. 178,000 71,762 Advantech Co., Ltd. 179,902 411,682 Altek Corp. 16,800 9,851 * Ambassador Hotel 60,000 33,461 Amtran Technology Co., Ltd. 122,216 49,256 * Arima Computer Corp. 386,000 112,652
12 Asia Polymer Corp. 44,280 23,578 * Askey Computer Co., Ltd. 84,321 43,464 Audix Co., Ltd. 18,942 14,676 * Aurora Corp. 52,250 28,760 Avermedia Technologies, Inc. 30,844 26,374 Avision, Inc. 25,030 14,117 Bank of Kaohsiung Co., Ltd. 141,966 99,641 Basso Industry Corp., Ltd. 28,600 59,320 * Behavior Tech Computer Corp. 117,000 29,935 * Bes Engineering Corp. 455,572 79,544 * Carnival Industrial Corp. 95,000 15,704 Catcher Co., Ltd. 110,692 327,760 Cathay Real Estate Development Co., Ltd. 439,753 237,694 * Central Insurance Co., Ltd. 60,000 21,268 Central Reinsurance Co., Ltd. 69,133 27,794 Cheng Loong Corp. 431,330 157,416 Cheng Uei Precision Industry Co., Ltd. 134,320 256,583 * Chia Hsin Cement Corp. 196,000 87,957 * Chia Hsin Food & Synthetic Fiber Co., Ltd. 153,330 19,575 Chicony Electronics Co., Ltd. 148,639 135,566 * Chien Shing Stainless Steel Co., Ltd. 56,000 25,679 * China General Plastics Corp. 76,000 33,351 * China Life Insurance Co., Ltd. 296,418 179,818 * China Man-Made Fiber Co., Ltd. 390,280 201,313 China Metal Products Co., Ltd. 23,705 27,056 * China Petrochemical Development Corp. 726,000 150,291 * China Rebar Co., Ltd. 126,800 15,126 China Steel Chemical Corp. 47,552 71,097 * China Synthetic Rubber Corp. 59,987 20,873 * China United Trust & Investment Corp. 220,000 22,572 Chin-Poon Industrial Co., Ltd. 36,809 21,381 * Chou Chin Industrial Co., Ltd. 42,180 0 Chroma Ate, Inc. 57,954 43,049 * Chun Yu Works & Co., Ltd. 69,000 26,304 Chun Yuan Steel Industrial Co., Ltd. 105,000 68,109 Chung Hsin Electric & Machinery Co., Ltd. 120,000 49,209 Chung Hwa Pulp Corp. 142,594 68,235 Clevo Co. 84,381 26,579 Compal Commun 168,250 277,001 * Compeq Manufacturing Co., Ltd. 383,000 135,825 Continental Engineering Corp. 248,979 109,681 * Cosmos Bank Taiwan 327,000 151,609 CTCI Corp. 165,663 93,053 Der Pao Construction Co., Ltd. 78,000 17,010 D-Link Corp. 297,271 319,487 Edom Technology Co., Ltd. 14,160 9,861 Elan Microelectronincs Corp. 82,784 44,990 Elite Semiconductor Memory Technology, Inc. 55,600 112,412 Elitegroup Computer Systems Co., Ltd. 275,250 131,642 * Enlight Corp. 53,000 12,746 * Entie Commercial Bank 986,246 335,476 Epistar Corp. 38,030 44,681 * ET Internet Technology Corp. 195,114 103,633 Eternal Chemical Co., Ltd. 228,700 140,094
13 * Everest Textile Co., Ltd. 115,360 34,574 Evergreen International Storage & Transport Corp. 490,000 225,782 Everlight Chemical Industrial Corp. 65,000 23,526 Everlight Electronics Co., Ltd. 92,004 93,262 * Everspring Industry Co., Ltd. 51,000 10,877 Far East Department Stores, Ltd. 476,000 266,141 Far Eastern International Bank 492,000 293,482 Federal Corp. 77,229 45,427 Feng Hsin Iron & Steel Co., Ltd. 309,180 352,149 Feng Tay Enterprise Co., Ltd. 167,468 183,311 * FIC Global, Inc. 142,875 20,395 First Copper Technology Co., Ltd. 62,000 26,799 Formosa International Hotels Corp. 49,500 58,559 Formosa Taffeta Co., Ltd. 935,000 430,742 * Formosan Rubber Group, Inc. 68,000 27,618 Giant Manufacture Co., Ltd. 111,170 167,472 * Giga Storage Corp. 43,859 14,252 Giga-Byte Technology Co., Ltd. 365,000 435,820 Globe Union Industrial Corp. 37,855 41,723 * Gold Circuit Electronics, Ltd. 77,446 32,769 * Goldsun Development & Construction Co., Ltd. 295,000 77,308 * Grand Pacific Petrochemical Corp. 115,000 47,326 Great China Metal Industry Co., Ltd. 63,000 39,768 Great Taipei Gas Co., Ltd. 97,000 36,520 Great Wall Enterprise Co., Ltd. 64,890 15,961 Greatek Co., Ltd. 87,701 74,647 Hey Song Corp. 96,000 30,019 Ho Tung Holding Corp. 153,486 47,747 * Hocheng Corp. 71,000 18,413 Hotai Motor Co., Ltd. 179,000 357,491 Hsin Kuang Steel Co., Ltd. 25,854 39,813 * Hsinchu International Bank 579,700 367,213 Hsing Ta Cement Co., Ltd. 103,000 31,668 Hua Eng Wire & Cable Co., Ltd. 113,565 28,097 Hung Poo Construction Corp. 76,000 47,632 * Hung Sheng Construction Co., Ltd. 161,000 69,089 Ichia Technologies, Inc. 72,905 96,583 Infortrend Technology, Inc. 45,900 93,689 * K Laser Technology, Inc. 20,343 12,745 * Kao Hsing Chang Iron & Steel Corp. 101,000 46,071 Kaulin Manufacturing Co., Ltd. 18,400 16,655 Kendra Rubber Industrial Co., Ltd. 110,872 85,028 King Yuan Electronics Co., Ltd. 396,386 256,441 * Kingdom Construction Co., Ltd. 107,000 33,016 * King's Town Construction Co., Ltd. 36,000 63,289 Kinpo Electronics, Inc. 699,560 298,192 Knowledge-Yield-Excellence Systems Corp. 25,966 16,588 Largan Precision Co., Ltd. 63,000 367,447 * Lead Data Co., Ltd. 86,920 15,794 * Lealea Enterprise Co., Ltd. 110,000 21,237 Lee Chang Yung Chemical Industry Corp. 72,075 32,360 * Lelon Co., Ltd. 29,170 9,819 * Leofoo Development Co., Ltd. 35,000 12,638 Li Shin International Enterprise Corp. 26,544 10,813
14 Lien Hwa Industrial Corp. 119,000 43,200 Ling Sheng PrecisionIndustrial Corp. 45,000 18,176 Long Bon Development Co., Ltd. 98,000 31,126 Long Chen Paper Co., Ltd. 89,000 28,336 Lucky Cement Corp. 97,000 26,538 Meiloon Co., Ltd. 52,533 43,009 Mercuries & Associates, Ltd. 112,455 37,105 Mercuries Data Co., Ltd. 52,504 17,031 Merry Electronics Co., Ltd. 25,924 58,515 * Microelectronics Technology, Inc. 77,000 30,239 Micro-Star International Co., Ltd. 408,700 245,384 Mitac International Corp. 483,000 223,450 Mustek Systems, Inc. 39,600 9,881 * Nankang Rubber Tire Co., Ltd. 75,000 89,323 National Petroleum Co., Ltd. 35,824 25,398 Nien Hsing Textile Co., Ltd. 322,000 309,816 Nien Made Enterprise Co., Ltd. 135,642 198,864 Optimax Technology Corp. 116,000 258,275 * Opto Tech Corp. 61,000 11,188 * Orient Semiconductor Electronics, Ltd. 226,487 21,608 Oriental Union Chemical Corp. 386,678 405,667 * Pacific Electric Wire & Cable Corp. 726,000 11,715 Pan Jit International, Inc. 37,000 23,963 Pan Overseas Electronics Co., Ltd. 68,407 16,925 * Pan-International Industrial Corp. 110,250 77,475 Phihong Technology Co., Ltd. 41,635 15,413 Phoenix Precision Technology Corp. 159,583 84,086 Phoenixtec Power Co., Ltd. 219,725 246,635 * Picvue Electronics, Ltd. 181,900 32,194 Pihsiang Machinery Mfg. Co., Ltd. 49,440 99,441 Premier Image Technology Corp. 275,550 212,009 Primax Electronics, Ltd. 61,186 12,348 * Prince Housing & Development Corp. 223,000 54,775 * Procomp Informatics, Ltd. 21,675 4,305 Prodisc Technology, Inc. 288,199 105,893 * Q-Run Technology Co., Ltd. 212,400 416,718 Radium Life Tech 33,000 26,726 Realtek Semiconductor Corp. 408,000 427,725 Ritek Corp. 392,000 140,257 * Ruentex Development Co., Ltd. 140,000 27,652 * Ruentex Industries, Ltd. 141,000 56,806 Sampo Corp. 459,900 100,191 * San Fang Chemical Industry Co., Ltd. 44,770 33,425 Sanyang Industrial Co., Ltd. 205,000 79,113 Sanyo Electric Co., Ltd. 56,000 30,157 Senao International Co., Ltd. 34,133 12,789 Sheng Yu Steel Co., Ltd. 116,980 143,092 Shihlin Electric & Engineering Corp. 162,000 105,265 * Shihlin Paper Corp. 56,000 39,263 * Shinkong Synthetic Fibers Co., Ltd. 388,000 106,728 Shuttle, Inc. 35,250 21,668 * Silicon Integrated Systems Corp. 695,608 246,225 Sincere Navigation Corp. 175,391 221,010 * Sinkong Spinning Co., Ltd. 60,000 23,480
15 * Sintek Photronics Corp. 203,450 85,726 Sinyi Realty, Inc. 26,000 52,203 * Solomon Technology Corp. 90,000 17,743 * Southeast Cement Co., Ltd. 98,700 24,419 Springsoft, Inc. 40,825 83,337 Stark Technology, Inc. 45,100 19,645 Sunonwealth Electric Machine Industry Co., Ltd. 44,719 18,783 Sunrex Technology Corp. 42,849 29,127 Systex Corp., Ltd. 314,348 104,631 Ta Chen Stainless Pipe Co., Ltd. 25,000 18,230 * Ta Chong Bank 645,000 238,254 Ta Ya Elec Wire & Cable Co., Ltd. 92,220 32,099 * Taichung Commercial Bank 781,000 294,295 * Tainan Business Bank 179,000 84,119 Tainan Enterprises Co., Ltd. 28,000 34,712 Tainan Spinning Co., Ltd. 680,000 196,471 Taiwan Acceptance Corp. 38,480 35,951 Taiwan Fire & Marine Insurance Co., Ltd. 72,695 40,169 Taiwan Fu Hsing Industrial Co., Ltd. 30,000 31,000 Taiwan Green Point Enterprises Co., Ltd. 72,899 203,542 Taiwan Hon Chuan Enterprise Co., Ltd. 20,007 15,762 Taiwan Kai Yih Industrial Co., Ltd. 28,088 23,494 * Taiwan Kolin Co., Ltd. 90,000 18,897 Taiwan Life Insurance Co., Ltd 259,785 425,959 Taiwan Mask Corp. 49,720 23,619 Taiwan Navigation Co., Ltd. 90,176 79,649 Taiwan Polypropylene Co., Ltd. 66,586 59,692 Taiwan Secom 195,912 224,844 Taiwan Sogo Shinkong Security Co., Ltd. 46,053 23,240 Taiwan Styrene Monomer Corp. 229,000 168,826 * Taiwan Tea Corp. 220,917 34,783 Teco Electric & Machinery Co., Ltd. 1,140,000 346,823 Tecom, Ltd. 41,114 19,646 Test-Rite International Co., Ltd. 83,405 49,812 * The Chinese Bank 464,000 94,715 * The Farmers Bank of China 788,887 265,523 The First Insurance Co., Ltd. 56,000 34,457 Ton Yi Industrial Corp. 512,280 143,197 Tong Yang Industry Co., Ltd. 224,558 337,854 Transcend Information, Inc. 127,649 247,789 Tsann Kuen Enterprise Co., Ltd. 62,930 65,313 TSRC Corp. 127,000 50,408 Tung Ho Steel Enterprise Corp. 394,167 299,691 * Twinhead International Corp. 60,505 15,584 TYC Brother Industrial Co., Ltd. 49,140 43,908 * Tycoons Group Enterprise Co., Ltd. 72,000 22,360 U-Ming Marine Transport Corp. 200,100 327,382 * Union Bank of Taiwan 730,000 244,627 * Union Insurance Co., Ltd. 99,203 28,339 * Unitech Printed Circuit Board Corp. 62,000 25,051 United Epitaxy Co., Ltd. 52,550 17,975 United Integration Service Co., Ltd. 48,481 43,259 * Universal Cement Corp. 70,560 26,029 Universal Scientific Industrial Co., Ltd. 221,550 78,572
16 UPC Technology Corp. 171,680 67,230 Usi Corp. 238,000 87,274 * Via Technologies, Inc. 445,000 239,800 Walsin Technology Corp., Ltd. 100,788 54,672 Waterland Financial Holdings 682,000 265,604 * Wei Chuan Food Corp. 70,000 23,336 Weltrend Semiconductor, Inc. 34,529 13,019 Wintek Corp. 368,199 336,790 Wistron Corp. 370,938 158,973 World Peace Industrial Co., Ltd. 102,287 62,170 WUS Printed Circuit Co., Ltd. 138,064 59,341 Ya Hsin Industrial Co., Ltd. 413,316 379,350 * Yageo Corp. 52,000 17,637 Yeung Cyang Industrial Co., Ltd. 26,000 27,350 Yieh Phui Enterprise Co., Ltd. 549,580 386,907 Yosun Industrial Corp. 21,227 14,115 Yuen Foong Yu Paper Manufacturing Co., Ltd. 873,972 426,658 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,672 36,403 Yung Shin Pharmaceutical Industrial Co., Ltd. 33,000 27,921 Yung Tay Engineering Co., Ltd. 127,000 67,979 Zig Sheng Industrial Co., Ltd. 73,840 25,583 Zinwell Corp. 26,106 18,524 Zyxel Communication Corp. 146,692 333,224 ------------------ TOTAL COMMON STOCKS (Cost $24,561,813) 25,248,047 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Taiwan Dollar 84,632 ------------------ (Cost $83,062) TOTAL -- TAIWAN (Cost $24,644,875) 25,332,679 ------------------ MEXICO -- (7.2%) COMMON STOCKS -- (7.2%) * Consorcio Ara S.A. 616,000 1,813,419 * Consorcio Hogar S.A. de C.V. Series B 325,000 105,952 Controladora Comercial Mexicana S.A. de C.V. Series B 1,326,100 1,485,945 * Corporacion Geo S.A. de C.V. Series B 1,330,000 2,487,808 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 703,769 1,905,679 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,623 217 Corporativo Fragua S.A. de C.V. Series B 31 110 * Desc S.A. de C.V. Series B 981,833 265,863 Embotelladora Arca SA de CV , Mexico 770,000 1,433,451 * Empaques Ponderosa S.A. de C.V. Series B 206,000 14,679 * Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 2,234,660 Empresas la Moderna S.A. de C.V. Series A 610,700 64,188 * GPo Iusacell 51,405 98,444 Gruma S.A. de C.V. Series B 414,000 865,853 Grupo Cementos de Chihuahua, S.A. de C.V. 474,900 966,572 Grupo Continental S.A. 5,500 9,014
17 Grupo Corvi S.A. de C.V. Series L 100,000 21,110 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 2,523 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 23,928 6,394 Grupo Industrial Maseca S.A. de C.V. Series B 480,000 230,877 Grupo Industrial Saltillo Unique Series 97,600 158,744 * Grupo Nutrisa S.A. de C.V. 188 67 Grupo Posadas S.A. de C.V. Series L 199,000 124,079 * Grupo Qumma S.A. de C.V. Series B 105,334 1,689 * Grupo Tribasa S.A. de C.V. 67,110 0 * Herdez Common Series 107,000 50,990 * Hylsamex S.A. de C.V. Series B 82,000 239,571 Industrias Bachoco S.A. de C.V. (Certificate Representing Series B and Series L) 66,000 141,092 Industrias Penoles S.A. de C.V. 162,000 844,145 * Industrias S.A. de C.V. Series B 37,000 258,712 * Jugos del Valle S.A. de C.V. Series B 37,900 50,672 * Movilaccess S.A. de C.V. Series B 13,489 40,851 Nadro S.A. de C.V. Series B 242,967 139,481 * Sanluis Corporacion S.A. de C.V.(Certificates representing 1 share Series B, 1 share Series C & 1 share Series D) 3,300 2,822 Vitro S.A. 811,000 751,277 ------------------ TOTAL COMMON STOCKS (Cost $11,921,083) 16,816,950 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Mexican Peso 7,007 ------------------ (Cost $8,636) TOTAL -- MEXICO (Cost $11,929,719) 16,823,957 ------------------ TURKEY -- (7.1%) COMMON STOCKS -- (7.1%) * Adana Cimento Sanayi Ticaret A.S. 253,683,148 230,122 * Ak Enerji A.S. 80,193,300 328,229 * Akal Tekstil A.S. 2,779,875 11,237 Akcansa Cimento Sanayi ve Ticaret A.S. 274,876,875 905,329 * Aksa 38,821,296 407,057 Aksigorta A.S. 285,150,627 908,152 * Aksu Iplik Dokuma ve Boya Apre Fab A.S. 4,477,695 13,058 * Aktas Elektrik Ticaret A.S. 370,000 38,743 * Alarko Holding 21,706,400 526,762 * Alarko Sanayii ve Ticaret A.S. 14,579,992 105,926 Alkim Alkali Kimya A.S. 27,197,500 87,170 * Alternatifbank A.S. 97,063,680 53,548 * Altinyildiz Mensucat ve Konfeksiyan Fabrikalari A.S. 21,960,000 19,772 * Anadolu Anonim Turk Sigorta Sirketi 122,999,220 247,194 Anadolu Cam Sanayii A.S. 251,092,987 781,364 * Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. Series C 15,586,000 119,689 * Ayen Enerji A.S. 17,941,000 154,128 * Bagfas Bandirma Gubre Fabrik 3,450,000 57,179 Bandirma Vitaminli Yem Sanayii Ticaret A.S. 147,698,184 187,647 Bati Cimento A.S. 110,525,696 223,688
18 * Bekoteknik Sanayi A.S. 117,449,601 422,228 * Bolu Cimento Sanayi A.S. 111,833,881 172,796 Borusan 36,993,000 330,026 * Bossa Ticaret ve Sanayi Isletmeleri A.S. 128,217,000 172,683 * Brisa Bridgestone Sanbanci Lastik San & Tic A.S. 5,857,000 293,931 Bursa Cimento Fabrikasi A.S. 57,680,000 291,848 * Carsi Buyuk Magazacilik 122,086,500 142,163 * Celebi Hava Servisi A.S. 28,354,500 147,136 CIMSA A.S. (Cimento Sanayi ve Ticaret) 228,659,400 701,187 * Deva Holding A.S. 64,797,995 72,176 * Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993,600 88,811 Eczacibasi Ilac 246,690,000 325,595 * Eczacibasi Yapi Gere 116,012,250 144,354 * Ege Seramik Co., Inc. 44,835,048 38,832 * Egeplast Plastik Ticaret ve Sanayi A.S. 7,720,000 8,023 * Finansbank 725,696,395 820,933 * Global Menkul Degerler A.S. 46,576,164 35,757 * Goldas Kuyumculuk Sanayi A.S. 88,799,600 102,374 Goltas Cimento 7,128,000 69,215 * Good Year Lastikleri A.S. 14,659,125 148,502 * GSD Holdings A.S. 62,399,999 26,118 * Gubre Fabrikalari Ticaret A.S. 8,436,960 15,676 * Gunes Sigorta A.S. 68,999,305 75,096 * Hektas Ticaret A.S. 25,477,235 17,623 * Ihlas Holding 485,407,497 369,401 * Isiklar Ambalaj Sansuii ve Ticaret A.S. 6,417,150 5,914 * Istanbul Motor Piston ve Pim Sanayi A.S. 229,000 67,598 * Izmir Demir Celik 57,269,250 142,207 Karsu Tekstil Sanayii ve Ticaret A.S. 17,040,000 15,492 Kartonsan 1,698,750 157,530 * Kav Orman Sanayii A.S. 4,654,650 10,407 * Kerevitas Gida Sanayi ve Ticaret A.S. 2,532,000 6,510 Konya Cimento 4,921,000 96,138 * Kordsa Sabanci Dupont Endustriye Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 146,305,500 242,473 * Kutahya Porslen Sanayii A.S. 2,617,000 42,559 * Mardin Cimento 38,235,750 261,880 Marshall Boya ve Vernik Sanayii A.S. 4,372,000 62,459 * Medya Holdings A.S. Series C 15,849,000 76,341 * Menderes Tekstil Sanayi ve Ticaret A.S. 104,549,000 49,627 * Merko Gida Sanayi ve Ticaret A.S. Series A 10,580,000 5,310 * Milliyet Gazetecilik A.S. 105,300,059 183,666 * Milpa Ticari ve Sinai Urunler Pazarlama 13,329,360 12,637 * Mudurnu Tavukculuk A.S. 1,740,000 547 Mutlu Aku 1,527,000 12,762 * Nergis Holding A.S. 1,784,000 4,608 * Net Holding A.S. 15,942,722 9,768 * Net Turizm Ticaret ve Sanayi 16,830,000 11,949 * Netas Northern Electric Telekomunikasyon A.S. 8,756,500 191,228 * Olmuksa Mukavva Sanayi ve Ticaret A.S. 20,976,000 36,591 * Otobus Karoseri Sanayi A.S. 44,321,167 174,687 Pinar Sut Mamulleri Sanayii A.S. 35,215,425 47,516 * Raks Elektroniks A.S. 2,730,000 2,649 * Sanko Pazarlama Ithalat Ihracat A.S. 48,903,000 135,381
19 Sarkuysan Elektrolitik Bakir Sanayi A.S. 54,998,310 72,922 * Sasa Suni ve Sentetik Elyat Sanayi A.S. 310,985,000 345,724 * Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 6,300,000 5,331 * Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret A.S. 365,309,000 382,817 * Tat Konserve Sanayii A.S. 63,787,500 120,509 * Tekstil Bankasi A.S. 121,274,079 46,490 * Teletas Telekomunikasyon Endustri Ticaret A.S. 8,799,000 67,026 Tire Kutsan Oluklu Mukavvakutu ve Kagit Sanayi A.S. 39,939,000 69,669 Trakya Cam Sanayii A.S. 154,764,866 401,800 * Turk Demir Dokum Fabrikalari 60,749,982 149,307 Turk Dis Ticaret Bankasi A.S. 447,650,919 506,071 * Turk Siemens Kablo ve Elektrik Sanayi A.S. 39,702,000 69,912 Turk Sise ve Cam Fabrikalari A.S. 266,805,054 626,488 Ulker Gida Sanayi Ve Ticaret 101,003,282 387,963 USAS (Ucak Servisi A.S.) 11,938,000 351,407 * Uzel Makina Sanayi A.S. 156,941,250 223,810 * Vakif Finansal Kiralama A.S. 5,450,302 6,854 * Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027,800 10,483 * Zorlu Enerji Elektrik Uretimi Otoproduktor Gruba A.S. 100,448,373 357,027 ------------------ TOTAL -- TURKEY (Cost $10,666,112) 16,706,522 ------------------ ISRAEL -- (6.9%) COMMON STOCKS -- (6.9%) * Afcon Industries 159 2,862 Agis Industries (1983), Ltd. 5,417 155,046 Albad Massuot Yitzhak, Ltd. 7,600 99,953 Alony Hetz Properties & Investments, Ltd. 46,080 116,134 American Israeli Paper Mills, Ltd. 5,035 282,526 * Analyst I.M.S. 4,574 34,333 * AudioCodes, Ltd. 51,866 776,522 * Azorim Investment Development & Construction Co., Ltd. 50,019 402,657 * Baran Group, Ltd. 9,500 70,118 * Beit Shemesh Engines Holdings (1997), Ltd. 3,351 8,243 Blue Square Chain Stores Properties & Investments, Ltd. 20,602 185,584 Blue Square Israel, Ltd. 64,320 609,852 * C Mer Industries, Ltd. 7,900 71,312 * Compugen, Ltd. 11,938 53,480 * Dan Vehicle & Transportation 6,992 29,503 Danya Cebus, Ltd. 19,413 93,113 Delek Automotive Systems, Ltd. 113,889 749,074 * Delek Drilling 599,731 271,462 Delta Galil Industries, Ltd. 29,002 270,251 * Direct Insurance - I.D.I. Insurance Co., Ltd. 59,860 122,873 * Discount Mortgage Bank, Ltd. 1,320 126,457 * Elbit Medical Imaging 30,809 292,493 Elco Industries (1975) 5,476 21,094 Electra Consumer 22,800 170,484 Electra Israel, Ltd. 3,700 240,380 * Electronics Line 3000, Ltd. 3,428 4,556 * Electronics Line, Ltd. 3,169 21,602
20 * Elron Electronic Industries, Ltd. 40,100 575,333 * Feuchtwanger Investments 1984, Ltd. 4,200 2,414 * First International Bank of Israel, Ltd. 336,336 414,000 FMS Enterprises Migun, Ltd. 11,746 420,042 * Formula Systems (1985), Ltd. 12,170 185,596 * Formula Vision Technologies, Ltd. 1,604 1,322 Frutarom Industries (1995), Ltd. 59,977 438,693 Gachelet Invetment Co., Ltd. 653 37,182 * Granite Hacarmel Investments, Ltd. 19,200 28,517 * Ham-Let Ltd 6,342 36,282 * Housing & Construction Holding Co., Ltd. 516,118 333,424 Industrial Building Corp., Ltd. 310,880 344,606 Investec Bank, Ltd. 3,222 105,063 * Israel Land Development Co., Ltd. 26,000 69,266 Israel Petrochemical Enterprises, Ltd. 36,175 258,765 * Israel Salt Industries 38,139 148,189 Ituran 7,011 184,137 * J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 34,789 Knafaim-Arkia Holdings, Ltd. 15,738 207,815 * Koor Industries, Ltd. 19,500 907,196 * Leader Holding & Investments, Ltd. 11,500 15,254 Lipman Electronic Engineering, Ltd. 28,513 816,829 * Magal Security Systems, Ltd. 7,322 95,884 * Magic Software Enterprises, Ltd. 24,908 84,650 * Matav Cable Israel 40,906 333,519 Medtechnica, Ltd. 14,470 64,079 Mehadrin, Ltd. 3,887 62,763 * Metalink, Ltd. 22,247 118,636 Middle East Tube Co. 19,000 18,845 Miloumor, Ltd. 12,658 52,107 Mivtach Shamir Holdings, Ltd. 12,000 172,444 * Naphtha Israel Petroleum Corp. 105,630 14,566 * Nice Systems, Ltd. 17,433 493,705 * Nisko Industries (1992), Ltd. 3,343 19,854 * OCIF Investments and Development, Ltd. 1,100 13,779 * Orckit Communications, Ltd. 1,856 44,529 Ormat Industries, Ltd. 134,842 603,148 Packer Plada, Ltd. 422 22,473 Property and Building Corp., Ltd. 6,545 491,745 * RADVision, Ltd. 22,903 300,833 Rapac Electronics, Ltd. 6,000 15,210 Rapac Technologies (2000), Ltd. 6,000 14,342 * Retalix, Ltd. 16,109 308,504 Scitex Corp., Ltd. 46,509 210,213 * Shrem Fudim Kelner & Co., Ltd. 6,600 18,171 Suny Electronic Inc., Ltd. 37,700 201,754 * Super-Sol, Ltd. Series B 286,153 670,700 Tadiran Communications, Ltd. 15,591 479,492 * Team Computer & Systems, Ltd. 1,400 15,022 Telsys, Ltd. Electronic Engineering 5,300 27,268 * Tower Semiconductor, Ltd. 68,316 142,578 * Union Bank of Israel, Ltd. 55,564 187,172 Ytong Industries, Ltd. 52,585 42,523 ------------------ TOTAL COMMON STOCKS (Cost $11,974,272) 16,187,186 ------------------
21 RIGHTS/WARRANTS -- (0.0%) * Alony Hetz Properties & Investments, Ltd. Warrants 11/20/07 16,263 10,090 * Delek Drilling Warrants 07/31/04 27,376 0 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 10,090 ------------------ TOTAL -- ISRAEL (Cost $11,974,272) 16,197,276 ------------------ INDONESIA -- (6.3%) COMMON STOCKS -- (6.3%) * PT Artha Graya Investama Sentral Tbk 4,773,000 55,618 PT Asahimas Flat Glass Co., Ltd. 1,271,000 338,899 PT Astra Agro Lestari Tbk 6,656,000 2,432,608 PT Astra Graphia Tbk 4,549,000 178,953 PT Bank NISP Tbk 13,832,920 1,070,567 * PT Batu Buana 77,715 1,252 PT Berlian Laju Tanker Tbk 14,767,200 1,306,803 PT Bhakti Investama Tbk 9,031,500 270,565 * PT Branta Mulia Tbk 66,000 5,867 * PT Budi Acid Jaya Tbk 1,449,000 19,282 * PT Charoen Pokphand Indonesia Tbk 3,406,500 105,665 * PT Citra Marga Nusaphala Persada 6,649,500 608,532 * PT Clipan Finance Indonesia Tbk 3,133,000 144,369 PT Dankos Laboratories Tbk 6,022,800 517,025 * PT Davomas Adabi Tbk 4,192,000 510,379 * PT Dharmala Intiland 277,400 2,767 PT Dynaplast Tbk 1,038,000 210,121 PT Enseval Putera Megatrading Tbk 6,380,000 388,620 * PT Eterindo Wahanatama Tbk 397,000 7,711 * PT Ever Shine Textile Tbk 4,029,640 62,683 * PT GT Petrochem Industries Tbk 918,000 39,630 * PT Hero Supermarket Tbk 33,000 6,760 * PT Indal Aluminium Industry 47,000 1,310 PT Indorama Synthetics Tbk 2,211,000 165,554 * PT Jaya Real Property 393,500 79,787 PT Kalbe Farma Tbk 25,907,600 1,790,024 * PT Karwell Indonesia 138,000 6,287 * PT Kawasan Industry Jababeka Tbk 43,401,000 575,827 * PT Keramika Indonesia Assosiasi Tbk 100,000 1,944 PT Komatsu Indonesia Tbk 860,000 271,234 PT Lautan Luas Tbk 1,887,500 82,748 PT Matahari Putra Prima Tbk Foreign 2,609,000 179,974 PT Mayorah Indah 2,473,500 356,049 * PT Metrodata Electronics Tbk 3,981,000 37,294 * PT Modern Photo Tbk 40,000 2,655 * PT Mulia Industrindo 542,000 16,831 * PT Mustika Ratu Tbk 723,000 33,701 * PT Pakuwon Jati Tbk 63,000 2,592
22 * PT Panasia Indosyntec Tbk 79,000 4,279 * PT Panin Insurance Tbk 7,979,000 295,770 * PT Prasidha Aneka Niaga Tbk 84,000 840 PT Pudjiadi Prestige, Ltd. Tbk 45,500 1,744 * PT Putra Sejahtera Pioneerindo 29,000 1,088 PT Rig Tenders Indonesia Tbk 1,780,000 183,573 PT Selamat Semp Tbk 1,920,000 64,972 * PT Semen Cibinong Tbk 702,000 40,406 * PT Sinar Mas Agro Resources and Technology Tbk 87,792 30,239 PT Summarecon Agung Tbk 6,332,000 454,397 * PT Sunson Textile Manufacturer Tbk 343,000 5,197 * PT Suparma Tbk 2,400,000 49,118 * PT Surabaya Agung Industri Pulp & Paper 64,500 466 * PT Surya Dumai Industri Tbk 3,298,500 137,438 * PT Suryamas Dutamakmur 125,000 968 PT Tempo Scan Pacific 471,500 460,409 * PT Texmaco Jaya Tbk 93,000 30,483 PT Timah Tbk 1,701,000 409,390 PT Trias Sentosa Tbk 9,198,400 218,816 PT Trimegah Sec Tbk 9,961,000 204,164 PT Tunas Ridean Tbk 1,987,000 132,809 * PT Ultrajaya Milk Industry & Trading Co. 390,000 18,386 PT Unggul Indah Corp. Tbk 48,239 11,256 * PT United Tractors 501,760 110,877 * PT Wicaksana Overseas International 28,560 530 ------------------ TOTAL -- INDONESIA (Cost $8,065,050) 14,756,102 ------------------ THAILAND -- (6.0%) COMMON STOCKS -- (6.0%) A.J. Plast Public Co., Ltd. (Foreign) 166,500 26,828 * Adkinson Securities Public Co., Ltd. (Foreign) 138,150 27,693 * Advance Agro Public Co., Ltd. (Foreign) 809,000 518,327 Aeon Thana Sinsap (Thailand) Public Co., Ltd. 142,500 119,322 Amarin Plaza Public Co., Ltd. (Foreign) 523,680 33,752 Amata Corp. Public Co., Ltd. 1,120,500 292,848 * Asia Securities Trading Public Co., Ltd. (Foreign) 147,500 275,089 Asian Property Development Public Co., Ltd. (Foreign) 2,483,200 239,436 Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 485,033 200,610 Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 739,481 Bangkok Insurance Public Co., Ltd. 35,880 207,578 * Bangkok Land Co., Ltd. (Foreign) 5,416,570 94,835 * Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 919 Big C Supercenter Public Co., Ltd. (Foreign) 87,000 41,502 * Book Club Finance Public Co., Ltd. 157,200 20,343 Cal-Comp Electronics (Thailand) Public Co., Ltd. 322,900 286,767 Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 81,705 * Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,055 Central Pattana Public Co., Ltd. (Foreign) 808,400 168,203 Central Plaza Hotel Public Co., Ltd. (Foreign) 79,000 37,084 * Ch Karnchang Public Co., Ltd. (Foreign) 1,403,700 484,403
23 Charoong Thai Wire & Cable Public Co., Ltd. 130,000 25,400 Compass East Ind-Foreign 122,000 29,254 Dynasty Ceramic Public Co., Ltd. 232,500 83,183 * Eastern Star Real Estate Public Co., Ltd. (Foreign) 1,537,600 22,239 astern Water Resources Development & Management Public Co., Ltd. E (Foreign) 108,120 87,791 Fancy Wood Industries Public Co., Ltd. 260,800 40,367 * GFPT Public Co., Ltd. 71,400 19,204 GMM Grammy Public Co., Ltd. (Foreign) 460,000 190,256 * Golden Land Property Development Public Co., Ltd. (Foreign) 485,616 104,122 Hana Microelectronics Public Co., Ltd. 1,051,891 523,143 Hermraj Land & Development Public Co., Ltd. 3,087,400 79,907 Home Product Center Public Co., Ltd. 417,900 44,961 ICC International Public Co., Ltd. 155,000 153,387 * International Broadcasting Corp. Public Co., Ltd. (Foreign) 975,170 583,964 * International Engineering Public Co., Ltd. (Foreign) 20,000 416 * ITV Public Co., Ltd. 890,300 329,824 * Jasmine International Public Co., Ltd. (Foreign) 8,436,600 149,851 * K.R. Precision Public Co., Ltd. (Foreign) 320,598 20,500 Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 11,875 KCE Electronics Public Co., Ltd. (Foreign) 204,000 40,376 * Keppel Thai Properties Public Co., Ltd. 8,360 789 KGI Securities One Public Co., Ltd. (Foreign) 1,465,546 127,180 Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 41,261 Loxley Public Co., Ltd. (Foreign) 958,120 86,549 LPN Development Public Co., Ltd. (Foreign) 415,250 31,821 * Major Cineplex Group Public Co., Ltd. 312,500 103,876 MBK Development Public Co., Ltd. 114,000 139,571 * Media of Medias Public Co., Ltd. (Foreign) 9,100 1,963 MFC Asset Management Public Co., Ltd. (Foreign) 5,000 2,093 * Millennium Steel Public Co., Ltd. 1,836,900 97,881 MK Real Estate Development Public Co., Ltd. (Foreign) 472,260 26,842 Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 9,900 78,878 * Nakornthai Strip Mill Public Co., Ltd. 9,747,200 450,137 Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 48,246 National Finance and Securities Public Co., Ltd. (Foreign) 1,387,000 443,446 * Natural Park Public Co., Ltd. (Foreign) 3,032,400 100,028 Noble Development Public Co., Ltd. 260,100 30,359 * Pacific Assets Public Co., Ltd. (Foreign) 141,000 17,173 * Padaeng Industry Public Co., Ltd. (Foreign) 73,800 22,471 Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 4,082 Phatra Insurance Public Co., Ltd. 10,000 38,569 Phoenix Pulp and Paper Public Co., Ltd. (Foreign) 62,800 173,692 * Picnic Gas & Engineering Public Co., Ltd. 521,800 203,901 * Prasit Development Public Co., Ltd. (Foreign) 29,700 1,130 Quality Houses Public Co., Ltd. (Foreign) 3,370,500 104,339 Regional Container Lines Public Co., Ltd. 869,900 667,711 * Robinson Department Store Public Co., Ltd. (Foreign) 18,525 1,589 Saha Pathana Inter-Holding Public Co., Ltd. 350,000 123,446 Saha-Union Public Co., Ltd. (Foreign) 279,500 127,658 * Samart Corporation Public Co., Ltd. 539,500 101,302 Sammakorn Public Co., Ltd. (Foreign) 75,000 3,806 Sansiri Public Co., Ltd. 780,566 64,965 Seamico Securities Public Co., Ltd. 448,722 94,504
24 Serm Suk Public Co., Ltd. (Foreign) 10,000 5,303 Shinawatra Satellite Public Co., Ltd. (Foreign) 876,300 393,568 Siam Food Products Public Co., Ltd. (Foreign) 9,000 17,813 Siam Industrial Credit Public Co., Ltd. 352,862 55,065 Siam Makro Public Co., Ltd. (Foreign) 219,700 284,311 Sino-Thai Engineering & Construction Public Co., Ltd. (Foreign) 1,002,900 220,124 Sri Trang Agro Industry Public Co., Ltd. (Foreign) 30,496 41,786 Srithai Superware Public Co., Ltd. (Foreign) 16,400 3,079 * Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 54 4,522 * STP & I Public Co., Ltd. 138,700 6,124 * Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,932 Supalai (Forign) 346,000 24,758 SVI Public Co., Ltd. 122,266 35,988 * Tanayong Public Co., Ltd. (Foreign) 261,000 6,623 * Telecomasia Corp. Public Co., Ltd. (Foreign) 2,633,800 487,864 Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 528,000 265,273 Thai Reinsurance Public Co., Ltd. (Foreign) 660,300 69,699 Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 46,892 Thai Stanley Electric (Thailand) Public Co., Ltd. 60,400 199,239 Thai Union Frozen Products Public Co., Ltd. (Foreign) 64,800 41,928 Thai Vegetable Oil-Foreign 482,600 121,232 Thai Wacoal Public Co., Ltd. 78,000 67,293 Thai-German Ceramic Industry Public Co., Ltd. (Foreign) 361,000 28,580 * Tipco Asphalt Public Co., Ltd. (Foreign) 95,200 57,975 TIPCO Foods (Thailand) Public Co., Ltd. 147,620 16,556 TISCO Finance Public Co., Ltd. (Foreign) 745,900 454,240 * TT&T Public Co., Ltd. (Foreign) 2,897,900 316,188 * Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 6,174 * Tycoons Worldwide Group Public Co., Ltd. 133,000 40,835 * United Communication Industry Public Co., Ltd. (Foreign) 139,000 236,311 United Palm Oil Industry Public Co., Ltd. 21,000 23,446 Vanachai Group Co-Foreign 1,564,866 323,615 * Vinythai Public Co., Ltd. (Foreign) 1,019,234 300,003 ------------------ TOTAL COMMON STOCKS (Cost $12,072,322) 14,203,397 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Thailand Baht 783 ------------------ (Cost $775) RIGHTS/WARRANTS -- (0.0%) * Bangkok Land (Foreign) Warrants 2006 217,330 0 * Eastern Water Resources Develpoment & Management Public Co., Ltd. (Foreign) Warrants 11/02/04 28,832 0 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) 0 ------------------ TOTAL -- THAILAND (Cost $12,073,097) 14,204,180 ------------------
25 POLAND -- (3.3%) COMMON STOCKS -- (3.3%) * Amica Wronki SA 18,410 204,676 * Budimex SA 28,076 380,513 * Cersanit-Krasnystaw SA 22,217 777,351 * Computerland SA 14,630 488,215 Debica SA 19,184 610,063 * Echo Investment SA 19,155 523,112 * Fabryki Mebli Forte SA 39,475 157,903 * Farmacol SA 39,250 353,378 * Huta Ferrum SA 309 815 * Impexmetal SA 23,067 365,975 Kroscienskie Huty Szkla Krosno SA 2,000 82,025 * Kutnowskie Zaklady Farmaceutyczne Polfa SA 3,498 363,624 Lentex SA 13,464 107,001 * Mostostal Export SA 42,087 18,495 Mostostal Siedlce SA 17,520 202,852 * Mostostal Warszawa SA 18,600 35,988 * Mostostal Zabrze Holding SA 18,293 4,364 * Netia Holdings SA 43,672 61,075 * Ocean Company SA 8,530 325 * Optimus Technologie 7,500 21,698 Orbis SA 25,000 190,049 Polifarb Cieszyn Wroclaw SA 98,435 240,925 Polska Grupa Farmaceutyczna SA 22,323 416,936 * Prosper SA 12,770 47,927 Przedsiebiorstwo Farmaceutyczne JELFA SA 14,330 242,327 * Przedsiebiorstwo Telekomunikacyjne Szeptel A.S. 16,774 21,888 * Raciborska Fabryka Kotlow SA 37,758 156,597 * Softbank SA 44,730 364,039 * Stalexport SA 11,514 9,771 * Ster-Projekt SA 20,650 40,003 Zaklad Przetworstwa Hutniczego Stalprodukt SA 8,169 206,862 Zaklady Metali Lekkich Kety SA 19,615 822,546 * Zaklady Tluszcowe Kruszwica SA 23,610 255,234 ------------------ TOTAL -- POLAND (Cost $4,125,018) 7,774,552 ------------------ PHILIPPINES -- (2.3%) COMMON STOCKS -- (2.3%) Alaska Milk Corp. 1,404,000 73,719 Bacnotan Consolidated Industries, Inc. 122,234 34,528 * Belle Corp. 20,937,000 223,390 * C & P Homes, Inc. 6,477,000 33,477 * Digital Telecommunications (Philippines), Inc. 20,973,000 707,490 EDSA Properties Holdings, Inc. 1,759,970 21,921 * EEI Corp. 1,108,000 7,054 * Fil-Estate Land, Inc. 3,170,700 28,132 * Filinvest Development Corp. 4,664,500 81,752 * Filinvest Land, Inc. 25,798,050 495,096 Ginebra San Miguel, Inc. 1,065,200 587,367 * Global Equities, Inc. 886,462 942
26 * House of Investments, Inc. 732,000 8,271 * International Container Terminal Services, Inc. 4,593,837 473,722 * Ionics, Inc. 769,825 20,164 * IVantage Corp. 593,400 8,450 Keppel Philippines Marine, Inc. 610,000 3,690 * Lepanto Consolidated Mining Co. Series B 1,925,000 9,585 * Mabuhay Holdings Corp. 516,000 1,400 * Macroasia Corp. 2,237,500 53,710 * Manila Jockey Club, Inc. 130,622 6,973 * Megaworld Properties & Holdings, Inc. 21,843,500 488,457 * Metro Pacific Corp. 45,763,860 334,217 * Negros Navigation Co., Inc. 31,100 205 * Philex Mining Corp. Series B 150,000 1,334 * Philippine Bank of Communications 14,726 20,962 * Philippine National Bank 929,975 376,191 * Philippine National Construction Corp. 173,000 11,390 Philippine Savings Bank 317,212 160,864 * Pilipino Telephone Corp. 1,692,000 76,662 * Prime Orion Philippines, Inc. 2,920,000 8,782 Republic Glass Holding Corp. 507,500 15,713 * RFM Corp. 2,378,934 29,318 Robinson's Land Corp. Series B 3,402,000 148,944 Security Bank Corp. 320,842 154,376 SM Development Corp. 4,971,000 127,050 Soriano (A.) Corp. 3,430,211 96,317 Union Bank of the Philippines 47,500 19,432 * United Paragon Mining Corp. 322,500 746 * Universal Rightfield Property Holdings, Inc. 1,062,000 529 Universal Robina Corp. 3,158,100 561,277 * Victorias Milling Co., Inc. 139,680 2,163 * Vitarich Corp. 176,000 908 ------------------ TOTAL -- PHILIPPINES (Cost $6,088,006) 5,516,670 ------------------ HUNGARY -- (2.2%) COMMON STOCKS -- (2.2%) * Danubius Hotel & Spa RT 58,038 1,700,654 Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 1,182,071 * Fotex First Hungarian-American Photo Service Co. 749,391 581,193 * Globus Konzervipari RT 101,338 330,693 * Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 67,414 348,154 * North American Business Industries RT 51,024 121,971 * Pannonplast P.L.C. 39,441 260,721 * Raba Hungarian Railway Carriage & Machine Works 143,528 498,254 * Synergon Information Systems Ltd., Budapest 30,190 54,451 Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 50,680 ------------------ TOTAL -- HUNGARY (Cost $4,841,731) 5,128,842 ------------------
27 ARGENTINA -- (1.2%) COMMON STOCKS -- (1.2%) * Acindar Industria Argentina de Aceros SA Series B 482,431 687,949 * Alpargatas SA Industrial y Comercial 1,007 476 Banco del Sud Sociedad Anonima Series B 89,000 96,260 * Banco Suquia SA 76,789 12,236 * Capex SA Series A 26,370 39,896 * Celulosa Argentina SA Series B 6,375 5,315 * Central Costanera SA Series B 50,000 63,092 * Central Puerto SA Series B 61,000 31,417 Cresud SA Comercial Industrial Financiera y Agropecuaria 201,401 282,012 DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 18,551 * Ferrum SA de Ceramica y Metalurgica Series B 25,200 26,972 * Fiplasto SA Comercial y Industrial 12,000 5,292 * Garovaglio y Zorraquin SA 14,160 1,937 Importadora y Exportadora de la Patagonia Series B 11,500 52,566 * Introductora de Buenos Aires SA Series A 9,832 5,459 * IRSA Inversiones y Representaciones SA 379,635 366,611 * Juan Minetti SA 131,531 143,107 Ledesma S.A.A.I. 387,128 239,262 * Metrogas SA Series B 90,000 32,737 * Polledo SA Industrial y Constructora y Financiera 88,891 14,879 * Quimica Estrella SA Series B 30,460 8,530 * Renault Argentina SA 624,451 122,616 * Sol Petroleo SA 50,662 7,828 Solvay Indupa S.A.I.C. 440,500 453,747 ------------------ TOTAL COMMON STOCKS (Cost $2,762,771) 2,718,747 ------------------ INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso 22,935 ------------------ (Cost $22,611) TOTAL -- ARGENTINA (Cost $2,785,382) 2,741,682 ------------------
FACE AMOUNT VALUE+ ------------ ------------------ (000) TEMPORARY CASH INVESTMENTS -- (0.5%) Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $1,157,000 FNMA Notes 2.95%, 11/14/07, valued at $1,158,623) to be repurchased at $1,142,060 1,142 1,142,000 ------------------ (Cost $1,142,000) TOTAL INVESTMENTS - (100.0%) (Cost $180,409,148) $ 234,828,419 ------------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. 28 * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 29 THE DFA ONE-YEAR FIXED INCOME SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
FACE AMOUNT VALUE+ ------ ------ (000) UNITED STATES -- (74.7%) COMMERCIAL PAPER -- (41.8%) Barton Capital Corp. 2.030%, 12/10/04 $ 1,700 $ 1,699,121 2.150%, 01/10/05 47,900 47,781,261 Caisse D'Amortisement de Dette Sociale 1.920%, 12/06/04 2,000 1,999,439 1.890%, 12/08/04 36,300 36,285,741 Canadian Wheat Board 2.110%, 01/10/05 15,100 15,062,904 2.190%, 01/24/05 17,500 17,440,859 CBA (DE) Finance, Inc. 2.140%, 01/05/05 4,000 3,991,538 CDC Commercial Paper Corp. 2.010%, 12/10/04 800 799,596 Ciesco L.P. 2.090%, 12/27/04 6,300 6,290,190 2.230%, 01/18/05 45,300 45,162,587 Dexia Delaware LLC 2.060%, 12/17/04 27,129 27,104,521 DuPont (E.I.) de Nemours & Co., Inc. 2.000%, 12/03/04 27,400 27,396,923 2.090%, 12/27/04 25,000 24,961,830 Kittyhawk Funding Corp. 2.050%, 12/15/04 40,000 39,967,332 2.100%, 12/23/04 4,600 4,593,925 Koch Industries, Inc. 1.940%, 12/01/04 35,000 35,000,000 2.140%, 12/27/04 5,700 5,691,297 Nestle Capital Corp. 2.060%, 01/04/05 49,600 49,498,394 2.090%, 01/04/05 2,000 1,995,903 Paccar Financial Corp. 2.130%, 12/31/04 51,000 50,908,664 Pfizer, Inc. 2.130%, 01/14/05 12,200 12,166,599 2.140%, 01/14/05 1,700 1,695,346 Procter & Gamble Co. 2.150%, 01/19/05 10,000 9,969,429 Rabobank 2.010%, 12/15/04 50,000 49,960,720 Sheffield Receivables Corp. 1.990%, 12/06/04 35,000 34,989,937 2.220%, 01/13/05 17,500 17,452,696 Siemens Capital Corp. 1.930%, 12/02/04 18,600 18,598,955 1.840%, 12/03/04 1,100 1,099,876 2.000%, 12/07/04 13,400 13,395,488 2.010%, 12/15/04 2,700 2,697,879 2.020%, 12/15/04 16,500 16,487,038 UBS Finance Delaware, Inc. 1.930%, 12/03/04 1,000 999,888 1.905%, 12/09/04 50,000 49,977,555 Windmill Funding Corp. 1.880%, 12/02/04 $ 12,300 $ 12,299,293 1.890%, 12/03/04 18,200 18,197,907 1.930%, 12/06/04 1,050 1,049,698 2.050%, 12/21/04 16,000 15,980,800 2.080%, 12/22/04 2,000 1,997,466 2.200%, 01/21/05 2,800 2,790,876 --------------- TOTAL COMMERCIAL PAPER (Cost $725,466,064) 725,439,471 --------------- AGENCY OBLIGATIONS -- (19.4%) Federal Farm Credit Bank 2.600%, 09/07/06 44,600 44,179,511 2.750%, 09/29/06 28,000 27,791,176 Federal Home Loan Bank 2.250%, 05/15/06 34,400 34,013,619 2.875%, 08/15/06 36,000 35,847,576 Federal Home Loan Mortgage Corporation 2.750%, 08/15/06 57,000 56,650,932 2.750%, 10/15/06 16,000 15,876,512 Federal National Mortgage Association 2.125%, 04/15/06 24,000 23,714,184 3.125%, 07/15/06 48,000 48,001,872 4.375%, 10/15/06 24,300 24,819,996 2.625%, 11/15/06 25,000 24,722,100 --------------- TOTAL AGENCY OBLIGATIONS (Cost $337,757,476) 335,617,478 --------------- BONDS -- (13.5%) Bayerische Landesbank Medium Term Notes 2.500%, 04/28/06 40,700 40,032,113 Citigroup Global Markets 5.875%, 03/15/06 8,000 8,274,536 Citigroup, Inc. 5.750%, 05/10/06 38,050 39,400,166 5.500%, 08/09/06 12,400 12,854,770 General Electric Capital Corp. 2.970%, 07/26/06 52,000 51,813,788 Toyota Motor Credit Corp. 2.900%, 07/14/06 53,000 52,735,689 Wal-Mart Stores, Inc. Corporate Bonds 5.450%, 08/01/06 10,000 10,368,350 Wells Fargo & Co. 6.125%, 02/15/06 9,000 9,308,277 5.900%, 05/21/06 8,600 8,945,582 --------------- TOTAL -- BONDS (Cost $235,423,632) 233,733,271 --------------- TOTAL -- UNITED STATES (Cost $1,298,647,172) 1,294,790,220 ---------------
239
FACE AMOUNT VALUE+ ------ ------ (000) SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (10.0%) BONDS -- (10.0%) Asian Development Bank 2.375%, 03/15/06 $ 12,600 $ 12,524,211 European Investment Bank 3.000%, 08/15/06 52,600 52,497,377 Inter-American Development Bank 6.125%, 03/08/06 52,000 54,041,884 International Finance Corp. 5.250%, 05/02/06 18,400 18,905,025 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 5.000%, 03/28/06 34,600 35,541,155 --------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $175,250,352) 173,509,652 --------------- CANADA -- (4.2%) BONDS -- (4.2%) British Columbia, Province of 4.625%, 10/03/06 48,040 49,232,929 Ontario, Province of 6.000%, 02/21/06 23,000 23,790,786 --------------- TOTAL -- CANADA (Cost $73,723,799) 73,023,715 --------------- NORWAY -- (3.0%) BONDS -- (3.0%) Eksportfinans ASA 5.750%, 06/06/06 (Cost $52,206,459) $ 50,000 $ 51,889,000 --------------- GERMANY -- (6.5%) BONDS -- (6.5%) Bayerische Landesbank 2.600%, 10/16/06 10,000 9,858,720 KFW International Finance, Inc. Corporate Bonds 5.250%, 06/28/06 53,000 54,843,605 Landwirtschaft Rentenbank 4.500%, 10/23/06 (Cost $113,309,059) 47,000 112,770,541 --------------- FINLAND -- (1.3%) BONDS -- (1.3%) Republic of Finland 5.875%, 02/27/06 (Cost $23,196,023) 22,100 22,896,882 --------------- TEMPORARY CASH INVESTMENTS -- (0.3%) Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $4,525,000 FHLMC Notes 4.20%, 10/20/09, valued at $4,544,412) to be repurchased at $4,497,235 (Cost $4,497,000) 4,497 4,497,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,740,829,864) $ 1,733,377,010 ===============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 240 THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
FACE AMOUNT VALUE+ ------ ------ (000) UNITED STATES -- (48.4%) AGENCY OBLIGATIONS -- (38.1%) Federal Farm Credit Bank 2.750%, 09/29/06 $ 141,060 $ 140,007,974 Federal Home Loan Bank 2.250%, 05/15/06 13,000 12,853,984 1.875%, 06/15/06 7,000 6,874,840 2.875%, 08/15/06 77,800 77,470,595 2.625%, 10/16/06 66,000 65,327,988 Federal Home Loan Mortgage Corporation 2.375%, 04/15/06 20,000 19,830,480 5.500%, 07/15/06 21,600 22,416,286 2.750%, 08/15/06 31,500 31,307,094 2.750%, 10/15/06 90,000 89,305,380 Federal National Mortgage Association 2.125%, 04/15/06 28,000 27,666,548 2.250%, 05/15/06 17,000 16,797,122 3.125%, 07/15/06 7,000 7,000,273 4.375%, 10/15/06 121,000 123,589,279 --------------- TOTAL AGENCY OBLIGATIONS (Cost $645,035,204) 640,447,843 --------------- BONDS -- (10.3%) Citigroup, Inc. 5.750%, 05/10/06 14,700 15,221,615 6.250%, 05/15/06 28,079 29,294,175 5.500%, 08/09/06 6,600 6,842,055 General Electric Capital Corp. 2.970%, 07/26/06 45,200 45,038,139 Toyota Motor Credit Corp. 2.900%, 07/14/06 5,200 5,174,068 Toyota Motor Credit Corp. Medium Term Note 3.000%, 06/09/06 40,000 39,709,600 Wal-Mart Stores, Inc. Corporate Bonds 5.450%, 08/01/06 8,383 8,691,788 Wells Fargo & Co. 6.125%, 02/15/06 5,500 5,688,391 5.900%, 05/21/06 17,035 17,719,534 --------------- TOTAL BONDS (Cost $174,260,700) 173,379,365 --------------- TOTAL -- UNITED STATES (Cost $819,295,904) 813,827,208 --------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (13.8%) BONDS -- (13.8%) Asian Development Bank 2.375%, 03/15/06 $ 34,400 $ 34,193,084 European Bank For Reconstruction & Development 5.375%, 06/15/06 17,700 18,303,818 European Investment Bank 3.000%, 08/15/06 34,000 33,933,666 4.875%, 09/06/06 13,000 13,390,416 Inter-American Development Bank 6.125%, 03/08/06 41,800 43,441,361 Nordic Investment Bank 2.750%, 01/11/06 42,500 42,382,742 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 5.000%, 03/28/06 7,000 7,190,407 4.375%, 09/28/06 37,500 38,360,100 --------------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $233,056,184) 231,195,594 --------------- CANADA -- (11.7%) BONDS -- (11.7%) British Columbia, Province of 4.625%, 10/03/06 48,500 49,704,352 Canada Housing Trust 5.527%, 06/15/06@ 31,500 27,532,862 Canadian Government Bonds 6.750%, 08/28/06 46,700 49,557,526 Export Development Corp. 2.750%, 12/12/05 8,600 8,598,237 Manitoba, Province of 4.250%, 11/20/06 10,000 10,212,390 Ontario, Province of 3.500%, 09/08/06@ 60,300 51,164,098 --------------- TOTAL BONDS (Cost $191,967,280) 196,769,465 --------------- INVESTMENT IN CURRENCY -- (0.0%) *Canadian Dollars (Cost $830) 915 --------------- TOTAL -- CANADA (Cost $191,968,110) 196,770,380 ---------------
241
FACE AMOUNT VALUE+ ------ ------ (000) NETHERLANDS -- (5.2%) BONDS -- (5.2%) Bank Nederlandse Gemeenten 4.375%, 12/30/05 $ 37,500 $ 38,048,250 5.250%, 04/10/06 7,400 7,610,160 Nederlandse Waterschapsbank NV 4.250%, 12/28/05 10,000 10,127,000 Rabobank 5.750%, 05/25/06 30,000 31,119,000 --------------- TOTAL -- NETHERLANDS (Cost $87,632,929) 86,904,410 --------------- GERMANY -- (8.3%) BONDS -- (8.3%) Bayerische Landesbank Medium Term Notes 2.500%, 04/28/06 42,400 41,704,216 KFW International Finance, Inc. Corporate Bonds 5.250%, 06/28/06 45,000 46,565,325 Landeskreditbank Baden-Wuerttemberg - Foerderbank 4.500%, 12/30/05 7,000 7,112,700 Landwirtschaft Rentenbank 4.500%, 10/23/06 24,237 24,787,858 Landwirtschaft Rentenbank 6.625%, 12/08/05 18,500 19,166,000 --------------- TOTAL -- GERMANY (Cost $140,383,906) 139,336,099 --------------- NORWAY -- (2.8%) BONDS -- (2.8%) Eksportfinans ASA 5.750%, 06/06/06 (Cost $47,691,149) 45,700 47,426,546 --------------- SWEDEN -- (2.4%) BONDS -- (2.4%) Sweden (Kingdom of) 4.375%, 12/20/05 (Cost $40,508,185) 39,500 40,135,950 --------------- SPAIN -- (2.3%) BONDS -- (2.3%) Institut de Credito Oficial 2.750%, 12/05/05 17,000 16,976,710 2.375%, 04/18/06 22,000 21,819,600 --------------- TOTAL -- SPAIN (Cost $39,049,135) 38,796,310 --------------- UNITED KINGDOM -- (1.9%) BONDS -- (1.9%) BP Capital Markets P.L.C. 4.625%, 12/12/05 $ 5,000 $ 5,082,000 Landesbank Baden-Wuerttemberg Capital Markets P.L.C. 5.500%, 02/23/06 26,000 26,738,400 --------------- TOTAL -- UNITED KINGDOM (Cost $32,088,934) 31,820,400 --------------- FINLAND -- (1.2%) BONDS -- (1.2%) Republic of Finland 5.875%, 02/27/06 (Cost $20,467,487) 19,500 20,203,131 --------------- FRANCE -- (0.9%) BONDS -- (0.9%) Dexia Municipal Agency Medium Term Notes 5.125%, 09/11/06 (Cost $15,584,641) 15,000 15,452,100 --------------- AUSTRIA -- (0.6%) BONDS -- (0.6%) Bank Austria AG Medium Term Notes 5.750%, 06/08/06 (Cost $10,440,775) 10,000 10,366,000 --------------- TEMPORARY CASH INVESTMENTS -- (0.5%) Repurchase Agreement, PNC Capital Markets, Inc, 1.88%, 12/01/04 (Collateralized by $8,652,000 FNMA Notes 2.95%, 11/14/07, valued at $8,664,139) to be repurchased at $ 8,545,446 (Cost $8,545,000) 8,545 8,544,554 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,686,712,339) $ 1,680,778,682 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. @ Denominated in local currency or the Euro. See accompanying Notes to Financial Statements. 242 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
THE U.S. THE ENHANCED THE U.S. THE U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE SERIES SERIES SERIES SERIES ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at Value (including $365,201, $0, $450,016 and $10,389 of securities on loan, respectively) $ 3,863,486 $ 218,255 $ 4,386,085 $ 214,542 Cash 4,320 1 2 9 Receivables: Investment Securities Sold -- -- -- 2,189 Dividends, Interest, and Tax Reclaims 16,343 1,778 7,596 186 Securities Lending 23 -- 20 4 Fund Shares Sold 3,420 203 4,261 2,488 Unrealized Gain on Swap Contracts -- 1,647 -- -- Unrealized Gain on Forward Currency Contracts -- 247 -- -- Prepaid Expenses and Other Assets 2 1 2 3 ---------------- ---------------- ---------------- ---------------- Total Assets 3,887,594 222,132 4,397,966 219,421 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Payables: Upon Return of Securities Loaned 380,579 -- 469,590 10,921 Investment Securities Purchased -- -- 7,933 -- Fund Shares Redeemed 12,686 -- 1 -- Due to Advisor 73 9 318 17 Loan Payable -- -- -- 1,139 Payable for Futures Margin Variation 128 311 -- -- Accrued Expenses and Other Liabilities 209 32 211 19 ---------------- ---------------- ---------------- ---------------- Total Liabilities 393,675 352 478,053 12,096 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 3,493,919 $ 221,780 $ 3,919,913 $ 207,325 ================ ================ ================ ================ SHARES OUTSTANDING $.01 PAR VALUE N/A 25,116,592 211,325,458 16,185,232 ================ ================ ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE N/A $ 8.83 $ 18.55 $ 12.81 ================ ================ ================ ================ Investments at Cost $ 3,052,709 $ 218,228 $ 3,546,521 $ 200,849 ================ ================ ================ ================ THE U.S. THE U.S. THE U.S. THE DFA SMALL CAP SMALL MICRO INTERNATIONAL VALUE CAP CAP VALUE SERIES SERIES SERIES SERIES ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at Value (including $261,046, $156,464, $156,566 and $166,414 of securities on loan, respectively) $ 6,559,376 $ 2,498,157 $ 3,379,300 $ 3,014,121 Cash 1 -- -- 15 Receivables: Investment Securities Sold 22,769 5,363 18,627 39,221 Dividends, Interest, and Tax Reclaims 3,948 1,040 1,457 5,868 Securities Lending 197 147 298 82 Fund Shares Sold 932 106,707 2,142 4,249 Prepaid Expenses and Other Assets 51 1 20 1 ---------------- ---------------- ---------------- ---------------- Total Assets 6,587,274 2,611,415 3,401,844 3,063,557 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Payables: Upon Return of Securities Loaned 277,560 166,767 171,163 180,000 Investment Securities Purchased 13,072 18,127 13,783 78,844 Fund Shares Redeemed 396 105,251 -- 19 Due to Advisor 1,000 56 258 450 Accrued Expenses and Other Liabilities 345 124 200 201 ---------------- ---------------- ---------------- ---------------- Total Liabilities 292,373 290,325 185,404 259,514 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 6,294,902 $ 2,321,090 $ 3,216,440 $ 2,804,043 ================ ================ ================ ================ SHARES OUTSTANDING $.01 PAR VALUE 264,681,529 144,271,555 269,769,040 174,867,617 ================ ================ ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 23.78 $ 16.09 $ 11.92 $ 16.04 ================ ================ ================ ================ Investments at Cost $ 5,051,772 $ 2,130,664 $ 2,529,866 $ 2,345,082 ================ ================ ================ ================
See accompanying Notes to Financial Statements. 243
THE THE UNITED THE THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL SMALL SMALL SMALL SMALL COMPANY COMPANY COMPANY COMPANY SERIES SERIES SERIES SERIES ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at Value (including $155,648, $29,601, $0 and $53,654 of securities on loan, respectively) $ 772,092 $ 316,726 $ 381,714 $ 713,041 Cash 15 15 15 15 Receivables: Investment Securities Sold 202 1,256 5 858 Dividends, Interest, and Tax Reclaims 1,970 347 530 821 Securities Lending 206 40 -- 60 Fund Shares Sold 6,826 2,251 3,646 318 Prepaid Expenses and Other Assets 2 -- -- -- ---------------- ---------------- ---------------- ---------------- Total Assets 781,313 320,635 385,910 715,113 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Payables: Upon Return of Securities Loaned 166,179 37,129 -- 60,195 Investment Securities Purchased 9,868 426 8,057 136 Due to Advisor 49 23 30 52 Accrued Expenses and Other Liabilities 85 58 60 86 ---------------- ---------------- ---------------- ---------------- Total Liabilities 176,181 37,636 8,147 60,469 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 605,132 $ 282,999 $ 377,763 $ 654,644 ================ ================ ================ ================ Investments at Cost $ 803,307 $ 293,170 $ 284,903 $ 454,301 ================ ================ ================ ================ THE THE EMERGING THE DFA THE DFA EMERGING MARKETS ONE-YEAR TWO-YEAR GLOBAL MARKETS SMALL CAP FIXED INCOME FIXED INCOME SERIES SERIES SERIES SERIES ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at Value $ 1,161,660 $ 234,828 $ 1,733,377 $ 1,680,779 Cash 277 62 -- 15 Receivables: Investment Securities Sold 362 1,245 -- -- Dividends, Interest, and Tax Reclaims 1,494 345 9,645 21,589 Fund Shares Sold 916 2,391 -- 3,245 Unrealized Gain on Forward Currency Contracts -- -- -- 1,688 Prepaid Expenses and Other Assets 1 -- 1 1 ---------------- ---------------- ---------------- ---------------- Total Assets 1,164,710 238,871 1,743,023 1,707,317 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Payables: Investment Securities Purchased 246 372 -- -- Fund Shares Redeemed 238 -- 3,366 -- Due to Advisor 92 37 74 71 Deferred Thailand Capital Gains Tax 3,676 529 -- -- Accrued Expenses and Other Liabilities 196 68 99 114 ---------------- ---------------- ---------------- ---------------- Total Liabilities 4,448 1,006 3,539 185 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 1,160,262 $ 237,865 $ 1,739,484 $ 1,707,132 ================ ================ ================ ================ SHARES OUTSTANDING $.01 PAR VALUE N/A N/A 173,879,559 170,926,930 ================ ================ ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE N/A N/A $ 10.00 $ 9.99 ================ ================ ================ ================ Investments at Cost $ 817,432 $ 180,409 $ 1,740,830 $ 1,686,712 ================ ================ ================ ================
See accompanying Notes to Financial Statements. 244 STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS)
THE U.S. THE ENHANCED THE U.S. THE U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE SERIES SERIES SERIES SERIES -------------- -------------- -------------- -------------- INVESTMENT INCOME Dividends $ 66,149 -- $ 48,899 $ 2,228 Interest 661 $ 3,093 453 31 Income from Securities Lending 356 -- 375 64 -------------- -------------- -------------- -------------- Total Investment Income 67,166 3,093 49,727 2,323 -------------- -------------- -------------- -------------- EXPENSES Investment Advisory Services 823 88 3,190 199 Accounting & Transfer Agent Fees 494 179 952 32 Custodian Fees 108 29 303 19 Legal Fees 29 1 21 1 Audit Fees 43 1 47 5 S&P 500 Fees 80 6 -- -- Shareholders' Reports 36 1 43 1 Trustees' Fees and Expenses 33 1 27 1 Other 58 6 51 6 -------------- -------------- -------------- -------------- Total Expenses 1,704 312 4,634 264 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) 65,462 2,781 45,093 2,059 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (2,763) (321) 84,609 24,457 Net Realized Gain (Loss) on Futures 9,374 13,917 -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- (1,063) -- -- Net Realized Gain (Loss) on Swap Contracts -- 1,633 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 317,965 277 496,658 22,437 Futures 714 1,966 -- -- Swap Contracts -- 1,337 -- -- Translation of Foreign Currency Denominated Amounts -- 251 -- -- -------------- -------------- -------------- -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 325,290 17,997 581,267 46,894 -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 390,752 $ 20,778 $ 626,360 $ 48,953 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 245
THE U.S. THE U.S. THE U.S. THE DFA SMALL CAP SMALL MICRO INTERNATIONAL VALUE CAP CAP VALUE SERIES SERIES SERIES SERIES -------------- -------------- -------------- -------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $5,119, respectively) $ 50,694 $ 14,978 $ 19,046 $ 52,733 Interest 1,004 295 374 318 Income from Securities Lending 2,385 1,132 2,778 2,413 -------------- -------------- -------------- -------------- Total Investment Income 54,083 16,405 22,198 55,464 -------------- -------------- -------------- -------------- EXPENSES Investment Advisory Services 10,497 534 2,821 4,209 Accounting & Transfer Agent Fees 1,568 531 843 1,022 Custodian Fees 500 169 269 570 Legal Fees 63 12 23 20 Audit Fees 79 23 43 28 Shareholders' Reports 72 24 40 14 Trustees' Fees and Expenses 44 9 18 9 Other 88 31 54 67 -------------- -------------- -------------- -------------- Total Expenses 12,911 1,333 4,111 5,939 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) 41,172 15,072 18,087 49,525 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 580,495 113,151 346,562 115,062 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- (332) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 685,887 180,068 92,588 436,284 Translation of Foreign Currency Denominated Amounts -- -- -- 162 -------------- -------------- -------------- -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 1,266,382 293,219 439,150 551,176 -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,307,554 $ 308,291 $ 457,237 $ 600,701 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 246
THE THE JAPANESE THE PACIFIC THE UNITED CONTINENTAL SMALL RIM SMALL KINGDOM SMALL SMALL COMPANY COMPANY COMPANY COMPANY SERIES SERIES SERIES SERIES -------------- -------------- -------------- -------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $430, $214, $786 and $1,719, respectively) $ 5,742 $ 7,953 $ 8,331 $ 11,809 Interest 89 41 63 78 Income from Securities Lending 1,854 348 -- 952 -------------- -------------- -------------- -------------- Total Investment Income 7,685 8,342 8,394 12,839 -------------- -------------- -------------- -------------- EXPENSES Investment Advisory Services 448 202 283 547 Accounting & Transfer Agent Fees 485 259 359 549 Custodian Fees 226 179 102 283 Legal Fees 5 -- 2 7 Audit Fees 8 1 4 9 Shareholders' Reports 5 -- 3 6 Trustees' Fees and Expenses 4 2 2 5 Other 16 6 8 23 -------------- -------------- -------------- -------------- Total Expenses 1,197 649 763 1,429 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) 6,488 7,693 7,631 11,410 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 4,671 8,924 7,907 20,346 Net Realized Gain (Loss) on Foreign Currency Transactions (28) 69 (42) 114 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 101,600 37,804 56,621 139,855 Translation of Foreign Currency Denominated Amounts 127 16 (12) (20) -------------- -------------- -------------- -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 106,370 46,813 64,474 160,295 -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 112,858 $ 54,506 $ 72,105 $ 171,705 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 247
THE THE EMERGING THE DFA THE DFA EMERGING MARKETS ONE-YEAR TWO-YEAR GLOBAL MARKETS SMALL CAP FIXED INCOME FIXED INCOME SERIES SERIES SERIES SERIES -------------- -------------- -------------- -------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $3,796, $524, $0 and $0, respectively) $ 24,636 $ 4,085 -- -- Interest 163 34 $ 30,432 $ 31,088 -------------- -------------- -------------- -------------- Total Investment Income 24,799 4,119 30,432 31,088 -------------- -------------- -------------- -------------- EXPENSES Investment Advisory Services 844 337 884 748 Accounting & Transfer Agent Fees 691 216 403 727 Custodian Fees 983 303 153 117 Legal Fees 11 2 21 10 Audit Fees 14 3 28 23 Shareholders' Reports 10 2 21 17 Trustees' Fees and Expenses 11 1 14 17 Other 41 12 21 24 -------------- -------------- -------------- -------------- Total Expenses 2,605 876 1,545 1,683 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS) 22,194 3,243 28,887 29,405 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 84 10,731 (4,145) (6,273) Net Realized Gain (Loss) on Foreign Currency Transactions (1,491) (378) -- (7,224) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 245,707 35,801 (4,638) (2,216) Translation of Foreign Currency Denominated Amounts 61 42 -- 1,735 Deferred Thailand Capital Gains Tax (985) 410 -- -- -------------- -------------- -------------- -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 243,376 46,606 (8,783) (13,978) -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 265,570 $ 49,849 $ 20,104 $ 15,427 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 248 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE U.S. THE ENHANCED LARGE COMPANY U.S. LARGE COMPANY SERIES SERIES ------------------------- ------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 65,462 $ 45,762 $ 2,781 $ 1,729 Net Realized Gain (Loss) on Investment Securities Sold (2,763) (137,474) (321) 983 Net Realized Gain (Loss) on Futures 9,374 9,903 13,917 12,294 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (1,063) -- Net Realized Gain (Loss) on Swap Contracts -- -- 1,633 5,138 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 317,965 447,952 277 (661) Translation of Foreign Currency Denominated Amounts -- -- 251 -- Futures 714 (3,012) 1,966 1,356 Swap Contracts -- -- 1,337 (1,671) ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 390,752 363,131 20,778 19,168 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income -- -- (1,998) (1,810) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ----------- ----------- ----------- ----------- Total Distributions -- -- (1,998) (1,810) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued -- -- 73,871 54,067 Shares Issued in Lieu of Cash Distributions -- -- 1,977 1,747 Shares Redeemed -- -- (14,326) (33,101) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions -- -- 61,522 22,713 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 571,038 547,508 -- -- Withdrawals (468,868) (533,199) -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 102,170 14,309 -- -- ----------- ----------- ----------- ----------- Total Increase (Decrease) 492,922 377,440 80,302 40,071 NET ASSETS Beginning of Period 3,000,997 2,623,557 141,478 101,407 ----------- ----------- ----------- ----------- End of Period $ 3,493,919 $ 3,000,997 $ 221,780 $ 141,478 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 8,760 7,604 Shares Issued in Lieu of Cash Distributions N/A N/A 234 250 Shares Redeemed (1,698) (4,572) ----------- ----------- 7,296 3,282 =========== =========== THE U.S. THE U.S. LARGE CAP VALUE SMALL XM VALUE SERIES SERIES ------------------------- ------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 45,093 $ 31,384 $ 2,059 $ 4,044 Net Realized Gain (Loss) on Investment Securities Sold 84,609 (48,309) 24,457 64,047 Net Realized Gain (Loss) on Futures -- -- -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Net Realized Gain (Loss) on Swap Contracts -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 496,658 415,785 22,437 41,676 Translation of Foreign Currency Denominated Amounts -- -- -- -- Futures -- -- -- -- Swap Contracts -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 626,360 398,860 48,953 109,767 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (33,641) (31,464) (1,311) (2,339) Net Short-Term Gains -- -- (10,132) -- Net Long-Term Gains -- -- (10,283) (78,781) ----------- ----------- ----------- ----------- Total Distributions (33,641) (31,464) (21,726) (81,120) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 857,913 495,839 59,251 58,299 Shares Issued in Lieu of Cash Distributions 32,697 31,027 21,565 81,120 Shares Redeemed (74,078) (121,409) (80,125) (793,214) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 816,532 405,457 691 (653,795) ----------- ----------- ----------- ----------- Transactions in Interest: Contributions -- -- -- -- Withdrawals -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest -- -- -- -- ----------- ----------- ----------- ----------- Total Increase (Decrease) 1,409,251 772,853 27,918 (625,148) NET ASSETS Beginning of Period 2,510,662 1,737,809 179,407 804,555 ----------- ----------- ----------- ----------- End of Period $ 3,919,913 $ 2,510,662 $ 207,325 $ 179,407 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 50,791 36,572 5,275 7,476 Shares Issued in Lieu of Cash Distributions 1,939 2,270 2,056 10,215 Shares Redeemed (4,363) (9,461) (7,080) (90,343) ----------- ----------- ----------- ----------- 48,367 29,381 251 (72,652) =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 249
THE U.S. THE U.S. SMALL CAP VALUE SMALL CAP SERIES SERIES ------------------------- ------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 41,172 $ 25,250 $ 15,072 $ 8,625 Net Realized Gain (Loss) on Investment Securities Sold 580,495 354,502 113,151 11,512 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 685,887 1,007,496 180,068 370,338 Translation of Foreign Currency Denominated Amounts -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 1,307,554 1,387,248 308,291 390,475 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (18,623) (26,137) (10,116) (8,820) Net Short-Term Gains (55,751) -- (638) -- Net Long-Term Gains (300,806) (230,313) -- -- ----------- ----------- ----------- ----------- Total Distributions (375,180) (256,450) (10,754) (8,820) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 896,415 469,039 890,063 397,476 Shares Issued in Lieu of Cash Distributions 366,785 252,312 10,424 8,584 Shares Redeemed (418,726) (482,875) (345,420) (171,130) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 844,474 238,476 555,067 234,930 ----------- ----------- ----------- ----------- Total Increase (Decrease) 1,776,848 1,369,274 852,604 616,585 NET ASSETS Beginning of Period 4,518,054 3,148,780 1,468,486 851,901 ----------- ----------- ----------- ----------- End of Period $ 6,294,902 $ 4,518,054 $ 2,321,090 $ 1,468,486 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 42,487 29,244 60,867 34,898 Shares Issued in Lieu of Cash Distributions 18,895 17,959 728 658 Shares Redeemed (20,327) (32,884) (23,461) (15,197) ----------- ----------- ----------- ----------- 41,055 14,319 38,134 20,359 =========== =========== =========== =========== THE U.S. THE DFA MICRO CAP INTERNATIONAL VALUE SERIES SERIES ------------------------- ------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 18,087 $ 13,103 $ 49,525 $ 31,730 Net Realized Gain (Loss) on Investment Securities Sold 346,562 57,916 115,062 (3,540) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (332) 205 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 92,588 809,548 436,284 379,196 Translation of Foreign Currency Denominated Amounts -- -- 162 114 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 457,237 880,567 600,701 407,705 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (13,321) (12,775) (44,310) (30,082) Net Short-Term Gains (35,169) -- -- -- Net Long-Term Gains (22,357) (22,183) -- (1,177) ----------- ----------- ----------- ----------- Total Distributions (70,847) (34,958) (44,310) (31,259) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 408,460 339,392 728,312 542,740 Shares Issued in Lieu of Cash Distributions 67,549 34,293 42,852 31,258 Shares Redeemed (270,002) (206,440) (128,290) (471,133) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 206,007 167,245 642,874 102,865 ----------- ----------- ----------- ----------- Total Increase (Decrease) 592,397 1,012,854 1,199,265 479,311 NET ASSETS Beginning of Period 2,624,043 1,611,189 1,604,778 1,125,467 ----------- ----------- ----------- ----------- End of Period $ 3,216,440 $ 2,624,043 $ 2,804,043 $ 1,604,778 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 37,622 43,658 51,724 53,795 Shares Issued in Lieu of Cash Distributions 6,513 4,472 3,072 2,986 Shares Redeemed (24,725) (24,233) (9,358) (47,941) ----------- ----------- ----------- ----------- 19,410 23,897 45,438 8,840 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 250
THE JAPANESE THE PACIFIC RIM SMALL COMPANY SMALL COMPANY SERIES SERIES ------------------------- ------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 6,488 $ 3,245 $ 7,693 $ 4,147 Net Realized Gain (Loss) on Investment Securities Sold 4,671 (18,120) 8,924 (436) Net Realized Gain (Loss) on Foreign Currency Transactions (28) 54 69 18 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 101,600 101,101 37,804 56,281 Translation of Foreign Currency Denominated Amounts 127 16 16 4 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 112,858 86,296 54,506 60,014 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 214,817 53,153 82,852 25,155 Withdrawals (6,242) (50,797) (11,124) (50,041) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 208,575 2,356 71,728 (24,886) ----------- ----------- ----------- ----------- Total Increase (Decrease) 321,433 88,652 126,234 35,128 NET ASSETS Beginning of Period 283,699 195,047 156,765 121,637 ----------- ----------- ----------- ----------- End of Period $ 605,132 $ 283,699 $ 282,999 $ 156,765 =========== =========== =========== =========== THE UNITED KINGDOM THE CONTINENTAL SMALL COMPANY SMALL COMPANY SERIES SERIES ------------------------- ------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 7,631 $ 3,789 $ 11,410 $ 7,753 Net Realized Gain (Loss) on Investment Securities Sold 7,907 (1,016) 20,346 12,045 Net Realized Gain (Loss) on Foreign Currency Transactions (42) 30 114 315 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 56,621 42,580 139,855 120,867 Translation of Foreign Currency Denominated Amounts (12) 5 (20) 69 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 72,105 45,388 171,705 141,049 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 148,279 41,630 70,258 97,585 Withdrawals (3,538) (25,000) (35,726) (53,295) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 144,741 16,630 34,532 44,290 ----------- ----------- ----------- ----------- Total Increase (Decrease) 216,846 62,018 206,237 185,339 NET ASSETS Beginning of Period 160,917 98,899 448,407 263,068 ----------- ----------- ----------- ----------- End of Period $ 377,763 $ 160,917 $ 654,644 $ 448,407 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 251
THE THE EMERGING EMERGING MARKETS MARKETS SMALL CAP SERIES SERIES ------------------------- ------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 22,194 $ 9,466 $ 3,243 $ 1,764 Net Realized Gain (Loss) on Investment Securities Sold 84 (6,216) 10,731 332 Net Realized Gain (Loss) on Foreign Currency Transactions (1,491) (283) (378) (143) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 245,707 148,355 35,801 32,404 Translation of Foreign Currency Denominated Amounts 61 10 42 -- Deferred Thailand Capital Gains Tax (985) (1,826) 410 (720) ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 265,570 149,506 49,849 33,637 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income -- -- -- -- Net Short-Term Gains -- -- -- Net Long-Term Gains -- -- -- -- ----------- ----------- ----------- ----------- Total Distributions -- -- -- -- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued -- -- -- -- Shares Issued in Lieu of Cash Distributions -- -- -- -- Shares Redeemed -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions -- -- -- -- ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 377,916 156,160 89,119 36,904 Withdrawals (90,785) (41,298) (18,847) (1,126) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 287,131 114,862 70,272 35,778 ----------- ----------- ----------- ----------- Total Increase (Decrease) 552,701 264,368 120,121 69,415 NET ASSETS Beginning of Period 607,561 343,193 117,744 48,329 ----------- ----------- ----------- ----------- End of Period $ 1,160,262 $ 607,561 $ 237,865 $ 117,744 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued Shares Issued in Lieu of Cash Distributions N/A N/A N/A N/A Shares Redeemed THE DFA THE DFA ONE-YEAR TWO-YEAR GLOBAL FIXED INCOME FIXED INCOME SERIES SERIES ------------------------- ------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 28,887 $ 18,976 $ 29,405 $ 17,497 Net Realized Gain (Loss) on Investment Securities Sold (4,145) 9,741 (6,273) 13,434 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (7,224) (298) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (4,638) (6,678) (2,216) (9,932) Translation of Foreign Currency Denominated Amounts -- -- 1,735 306 Deferred Thailand Capital Gains Tax -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 20,104 22,039 15,427 21,007 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (26,750) (19,710) (21,943) (17,698) Net Short-Term Gains (9,586) (12,023) (13,106) -- Net Long-Term Gains (172) (10) (354) (10,965) ----------- ----------- ----------- ----------- Total Distributions (36,508) (31,743) (35,403) (28,663) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 818,007 715,785 536,479 411,930 Shares Issued in Lieu of Cash Distributions 34,532 29,506 35,234 28,394 Shares Redeemed (552,025) (273,042) (40,215) (36,366) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 300,514 472,249 531,498 403,958 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions -- -- -- -- Withdrawals -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest -- -- -- -- ----------- ----------- ----------- ----------- Total Increase (Decrease) 284,110 462,545 511,522 396,302 NET ASSETS Beginning of Period 1,455,374 992,829 1,195,610 799,308 ----------- ----------- ----------- ----------- End of Period $ 1,739,484 $ 1,455,374 $ 1,707,132 $ 1,195,610 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 81,382 70,748 53,400 40,550 Shares Issued in Lieu of Cash Distributions 3,445 2,926 3,515 2,803 Shares Redeemed (54,998) (27,014) (3,974) (3,574) ----------- ----------- ----------- ----------- 29,829 46,660 52,941 39,779 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 252 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE COMPANY SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- --- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- Return of Capital -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period NA+ NA+ NA+ NA+ NA+ ============================================================================================================================== Total Return 12.77% 15.05% (16.59)% (12.30)% (4.25)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 Ratio of Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.06% Ratio of Net Investment Income to Average Net Assets 1.99% 1.75% 1.53% 1.26% 1.12% Portfolio Turnover Rate 2% 8% 11% 8% 8% THE ENHANCED U.S. LARGE COMPANY SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 7.94 $ 6.97 $ 8.41 $ 9.92 $ 13.03 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.08 0.15 0.18 0.44 1.18 Net Gains (Losses) on Securities (Realized and Unrealized) 0.91 0.93 (1.46) (1.57) (1.62) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.99 1.08 (1.28) (1.13) (0.44) - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.10) (0.11) (0.16) (0.06) (1.30) Net Realized Gains -- -- -- -- (1.37) Return of Capital -- -- -- (0.32) -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.10) (0.11) (0.16) (0.38) (2.67) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 8.83 $ 7.94 $ 6.97 $ 8.41 $ 9.92 ============================================================================================================================== Total Return 12.50% 15.71% (15.34)% (11.66)% 4.64% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 221,780 $ 141,478 $ 101,407 $ 90,801 $ 89,927 Ratio of Expenses to Average Net Assets 0.18% 0.18% 0.18% 0.19% 0.19% Ratio of Net Investment Income to Average Net Assets 1.59% 1.44% 2.61% 4.37% 5.26% Portfolio Turnover Rate 125% 138% 183% 122% 71%
NA+ Not applicable as The U.S. Large Company Series is organized as a partnership and does not have a unitized value. See accompanying Notes to Financial Statements. 253
THE U.S. LARGE CAP VALUE SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.23 0.21 0.20 0.25 0.33 Net Gains (Losses) on Securities (Realized and Unrealized) 3.09 2.41 (1.43) 1.25 0.04 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.32 2.62 (1.23) 1.50 0.37 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.18) (0.22) (0.20) (0.27) (0.32) Net Realized Gains -- -- -- (1.50) (3.13) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.18) (0.22) (0.20) (1.77) (3.45) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 ============================================================================================================================== Total Return 21.68% 20.34% (8.64)% 10.97% 3.06% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 Ratio of Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets 1.41% 1.62% 1.49% 1.66% 2.20% Portfolio Turnover Rate 7% 7% 9% 6% 26% THE U.S. SMALL XM VALUE SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 11.26 $ 9.08 $ 10.21 $ 8.95 $ 9.03 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.24 0.10 0.15 0.15 Net Gains (Losses) on Securities (Realized and Unrealized) 2.73 2.90 0.14 1.88 0.15 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 2.85 3.14 0.24 2.03 0.30 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.08) (0.07) (0.10) (0.14) (0.15) Net Realized Gains (1.22) (0.89) (1.27) (0.63) (0.23) ----------- ----------- ----------- ----------- ----------- Total Distributions (1.30) (0.96) (1.37) (0.77) (0.38) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 12.81 $ 11.26 $ 9.08 $ 10.21 $ 8.95 ============================================================================================================================== Total Return 27.86% 38.88% 2.17% 24.10% 3.42% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 207,325 $ 179,407 $ 804,555 $ 793,190 $ 801,368 Ratio of Expenses to Average Net Assets 0.13% 0.13% 0.13% 0.13% 0.13% Ratio of Net Investment Income to Average Net Assets 1.03% 0.89% 1.04% 1.32% 2.03% Portfolio Turnover Rate 38% 43% 34% 8% 26%
See accompanying Notes to Financial Statements. 254
THE U.S. SMALL CAP VALUE SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.16 0.12 0.11 0.15 0.16 Net Gains (Losses) on Securities (Realized and Unrealized) 5.09 6.29 0.11 3.15 0.97 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 5.25 6.41 0.22 3.30 1.13 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.08) (0.12) (0.11) (0.15) (0.16) Net Realized Gains (1.59) (1.13) (1.61) (3.08) (1.66) ----------- ----------- ----------- ----------- ----------- Total Distributions (1.67) (1.25) (1.72) (3.23) (1.82) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47 ============================================================================================================================== Total Return 27.87% 46.31% 1.05% 23.86% 7.29% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 6,294,902 $ 4,518,054 $ 3,148,780 $ 3,039,844 $ 2,711,041 Ratio of Expenses to Average Net Assets 0.25% 0.25% 0.25% 0.25% 0.25% Ratio of Net Investment Income to Average Net Assets 0.78% 0.75% 0.70% 0.86% 0.92% Portfolio Turnover Rate 26% 35% 30% 13% 32% THE U.S. SMALL CAP SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.08 0.09 0.10 0.11 Net Gains (Losses) on Securities (Realized and Unrealized) 2.22 3.92 (1.00) 1.24 0.65 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 2.34 4.00 (0.91) 1.34 0.76 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.08) (0.09) (0.10) (0.10) (0.11) Net Realized Gains (0.01) -- (0.14) (1.83) (1.22) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.09) (0.09) (0.24) (1.93) (1.33) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67 ============================================================================================================================== Total Return 16.99% 40.32% (8.42)% 13.08% 6.48% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151 Ratio of Expenses to Average Net Assets 0.07% 0.08% 0.08% 0.08% 0.08% Ratio of Net Investment Income to Average Net Assets 0.85% 0.84% 0.81% 0.94% 0.99% Portfolio Turnover Rate 16% 16% 34% 13% 38%
See accompanying Notes to Financial Statements. 255
THE U.S. MICRO CAP SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 10.48 $ 7.11 $ 7.50 $ 8.19 $ 9.55 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.07 0.05 0.04 0.07 0.07 Net Gains (Losses) on Securities (Realized and Unrealized) 1.65 3.47 (0.25) 1.07 0.46 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 1.72 3.52 (0.21) 1.14 0.53 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.05) (0.05) (0.05) (0.06) (0.07) Net Realized Gains (0.23) (0.10) (0.13) (1.77) (1.82) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.28) (0.15) (0.18) (1.83) (1.89) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 11.92 $ 10.48 $ 7.11 $ 7.50 $ 8.19 ============================================================================================================================== Total Return 16.83% 50.34% (2.96)% 17.66% 5.82% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 3,216,440 $ 2,624,043 $ 1,611,189 $ 1,616,114 $ 1,443,726 Ratio of Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15% Ratio of Net Investment Income to Average Net Assets 0.64% 0.68% 0.58% 0.88% 0.76% Portfolio Turnover Rate 27% 19% 19% 14% 37% THE DFA INTERNATIONAL VALUE SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.33 0.27 0.24 0.27 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) 3.61 3.06 (0.78) (1.49) (0.31) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.94 3.33 (0.54) (1.22) (0.04) - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.30) (0.25) (0.25) (0.27) (0.26) Net Realized Gains - (0.01) (0.03) (0.43) (0.81) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.30) (0.26) (0.28) (0.70) (1.07) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 ============================================================================================================================== Total Return 32.15% 36.24% (5.53)% (10.75)% (0.51)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 Ratio of Expenses to Average Net Assets 0.28% 0.30% 0.30% 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets 2.35% 2.61% 2.36% 2.32% 2.13% Portfolio Turnover Rate 15% 14% 18% 6% 9%
See accompanying Notes to Financial Statements. 256
THE JAPANESE SMALL COMPANY SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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 NA+ NA+ NA+ NA+ NA+ ============================================================================================================================== Total Return 32.73% 47.87% (9.62)% (13.51)% (9.93)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118 Ratio of Expenses to Average Net Assets 0.27% 0.28% 0.27% 0.28% 0.27% Ratio of Net Investment Income to Average Net Assets 1.45% 1.41% 1.26% 1.41% 1.38% Portfolio Turnover Rate 5% 16% 5% 9% 6% THE PACIFIC RIM SMALL COMPANY SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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 NA+ NA+ NA+ NA+ NA+ ============================================================================================================================== Total Return 27.40% 61.47% 7.28% 2.84% (10.99)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888 Ratio of Expenses to Average Net Assets 0.32% 0.31% 0.32% 0.28% 0.29% Ratio of Net Investment Income to Average Net Assets 3.82% 3.35% 3.77% 3.69% 4.10% Portfolio Turnover Rate 11% 15% 26% 10% 7%
NA+ Not applicable as The Japanese Small Company Series and The Pacific Rim Small Company Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 257
THE UNITED KINGDOM SMALL COMPANY SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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 NA+ NA+ NA+ NA+ NA+ ============================================================================================================================== Total Return 29.68% 44.65% (4.67)% (4.89)% (6.18)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806 Ratio of Expenses to Average Net Assets 0.27% 0.26% 0.26% 0.27% 0.26% Ratio of Net Investment Income to Average Net Assets 2.70% 3.25% 3.03% 2.86% 3.06% Portfolio Turnover Rate 7% 7% 6% 14% 11% THE CONTINENTAL SMALL COMPANY SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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 NA+ NA+ NA+ NA+ NA+ ============================================================================================================================== Total Return 36.57% 52.86% 3.22% (5.43)% 2.67% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724 Ratio of Expenses to Average Net Assets 0.26% 0.30% 0.31% 0.30% 0.28% Ratio of Net Investment Income to Average Net Assets 2.09% 2.49% 2.22% 2.73% 2.36% Portfolio Turnover Rate 9% 11% 12% 12% 9%
NA+ Not applicable as The United Kingdom Small Company Series and The Continental Small Company Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 258
THE EMERGING MARKETS SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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 NA+ NA+ NA+ NA+ NA+ ============================================================================================================================== Total Return 35.47% 39.67% 2.10% (8.54)% (22.30)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 1,160,262 $ 607,561 $ 343,193 $ 307,720 $ 296,726 Ratio of Expenses to Average Net Assets 0.31% 0.34% 0.34% 0.46% 0.46% Ratio of Net Investment Income to Average Net Assets 2.63% 2.23% 1.64% 1.94% 1.33% Portfolio Turnover Rate 2% 1% 8% 6% 12% THE EMERGING MARKETS SMALL CAP SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (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 NA+ NA+ NA+ NA+ NA+ ============================================================================================================================== Total Return 35.22% 52.80% 13.07% (9.55)% (23.28)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 237,865 $ 117,744 $ 40,379 $ 34,687 $ 32,572 Ratio of Expenses to Average Net Assets 0.52% 0.54% 0.51% 0.63% 0.66% Ratio of Net Investment Income to Average Net Assets 1.93% 2.44% 2.03% 2.17% 1.69% Portfolio Turnover Rate 11% 6% 16% 14% 20%
NA+ Not applicable as The Emerging Markets Series and The Emerging Markets Small Cap Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 259
THE DFA ONE-YEAR FIXED INCOME SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 10.10 $ 10.19 $ 10.11 $ 10.01 $ 9.97 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.16 0.15 0.27 0.49 0.60 Net Gains (Losses) on Securities (Realized and Unrealized) (0.04) 0.04 0.09 0.13 0.04 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.12 0.19 0.36 0.62 0.64 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.15) (0.16) (0.28) (0.52) (0.60) Net Realized Gains (0.07) (0.12) -- -- -- Return of Capital -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.22) (0.28) (0.28) (0.52) (0.60) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 10.00 $ 10.10 $ 10.19 $ 10.11 $ 10.01 ============================================================================================================================== Total Return 1.21% 1.95% 3.57% 6.33% 6.63% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 1,739,484 $ 1,455,374 $ 992,829 $ 739,657 $ 841,506 Ratio of Expenses to Average Net Assets 0.09% 0.09% 0.09% 0.09% 0.09% Ratio of Net Investment Income to Average Net Assets 1.63% 1.51% 2.65% 4.89% 6.07% Portfolio Turnover Rate 154% 143% 154% 55% 35% THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.25 0.30 0.44 0.84 Net Gains (Losses) on Securities (Realized and Unrealized) -- (0.01) 0.16 0.22 (0.23) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.12 0.24 0.46 0.66 0.61 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.15) (0.19) (0.27) (0.14) (1.02) Net Realized Gains (0.11) (0.14) -- -- -- Return of Capital -- -- -- (0.19) -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.26) (0.33) (0.27) (0.33) (1.02) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70 ============================================================================================================================== Total Return 1.22% 2.36% 4.60% 6.91% 6.30% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 1,707,132 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518 Ratio of Expenses to Average Net Assets 0.11% 0.13% 0.14% 0.15% 0.15% Ratio of Net Investment Income to Average Net Assets 1.96% 1.78% 3.20% 4.54% 5.03% Portfolio Turnover Rate 131% 144% 138% 113% 73%
See accompanying Notes to Financial Statements. 260 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. At November 30, 2004, the Trust consisted of twenty-one investment portfolios, ("the Portfolios") of which sixteen are included in this report, (collectively, the "Series") (five are presented in separate reports): The U.S. Large Company Series The Enhanced U.S. Large Company Series The U.S. Large Cap Value Series The U.S. Small XM Value Series The U.S. Small Cap Value Series The U.S. Small Cap Series The U.S. Micro Cap Series (the "Domestic Equity Portfolios") The DFA One-Year Fixed Income Series The DFA Two-Year Global Fixed Income Series (the "Fixed Income Portfolios") The DFA International Value 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 (the "International Equity Portfolios") B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operation during the reporting period. Actual results could differ from those estimates and those differences could be material. 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. Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values securities at the mean between the quoted bid and asked prices. Securities held by the International Equity Portfolios that 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 available are valued at the mean between the most recent bid and asked prices. Fixed income instruments held by The Enhanced U.S. Large Company Series and The Fixed Income Portfolios are valued at the mean between the most recent quoted bid and asked prices or prices provided by a pricing service when such prices are believed to reflect the current market value of these securities. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are 261 either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Trustees of the Funds have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Series utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Series. When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. 2. FOREIGN CURRENCY TRANSLATION: Securities and 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 using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. 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. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Trustees' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. 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, utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust or Series are allocated using methods approved by the Board of Trustees, generally based on average net assets. The International Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Funds accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation 262 of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Trust. For the year ended November 30, 2004, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: The U.S. Large Company Series 0.025 of 1% The Enhanced U.S. Large Company Series 0.05 of 1% The U.S. Large Cap Value Series 0.10 of 1% The U.S. Small XM Value Series 0.10 of 1% The U.S. Small Cap Value Series 0.20 of 1% The U.S. Small Cap Series 0.03 of 1% The U.S. Micro Cap Series 0.10 of 1% The DFA International Value Series 0.20 of 1% The Japanese Small Company Series 0.10 of 1% The Pacific Rim Small Company Series 0.10 of 1% The United Kingdom Small Company Series 0.10 of 1% The Continental Small Company Series 0.10 of 1% The Emerging Markets Series 0.10 of 1% The Emerging Markets Small Cap Series 0.20 of 1% The DFA One-Year Fixed Income Series 0.05 of 1% The DFA Two-Year Global Fixed Income Series 0.05 of 1%
Certain officers of the Trust are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At November 30, 2004, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The U.S. Large Company Series $ 55,348 The Enhanced U.S. Large Company Series 2,850 The U.S. Large Cap Value Series 52,268 The U.S. Small XM Value Series 3,374 The U.S. Small Cap Value Series 86,943 The U.S. Small Cap Series 28,911 The U.S. Micro Cap Series 47,144 The DFA International Value Series 33,960 The Japanese Small Company Series 7,191 The Pacific Rim Small Company Series 3,222 The United Kingdom Small Company Series 4,597 The Continental Small Company Series 9,063 The Emerging Markets Series 13,548 The Emerging Markets Small Cap Series 2,710 The DFA One-Year Fixed Income Series 29,800 The DFA Two-Year Global Fixed Income Series 24,670
263 E. PURCHASE AND SALES OF SECURITIES: For the year ended November 30, 2004, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES --------------------------- --------------------------- PURCHASES SALES PURCHASES SALES ------------ ------------ ------------ ------------ The U.S. Large Company Series -- -- $ 226,523 $ 62,048 The Enhanced U.S. Large Company Series $ 57,167 $ 33,736 119,583 91,586 The U.S. Large Cap Value Series -- -- 1,043,610 211,695 The U.S. Small XM Value Series -- -- 75,050 97,684 The U.S. Small Cap Value Series -- -- 1,843,319 1,369,960 The U.S. Small Cap Series -- -- 812,693 280,940 The U.S. Micro Cap Series -- -- 876,709 751,263 The DFA International Value Series -- -- 966,299 308,148 The Japanese Small Company Series -- -- 230,758 20,708 The Pacific Rim Small Company Series -- -- 101,051 21,708 The United Kingdom Small Company Series -- -- 136,795 19,199 The Continental Small Company Series -- -- 95,467 46,846 The Emerging Markets Series -- -- 315,369 13,502 The Emerging Markets Small Cap Series -- -- 91,916 18,602 The DFA One-Year Fixed Income Series 748,882 712,621 955,633 789,249 The DFA Two-Year Global Fixed Income Series 1,201,117 1,019,667 1,253,968 898,312
F. FEDERAL INCOME TAXES: It is the intention of The Enhanced U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small XM Value Series, The U.S. Small Cap Value Series, The U.S. Small Cap Series, The U.S. Micro Cap Series, The DFA International Value Series, The DFA One-Year Fixed Income Series and The DFA Two-Year Global Fixed Income Series to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and to distribute substantially all of their taxable income and capital gains to shareholders. 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 and The Emerging Markets Small Cap Series are treated as partnerships for federal income tax purposes and therefore, no provision for federal income taxes is required. Any interest, dividends, and gains or losses have been deemed to have been "passed down" to their Feeder Funds. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of November 30, 2004, primarily attributable to realized net foreign currency gains/losses, net realized gains on securities considered to be "passive foreign investment companies", the utilization of earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes and net realized gains resulting from in-kind redemptions (amounts in thousands):
INCREASE INCREASE (DECREASE) (DECREASE) INCREASE ACCUMULATED UNDISTRIBUTED (DECREASE) NET REALIZED NET INVESTMENT PAID-IN CAPITAL GAINS (LOSSES) INCOME --------------- -------------- -------------- The Enhanced U.S. Large Company Series -- $ 1,063 $ (1,063)
264
INCREASE INCREASE (DECREASE) (DECREASE) INCREASE ACCUMULATED UNDISTRIBUTED (DECREASE) NET REALIZED NET INVESTMENT PAID-IN CAPITAL GAINS (LOSSES) INCOME --------------- -------------- -------------- The U.S. Micro Cap Series $ 79,581 $ (78,953) $ (628) The DFA International Value Series -- (11,672) 11,672 The DFA One-Year Fixed Income Series -- (26) 26 The DFA Two-Year Global Fixed Income Series -- 7,187 (7,187)
These reclassifications had no effect on net assets or net asset value per share. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- ---------- The Enhanced U.S. Large Company Series 2004 $ 1,998 -- $ 1,998 2003 1,810 -- 1,810 The U.S. Large Cap Value Series 2004 33,641 -- 33,641 2003 31,464 -- 31,464 The U.S. Small XM Value Series 2004 11,443 $ 10,283 21,726 2003 2,339 78,781 81,120 The U.S. Small Cap Value Series 2004 74,374 300,806 375,180 2003 26,137 230,313 256,450 The U.S. Small Cap Series 2004 10,754 -- 10,754 2003 8,820 -- 8,820 The U.S. Micro Cap Series 2004 48,490 22,357 70,847 2003 12,775 22,183 34,958 The DFA International Value Series 2004 44,310 -- 44,310 2003 30,082 1,177 31,259 The DFA One-Year Fixed Income Series 2004 36,362 146 36,508 2003 31,733 10 31,743 The DFA Two-Year Global Fixed Income Series 2004 35,086 317 35,403 2003 17,698 10,965 28,663
265 Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. As of November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET UNDISTRIBUTED DISTRIBUTABLE NET UNDISTRIBUTED CAPITAL EARNINGS INVESTMENT LONG-TERM LOSS (ACCUMULATED INCOME CAPITAL GAINS CARRYFORWARD LOSS) ------------- ------------- ------------ ------------- The Enhanced U.S. Large Company Series $ 1,842 -- $ (11,188) $ (9,346) The U.S. Large Cap Value Series 13,203 $ 3,947 -- 17,150 The U.S. Small XM Value Series 11,290 14,101 -- 25,391 The U.S. Small Cap Value Series 92,387 511,749 -- 604,136 The U.S. Small Cap Series 23,732 94,427 -- 118,159 The U.S. Micro Cap Series 54,927 216,958 -- 271,885 The DFA International Value Series 22,727 104,819 -- 127,546 The DFA One-Year Fixed Income Series 3,162 -- (4,145) (983) The DFA Two-Year Global Fixed Income Series 4,286 -- (6,273) (1,987)
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. At November 30, 2004, the following Series had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ------------------------------------------------- 2010 2011 2012 TOTAL ---------- ---------- ---------- ---------- The Enhanced U.S. Large Company Series $ 11,188 -- -- $ 11,188 The DFA One-Year Fixed Income Series -- -- $ 4,145 4,145 The DFA Two-Year Global Fixed Income Series -- -- 6,273 6,273
During the year ended November 30, 2004, the following Series utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes in the following approximate amounts: The Enhanced U.S. Large Company Series $ 15,562,000 The U.S. Large Cap Value Series 80,662,000 The DFA International Value Series 3,507,000
Certain of the Series' investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. The following Series had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income.
MARK TO MARKET REALIZED GAINS -------------- -------------- The DFA International Value Series $ 10,083,171 $ 12,003,955 The Japanese Small Company Series 3,639,564 92,868 The Pacific Rim Small Company Series 1,131,373 1,633,733 The United Kingdom Small Company Series 1,424,643 32,840 The Continental Small Company Series 3,269,647 1,120,728 The Emerging Markets Series 2,976,502 318,491 The Emerging Markets Small Cap Series 214,365 435,517
During the year ended November 30, 2004, The U.S. Micro Cap Series realized approximately $69,426,000 of net capital gains resulting from in-kind redemptions in which the shareholders of the Series elected to exchange shares of the Series for securities, rather than cash. Because such gains are not taxable to the Series, and are not distributed to shareholders, they have been properly reclassified from accumulated net realized gains to paid-in capital. 266 At November 30, 2004, the total cost of securities and net realized gains or losses on securities sold for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------ ------------ ------------ -------------- The U.S. Large Company Series $ 3,213,488 $ 1,038,480 $ (388,482) $ 649,998 The Enhanced U.S. Large Company Series 218,228 897 (870) 27 The U.S. Large Cap Value Series 3,546,521 1,009,036 (169,472) 839,564 The U.S. Small XM Value Series 200,959 35,166 (21,583) 13,583 The U.S. Small Cap Value Series 5,054,195 1,895,543 (390,362) 1,505,181 The U.S. Small Cap Series 2,133,706 578,316 (213,865) 364,451 The U.S. Micro Cap Series 2,531,324 1,159,731 (311,755) 847,976 The DFA International Value Series 2,355,353 738,191 (79,423) 658,768 The Japanese Small Company Series 810,005 88,467 (126,380) (37,913) The Pacific Rim Small Company Series 294,690 47,764 (25,728) 22,036 The United Kingdom Small Company Series 286,339 120,108 (24,733) 95,375 The Continental Small Company Series 457,571 287,262 (31,792) 255,470 The Emerging Markets Series 820,836 405,526 (64,702) 340,824 The Emerging Markets Small Cap Series 180,624 71,535 (17,331) 54,204 The DFA One-Year Fixed Income Series 1,740,830 14 (7,467) (7,453) The DFA Two-Year Global Fixed Income Series 1,686,713 6,486 (12,420) (5,934)
G. COMPONENTS OF NET ASSETS: At November 30, 2004, net assets consisted of (amounts in thousands):
UNREALIZED APPRECIATION (DEPRECIATION) OF ACCUMULATED ACCUMULATED FUTURES, SWAP UNREALIZED NET NET REALIZED CONTRACTS, NET FOREIGN INVESTMENT ACCUMULATED FOREIGN INVESTMENT EXCHANGE NUMBER OF PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND GAIN TOTAL NET SHARES CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED ----------- ----------- ------------ ------------ ----------------- ----------- ----------- ---------- The Enhanced U.S. Large Company Series $ 229,449 $ 1,023 $ (18,398) $ (1,063) $ 10,518 $ 251 $ 221,780 Unlimited The U.S. Large Cap Value Series 3,063,388 13,157 3,803 -- 839,565 -- 3,919,913 Unlimited The U.S. Small XM Value Series 168,629 802 24,201 -- 13,693 -- 207,325 Unlimited The U.S. Small Cap Value Series 4,186,084 23,381 577,833 -- 1,507,604 -- 6,294,902 Unlimited The U.S. Small Cap Series 1,838,985 5,149 109,463 -- 367,493 -- 2,321,090 Unlimited The U.S. Micro Cap Series 2,096,253 4,707 266,048 -- 849,432 -- 3,216,440 Unlimited
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ACCUMULATED ACCUMULATED NET NET REALIZED INVESTMENT ACCUMULATED FOREIGN PAID-IN INCOME NET REALIZED EXCHANGE CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) ---------------- ---------------- ---------------- ---------------- The DFA International Value Series $ 2,017,396 $ 18,196 $ 99,382 $ (332) The DFA One-Year Fixed Income Series 1,747,946 3,187 (4,196) -- The DFA Two-Year Global Fixed Income Series 1,715,027 9,895 (6,367) (7,224) UNREALIZED APPRECIATION (DEPRECIATION)OF FUTURES, SWAP UNREALIZED CONTRACTS, NET FOREIGN INVESTMENT EXCHANGE NUMBER OF SECURITIES AND GAIN TOTAL NET SHARES FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED ---------------- ---------------- ---------------- ---------- The DFA International Value Series $ 669,039 $ 362 $ 2,804,043 Unlimited The DFA One-Year Fixed Income Series (7,453) -- 1,739,484 Unlimited The DFA Two-Year Global Fixed Income Series (5,934) 1,735 1,707,132 Unlimited
H. FINANCIAL INSTRUMENTS: In accordance with the Series' investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty 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 with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on November 30, 2004. 2. FORWARD CURRENCY CONTRACTS: 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 only to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies. At November 30, 2004, the funds had entered into the following contracts and the related net unrealized foreign exchange gain/loss is reflected in the accompanying financial statements:
SETTLEMENT CURRENCY DATE SOLD CURRENCY ---------------- ---------------- ---------------- The Enhanced U.S. Large Company Series 12/29/04 13,778,972 Canadian Dollar The DFA Two-Year Global Fixed Income Series 12/29/04 94,231,404 Canadian Dollar Total UNREALIZED VALUE AT FOREIGN CONTRACT NOVEMBER 30, EXCHANGE AMOUNT 2004 GAIN/(LOSS) ---------------- ---------------- ---------------- The Enhanced U.S. Large Company Series $ 11,831,405 $ 11,584,544 $ 246,860 The DFA Two-Year Global Fixed Income Series 80,912,412 79,224,188 1,688,224 ---------------- ---------------- ---------------- Total $ 92,743,817 $ 90,808,732 $ 1,935,084 ================ ================ ================
Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 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 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 Series may be inhibited. 4. FUTURES CONTRACTS: During the year ended November 30, 2004, The U.S. Large Company Series ("Large Company") and The Enhanced U.S. Large Company Series ("Enhanced") entered into futures contracts in accordance with their investment objectives. Upon entering into a futures contract, Large Company and Enhanced deposit cash or pledge 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 Large Company and Enhanced as unrealized gains or losses until the contracts are 268 closed. When the contracts are closed, Large Company and Enhanced record 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 November 30, 2004, "Large Company" had outstanding 270 long futures contracts on the S&P 500 Index, all of which expire on December 17, 2004. The value of such contracts on November 30, 2004 was $79,251,750, which resulted in an unrealized gain of $2,955,600. Approximately $4,320,000 of cash has been segregated as collateral for the open futures contracts and has been accounted for as cash on the Statement of Assets and Liabilities. At November 30, 2004, "Enhanced" had outstanding 654 long futures contracts on the S&P 500 Index which expire on December 17, 2004. The value of such contracts on November 30, 2004 was $191,965,350, which resulted in an unrealized gain of $8,844,602. Risks 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 and from the possibility that the Series could lose more than the initial margin requirements. 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 agreement 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 counterparty, the accumulated net unrealized gain or loss, which will then be recorded as realized. At November 30, 2004, Enhanced had an outstanding equity index swap with Morgan Stanley dated October 15, 2004 (which represents approximately 12% of the net assets of Enhanced), terminating on April 15, 2005. The notional value of the swap was $27,705,000 and Enhanced had recorded net unrealized appreciation of $1,646,874, owed to Enhanced as of November 30, 2004. Payments made by Enhanced are based on the London Interbank Offered Rate (LIBOR) plus 0.08% 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 arise upon entering into equity index swap agreements in the event of the default or bankruptcy of a swap agreement counterparty where the swap agreement counterparty would not be able to pay any unrealized appreciation upon termination of the agreement, and in the event of unfavorable market and interest changes resulting in a liability of the Series. I. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 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 of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 28, 2005. For the year ended November 30, 2004, borrowings under the line were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD --------------- --------------- --------------- --------------- --------------- The U.S. Small XM Value Series 2.13% $ 1,106,105 38 $ 2,493 $ 3,371,000 The Pacific Rim Small Company Series 1.75% 441,938 4 86 477,750 The United Kingdom Small Company Series 2.51% 237,500 4 66 300,000
At November 30, 2004, The U.S. Small XM Value Series had a loan outstanding in the amount of $1,139,00. 269 The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2005. There were no borrowings by the Trust under the line of credit during the year ended November 30, 2004. J. SECURITIES LENDING: As of November 30, 2004, some of the Series' portfolios had securities on loan to brokers/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% 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, PNCBank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. The cash collateral received by each Portfolio from securities on loan is invested along with cash collateral from the other Portfolios of the Series in repurchase agreements collateralized by U.S. government securities. These investments are accounted for separately for each Portfolio. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. K. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 270 REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments (for The U.S. Large Company Series, The Enhanced U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small XM Value Series, The U.S. Small Cap Value Series, The U.S. Small Cap Series, The U.S. Micro Cap Series, The Japanese Small Company Series, The United Kingdom Small Company Series, The DFA One-Year Fixed Income Series and The DFA Two-Year Global Fixed Income Series) and the summary schedules of portfolio holdings (for The DFA International Value Series, The Pacific Rim Small Company Series, The Continental Small Company Series, The Emerging Markets Series and The Emerging Markets Small Cap Series), and the related statements of operations and of changes in net assets and the financial highlights presents fairly, in all material respects, the financial position of The U.S. Large Company Series, The Enhanced U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small XM Value Series, The U.S. Small Cap Value Series, The U.S. Small Cap Series, The U.S. Micro Cap Series, The DFA International Value 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, The DFA One-Year Fixed Income Series and The DFA Two-Year Global Fixed Income Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Series") at November 30, 2004, and the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2004 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 14, 2005 271 FUND MANAGEMENT TRUSTEES/DIRECTORS Each Board of Trustees/Directors of The DFA Investment Trust Company Inc. ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund Inc. ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Fund's policies and for overseeing the management of the Fund. The Trustees/Directors of the Funds, including all of the disinterested Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has two standing committees, an Audit Committee and a Portfolio Performance and Service Review Committee (the "Performance Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board of Trustee's/Directors. The Audit Committee recommends the appointment of each Fund's independent registered certified public accountanting firm and also acts as a liaison between the Fund's independent registered certified public accountanting firm and the full Board. There were four Audit Committee meetings held during the fiscal year ended November 30, 2004. The Performance Committee is comprised of Messrs. Constantinides and Ibbotson, Ms. Smith, John R. Gould, Myron S. Scholes and Robert C. Merton. Each member of the Fund's Performance Committee is a disinterested Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were three Performance Committee meetings held during the fiscal year ended November 30, 2004. Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director's experience as a Trustee/Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience. The statements of additional information (together, "SAI") of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors Inc. by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401. Prospectuses are also available at www.dfafunds.com.
NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD - ------------------------------------------------------------------------------------------------------------------------------------ DISINTERESTED TRUSTEES/DIRECTORS George M. Constantinides DFAITC - since 1993 75 portfolios in 4 Leo Melamed Professor of Finance, Graduate School of Director of DFAIDG, DIG DFAIDG - since 1983 investment companies Business, University of Chicago. and DEM. DIG - since 1993 Trustee of DFAITC. DEM - since 1993 1101 E. 58th Street Chicago, IL 60637 Date of Birth: 9/22/47 John P. Gould Director of DFAITC - since 1993 75 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor DFAIDG, DIG and DEM. DFAIDG - since 1986 investment companies of Economics, Graduate School of Business, Trustee of DFAITC. DIG - since 1993 University of Chicago. Senior Vice-President, 1101 E. 58th Street DEM - since 1993 Lexecon Inc. (economics, law, strategy and finance Chicago, IL 60637 consulting). Formerly, President, Cardean University Date of Birth: 1/19/39 (division of UNext.com). Member of the Boards of Milwaukee Mutual Insurance Company and UNext.com. Formerly, Trustee, First Prairie Funds (registered investment company). Trustee, Harbor Fund (registered investment company) (13 Portfolios).
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NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD - ------------------------------------------------------------------------------------------------------------------------------------ Roger G. Ibbotson DFAITC - since 1993 75 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Management. Director, BIRR Portfolio Analysis, Inc. and DEM. DIG - since 1993 (software products). Chairman, Ibbotson Associates, Trustee of DFAITC. DEM - since 1993 Inc., Chicago, IL (software, data, publishing and Yale School of Management consulting). Partner, Zebra Capital Management, LLC P.O. Box 208200 (hedge fund manager). Formerly, Director, Hospital New Haven, CT Fund, Inc. (investment management services). 06520-8200 Date of Birth: 5/27/43 Robert C. Merton DFA ITC - since 2003 75 portfolios in 4 John and Natty McArthur University Professor, Director of DFAIDG, DIG DFA IDG - since 2003 investment companies Graduate School of Business Administration, Harvard and DEM. DFA DIG - since 2003 University (since 1998). George Fisher Baker Trustee of DFAITC. DEM - since 2003 Professor of Business Administration, Graduate Harvard Business School School of Business Administration, Harvard 397 Morgan Hall University (1988-1998), Co-founder, Chief Science Soldiers Field Officer, Integrated Finance Limited (since 2002). Boston, MA 02163 Director, MF Risk, Inc. (risk managemetnt software) Date of Birth: 7/31/44 (since 2001). Director, Peninsula Banking Group (bank) (since 2003). Director, Community First Financial Group (bank holding company) (since 2003). Formerly, Co-Founder and Principal, Long-Term Capital Management. Director, Vical Incorporated (biopharamceutical product development). Myron S. Scholes DFAITC - since 1993 75 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Stanford University. Managing Partner, Oak Hill and DEM. DIG - since 1993 Capital Management (private equity firm). Chairman, Trustee of DFAITC. DEM - since 1993 Oak Hill Platinum Partners (hedge fund). Director, Oak Hill Capital Chicago Mercantile Exchange. Consultant, Arbor Management, Inc. Investors. Formerly, Director, Smith Breeden Family 2775 Sand Hill Rd. of Funds. Director, American Century Fund Complex Suite 220 (registered investment companies) (38 Portfolios); Menlo Park, CA 94025 and Director, Chicago Mercantile Exchange Holdings Date of Birth: 7/01/41 Inc.. Abbie J. Smith DFAITC - since 2000 75 portfolios in 4 Boris and Irene Stern Professor of Accounting, Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of Chicago, and DEM. DIG - since 2000 Formerly, Marvin Bower Fellow, Harvard Business Trustee of DFAITC. DEM - since 2000 School (9/01 to 8/02). Director, HON Industries Inc. Graduate School of Business (office furniture) and Director, Ryder System Inc. University of Chicago (transportation). 1101 East 58th Street, Chicago, IL 60637 Date of Birth: 4/30/53 INTERESTED TRUSTEES/DIRECTORS** David G. Booth DFAITC - since 1993 75 portfolios in 4 Chairman, Director, Chief Executive Officer, Chief Chairman, Director, Chief DFAIDG - since 1981 investment companies Investment Officer and President of Dimensional Fund Executive Officer, Chief DIG - since 1992 Advisors Inc., DFA Securities Inc., DFAIDG, DIG and Investment Officer and DEM - since 1993 DEM. Chairman, Trustee, Chief Executive Officer, President of DFAIDG, DIG Chief Investment Officer and President of DFAITC. and DEM. Chairman, Trustee, Director of Dimensional Fund Advisors Ltd. and Chief Executive Officer, formerly Chief Investment Officer. Director, Chief Chief Investment Officer Investment Officer and President of DFA Australia and President of DFAITC. Ltd. Formerly, Director of Dimensional Funds PLC. 1299 Ocean Avenue Chairman, Director, Chief Executive Officer and Santa Monica, CA 90401 Chief Investment Officer of Dimensional Fund Date of Birth: 12/02/46 Advisors Canada Inc. (All Chief Investment Officer positions held starting 1/1/2003 except for Dimensional Fund Advisors Canada Inc., which was from 6/17/2003.) Limited Partner, Oak Hill Partners. Director, University of Chicago Business School. Formerly, Director, SA Funds (registered investment company). Formerly Director, Assante Corporation (investment management) (until 2002).
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NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD - ------------------------------------------------------------------------------------------------------------------------------------ Rex A. Sinquefield* DFAITC - since 1993 75 portfolios in 4 Chairman and Director (and prior to 1/1/2003, Chief Chairman and Director of DFAIDG - since 1981 investment companies Investment Officer) of Dimensional Fund Advisors DFAIDG, DIG and DEM. DIG - since 1992 Inc., DFA Securities Inc., DFAIDG, DIG and DEM. Trustee and Chairman of DEM - since 1993 Chairman, Trustee (and prior to 1/1/2003, DFAITC. Chief Investment Officer) of DFAITC. Director and 1299 Ocean Avenue formerly President of Dimensional Fund Advisors Ltd. Santa Monica, CA 90401 Director (and prior to 1/1/2003, Chief Investment Date of Birth: 9/07/44 Officer) of DFA Australia Ltd. Director of Dimensional Funds PLC and Dimensional Fund Advisors Canada Inc. Trustee, St. Louis University. Life Trustee and Member of Investment Committee, DePaul University. Director, The German St. Vincent Orphan Home. Member of Investment Committee, Archdiocese of St. Louis.
(1) Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. (2) Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. ** Interested Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors Inc. OFFICERS The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401, unless otherwise indicated.
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Formerly, Vice President of DFA Vice President Australia Limited and Dimensional Fund Advisors Ltd. Date of Birth: 11/7/55 Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., and since June 2003, Secretary Dimensional Fund Advisors Canada Inc. Prior to April 2001, legal counsel Date of Birth: 1/24/67 for Dimensional (since March 2000). Associate, Jones, Day, Reavis & Pogue from October 1991 to February 2000. Stephen A. Clark Since 2004 Vice President of all the DFA Entities. April 2001 to April 2004, Vice President Portfolio Manager of Dimensional. Formerly, Graduate Student at the Date of Birth: 8/20/72 University of Chicago (Septempter 2000 to March 2001); and Associate of US Bancorp Piper Jaffrey (September 1999 to Spetember 2000). Truman A. Clark Since 1996 Vice President of all the DFA Entities. Formerly, Vice President of DFA Vice President Australia Limited and Dimensional Fund Advisors Ltd. Date of Birth: 4/8/41 Christopher S. Crossan Since 2004 Vice President of all the DFA Entities. Formerly, Senior Compliance Vice President Officer, INVESCO Institutional, Inc. and its affiliates (August 2000 Date of Birth: 12/21/65 to January 2004); Brach Chief, Investment Company and Invesment Advisor Inspections, Securities and Exchange Commission (April 1994 to August 2000).
274
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------------------ James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice President of DFA Vice President Australia Limited and Dimensional Fund Advisors Ltd. Formerly at Kansas Date of Birth: 11/29/56 State University, Arthur Andersen & Co., and Phillips Petroleum Co. Robert T. Deere Since 1994 Vice President of all the DFA Entities and DFA Australia Limited. Vice President Formerly, Vice President of Dimensional Fund Advisors Ltd. Date of Birth: 10/8/57 Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Formerly, Vice President of DFA Vice President Australia Limited. Prior to April 2001, marketing supervisor and Date of Birth: 3/18/70 marketing coordinator for Dimensional. Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and DFA Vice President and Assistant Australia Limited. Formerly, Vice President of Dimensional Fund Secretary Advisors Ltd. Date of Birth: 8/5/65 Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities. Formerly, Vice President of DFA Vice President Australia Limited and Dimensional Fund Advisors Ltd. Date of Birth: 1/21/61 Robert M. Fezekas Since 2001 Vice President of all the DFA Entities. Prior to December 2001, Vice President Portfolio Manager of Dimensional. Date of Birth: 10/28/70 Damon S. Fisher Since 2004 Vice President of all DFA Entities. Prior to April 2004, institutional Vice President client service representative of Dimensional. Date of Birth: 8/2/68 Gretchen A. Flicker Since 2004 Vice President of all DFA Entities. Prior to April 2004, institutional Vice President client service representative of Dimensional. Date of Birth: 6/9/71 Glenn S. Freed Since 2001 Vice President of all the DFA Entities. Formerly, Professor and Vice President Associate Dean of the Leventhal School of Accounting (September 1998 to Date of Birth: 11/24/61 August 2001) and Academic Director Master of Business Taxation Program (June 1996 to August 2001) at the University of Southern California Marshall School of Business. Henry F. Gray Since 2000 Vice President of all the DFA Entities. Formerly, Vice President of DFA Vice President Australia Limited. Prior to July 2000, Portfolio Manager. Date of Birth: 9/22/67 Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all the DFA Vice President, Controller and Entities, DFA Australia Limited, and Dimensional Fund Advisors Ltd. Assistant Treasurer Formerly, Assistant Secretary of Dimensional Fund Advisors Ltd.. Date of Birth: 1/22/61 Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004, Assistant Vice President Controller of Dimensional. Date of Birth: 11/29/1967 Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to April 2004, counsel of Vice President Dimensional. Formerly, an Associate at Gibson, Dunn & Crutcher LLP Date of Birth: 11/8/73 (September 1997 to August 2001). Patrick Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors Vice President Canada Inc. Formerly, Director, President and Chief Executive Officer, Date of Birth: 12/21/54 Assante Asset Management, Inc. (October 2000 to December 2002); Director, Assante Capital Management (October 2000 to December 2002); President and Chief Executive Officer, Assante Capital Management (October 2000 to April 2001); Executive Vice President, Assante Corporation (May 2001 to December 2002); Director, Assante Asset Management Ltd. (September 1997 to December 2002); President and Chief Executive Officer, Assante Asset Management Ltd. (September 1998 to May 2001); Executive Vice President, Loring Ward (financial services company) (January 1996 to September 1998).
275
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------------------ Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to April 2004, Vice President Portfolio Manager for Dimensional. Formerly, a trader at Lincoln Capital Date of Birth: 11/7/71 Fixed Income Management (formerly Lincoln Capital Management Company). Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Portfolio Vice President Manager for Dimensional Fund Advisors Inc. Formerly, Graduate Student at Date of Birth: 12/12/69 Harvard University (August 1998 to June 2000). David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client Service Manager Vice President of Dimensional. Formerly, Director of Research, Wurts and Associates Date of Birth: 2/9/60 (investment consulting firm) (December 2000 to June 2002); and President, Kobe Investment Research (August 1999 to November 2000). Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice President and Vice President and Secretary since 1997 Assistant Secretary of DFA Australia Limited (since February 2002, Date of Birth: 5/7/64 and Secretary April 1997 and May 2002, respectively). Vice President and Secretary of since 2000 Dimensional Fund Advisors Canada Inc. (since June 2003). Director, Dimensional Funds plc (since January 2002). Formerly, Assistant Secretary of all DFA Entities and Dimensional Fund Advisors Ltd. David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited and Vice President Dimensional Fund Advisors Ltd.. Date of Birth: 10/26/61 Edwardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research Associate for Vice President Dimensional (June 2000 to April 2002). Formerly, Research Scientist Date of Birth: 1/28/67 (August 1998 to June 2000), California Institute of Technology. Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the DFA Vice President, Chief Financial Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd., and Officer and Treasurer since June 2003, Dimensional Fund Advisors Canada Inc. Director, Date of Birth: 10/12/55 Dimensional Fund Advisors Ltd. (since February 2002) and Dimensional Funds, plc (January 2002). David E. Schneider Since 2001 Vice President of all the DFA Entities. Prior to 2001, Regional Director Vice President of Dimensional. Santa Monica, CA Date of Birth: 1/26/46 John C. Siciliano Since 2001 Vice President of all the DFA Entities. Director of Dimensional Fund Vice President Advisors, Ltd. Vice President of DFA Australia Limited. Formerly, Santa Monica, CA Director of Dimensional Funds plc. Formerly, Managing Principal, Date of Birth: 8/24/54 Payden & Rygel Investment Counsel (April 1998 to December 2000). Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA Australia Executive Vice President Limited. Vice President (formerly, Executive Vice President) of Santa Monica, CA Dimensional Fund Advisors Ltd. (since January 2003) and Dimensional Date of Birth: 12/2/46 Fund Advisor Canada Inc. (since June 2003). Grady M. Smith Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Portfolio Vice President Manager of Dimensional. Formerly, Principal of William M. Mercer, Date of Birth: 5/26/56 Incorporated (July 1995 to June 2001). Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to July 2000, Portfolio Vice President Manager of Dimensional. Formerly, Vice President of DFA Australia Santa Monica, CA Limited. Date of Birth: 6/8/63 Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Vice President institutional client service representative of Dimensional. Date of Birth: 11/10/47
276
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------------------ Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund Advisors Vice President Canada Inc. (since June 2003). Prior to April 2002, Regional Director of Date of Birth: 3/25/73 Dimensional. Formerly, Vice President and General Manager of Assante Global Advisors (July 2000 to April 2002); Vice President of Assante Asset Management Inc. (March 2000 to July 2000); and Private Client Manager at Loring Ward Investment Counsel Ltd. (June 1997 to February 2002). Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited, Vice President Dimensional Fund Advisors Ltd., and since June 2003, Dimensional Fund Santa Monica, CA Advisors Canada Inc. Date of Birth: 3/10/66 Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Vice President institutional client service representative of Dimensional. Date of Birth: 8/7/58 Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Formerly, Vice President of Vice President Dimensional Fund Advisors Ltd. Santa Monica, CA Date of Birth: 3/1/51 Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001, Director of Vice President Financial Advisors Services of Dimensional. Director of Dimensional Fund Santa Monica, CA Advisors Ltd. (since October 2003) and President of Dimensional Fund Date of Birth: 3/3/45 Advisors Canada Inc. (since June 2003).
(1) Each officer holds office for an indefinite term at the pleasure of the Boards of Trustee/Directors and until his or her successor is elected and qualified. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. 277 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1, 2003 and ending June 30, 2004. 278 ================================================================================ DFA Investment Dimensions Group Inc. Tax-Managed U.S. Marketwide Value Portfolio Tax-Managed U.S. Equity Portfolio Tax-Managed U.S. Small Cap Value Portfolio Tax-Managed U.S. Small Cap Portfolio Tax-Managed DFA International Value Portfolio Annual Report Year Ended November 30, 2004 ================================================================================ ANNUAL REPORT TABLE OF CONTENTS
PAGE ----- DFA INVESTMENT DIMENSIONS GROUP INC. Performance Charts 1 Management's Discussion and Analysis 3 Disclosure of Fund Expenses 7 Disclosure of Portfolio Holdings 9 Schedules of Investments 11 Tax-Managed U.S. Marketwide Value Portfolio 11 Tax-Managed U.S. Equity Portfolio 11 Tax-Managed U.S. Small Cap Value Portfolio 12 Tax-Managed U.S. Small Cap Portfolio 27 Tax-Managed DFA International Value Portfolio 53 Statements of Assets and Liabilities 58 Statements of Operations 59 Statements of Changes in Net Assets 61 Financial Highlights 63 Notes to Financial Statements 66 Report of Independent Registered Certified Public Accounting Firm 73 THE DFA INVESTMENT TRUST COMPANY Performance Charts 74 Disclosure of Fund Expenses 75 Disclosure of Portfolio Holdings 76 Schedules of Investments 77 The Tax-Managed U.S. Marketwide Value Series 77 The Tax-Managed U.S. Equity Series 91 Statements of Assets and Liabilities 115 Statements of Operations 116 Statements of Changes in Net Assets 117 Financial Highlights 118 Notes to Financial Statements 119 Report of Independent Registered Certified Public Accounting Firm 122 FUND MANAGEMENT 123 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 129
This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS [CHART] TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS. RUSSELL 3000 VALUE INDEX DECEMBER 14, 1998-NOVEMBER 30, 2004 GROWTH OF $10,000
TAX-MANAGED U.S. MARKETWIDE VALUE RUSSELL 3000 PORTFOLIO VALUE INDEX 12/14/98 $ 10,000 $ 10,000 12/31/98 $ 10,310 $ 10,636 1/31/99 $ 10,370 $ 10,695 2/28/99 $ 9,990 $ 10,500 3/31/99 $ 10,347 $ 10,695 4/30/99 $ 11,588 $ 11,693 5/31/99 $ 11,758 $ 11,598 6/30/99 $ 12,049 $ 11,941 7/31/99 $ 11,588 $ 11,596 8/31/99 $ 11,177 $ 11,167 9/30/99 $ 10,601 $ 10,789 10/31/99 $ 10,762 $ 11,349 11/30/99 $ 10,702 $ 11,269 12/31/99 $ 10,871 $ 11,342 1/31/2000 $ 10,245 $ 10,977 2/29/2000 $ 9,528 $ 10,261 3/31/2000 $ 10,649 $ 11,422 4/30/2000 $ 10,923 $ 11,302 5/31/2000 $ 10,801 $ 11,402 6/30/2000 $ 10,131 $ 10,937 7/31/2000 $ 10,639 $ 11,090 8/31/2000 $ 11,280 $ 11,698 9/30/2000 $ 11,155 $ 11,794 10/31/2000 $ 11,481 $ 12,062 11/30/2000 $ 11,001 $ 11,627 12/31/2000 $ 12,057 $ 12,251 1/31/2001 $ 12,928 $ 12,317 2/28/2001 $ 12,764 $ 11,997 3/31/2001 $ 12,384 $ 11,589 4/30/2001 $ 13,128 $ 12,154 5/31/2001 $ 13,438 $ 12,430 6/30/2001 $ 13,285 $ 12,209 7/31/2001 $ 13,099 $ 12,166 8/31/2001 $ 12,322 $ 11,709 9/30/2001 $ 10,809 $ 10,852 10/31/2001 $ 10,871 $ 10,783 11/30/2001 $ 11,900 $ 11,421 12/31/2001 $ 12,263 $ 11,720 1/31/2002 $ 11,837 $ 11,647 2/28/2002 $ 11,661 $ 11,669 3/31/2002 $ 12,161 $ 12,246 4/30/2002 $ 11,693 $ 11,891 5/31/2002 $ 11,537 $ 11,913 6/30/2002 $ 10,415 $ 11,263 7/31/2002 $ 9,124 $ 10,169 8/31/2002 $ 9,259 $ 10,237 9/30/2002 $ 8,417 $ 9,127 10/31/2002 $ 8,855 $ 9,764 11/30/2002 $ 9,469 $ 10,390 12/31/2002 $ 8,924 $ 9,939 1/31/2003 $ 8,735 $ 9,695 2/28/2003 $ 8,495 $ 9,432 3/31/2003 $ 8,498 $ 9,454 4/30/2003 $ 9,292 $ 10,291 5/31/2003 $ 10,076 $ 10,982 6/30/2003 $ 10,155 $ 11,123 7/31/2003 $ 10,479 $ 11,316 8/31/2003 $ 10,908 $ 11,511 9/30/2003 $ 10,561 $ 11,397 10/31/2003 $ 11,314 $ 12,112 11/30/2003 $ 11,627 $ 12,299 12/31/2003 $ 12,218 $ 13,033 1/31/2004 $ 12,480 $ 13,279 2/29/2004 $ 12,752 $ 13,562 3/31/2004 $ 12,744 $ 13,467 4/30/2004 $ 12,513 $ 13,109 5/31/2004 $ 12,607 $ 13,244 6/30/2004 $ 12,999 $ 13,584 7/31/2004 $ 12,547 $ 13,356 8/31/2004 $ 12,473 $ 13,541 9/30/2004 $ 12,927 $ 13,778 10/31/2004 $ 13,095 $ 14,006 11/30/2004 $ 13,980 $ 14,759
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 12/14/1998 -------------------------------------------------- 20.24% 5.49% 5.78%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 3000 Value Index is courtesy of Russell Analytic Services. [CHART] TAX-MANAGED U.S. EQUITY PORTFOLIO VS. WILSHIRE 5000 INDEX SEPTEMBER 25, 2001-NOVEMBER 30, 2004 GROWTH OF $10,000
TAX-MANAGED U.S. WILSHIRE EQUITY PORTFOLIO 5000 INDEX 9/25/2001 $ 10,000 $ 10,000 9/30/2001 $ 10,240 $ 10,278 10/31/2001 $ 10,780 $ 10,539 11/30/2001 $ 11,780 $ 11,346 12/31/2001 $ 11,967 $ 11,550 1/31/2002 $ 11,708 $ 11,407 2/28/2002 $ 11,298 $ 11,172 3/31/2002 $ 11,879 $ 11,661 4/30/2002 $ 11,209 $ 11,092 5/31/2002 $ 10,959 $ 10,961 6/30/2002 $ 10,028 $ 10,190 7/31/2002 $ 9,088 $ 9,368 8/31/2002 $ 9,188 $ 9,423 9/30/2002 $ 8,306 $ 8,478 10/31/2002 $ 8,947 $ 9,127 11/30/2002 $ 9,408 $ 9,677 12/31/2002 $ 8,856 $ 9,141 1/31/2003 $ 8,635 $ 8,911 2/28/2003 $ 8,484 $ 8,760 3/31/2003 $ 8,574 $ 8,859 4/30/2003 $ 9,258 $ 9,585 5/31/2003 $ 9,812 $ 10,171 6/30/2003 $ 9,922 $ 10,322 7/31/2003 $ 10,234 $ 10,570 8/31/2003 $ 10,526 $ 10,824 9/30/2003 $ 10,305 $ 10,704 10/31/2003 $ 10,979 $ 11,358 11/30/2003 $ 11,120 $ 11,517 12/31/2003 $ 11,568 $ 12,034 1/31/2004 $ 11,801 $ 12,302 2/29/2004 $ 11,973 $ 12,482 3/31/2004 $ 11,821 $ 12,349 4/30/2004 $ 11,629 $ 12,085 5/31/2004 $ 11,801 $ 12,252 6/30/2004 $ 12,018 $ 12,507 7/31/2004 $ 11,540 $ 12,029 8/31/2004 $ 11,540 $ 12,069 9/30/2004 $ 11,745 $ 12,284 10/31/2004 $ 11,908 $ 12,494 11/30/2004 $ 12,458 $ 13,079
AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 9/25/2001 -------------------------------------------- 12.03% 7.15%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Wilshire 5000 Index courtesy of Wilshire Associates Incorporated. [CHART] TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO VS. RUSSELL 2000 VALUE INDEX DECEMBER 11, 1998-NOVEMBER 30, 2004 GROWTH OF $10,000
TAX-MANAGED U.S. RUSSELL 2000 SMALL CAP VALUE VALUE INDEX PORTFOLIO 12/11/98 $ 10,000 $ 10,000 12/31/98 $ 10,430 $ 10,434 1/31/99 $ 10,570 $ 10,197 2/28/99 $ 9,760 $ 9,500 3/31/99 $ 9,770 $ 9,423 4/30/99 $ 10,900 $ 10,283 5/31/99 $ 11,391 $ 10,599 6/30/99 $ 12,021 $ 10,982 7/31/99 $ 11,851 $ 10,722 8/31/99 $ 11,522 $ 10,330 9/30/99 $ 11,201 $ 10,123 10/31/99 $ 10,781 $ 9,920 11/30/99 $ 11,191 $ 9,972 12/31/99 $ 11,761 $ 10,278 1/31/2000 $ 11,509 $ 10,010 2/29/2000 $ 12,172 $ 10,622 3/31/2000 $ 12,675 $ 10,671 4/30/2000 $ 12,424 $ 10,734 5/31/2000 $ 12,052 $ 10,570 6/30/2000 $ 12,354 $ 10,879 7/31/2000 $ 12,414 $ 11,241 8/31/2000 $ 13,258 $ 11,744 9/30/2000 $ 13,067 $ 11,677 10/31/2000 $ 12,756 $ 11,635 11/30/2000 $ 12,143 $ 11,397 12/31/2000 $ 13,256 $ 12,621 1/31/2001 $ 14,481 $ 12,970 2/28/2001 $ 14,299 $ 12,952 3/31/2001 $ 13,812 $ 12,744 4/30/2001 $ 14,754 $ 13,334 5/31/2001 $ 15,423 $ 13,677 6/30/2001 $ 15,939 $ 14,227 7/31/2001 $ 15,676 $ 13,908 8/31/2001 $ 15,363 $ 13,859 9/30/2001 $ 12,862 $ 12,329 10/31/2001 $ 13,550 $ 12,651 11/30/2001 $ 14,816 $ 13,561 12/31/2001 $ 15,949 $ 14,391 1/31/2002 $ 16,000 $ 14,582 2/28/2002 $ 15,806 $ 14,671 3/31/2002 $ 17,311 $ 15,770 4/30/2002 $ 17,595 $ 16,325 5/31/2002 $ 16,914 $ 15,785 6/30/2002 $ 16,101 $ 15,436 7/31/2002 $ 13,508 $ 13,142 8/31/2002 $ 13,387 $ 13,084 9/30/2002 $ 12,249 $ 12,150 10/31/2002 $ 12,452 $ 12,332 11/30/2002 $ 13,560 $ 13,316 12/31/2002 $ 12,969 $ 12,748 1/31/2003 $ 12,602 $ 12,388 2/28/2003 $ 12,093 $ 11,972 3/31/2003 $ 12,093 $ 12,100 4/30/2003 $ 13,376 $ 13,250 5/31/2003 $ 14,913 $ 14,602 6/30/2003 $ 15,442 $ 14,849 7/31/2003 $ 16,400 $ 15,590 8/31/2003 $ 17,235 $ 16,183 9/30/2003 $ 17,062 $ 15,997 10/31/2003 $ 18,752 $ 17,300 11/30/2003 $ 19,567 $ 17,965 12/31/2003 $ 20,331 $ 18,615 1/31/2004 $ 21,168 $ 19,259 2/29/2004 $ 21,495 $ 19,633 3/31/2004 $ 21,689 $ 19,904 4/30/2004 $ 20,821 $ 18,875 5/31/2004 $ 20,923 $ 19,103 6/30/2004 $ 22,017 $ 20,073 7/31/2004 $ 20,740 $ 19,150 8/31/2004 $ 20,484 $ 19,338 9/30/2004 $ 21,539 $ 20,103 10/31/2004 $ 21,733 $ 20,415 11/30/2004 $ 23,839 $ 22,226
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 12/11/1998 ----------------------------------------------------- 21.84% 16.33% 15.66%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Value Index is courtesy of Russell Analytic Services. 1 [CHART] TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000 INDEX DECEMBER 15, 1998-NOVEMBER 30, 2004 GROWTH OF $10,000
TAX-MANAGED U.S. RUSSELL SMALL CAP PORTFOLIO 2000 INDEX 12/15/98 $ 10,000 $ 10,000 12/31/98 $ 10,480 $ 10,837 1/31/99 $ 10,710 $ 10,981 2/28/99 $ 9,850 $ 10,091 3/31/99 $ 9,770 $ 10,249 4/30/99 $ 10,770 $ 11,167 5/31/99 $ 11,230 $ 11,330 6/30/99 $ 11,890 $ 11,842 7/31/99 $ 11,780 $ 11,518 8/31/99 $ 11,399 $ 11,092 9/30/99 $ 11,349 $ 11,094 10/31/99 $ 11,239 $ 11,139 11/30/99 $ 12,189 $ 11,804 12/31/99 $ 13,632 $ 13,141 1/31/2000 $ 13,641 $ 12,929 2/29/2000 $ 16,288 $ 15,064 3/31/2000 $ 15,325 $ 14,071 4/30/2000 $ 14,003 $ 13,224 5/31/2000 $ 13,101 $ 12,453 6/30/2000 $ 14,605 $ 13,539 7/31/2000 $ 14,084 $ 13,103 8/31/2000 $ 15,367 $ 14,103 9/30/2000 $ 15,076 $ 13,688 10/31/2000 $ 14,444 $ 13,078 11/30/2000 $ 12,981 $ 11,734 12/31/2000 $ 13,834 $ 12,742 1/31/2001 $ 15,242 $ 13,406 2/28/2001 $ 14,066 $ 12,527 3/31/2001 $ 13,392 $ 11,914 4/30/2001 $ 14,600 $ 12,846 5/31/2001 $ 15,223 $ 13,162 6/30/2001 $ 15,928 $ 13,616 7/31/2001 $ 15,264 $ 12,879 8/31/2001 $ 14,710 $ 12,463 9/30/2001 $ 12,496 $ 10,786 10/31/2001 $ 13,482 $ 11,417 11/30/2001 $ 14,629 $ 12,301 12/31/2001 $ 15,617 $ 13,059 1/31/2002 $ 15,415 $ 12,924 2/28/2002 $ 14,860 $ 12,570 3/31/2002 $ 16,131 $ 13,580 4/30/2002 $ 16,029 $ 13,704 5/31/2002 $ 15,252 $ 13,095 6/30/2002 $ 14,294 $ 12,446 7/31/2002 $ 12,196 $ 10,566 8/31/2002 $ 12,196 $ 10,539 9/30/2002 $ 11,277 $ 9,782 10/31/2002 $ 11,691 $ 10,096 11/30/2002 $ 12,659 $ 10,997 12/31/2002 $ 11,993 $ 10,384 1/31/2003 $ 11,650 $ 10,097 2/28/2003 $ 11,267 $ 9,792 3/31/2003 $ 11,358 $ 9,918 4/30/2003 $ 12,499 $ 10,858 5/31/2003 $ 13,902 $ 12,023 6/30/2003 $ 14,317 $ 12,241 7/31/2003 $ 15,206 $ 13,007 8/31/2003 $ 16,054 $ 13,603 9/30/2003 $ 15,863 $ 13,351 10/31/2003 $ 17,358 $ 14,473 11/30/2003 $ 18,014 $ 14,987 12/31/2003 $ 18,361 $ 15,291 1/31/2004 $ 19,200 $ 15,955 2/29/2004 $ 19,362 $ 16,098 3/31/2004 $ 19,493 $ 16,248 4/30/2004 $ 18,644 $ 15,419 5/31/2004 $ 18,836 $ 15,664 6/30/2004 $ 19,554 $ 16,324 7/31/2004 $ 18,129 $ 15,225 8/31/2004 $ 17,866 $ 15,148 9/30/2004 $ 18,766 $ 15,858 10/31/2004 $ 19,119 $ 16,170 11/30/2004 $ 20,746 $ 17,572
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 12/15/1998 ----------------------------------------------------- 15.17% 11.22% 13.03%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Index is courtesy of Russell Analytic Services. [CHART] TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS. MSCI EAFE INDEX (NET DIVIDENDS) APRIL 16, 1999-NOVEMBER 30, 2004 GROWTH OF $10,000
TAX-MANAGED DFA MSCI EAFE INTERNATIONAL INDEX (NET VALUE PORTFOLIO DIVIDENDS) 4/16/99 $ 10,000 $ 10,000 4/30/99 $ 9,980 $ 10,096 5/31/99 $ 9,510 $ 9,576 6/30/99 $ 9,910 $ 9,950 7/31/99 $ 10,301 $ 10,245 8/31/99 $ 10,451 $ 10,283 9/30/99 $ 10,491 $ 10,387 10/31/99 $ 10,441 $ 10,771 11/30/99 $ 10,240 $ 11,145 12/31/99 $ 10,756 $ 12,146 1/31/2000 $ 9,962 $ 11,374 2/29/2000 $ 9,591 $ 11,680 3/31/2000 $ 10,193 $ 12,134 4/30/2000 $ 9,882 $ 11,495 5/31/2000 $ 10,164 $ 11,215 6/30/2000 $ 10,746 $ 11,653 7/31/2000 $ 10,425 $ 11,165 8/31/2000 $ 10,505 $ 11,262 9/30/2000 $ 10,204 $ 10,714 10/31/2000 $ 10,143 $ 10,461 11/30/2000 $ 10,244 $ 10,069 12/31/2000 $ 10,760 $ 10,426 1/31/2001 $ 10,861 $ 10,421 2/28/2001 $ 10,607 $ 9,639 3/31/2001 $ 9,927 $ 8,996 4/30/2001 $ 10,576 $ 9,622 5/31/2001 $ 10,424 $ 9,282 6/30/2001 $ 10,191 $ 8,902 7/31/2001 $ 9,968 $ 8,740 8/31/2001 $ 9,998 $ 8,519 9/30/2001 $ 8,669 $ 7,656 10/31/2001 $ 8,943 $ 7,852 11/30/2001 $ 9,339 $ 8,142 12/31/2001 $ 9,345 $ 8,190 1/31/2002 $ 9,027 $ 7,755 2/28/2002 $ 9,057 $ 7,809 3/31/2002 $ 9,612 $ 8,232 4/30/2002 $ 9,777 $ 8,286 5/31/2002 $ 10,127 $ 8,391 6/30/2002 $ 9,695 $ 8,057 7/31/2002 $ 8,811 $ 7,262 8/31/2002 $ 8,801 $ 7,246 9/30/2002 $ 7,782 $ 6,467 10/31/2002 $ 8,060 $ 6,815 11/30/2002 $ 8,471 $ 7,124 12/31/2002 $ 8,211 $ 6,885 1/31/2003 $ 8,022 $ 6,598 2/28/2003 $ 7,844 $ 6,446 3/31/2003 $ 7,708 $ 6,320 4/30/2003 $ 8,484 $ 6,940 5/31/2003 $ 9,071 $ 7,361 6/30/2003 $ 9,365 $ 7,539 7/31/2003 $ 9,742 $ 7,721 8/31/2003 $ 10,088 $ 7,907 9/30/2003 $ 10,424 $ 8,151 10/31/2003 $ 11,169 $ 8,659 11/30/2003 $ 11,368 $ 8,851 12/31/2003 $ 12,205 $ 9,543 1/31/2004 $ 12,546 $ 9,678 2/29/2004 $ 12,888 $ 9,901 3/31/2004 $ 13,079 $ 9,957 4/30/2004 $ 12,685 $ 9,732 5/31/2004 $ 12,792 $ 9,765 6/30/2004 $ 13,318 $ 9,979 7/31/2004 $ 12,801 $ 9,655 8/31/2004 $ 12,898 $ 9,697 9/30/2004 $ 13,250 $ 9,951 10/31/2004 $ 13,726 $ 10,290 11/30/2004 $ 14,743 $ 10,993
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 4/16/1999 -------------------------------------------------- 29.69% 7.56% 7.15%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International. 2 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004 The performance for the U.S. equity market for the year under review was attributable primarily to two factors: the behavior of large company stocks relative to small company stocks and the behavior of growth stocks relative to value stocks. Company size is measured by market capitalization, and "value" classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks sell for low prices relative to their earnings, dividends, and book values. Of the two factors, the growth/value distinction was the more significant during the year ended November 30, 2004: value stocks outperformed growth stocks by a significant margin. Results were also a function of differences in size characteristics, but this effect was less pronounced. % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004 Russell 3000 Value Index 20.00% Russell 3000 Growth Index 6.24% CRSP 9-10 Index (micro cap companies) 14.99% Russell 2000 Index (small companies) 17.25% Russell 1000 Index (large companies) 12.64%
When the size sectors are further segmented by value and growth characteristics, the distinction in performance between sectors is more pronounced. The superior performance of small value stocks relative to large growth stocks was particularly strong. % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004 Russell 2000 Value Index (small value companies) 23.72% Russell 2000 Growth Index (small growth companies) 10.84% Russell 1000 Value Index (large value companies) 19.65% Russell 1000 Growth Index (large growth companies) 5.83%
- ---------- Source: Frank Russell Co.; Center for Research in Security Prices, University of Chicago; Standard & Poor's Differences in returns for the various Dimensional U.S. equity funds over the year ended November 30, 2004 were attributable primarily to differences in value/growth and size characteristics. Moreover, the portfolio construction approach used by Dimensional Fund Advisors Inc. (the "Advisor") generally results in portfolios with greater emphasis on value or small company characteristics relative to widely-used index benchmarks. As a result, in years when value or small company index benchmarks have outperformed growth or large company index benchmarks, it should not be surprising to find investment strategies with a greater exposure to small company or value characteristics outperform growth and large company benchmarks. MASTER-FEEDER STRUCTURE Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called "Master Funds." Master Funds, in turn, purchase stocks, bonds, and/or other securities. DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO The Tax-Managed U.S. Marketwide Value Portfolio seeks to capture the returns of U.S. value stocks by purchasing shares of a Master Fund that invests in such stocks. The Master Fund also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to U.S. value stocks, but does not attempt to track closely a 3 specific equity index. As of November 30, 2004, the Master Fund held 1,623 stocks and essentially was fully invested in equities throughout the year: cash equivalents averaged less than 1.30% of the Master Fund's assets. As a result of the Master Fund's diversified investment approach, performance principally was determined by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, value stocks generally outperformed growth issues. Total returns were 12.85% for the S&P 500(R) Index, 20.00% for the Russell 3000 Value Index, and 6.24% for the Russell 3000 Growth Index. Total return for the Tax-Managed U.S. Marketwide Value Portfolio over this year was 20.24%. Relative to the Russell 3000 Value Index, superior performance of the Portfolio was primarily due to greater exposure to stocks with more pronounced value characteristics (measured by book-to-market ratio). Stocks falling in the top quartile when ranked by book-to-market ratio outperformed other stocks in the Russell 3000 Value Index and average weight allocated to this sector was 85% of the Portfolio compared to 51% of the Index. TAX-MANAGED U.S. EQUITY PORTFOLIO The Tax-Managed U.S. Equity Portfolio seeks to capture the returns associated with the broad universe of U.S. stocks by purchasing shares of a Master Fund that invests in such stocks. The Master Fund also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to the U.S. equity universe, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Master Fund held 2,750 stocks, and essentially was fully invested in equities throughout the year: cash equivalents averaged less than 1.20% of the Master Fund's assets during this year. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, total returns were 12.85% for the S&P 500(R) Index, 13.04% for the Russell 3000 Index, and 12.03% for the Tax-Managed U.S. Equity Portfolio. Relative to the Russell 3000 Index, the underperformance of the Portfolio was primarily due to lesser exposure to REIT securities. Total return for the Wilshire REIT Index was 30.40%, outperforming other stocks in the Russell 3000 Index by a significant margin. The average weight allocated to this sector was 0% for the Portfolio compared to 2% for the Russell 3000 Index. To a lesser extent, underperformance was also due to less exposure to energy stocks, the best-performing industry sector. The average weight allocated to this sector was 5% for the Portfolio compared to 6% for the Index. TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO The Tax-Managed U.S. Small Cap Value Portfolio seeks to capture the returns of U.S. small company value stocks in a manner that maximizes the after-tax value of a shareholder's investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company value stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Portfolio held 1,686 stocks and essentially was fully invested in equities throughout the year: cash equivalents averaged less than 1.50% of the Portfolio's assets. As a result of the Portfolio's diversified investment approach, performance principally was determined by broad structural trends in the securities markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, small company stocks generally outperformed large company stocks, and value stocks generally outperformed growth stocks. Total returns during this year were 12.85% for the S&P 500(R) Index, 23.72% for the Russell 2000 Value Index, and 21.84% for the Tax-Managed U.S. Small Cap Value Portfolio. Relative to the Russell 2000 Value Index, underperformance of the Portfolio was primarily due to greater exposure to very small company stocks. Stocks falling in the bottom 2.5% of the US equity universe when ranked by market capitalization underperformed the Russell 2000 Value Index, and average weight allocated to this sector was 26% for the Portfolo compared to 16% for the Index. To a lesser extent, underperformance was also due to lesser exposure to REIT securities. Total return for the Wilshire REIT Index was 30.40%, and the average weight allocated to this sector was 0% for the Portfolio and 11% for the Index. 4 TAX-MANAGED U.S. SMALL CAP PORTFOLIO The Tax-Managed U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks in a manner that maximizes the after tax value of a shareholder's investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2004, the Portfolio held 2,941 stocks, and essentially was fully invested in equities throughout the year: cash equivalents averaged less than 1.20% of the Portfolio's assets. As a result of the Portfolio's diversified investment approach, performance principally was determined by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, small company stocks generally outperformed large company stocks. Total returns during this year were 12.85% for the S&P 500(R) Index, 17.25% for the Russell 2000 Index, and 15.17% for the Tax-Managed U.S. Small Cap Portfolio. Relative to the Russell 2000 Index, underperformance of the Portfolio was primarily due to lower exposure to REIT securities, which performed relatively well. Total return for the Dow Jones Wilshire REIT Index was 30.40%, and the Portfolio had zero exposure to REITs compared to an average weight of 6% in the Index. Underperformance was also attributable to the Portfolio's greater exposure to very small stocks, which performed relatively poorly. Stocks falling in the bottom 2.5% of market capitalization comprised 24% of average Portfolio weight compared to 17% of the Index. INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004 International equity markets had generally positive returns for the year under review. When expressed in local currencies, prices rose in all of the largest country constituents of the MSCI EAFE Index. Net returns were enhanced considerably by appreciation in the euro, Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona relative to the U.S. dollar. The overall effect of currency exchange rate changes was a material improvement in returns for U.S. dollar-based investors: total return for the MSCI EAFE Index (net dividends) was 13.08% in local currency and 24.19% in U.S. dollars. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
LOCAL CURRENCY U.S. DOLLAR TEN LARGEST DEVELOPED MARKETS RETURN RETURN - ------------------------------ ----------- ----------- United Kingdom (net dividends) 12.03% 24.51% Japan (net dividends) 10.69% 17.86% France 12.62% 24.86% Switzerland 5.03% 19.32% Germany 11.22% 23.29% Netherlands 6.65% 18.21% Australia 28.04% 37.29% Italy 17.28% 30.03% Spain 23.45% 36.88% Sweden 29.85% 45.79%
Gross returns unless otherwise noted. - ---------- Source: Morgan Stanley Capital International Mirroring the U.S. experience, large company growth stocks were the poorest-performing asset class in international markets, while small company stocks had the best relative results. 5 % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004 (U.S. DOLLARS) MSCI EAFE Small Cap Index (net dividends) 32.17% Citigroup Extended Market Index EPAC (small companies) 30.10% MSCI EAFE Value Index (net dividends) 29.32% MSCI EAFE Index (net dividends) 24.19% MSCI EAFE Growth Index (net dividends) 19.07%
Returns in emerging markets were higher, on average, than in developed country markets, although results varied widely among individual countries. For the year under review, total returns were 25.32% for the MSCI Emerging Markets Free Index (net dividends), and 24.19% for the MSCI EAFE Index (net dividends). % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
TOTAL RETURNS COUNTRY (U.S. $) - ------- -------- Brazil 34.91% Argentina 25.55% Thailand 2.99% Chile 31.00% Indonesia 49.70% Hungary 84.84% Israel 14.51% Poland 63.81% Taiwan 7.55% Mexico 43.28% Malaysia 17.71% Philippines 38.36% Turkey 57.65% South Korea 26.73%
- ---------- Source: DataStream International INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO The Tax-Managed DFA International Value Portfolio seeks to capture the returns of international large company value stocks in a manner that maximizes the after-tax value of a shareholder's investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to track closely a specific equity index. The Portfolio held 768 stocks in 22 developed country markets, as of November 30, 2004, and essentially was fully invested in equities throughout the year: cash equivalents averaged less than 0.90% of the Portfolio's assets. As a result of the Portfolio's diversified investment approach, performance principally was determined by broad structural trends in global equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2004, value stocks outperformed growth stocks in international markets, mirroring a trend observed in the United States. Total returns were 24.19% for the MSCI EAFE Index (net dividends), 19.07% for the MSCI EAFE Growth Index (net dividends) and 29.32% for the MSCI EAFE Value Index (net dividends). Total return for the Tax-Managed DFA International Value Portfolio over this year was 29.69%. Relative to the MSCI EAFE Value Index, superior performance of the Portfolio was primarily due to greater exposure to stocks with more pronounced value characteristics (measured by book-to-market ratio). International stocks falling in the top quartile when ranked by book-to-market ratio outperformed other stocks in the MSCI EAFE Value Index and average weight allocated to this sector was 63% for the Portfolio compared to 31% for the Index. 6 DISCLOSURE OF FUND EXPENSES The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholders reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated and may be different from the expense ratio in the Financial Highlights which is for the year ended November 30, 2004. FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/04 11/30/04 RATIO PERIOD* ----------- ----------- ----------- ----------- TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,108.90 0.42% $ 2.21 Hypothetical 5% Return $ 1,000.00 $ 1,022.90 0.42% $ 2.12 TAX-MANAGED U.S. EQUITY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,055.70 0.25% $ 1.28 Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
7
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/04 11/30/04 RATIO PERIOD* ----------- ----------- ----------- ----------- TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,139.40 0.56% $ 3.00 Hypothetical 5% Return $ 1,000.00 $ 1,022.20 0.56% $ 2.83 TAX-MANAGED U.S. SMALL CAP PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,101.40 0.57% $ 2.99 Hypothetical 5% Return $ 1,000.00 $ 1,022.15 0.57% $ 2.88 TAX-MANAGED DFA INTERNATIONAL PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,152.50 0.65% $ 3.50 Hypothetical 5% Return $ 1,000.00 $ 1,021.75 0.65% $ 3.29
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 8 DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete schedule of investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its first Form N-Q with the SEC on October 28, 2004. It is available upon request, without charge, by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a schedule of investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO Industrials 19.4% Consumer Discretionary 19.3 Financials 15.1 Information Technology 15.0 Materials 10.5 Health Care 7.7 Energy 7.3 Consumer Staples 3.6 Telecommunication Services 1.0 REITS 0.4 Other 0.4 Utilities 0.3 ----- 100.0% =====
9 TAX-MANAGED U.S. SMALL CAP PORTFOLIO Information Technology 21.4% Consumer Discretionary 18.1 Industrials 15.9 Health Care 14.5 Financials 10.7 Energy 6.5 Materials 5.9 Consumer Staples 3.1 Utilities 2.2 Telecommunication Services 1.3 REITS 0.2 Other 0.2 ----- 100.0% =====
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO Financials 31.5% Consumer Discretionary 18.7 Industrials 14.4 Materials 14.0 Consumer Staples 5.3 Telecommunication Service 4.7 Utilities 3.9 Energy 3.8 Information Technology 1.9 Health Care 1.8 ----- 100.0% =====
10 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULE OF INVESTMENTS TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO NOVEMBER 30, 2004
VALUE+ ---------------- Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust Company $ 1,197,433,699 ---------------- Total Investments (100%) (Cost $861,075,548) $ 1,197,433,699 ================
TAX-MANAGED U.S. EQUITY PORTFOLIO NOVEMBER 30, 2004
VALUE+ ---------------- Investment in The Tax-Managed U.S. Equity Series of The DFA Investment Trust Company $ 618,949,049 ---------------- Total Investments (100%) (Cost $524,296,361) $ 618,949,049 ================
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 11 TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ---------------- --------------- COMMON STOCKS -- (93.7%) 1st Source Corp. 80,510 $ 2,113,387 21st Century Insurance Group 224,300 2,911,414 * 3-D Systems Corp. 5,400 86,994 * 4Kids Entertainment, Inc. 59,800 1,221,714 * A.C. Moore Arts & Crafts, Inc. 19,400 558,526 * AAR Corp. 204,500 2,795,515 ABC Bancorp 6,360 131,652 *# Abiomed, Inc. 35,900 544,962 * ABX Air, Inc. 152,700 1,200,222 * Accelrys, Inc. 228,834 1,432,501 Aceto Corp. 23,175 393,975 * Aclara BioSciences, Inc. 157,635 658,914 * Acme Communications, Inc. 125,720 739,234 * ACT Teleconferencing, Inc. 49,900 56,387 * Actel Corp. 149,576 2,566,724 Action Performance Companies, Inc. 91,300 985,127 * ActivCard Corp. 181,637 1,445,831 * Active Power, Inc. 302,120 1,374,646 * Activision, Inc. 9,300 146,196 Adams Resources & Energy, Inc. 2,200 39,050 * Adaptec, Inc. 154,631 1,206,122 * Adept Technology, Inc. 36,350 59,977 * Administaff, Inc. 161,995 2,413,725 * Advanced Digital Information Corp. 290,230 2,664,311 * Advanced Energy Industries, Inc. 67,500 577,125 Advanced Marketing Services, Inc. 91,495 983,571 * Advanced Power Technology, Inc. 63,356 475,804 Advanta Corp. Class A 57,400 1,284,612 Advanta Corp. Class B Non-Voting 88,400 2,110,992 * Advent Software, Inc. 20 400 * Aehr Test Systems 4,700 10,246 * AEP Industries, Inc. 44,900 491,206 * Aeroflex, Inc. 94,112 1,152,872 * Aether Systems, Inc. 253,087 941,484 * Aftermarket Technology Corp. 101,851 1,774,244 *# AGCO Corp. 86,200 1,878,298 * Agile Software Corp. 208,570 1,743,645 Agilysys, Inc. 194,153 3,209,349 * Air Methods Corp. 72,742 528,834 Airgas, Inc. 121,800 3,237,444 * AirNet Systems, Inc. 64,900 214,170 * Airspan Networks, Inc. 47,274 259,534 * AK Steel Holding Corp. 52,354 675,890 Alamo Group, Inc. 44,000 919,600 * Alaska Air Group, Inc. 144,200 4,503,366 Albany International Corp. Class A 84,500 2,826,525 * Albany Molecular Research, Inc. 173,367 1,858,494 Albemarle Corp. 118,400 4,717,056 * Alderwoods Group, Inc. 25,200 266,616 Alexander & Baldwin, Inc. 132,565 5,608,825 * Alexion Pharmaceuticals, Inc. 62 1,282 Alfa Corp. 137,222 2,078,913 * Alico, Inc. 8,700 485,112 * All American Semiconductor, Inc. 9,600 58,560 Allegheny Technologies, Inc. 52,447 1,153,834 Allen Organ Co. Class B 400 26,154 * Alliance Semiconductor Corp. 252,314 883,099 * Allied Defense Group, Inc. 50,400 $ 1,032,192 * Allied Healthcare Products, Inc. 17,500 108,325 * Allied Holdings, Inc. 13,000 33,345 * Allmerica Financial Corp. 62,300 2,027,865 * Allos Therapeutics, Inc. 19,700 41,370 * Alloy, Inc. 107,699 484,645 * Allscripts Healthcare Solutions, Inc. 125,300 1,234,205 Alpharma, Inc. Class A 326,300 5,419,843 Ambassadors Group, Inc. 13,100 455,618 Ambassadors International, Inc. 41,300 567,462 * AMC Entertainment, Inc. 101,000 1,952,330 * Amcast Industrial Corp. 18,500 10,175 AMCOL International Corp. 38,700 781,740 * Amerco, Inc. 43,700 1,798,255 *# America West Holdings Corp. Class B 312,600 1,816,206 American Axle & Manufacturing Holdings, Inc. 35,000 1,020,600 * American Biltrite, Inc. 900 10,710 * American Dental Partners, Inc. 24,200 443,102 American Financial Group, Inc. 28,400 894,032 American Greetings Corp. Class A 85,300 2,270,686 * American Independence Corp. 19,866 293,619 # American Italian Pasta Co. 104,700 2,016,522 * American Medical Security Group, Inc. 86,600 2,799,778 American Pacific Corp. 4,200 35,070 * American Physicians Capital, Inc. 53,314 1,775,889 American Physicians Services Group, Inc. 1,900 19,285 American Shared Hospital Services 9,600 50,592 American Software, Inc. Class A 86,100 512,295 * American Superconductor Corp. 57,549 796,823 * American Technical Ceramics Corp. 16,200 162,162 * American Tower Corp. 47,100 853,923 * America's Car-Mart, Inc. 21,800 800,060 * AmeriCredit Corp. 71,400 1,495,116 * AmeriServe Financial, Inc. 90,025 468,130 Ameristar Casinos, Inc. 11,400 458,850 Ameron International Corp. 42,900 1,629,342 # AmerUs Group Co. 110,400 4,810,128 Ampco-Pittsburgh Corp. 19,600 264,012 Amrep Corp. 11,000 195,690 * Amtech Systems, Inc. 3,600 15,300 *# Anadigics, Inc. 205,111 691,224 * Analex Corp. 32,600 132,030 Analogic Corp. 71,906 3,258,780 * Analysts International Corp. 138,883 465,258 * Anaren, Inc. 120,951 1,624,856 Andersons, Inc. 9,300 212,784 * Andrew Corp. 247,842 3,519,356 * Angeion Corp. 6 15 * Angelo & Maxie's, Inc. 1,400 1,043 * AngioDynamics, Inc. 3,082 49,312 # Anixter International, Inc. 30,600 1,154,538 * AnnTaylor Stores Corp. 171,175 3,755,579 * AnswerThink, Inc. 156,462 705,644
12
SHARES VALUE+ ---------------- --------------- * APA Enterprises, Inc. 50,800 $ 109,728 * APAC Customer Services, Inc. 69,269 117,757 Apogee Enterprises, Inc. 88,520 1,290,622 * Applica, Inc. 200,200 1,011,010 * Applied Extrusion Technologies, Inc. 24,200 4,114 * Applied Films Corp. 87,428 1,937,404 Applied Industrial Technologies, Inc. 92,300 3,844,295 * Applied Innovation, Inc. 69,100 247,378 * Applied Micro Circuits Corp. 390,600 1,437,408 Applied Signal Technologies, Inc. 35,772 1,357,905 * Apropos Technology, Inc. 122,260 365,557 Aptargroup, Inc. 40,200 2,112,510 * aQuantive, Inc. 34 295 * Arch Capital Group, Ltd. 8,800 342,760 Arch Chemicals, Inc. 111,900 3,267,480 # Arch Coal, Inc. 51,200 1,955,840 Arctic Cat, Inc. 19,900 531,529 *# Arena Pharmaceuticals, Inc. 180,130 1,008,746 * Argonaut Group, Inc. 129,326 2,571,001 * Ariba, Inc. 108,928 1,797,312 Arkansas Best Corp. 71,115 3,066,479 * Arlington Hospitality, Inc. 8,200 23,780 * Armor Holdings, Inc. 18,600 802,962 * Arqule, Inc. 128,308 710,826 * Arris Group, Inc. 484,000 2,753,960 * Art Technology Group, Inc. 10,310 11,444 * Artesyn Technologies, Inc. 200,356 1,907,389 ArvinMeritor, Inc. 22,100 485,095 ASB Financial Corp. 2,500 55,625 * Ascential Software Corp. 212,310 2,902,278 * Ashworth, Inc. 95,925 868,121 * Aspen Technology, Inc. 95,163 549,091 Associated Banc-Corp 16,195 538,160 *# Astea International, Inc. 560 4,015 * Astec Industries, Inc. 92,662 1,541,896 Astro-Med, Inc. 11,570 104,489 *# AstroPower, Inc. 61,100 580 * Atlantic American Corp. 29,400 88,200 * Atlantis Plastics, Inc. 1,700 28,135 Atrion Corp. 4,000 180,880 * ATS Medical, Inc. 28,353 112,561 * Atwood Oceanics, Inc. 22,200 1,163,946 * Audiovox Corp. Class A 132,543 1,981,518 * Ault, Inc. 13,600 42,976 *# Avatar Holdings, Inc. 16,400 775,228 * Aviall, Inc. 72,200 1,641,828 * Avici Systems, Inc. 88,112 630,001 * Avigen, Inc. 164,847 568,722 * Avnet, Inc. 5,552 102,157 * Avocent Corp. 74,200 2,814,406 *# AVTEAM, Inc. Class A 12,700 19 * Aware, Inc. 139,100 682,981 * Axcelis Technologies, Inc. 214,563 1,566,310 * Axsys Technologies, Inc. 12,600 227,808 * AXT, Inc. 55,055 93,593 * Aztar Corp. 92,800 3,138,496 * AZZ, Inc. 30,000 457,500 * Badger Paper Mills, Inc. 400 1,696 Bairnco Corp. 10,900 127,530 * Baker (Michael) Corp. 16,600 312,080 Baldwin & Lyons, Inc. Class B 15,250 396,500 * Ballantyne of Omaha, Inc. 22,700 $ 97,383 * Bancinsurance Corp. 11,695 86,777 Bandag, Inc. 12,250 610,907 Bandag, Inc. Class A 18,200 829,556 Bank of Hawaii Corp. 91,300 4,432,615 BankAtlantic Bancorp, Inc. Class A 1,545 29,355 * BankUnited Financial Corp. Class A 99,650 3,063,241 Banner Corp. 50,619 1,671,439 Banta Corp. 12,900 574,050 Barnes Group, Inc. 27,200 712,096 * Barry (R.G.) Corp. 27,400 95,900 Bassett Furniture Industries, Inc. 47,586 937,920 Bay View Capital Corp. 24,790 426,388 * BayCorp Holdings, Ltd. 182 2,302 # Beazer Homes USA, Inc. 55,759 6,914,116 Bel Fuse, Inc. Class A 2,900 84,970 Belden CDT, Inc. 260,250 6,035,197 * Bell Industries, Inc. 31,600 91,956 * Bell Microproducts, Inc. 179,784 1,537,153 * Benchmark Electronics, Inc. 121,190 4,247,709 Berkley (W.R.) Corp. 123,075 5,581,451 * Beverly Enterprises, Inc. 255,600 2,216,052 Beverly Hills Bancorp, Inc. 2,200 21,802 *# Big Lots, Inc. 435,700 5,054,120 * Bio-Rad Laboratories, Inc. Class A 12,300 697,410 * Biosource International, Inc. 31,500 207,270 Black Box Corp. 105,809 4,515,928 Blair Corp. 42,800 1,498,000 # Blockbuster, Inc. Class A 169,200 1,434,816 * Blue Martini Software, Inc. 92,815 257,933 * Bluegreen Corp. 159,100 2,529,690 * BNS Co. Class A 8,500 56,525 Bob Evans Farms, Inc. 123,039 3,106,735 * Boca Resorts, Inc. 212,500 5,087,250 * Bogen Communications International, Inc. 34,900 171,882 * Bolt Technology Corp. 5,600 29,344 * Bombay Co., Inc. 298,000 2,062,160 Bon-Ton Stores, Inc. 61,191 856,674 * Bookham, Inc. 13,600 72,896 Books-A-Million, Inc. 81,786 754,067 # Borders Group, Inc. 3,500 79,730 BorgWarner, Inc. 220,000 11,013,200 * Borland Software Corp. 21,616 252,691 Boston Acoustics, Inc. 7,500 103,125 * Boston Communications Group, Inc. 146,571 1,304,482 BostonFed Bancorp, Inc. 2,900 127,281 * Bottomline Technologies, Inc. 67,400 788,580 Bowl America, Inc. Class A 3,528 49,745 Bowne & Co., Inc. 219,000 3,372,600 Boyd Gaming Corp. 141,800 5,212,568 * Boyds Collection, Ltd. 248,000 870,480 * Brigham Exploration Co. 6,900 64,515 * Brightpoint, Inc. 78,975 1,509,212 * Brillian Corp. 31,200 96,096 # Brookline Bancorp, Inc. 173,028 2,803,054 * Brooks Automation, Inc. 43,800 672,330 * Brookstone, Inc. 78,825 1,442,497 * Brooktrout, Inc. 62,060 760,856 Brown Shoe Company, Inc. 119,400 3,405,288 * Bruker BioSciences Corp. 368,056 1,696,738
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SHARES VALUE+ ---------------- --------------- * Brush Engineered Materials, Inc. 58,400 $ 1,138,800 * BTU International, Inc. 14,600 43,508 * Buca, Inc. 126,301 757,806 * Buckeye Technologies, Inc. 202,100 2,504,019 Building Materials Holding Corp. 85,135 3,103,171 Burlington Coat Factory Warehouse Corp. 229,655 5,353,258 * Butler International, Inc. 18,400 84,272 C&D Technologies, Inc. 144,100 2,497,253 * C-COR, Inc. 37,450 335,177 Cabot Oil & Gas Corp. 56,700 2,743,146 Cadmus Communications Corp. 14,858 206,244 * CalAmp Corp. 85,243 815,776 Calgon Carbon Corp. 188,400 1,761,540 California First National Bancorp 12,200 161,638 * Caliper Life Sciences, Inc. 197,600 1,381,224 Callaway Golf Co. 185,490 2,181,362 * Callon Petroleum Co. 117,900 1,651,779 # Cal-Maine Foods, Inc. 25,500 337,314 Cambrex Corp. 156,100 3,871,280 Camco Financial Corp. 9,500 144,685 * Candela Corp. 58,600 573,108 * Cantel Medical Corp. 10,917 327,073 Capital Corp. of the West 5,982 308,013 * Capital Crossing Bank 28,400 758,564 * Capital Pacific Holdings, Inc. 40,800 162,180 * Capital Senior Living Corp. 213,600 1,108,584 * Capstone Turbine Corp. 144,062 269,396 * Captaris, Inc. 222,758 1,093,742 * Caraustar Industries, Inc. 170,231 2,739,017 * Cardiac Sciences, Inc. 57,173 121,207 Carpenter Technology Corp. 87,300 5,102,685 * Carriage Services, Inc. 112,200 564,366 * Carrier Access Corp. 25,787 232,857 Cascade Corp. 63,200 2,028,088 * Casella Waste Systems, Inc. Class A 92,374 1,395,771 Casey's General Stores, Inc. 151,457 2,933,722 Cash America International, Inc. 99,500 2,552,175 * Castle (A.M.) & Co. 71,850 913,932 Castle Energy Corp. 38,100 480,060 *# Casual Male Retail Group, Inc. 133,342 576,037 * Catalina Lighting, Inc. 1,720 15,480 * Catalytica Energy Systems, Inc. 68,300 143,430 * Catapult Communications Corp. 10,940 296,912 Cathay General Bancorp 64,254 2,487,915 Cato Corp. Class A 35,000 933,800 * Cavalier Homes, Inc. 70,800 391,524 * Cavco Industries, Inc. 7,479 301,404 CBRL Group, Inc. 180,891 7,374,926 CDI Corp. 71,100 1,373,652 * Celadon Group, Inc. 36,700 785,380 Celeritek, Inc. 103,705 374,375 * Celestica, Inc. 17,925 272,101 * Cell Genesys, Inc. 82,026 602,071 * Cell Therapeutics, Inc. 1,800 13,464 * CellStar Corp. 128,381 468,591 * Centillium Communications, Inc. 260,184 655,664 Central Bancorp, Inc. 3,500 108,412 * Central Garden & Pet Co. 35,200 1,362,240 Central Parking Corp. 207,518 3,150,123 * Century Aluminum Co. 113,800 $ 2,915,556 * Century Business Services, Inc. 359,391 1,545,381 * Cenveo, Inc. 124,200 396,198 * Ceres Group, Inc. 188,937 944,685 * Cerus Corp. 45,129 117,787 CFS Bancorp, Inc. 36,225 499,180 Champion Industries, Inc. 3,900 14,625 * Championship Auto Racing Teams, Inc. 28,300 3,990 * Champps Entertainment, Inc. 78,215 621,027 * Channell Commercial Corp. 3,600 27,000 * Charles and Colvard, Ltd. 38,567 367,891 * Charlotte Russe Holding, Inc. 56,798 661,697 * Charming Shoppes, Inc. 350,000 3,272,500 *# Chart Industries, Inc. 24 1,128 * Checkers Drive-In Restaurants, Inc. 62,767 777,055 * CheckFree Corp. 18,300 678,015 * Checkpoint Systems, Inc. 91,500 1,689,090 Chemed Corp. 6,900 428,076 Chemical Financial Corp. 25,539 1,070,084 Chesapeake Corp. 104,621 2,823,721 Chesapeake Energy Corp. 72,400 1,303,200 Chesapeake Utilities Corp. 2,400 62,160 Chicago Rivet & Machine Co. 200 5,384 *# chinadotcom Corp. Class A 18,940 83,525 * Chiquita Brands International, Inc. 90,200 1,784,156 * Cholestech Corp. 8,290 66,320 * Chromcraft Revington, Inc. 17,300 216,423 * Chronimed, Inc. 58,000 382,220 * Ciber, Inc. 453,800 4,233,954 * CIENA Corp. 410,301 1,046,268 * Cimarex Energy Co. 43,100 1,731,758 * Ciprico, Inc. 12,500 51,875 CIRCOR International, Inc. 100,605 2,097,614 * Cirrus Logic, Inc. 152,400 903,732 Citizens South Banking Corp. 17,267 226,198 *# Citizens, Inc. 39,483 254,665 City Holding Co. 45,004 1,661,548 * CKE Restaurants, Inc. 3,600 45,036 * Clark, Inc. 102,700 1,709,955 * Clarus Corp. 147,200 1,276,960 * Clayton Williams Energy, Inc. 35,700 817,173 * ClearOne Communications, Inc. 35,300 149,142 # Cleveland-Cliffs, Inc. 19,712 1,910,093 * CNA Surety Corp. 143,000 1,867,580 CNS, Inc. 34,200 412,794 Coachmen Industries, Inc. 97,600 1,568,432 * Coast Dental Services, Inc. 1,766 6,181 * Coastcast Corp. 10,800 24,732 * Cobra Electronics Corp. 28,700 232,470 * Coherent, Inc. 71,300 2,059,857 Cohu, Inc. 30,154 505,381 * Collins & Aikman Corp. 372,700 1,323,085 Columbia Banking System, Inc. 60,202 1,528,529 * Columbus McKinnon Corp. 67,500 533,925 * Comarco, Inc. 38,100 308,610 * Comfort Systems USA, Inc. 210,100 1,512,720 Commerce Group, Inc. 72,900 4,329,531 *# Commerce One, Inc. 410 67 Commercial Capital Bancorp, Inc. 31,994 763,377 Commercial Federal Corp. 158,300 4,611,279
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SHARES VALUE+ ---------------- --------------- Commercial Metals Co. 119,400 $ 5,413,596 * Commonwealth Industries, Inc. 86,200 1,128,358 * CommScope, Inc. 31,427 607,170 Communications Systems, Inc. 26,500 309,520 Community Bank System, Inc. 73,000 2,022,100 Community Trust Bancorp, Inc. 27,690 927,071 Community West Bancshares 14,800 156,140 * Compex Technologies, Inc. 79,075 387,467 * CompuCredit Corp. 227,000 5,441,190 * Compudyne Corp. 34,400 244,274 * Computer Horizons Corp. 149,500 568,100 * Computer Network Technology Corp. 143,395 817,351 * Computer Task Group, Inc. 84,700 308,308 * CompX International, Inc. 4,200 67,410 * Comstock Resources, Inc. 131,500 2,854,865 * COMSYS IT Partners, Inc. 66 594 * Concord Camera Corp. 114,700 302,808 * Conexant Systems, Inc. 4,800 9,552 * Conmed Corp. 63,050 1,826,558 * Consolidated Graphics, Inc. 41,200 1,948,760 * Consumer Portfolio Services, Inc. 69,915 303,431 *# Continental Airlines, Inc. 146,800 1,635,352 * Convera Corp. 40,917 190,673 Cooper Tire & Rubber Co. 233,500 4,768,070 *# Copper Mountain Networks, Inc. 35,200 110,493 * Core Molding Technologies, Inc. 700 1,869 Corn Products International, Inc. 147,100 8,005,182 * Cornell Companies, Inc. 117,500 1,721,375 * Correctional Services Corp. 84,300 234,354 * Corrections Corporation of America 93,800 3,705,100 Corus Bankshares, Inc. 38,300 1,864,061 * Cosine Communications, Inc. 65,290 200,440 * Cost-U-Less, Inc. 2,500 14,775 * Covansys Corp. 96,867 1,303,830 * Covenant Transport, Inc. Class A 74,880 1,439,194 * Cox Radio, Inc. 50,000 795,000 CPAC, Inc. 12,500 64,625 * Credence Systems Corp. 184,270 1,407,823 * Credit Acceptance Corp. 117,768 2,914,758 Crompton Corp. 72,900 817,209 * Cross (A.T.) Co. Class A 31,700 150,892 * Cross Country Healthcare, Inc. 157,028 2,787,247 * Crossroads Systems, Inc. 31,632 42,703 * Crown Castle International Corp. 97,200 1,640,736 * Crown Financial Group, Inc. 12,200 4,026 * Crown Media Holdings, Inc. 24 213 *# CryoLife, Inc. 36,700 261,304 * CSK Auto Corp. 57,400 880,516 CSS Industries, Inc. 24,000 771,120 CT Communications, Inc. 82,625 1,093,129 * CTI Molecular Imaging, Inc. 91,500 1,224,270 CTS Corp. 231,338 3,090,676 Cubic Corp. 49,600 1,264,800 * Culp, Inc. 92,800 558,656 * Cumulus Media, Inc. Class A 92,800 1,417,984 * CuraGen Corp. 142,570 859,697 * Curative Health Services, Inc. 80,900 461,939 Cutter & Buck, Inc. 49,300 733,584 * CV Therapeutics, Inc. 78 1,691 * Cyberoptics Corp. 3,441 48,380 * Cypress Semiconductor Corp. 47,700 $ 469,845 Cytec Industries, Inc. 109,700 5,332,517 D&E Communications, Inc. 57,964 759,328 D&K Healthcare Resources, Inc. 117,979 856,528 *# Dan River, Inc. Class A 35,700 1,571 * Data Systems & Software, Inc. 5,800 6,380 * Datalink Corp. 72,600 137,867 * Dataram Corp. 21,600 128,952 Datascope Corp. 27,269 1,093,214 * Datastream Systems, Inc. 14,500 85,550 *# DataTRAK International, Inc. 100 1,140 * Dave & Busters, Inc. 44,900 839,630 * Dawson Geophysical Co. 4,600 107,410 Deb Shops, Inc. 21,325 525,661 *# Deckers Outdoor Corp. 4,600 200,192 * Del Global Technologies Corp. 8,827 22,597 * Delphax Technologies, Inc. 4,500 18,400 Delphi Financial Group, Inc. Class A 135,465 6,293,704 Delta Apparel, Inc. 1,640 37,474 Delta Financial Corp. 27,100 273,710 Delta Natural Gas Co., Inc. 1,700 43,775 * Delta Woodside Industries, Inc. 2,425 1,600 * Denbury Resources, Inc. 176,000 5,095,200 * Department 56, Inc. 64,700 1,095,371 * DiamondCluster International, Inc. 5,073 62,043 * Digi International, Inc. 83,174 1,280,048 * Digimarc Corp. 112,593 1,036,982 *# Digital Angel Corp. 175,800 1,123,362 * Digital Insight Corp. 143,022 2,334,834 * Digitas, Inc. 69,183 567,992 Dillards, Inc. Class A 320,100 8,060,118 Dime Community Bancshares 90,587 1,662,271 DIMON, Inc. 211,100 1,374,261 * Diodes, Inc. 26,430 657,314 * Discovery Partners International, Inc. 188,150 865,490 * Distributed Energy Systems Corp. 171,300 459,084 * Ditech Communications Corp. 74,800 1,178,848 * Dixie Group, Inc. 83,450 1,337,703 * DJ Orthopedics, Inc. 17,400 350,958 * Dollar Thrifty Automotive Group, Inc. 91,400 2,457,746 * Dominion Homes, Inc. 2,100 43,386 Donegal Group, Inc. Class A 5,700 122,550 Donegal Group, Inc. Class B 3,000 59,250 * DoubleClick, Inc. 222,500 1,668,750 Dover Motorsports, Inc. 65,300 317,358 Downey Financial Corp. 113,800 6,570,812 * Dril-Quip, Inc. 51,000 1,217,370 * DRS Technologies, Inc. 13,300 568,176 * drugstore.com, Inc. 12,000 39,000 * Duckwall-ALCO Stores, Inc. 5,600 93,800 * Ducommun, Inc. 63,300 1,604,655 * DuPont Photomasks, Inc. 76,365 2,014,509 * Dura Automotive Systems, Inc. 130,562 1,188,114 * DUSA Pharmaceuticals, Inc. 20,400 270,708 * Dycom Industries, Inc. 136,498 3,977,552 *# Dynacq Healthcare, Inc. 17,000 91,800 * Dynamics Research Corp. 7,400 123,654 *# Dynegy, Inc. 132,200 746,930 E-Z-EM, Inc. 3,600 52,380 * E.piphany, Inc. 284,803 1,287,310 # Eagle Materials, Inc. 52,400 4,106,588
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SHARES VALUE+ ---------------- --------------- *# EarthLink, Inc. 53,000 $ 574,520 * Echelon Corp. 50,839 384,343 * Edelbrock Corp. 110 1,826 * Eden Bioscience Corp. 49,042 34,820 * Edge Petroleum Corp. 42,400 648,720 * Edgewater Technology, Inc. 53,038 221,699 * eFunds Corp. 64,200 1,529,244 * EGL, Inc. 73,200 2,469,768 Electro Rent Corp. 108,681 1,541,097 * Electro Scientific Industries, Inc. 9,100 176,722 * Electroglas, Inc. 137,340 447,728 * Electronics for Imaging, Inc. 31,787 531,797 ElkCorp 24,200 716,320 * eLoyalty Corp. 31,000 155,930 * EMAK Worldwide, Inc. 4,400 43,388 EMC Insurance Group, Inc. 1,000 21,710 * EMCOR Group, Inc. 30,600 1,414,332 * EMCORE Corp. 128,582 342,028 * Emerson Radio Corp. 26,700 82,770 * Emisphere Technologies, Inc. 36,300 111,332 * Emmis Communications Corp. Class A 95,200 1,760,248 # Empire District Electric Co. 1,400 31,794 * EMS Technologies, Inc. 85,075 1,334,827 * Emulex Corp. 117,100 1,655,794 * Encore Medical Corp. 45,062 283,665 * Encore Wire Corp. 100,099 1,348,834 Energen Corp. 18,200 1,053,052 * Energy Conversion Devices, Inc. 11,219 249,735 * Energy Partners, Ltd. 99,600 1,929,252 * Enesco Group, Inc. 80,600 594,828 Engineered Support Systems, Inc. 17,380 955,900 * EnPro Industries, Inc. 128,600 3,695,964 * Entravision Communications Corp. 186,900 1,532,580 * Entrust, Inc. 66,467 247,922 * ePlus, Inc. 60,800 767,904 * ePresence, Inc. Escrow Shares 49,500 6,435 * Equinix, Inc. 23,545 915,430 * ESCO Technologies, Inc. 30,120 2,204,784 Espey Manufacturing & Electronics Corp. 400 10,420 * ESS Technology, Inc. 176,168 1,241,984 * Esterline Technologies Corp. 64,300 2,289,080 * Evans & Sutherland Computer Corp. 22,600 149,386 *# Evergreen Solar, Inc. 17,800 60,324 * Exar Corp. 126,773 1,772,287 * Exelixis, Inc. 841 7,544 * Exponent, Inc. 13,100 364,049 * Extended Systems, Inc. 33,700 85,935 * Extreme Networks, Inc. 700 4,781 # F.N.B. Corp. 106,400 2,258,872 *# Factory 2-U Stores, Inc. 59,340 653 # Fair Isaac Corp. 78,608 2,608,213 * Fairchild Corp. Class A 130,000 390,000 * Falcon Products, Inc. 48,100 41,967 * Famous Dave's of America, Inc. 43,353 482,085 FBL Financial Group, Inc. Class A 83,593 2,375,713 Fedders Corp. 28,600 85,800 # Federal Signal Corp. 81,000 1,393,200 * FEI Co. 30,500 652,395 FFLC Bancorp, Inc. 1,050 34,261 * Fibermark, Inc. 100 $ 2 Fidelity Southern Corp. 2,000 36,260 * Financial Federal Corp. 12,200 469,212 * Financial Industries Corp. 41,366 328,860 Finish Line, Inc. Class A 83,200 1,530,880 * Finishmaster, Inc. 9,000 116,460 * Finlay Enterprises, Inc. 74,287 1,442,654 * Firebrand Financial Group, Inc. 1,000 40 First American Corp. 86,300 2,843,585 First Bancorp 7,926 224,464 * First Cash Financial Services, Inc. 52,400 1,364,496 First Charter Corp. 27,900 764,181 First Citizens BancShares, Inc. 10,300 1,401,469 First Commonwealth Financial Corp. 82 1,259 First Community Bancorp 48,364 2,032,255 First Community Bancshares, Inc. 295 10,508 * First Consulting Group, Inc. 172,993 946,272 First Defiance Financial Corp. 12,400 339,264 First Federal Bancshares of Arkansas, Inc. 13,000 283,010 * First Horizon Pharmaceutical Corp. 139,950 2,737,422 First Indiana Corp. 70,415 1,631,516 * First Investors Financial Services Group, Inc. 6,900 30,912 * First Mariner Bancorp 4,900 84,231 First Merchants Corp. 72,623 1,957,190 First Midwest Financial, Inc. 3,400 85,374 First Mutual Bancshares, Inc. 6,987 173,592 First Niagara Financial Group, Inc. 256,834 3,708,683 # First PacTrust Bancorp, Inc. 16,919 441,586 First Place Financial Corp. 62,505 1,406,362 First Republic Bank 58,100 2,985,759 First State Bancorporation 15,020 564,301 FirstBank NW Corp. 1,700 49,257 * FirstFed Financial Corp. 75,600 3,978,072 * Fischer Imaging Corp. 3,200 11,680 * Five Star Quality Care, Inc. 32,300 218,994 Flagstar Bancorp, Inc. 94,300 2,054,797 * Flanders Corp. 50,000 499,000 * Fleetwood Enterprises, Inc. 38,000 514,900 Flexsteel Industries, Inc. 6,000 105,060 Florida East Coast Industries, Inc. 78,200 3,335,230 * Flow International Corp. 8,646 23,949 Flowers Foods, Inc. 128,021 3,908,481 * Flowserve Corp. 134,500 3,392,090 Flushing Financial Corp. 39,375 836,719 *# FLYi, Inc. 82,200 154,536 * FMC Corp. 7,600 376,580 FNB Corp. 11,300 220,915 FNB Financial Services Corp. 2,500 52,500 Foot Locker, Inc. 127,700 3,317,646 *# Footstar, Inc. 67,700 257,260 * Forest Oil Corp. 173,300 5,897,399 * Forgent Networks, Inc. 5,200 8,840 * Forrester Research, Inc. 6,797 110,927 * Foster (L.B.) Co. Class A 12,800 112,640 * Foster Wheeler, Ltd. 155 2,206 * FPIC Insurance Group, Inc. 44,997 1,486,251 Frankfort First Bancorp, Inc. 100 2,437 * Franklin Covey Co. 6,600 13,134 * Franklin Electronic Publishers, Inc. 900 3,960
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SHARES VALUE+ ---------------- --------------- # Fred's, Inc. 18,100 $ 313,673 # Fremont General Corp. 188,300 4,481,540 Frequency Electronics, Inc. 9,200 137,540 * Fresh Choice, Inc. 4,000 1,720 Friedman Industries, Inc. 3,840 31,411 * Friedmans, Inc. Class A 142,100 239,438 Frisch's Restaurants, Inc. 8,500 202,470 * Frontier Airlines, Inc. 249,993 2,932,418 * Frozen Food Express Industries, Inc. 107,476 1,268,217 * FSI International, Inc. 178,370 802,665 * FTI Consulting, Inc. 25,200 508,284 *# FuelCell Energy, Inc. 103,521 1,040,386 Fuller (H.B.) Co. 99,191 2,838,846 Furniture Brands International, Inc. 134,900 3,276,721 G & K Services, Inc. Class A 49,561 2,035,966 * G-III Apparel Group, Ltd. 12,700 78,105 *# Gadzooks, Inc. 25,500 41,310 * Gaiam, Inc. 18,824 98,826 * GameStop Corp. 22,600 476,634 GameTech International, Inc. 18,400 70,490 * Gardner Denver Machinery, Inc. 60,700 2,088,080 * Gateway, Inc. 2,450 16,684 GATX Corp. 144,500 4,254,080 * Gaylord Entertainment Co. 146,415 5,159,665 * Gehl Co. 39,658 872,079 Gencorp, Inc. 278,900 4,688,309 * Gene Logic, Inc. 252,776 851,855 * General Binding Corp. 3,200 42,656 * General Cable Corp. 79,800 1,085,280 * General Communications, Inc. Class A 92,395 946,125 * Genesee & Wyoming, Inc. 55,625 1,533,581 * Genesis HealthCare Corp. 45,108 1,454,733 * Genesis Microchip, Inc. 19,701 321,323 * Genlyte Group, Inc. 38,108 3,055,118 * Gentiva Health Services, Inc. 17,300 288,045 * Gerber Scientific, Inc. 167,600 1,315,660 Gevity HR, Inc. 10,900 193,039 * Giant Industries, Inc. 76,100 2,130,800 Gibraltar Industries, Inc. 64,350 1,550,191 * Giga-Tronics, Inc. 205 471 Glatfelter (P.H.) Co. 202,500 2,901,825 * Glenayre Technologies, Inc. 169,300 309,819 * Global Imaging Systems, Inc. 11,700 437,814 * Globecomm Systems, Inc. 69,500 436,460 * Glowpoint, Inc. 98,800 119,548 *# Goodyear Tire & Rubber Co. 93,700 1,182,494 Goody's Family Clothing, Inc. 172,500 1,680,150 * GoRemote Internet Communications, Inc. 17,500 31,500 Gorman-Rupp Co. 9,500 217,550 * Gottschalks, Inc. 18,300 164,700 * GP Strategies Corp. 56,200 399,020 Granite Construction, Inc. 93,800 2,489,452 * Graphic Packaging Corp. 11,300 92,208 Gray Television, Inc. 203,728 3,055,920 Gray Television, Inc. Class A 3,400 47,158 Great American Financial Resources, Inc. 59,100 1,031,886 * Great Atlantic & Pacific Tea Co., Inc. 250,900 1,896,804 # Great Lakes Chemical Corp. 154,200 $ 4,518,060 Greenbrier Companies, Inc. 3,900 115,986 * Griffin Land & Nurseries, Inc. Class A 1,900 50,160 * Griffon Corp. 117,550 2,948,154 * Group 1 Automotive, Inc. 52,900 1,561,079 * GSI Commerce, Inc. 19,300 292,009 * GTC Biotherapeutics, Inc. 49,124 75,160 * GTSI Corp. 60,458 613,044 Guaranty Federal Bancshares, Inc. 8,000 190,320 * Guess, Inc. 93,500 1,355,750 * Guilford Pharmaceuticals, Inc. 8,426 47,523 Gulf Island Fabrication, Inc. 24,200 514,734 * Gulfmark Offshore, Inc. 91,924 1,912,938 * Gymboree Corp. 76,800 905,472 * Ha-Lo Industries, Inc. 21,800 15 Haggar Corp. 15,100 333,710 * Hain Celestial Group, Inc. 67,793 1,317,218 Hancock Fabrics, Inc. 54,700 544,812 Handleman Co. 133,002 2,819,642 * Hanger Orthopedic Group, Inc. 192,100 1,498,380 * Hanover Compressor Co. 168,400 2,458,640 Harbor Florida Bancshares, Inc. 14,200 498,420 Hardinge, Inc. 17,200 192,640 Harleysville Group, Inc. 102,563 2,465,615 * Harris Interactive, Inc. 5,700 37,848 Harsco Corp. 300 15,945 * Hartmarx Corp. 27,500 221,925 * Harvard Bioscience, Inc. 206,470 819,686 * Harvest Natural Resources, Inc. 70,800 1,292,100 * Hastings Entertainment, Inc. 94,800 774,516 * Hawaiian Holdings, Inc. 36,803 230,387 * Hawk Corp. 18,500 156,325 HCC Insurance Holdings, Inc. 27,300 904,722 * HealthTronics Surgical Services, Inc. 146,785 1,096,484 Hector Communications Corp. 3,300 69,960 Heico Corp. 76,703 1,641,444 Heico Corp. Class A 12,690 208,243 * Heidrick & Struggles International, Inc. 10,900 374,960 Helmerich & Payne, Inc. 167,600 5,468,788 * Herley Industries, Inc. 83,208 1,713,253 * Hi-Tech Pharmacal, Inc. 11,700 191,295 HMN Financial, Inc. 16,400 524,144 * HMS Holdings Corp. 82,400 578,448 Hollinger International, Inc. Class A 51,800 970,214 Holly Corp. 66,000 1,859,220 * Hollywood Media Corp. 10,200 45,798 * Hologic, Inc. 42,969 1,073,795 * Home Products International, Inc. 18,300 40,809 Hooper Holmes, Inc. 365,100 1,916,775 Horace Mann Educators Corp. 118,000 2,242,000 Horizon Financial Corp. 22,948 470,663 * Horizon Health Corp. 34,900 837,251 *# Horizon Offshore, Inc. 86,666 30,333 Horton (D.R.), Inc. 60,393 2,126,438 * Houston Exploration Co. 83,212 4,984,399 * Hovnanian Enterprises, Inc. Class A 13,500 543,645 Hudson River Bancorp, Inc. 58,100 1,176,525 * Huffy Corp. 19,800 4,009
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SHARES VALUE+ ---------------- --------------- Hughes Supply, Inc. 189,200 $ 6,220,896 * Human Genome Sciences, Inc. 159,191 1,751,101 * Humana, Inc. 332,500 8,252,650 # Hunt (J.B.) Transport Services, Inc. 204,950 8,238,990 * Hurco Companies, Inc. 4,818 77,136 * Hutchinson Technology, Inc. 95,600 3,132,812 * Huttig Building Products, Inc. 16,156 139,426 * Hypercom Corp. 271,200 1,648,896 IBERIABANK Corp. 7,700 497,420 * Ibis Technology Corp. 27,787 70,579 * ICO, Inc. 24,600 74,538 * ICT Group, Inc. 10,100 86,355 * Identix, Inc. 7,900 62,647 * IDT Corp. 89,400 1,311,498 * IDT Corp. Class B 67,900 1,043,623 * iGATE Capital Corp. 255,185 1,020,740 IHOP Corp. 73,500 3,114,195 IKON Office Solutions, Inc. 261,400 2,948,592 * ILEX Oncology, Inc. 6 149 * Illumina, Inc. 105,700 803,320 * Image Entertainment, Inc. 30,114 182,792 Imation Corp. 136,500 4,396,665 * IMCO Recycling, Inc. 93,800 1,515,808 *# Immersion Corp. 7,100 38,056 * ImmunoGen, Inc. 127,150 994,313 * Impath, Inc. 49,705 223,672 * IMPCO Technologies, Inc. 103,040 684,186 * Imperial Sugar Co. 66,005 1,293,038 * Inc.yte Corp. 72,800 747,656 Independence Community Bank Corp. 201,797 8,572,337 Independent Bank Corp. MI 19,057 573,616 * Industrial Distribution Group, Inc. 66,600 548,185 Infinity Property & Casualty Corp. 56,220 2,080,140 *# Infinity, Inc. 16,650 105,877 * InFocus Corp. 214,225 1,435,307 * Infonet Services Corp. 14,700 29,253 * Informatica Corp. 56,100 437,580 * Inforte Corp. 90,450 611,442 * Infosonics Corp. 9,900 33,066 * InfoSpace, Inc. 36,700 1,625,810 Ingles Market, Inc. Class A 56,732 725,602 * Ingram Micro, Inc. 90,500 1,741,220 * Innotrac Corp. 53,300 450,385 * Innovative Clinical Solutions, Ltd. 519 3 * Innovex, Inc. 123,626 616,894 * Input/Output, Inc. 89,100 781,407 * Insight Communications Co., Inc. 181,934 1,540,981 * Insight Enterprises, Inc. 69,716 1,410,355 * Insituform Technologies, Inc. Class A 81,635 1,905,361 * Instinet Group, Inc. 13,900 83,261 * Insurance Auto Auctions, Inc. 78,600 1,744,134 * InsWeb Corp. 12,300 30,381 Integra Bank Corp. 70,628 1,615,969 * IntegraMed America, Inc. 2,300 16,123 * Integrated Device Technology, Inc. 131,840 1,496,384 * Integrated Electrical Services, Inc. 316,300 955,226 * Integrated Information Systems, Inc. 200 26 * Integrated Silicon Solution, Inc. 204,109 1,563,475 # Inter Parfums, Inc. 17,450 291,938 * Interactive Data Corp. 9,900 $ 203,148 * Interface, Inc. Class A 172,877 1,711,482 * Intergraph Corp. 91,520 2,397,824 * Interland, Inc. 128,329 402,953 * Intermagnetics General Corp. 16,495 486,108 Intermet Corp. 73,482 9,553 *# Internet Commerce Corp. 23,500 31,725 * Internet Security Systems, Inc. 23,489 568,669 Interpool, Inc. 39,000 832,650 # Interstate Bakeries Corp. 170,600 985,215 * Interstate Hotels & Resorts, Inc. 86,200 409,450 * Interwoven, Inc. 205,851 1,996,755 * Intrado, Inc. 10,000 135,200 *# Intrusion, Inc. 14,325 20,642 * Investment Technology Group, Inc. 52,800 884,928 Investors Title Co. 1,100 38,560 *# Invision Technologies, Inc. 32,900 1,594,992 * Iomega Corp. 305,900 1,391,845 *# Ionatron, Inc. 3,000 28,800 * Ionics, Inc. 60,600 2,618,526 *# IPIX Corp. 4,000 26,000 * Iridex Corp. 6,200 25,234 Irwin Financial Corp. 72,200 1,921,242 * Isle of Capri Casinos, Inc. 76,362 1,873,160 * ITLA Capital Corp. 18,200 994,266 * IXYS Corp. 133,246 1,237,855 * J & J Snack Foods Corp. 18,940 889,044 * J Net Enterprises, Inc. 19,000 50,350 * J. Alexander's Corp. 12,700 89,535 * J. Jill Group, Inc. 31,900 550,913 J. M. Smucker Co. 28,474 1,294,998 * Jack in the Box, Inc. 20,300 766,934 * Jaco Electronics, Inc. 21,850 94,610 * Jacuzzi Brands, Inc. 412,900 3,856,486 * Jakks Pacific, Inc. 139,435 2,596,280 * JDA Software Group, Inc. 134,894 1,769,809 Jefferies Group, Inc. 40,200 1,632,924 JLG Industries, Inc. 138,300 2,406,420 * Jo-Ann Stores, Inc. 74,500 2,050,240 * Johnson Outdoors, Inc. 11,000 222,530 * Jones Lang LaSalle, Inc. 19,900 714,410 * Jos. A. Bank Clothiers, Inc. 50 1,315 Joy Global, Inc. 30,700 1,249,183 * JPS Industries, Inc. 1,400 5,243 K-Swiss, Inc. Class A 75,100 2,034,609 * K2, Inc. 165,114 2,787,124 * Kadant, Inc. 72,628 1,470,717 Kaman Corp. Class A 116,062 1,392,744 * Kansas City Southern 197,200 3,354,372 * Katy Industries, Inc. 2,000 10,800 # KB Home 14,800 1,300,772 * Keane, Inc. 63,500 984,250 * Keith Companies, Inc. 24,300 414,315 Kellwood Co. 85,730 2,984,261 Kelly Services, Inc. Class A 112,960 3,433,984 * Kemet Corp. 191,100 1,693,146 * Kendle International, Inc. 79,988 663,101 Kennametal, Inc. 102,400 5,253,120 * Kennedy-Wilson, Inc. 13,500 96,862 Kewaunee Scientific Corp. 5,000 45,450 * Key Energy Group, Inc. 380,000 4,757,600
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SHARES VALUE+ ---------------- --------------- * Key Technology, Inc. 7,100 $ 67,663 * Key Tronic Corp. 5,000 15,850 * Keynote Systems, Inc. 78,600 1,000,578 * Keystone Automotive Industries, Inc. 63,000 1,476,090 * Kforce, Inc. 148,742 1,781,929 Kimball International, Inc. Class B 100,601 1,498,955 * Kindred Healthcare, Inc. 92,400 2,522,520 * Knight Trading Group, Inc. 364,000 4,153,240 * Koala Corp. 14,400 1,368 * Komag, Inc. 109,508 1,834,259 * Korn/Ferry International 20,900 389,367 Kronos Worldwide, Inc. 55,400 2,542,860 * KVH Industries, Inc. 25,400 256,540 * La Quinta Corp. 220,100 1,771,805 La-Z-Boy, Inc. 101,344 1,555,630 * LaBarge, Inc. 4,300 51,600 * LabOne, Inc. 15,900 479,385 * LaBranche & Co., Inc. 168,000 1,345,680 * Ladish Co., Inc. 59,600 657,388 LaFarge North America, Inc. 35,400 1,775,310 * Laidlaw International, Inc. 27,100 512,190 * Lakeland Industries, Inc. 1,283 25,211 * Lakes Entertainment, Inc. 102,854 1,434,813 Lance, Inc. 215,350 4,014,124 * Lancer Corp. 4,200 49,518 LandAmerica Financial Group, Inc. 87,600 4,677,840 * Landec Corp. 900 5,652 Landry's Restaurants, Inc. 154,750 4,572,862 * Lattice Semiconductor Corp. 171,149 913,593 * Laureate Education, Inc. 98,900 3,895,671 * Lawson Software, Inc. 11,900 73,542 * Layne Christensen Co. 15,900 308,460 * Lazare Kaplan International, Inc. 16,500 163,350 LCA-Vision, Inc. 32,564 1,068,099 * LCC International, Inc. Class A 102,786 523,181 * Learning Care Group, Inc. 13,500 41,175 * LeCroy Corp. 15,934 341,147 Lennar Corp. Class B 72,404 3,022,867 Lennox International, Inc. 138,400 2,489,816 * Lesco, Inc. 74,800 897,600 *# Level 8 Systems, Inc. 100 7 Levitt Corp. Class A 92 2,365 * Lexicon Genetics, Inc. 76,468 537,570 Liberty Corp. 52,100 2,271,560 * Lifecore Biomedical, Inc. 65,100 664,671 Lifetime Hoan Corp. 22,600 307,134 * Lightbridge, Inc. 146,575 687,437 * Lin TV Corp. 59,300 1,068,586 * Linens 'n Things, Inc. 99,700 2,476,548 *# Lipid Sciences, Inc. 1,700 7,854 Lithia Motors, Inc. Class A 87,545 2,221,892 LNR Property Corp. 132,800 8,306,640 * LogicVision, Inc. 61,900 128,133 Lone Star Steakhouse & Saloon, Inc. 104,500 2,820,455 * Lone Star Technologies, Inc. 30,500 957,700 Longs Drug Stores Corp. 130,500 3,484,350 Longview Fibre Co. 186,300 3,237,894 Louisiana-Pacific Corp. 371,600 9,093,052 LSI Industries, Inc. 128,756 1,279,835 * LTX Corp. 69,939 499,364 * Luby's, Inc. 172,600 1,232,364 Lufkin Industries, Inc. 20,200 $ 813,252 * Lydall, Inc. 108,100 1,208,558 * M&F Worldwide Corp. 112,000 1,461,600 M/I Homes, Inc. 84,800 3,833,808 * Mac-Gray Corp. 31,200 238,680 * Macromedia, Inc. 10,800 308,124 * Madden (Steven), Ltd. 66,216 1,248,834 MAF Bancorp, Inc. 80,467 3,693,435 * Magna Entertainment Corp. 57,500 345,000 * Magnetek, Inc. 237,900 1,572,519 * Magnum Hunter Resources, Inc. 182,100 2,440,140 * Main Street Restaurant Group, Inc. 47,300 68,585 * MAIR Holdings, Inc. 127,226 1,170,479 * Management Network Group, Inc. 111,465 220,701 * Manchester Technologies, Inc. 16,900 82,810 Manor Care, Inc. 70,100 2,414,945 Manpower, Inc. 7,975 385,751 * Manugistic Group, Inc. 383,097 1,053,517 * Mapinfo Corp. 93,695 1,119,655 Marine Products Corp. 15,830 414,746 * MarineMax, Inc. 40,900 1,202,460 Maritrans, Inc. 10,600 191,330 * MarketWatch, Inc. 88,158 1,599,186 MarkWest Hydrocarbon, Inc. 23,474 412,203 Marsh Supermarkets, Inc. Class A 3,100 36,859 # Massey Energy Co. 307,270 10,791,322 * Mastec, Inc. 224,300 1,881,877 * Material Sciences Corp. 74,000 1,237,280 * Matria Healthcare, Inc. 38,200 1,337,000 * Matrix Service Co. 98,941 737,110 * MatrixOne, Inc. 73,300 484,513 * Mattson Technology, Inc. 12,900 120,615 * Max & Erma's Restaurants, Inc. 1,349 17,975 * Maxco, Inc. 2,700 9,423 Maxcor Financial Group, Inc. 32,600 296,660 *# Maxim Pharmaceuticals, Inc. 118,729 345,501 * Maxtor Corp. 172,890 660,440 * Maxygen, Inc. 86,003 867,770 MB Financial, Inc. 17,724 747,953 MBT Financial Corp. 4,775 113,884 * McDATA Corp. 104,086 588,086 MCG Capital Corp. 64,089 1,089,513 McGrath Rentcorp. 33,909 1,432,994 McRae Industries, Inc. Class A 12,800 179,200 MDC Holdings, Inc. 61,033 4,620,198 * Meade Instruments Corp. 141,572 448,783 * Meadow Valley Corp. 1,000 2,665 * Meadowbrook Insurance Group, Inc. 191,400 970,398 * Medarex, Inc. 133,200 1,451,880 * MedCath Corp. 82,859 1,799,697 Media General, Inc. Class A 56,600 3,520,520 * Medical Staffing Network Holdings, Inc. 183,900 1,583,379 * MedQuist, Inc. 140,400 1,702,350 * MEDTOX Scientific, Inc. 21,900 169,725 * Mentor Graphics Corp. 1,200 15,060 Mercury Air Group, Inc. 14,000 55,300 * Meridian Resource Corp. 80,765 551,625 * Merix Corp. 145,229 1,580,092 * Merrimac Industries, Inc. 12,700 116,840 * Mesa Air Group, Inc. 139,949 982,442
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SHARES VALUE+ ---------------- --------------- Mesa Laboratories, Inc. 800 $ 9,400 * Meta Group, Inc. 2,872 15,279 * Metals USA, Inc. 120,773 2,264,494 * MetaSolv, Inc. 69,300 169,092 Methode Electronics, Inc. 13,900 183,480 * Metris Companies, Inc. 254,700 2,949,426 * Metro One Telecommunications, Inc. 11,948 20,073 * Metrologic Instruments, Inc. 9,455 193,166 MGP Ingredients, Inc. 19,394 181,140 * Michael Anthony Jewelers, Inc. 9,600 19,728 * Micro Component Technology, Inc. 19,800 12,870 * Micro Linear Corp. 28,700 132,307 * MicroFinancial, Inc. 26,500 103,615 * Micromuse, Inc. 53,700 282,355 * Microsemi Corp. 45,226 805,023 * Microtek Medical Holdings, Inc. 146,743 598,711 * Microtune, Inc. 173,710 1,038,786 * Midas, Inc. 11,200 216,272 Midland Co. 11,800 375,240 *# Midway Games, Inc. 33,500 363,140 * Midwest Air Group, Inc. 149,200 447,600 * Miller Industries, Inc. 49,800 548,298 * MIM Corp. 136,223 881,363 Minerals Technologies, Inc. 116,700 7,743,045 * MIPS Technologies, Inc. 44,113 385,989 * Misonix, Inc. 35,021 220,983 * Mission Resources Corp. 83,000 515,430 * Mitcham Industries, Inc. 30,000 225,000 * MKS Instruments, Inc. 54,286 922,319 * Mobile Mini, Inc. 62,725 1,899,940 Modine Manufacturing Co. 85,447 2,747,121 * Modtech Holdings, Inc. 90,184 735,901 * Moldflow Corp. 45,500 637,000 * Molecular Devices Corp. 21,682 455,972 Monaco Coach Corp. 30,085 598,691 * Mondavi (Robert) Corp. Class A 29,773 1,676,220 * Monro Muffler Brake, Inc. 17,750 435,762 * Monterey Pasta Co. 131,331 420,259 * Moog, Inc. Class A 30,175 1,267,954 * Mothers Work, Inc. 35,199 453,715 * Motorcar Parts of America, Inc. 7,500 55,013 Movado Group, Inc. 121,400 2,233,760 Movie Gallery, Inc. 172,944 3,014,414 * MPS Group, Inc. 605,600 6,819,056 * MRO Software, Inc. 179,600 2,307,860 * MRV Communications, Inc. 69,256 267,259 * MSC.Software Corp. 155,100 1,475,001 * MTM Technologies, Inc. 4,000 16,800 MTS Systems Corp. 63,700 1,933,295 Mueller Industries, Inc. 123,700 3,801,301 Myers Industries, Inc. 162,857 1,845,170 * Nabi Biopharmaceuticals 127,000 1,828,800 NACCO Industries, Inc. Class A 23,200 2,540,168 * Nanometrics, Inc. 81,109 1,319,643 *# Napco Security Systems, Inc. 8,880 87,912 Nash Finch Co. 58,463 2,169,562 * Nashua Corp. 10,700 112,350 * Nassda Corp. 95,579 409,078 * NATCO Group, Inc. Class A 45,400 384,992 * Nathan's Famous, Inc. 15,000 125,250 National Home Health Care Corp. 9,481 108,937 * National Patent Development Corp. 56,200 $ 96,664 National Presto Industries, Inc. 10,900 494,206 * National RV Holdings, Inc. 76,200 741,426 * National Technical Systems, Inc. 16,200 86,022 * National Western Life Insurance Co. Class A 500 81,095 * Natrol, Inc. 11,400 38,532 Nature's Sunshine Products, Inc. 50,008 837,134 * Natus Medical, Inc. 45,600 328,320 * Navidec, Inc. 105 452 * Navigant International, Inc. 108,416 1,190,408 * Navigators Group, Inc. 58,610 1,655,733 * NCI Building Systems, Inc. 76,400 2,834,440 * NCO Group, Inc. 88,697 2,227,182 NDCHealth Corp. 57,400 1,083,712 *# NeighborCare, Inc. 12,600 353,934 Nelson (Thomas), Inc. 29,200 721,240 * Neoforma, Inc. 153,464 1,140,238 *# NeoMagic Corp. 39,817 33,844 * Neose Technologies, Inc. 16,500 115,335 * Neoware Systems, Inc. 95,671 838,078 * NES Rentals Holdings, Inc. 28 309 * Net2Phone, Inc. 296,885 1,018,316 NetBank, Inc. 39,562 406,302 * NetIQ Corp. 121,666 1,492,842 * NetRatings, Inc. 170,400 3,408,000 * Netscout System, Inc. 165,308 1,251,382 * Network Engines, Inc. 11,700 27,261 * Network Equipment Technologies, Inc. 172,800 1,643,328 * Neurogen Corp. 68,899 602,866 * New Brunswick Scientific Co., Inc. 8,738 47,185 *# New Century Financial Corp. 91,300 5,775,638 * New Horizons Worldwide, Inc. 15,700 54,636 New Jersey Resources Corp. 3,000 130,500 * Newfield Exploration Co. 1,989 125,009 * NewMarket Corp. 97,500 1,871,025 NewMil Bancorp, Inc. 4,000 120,440 * Newpark Resources, Inc. 361,500 2,067,780 * Newport Corp. 215,400 2,658,036 Niagara Corp. 14,900 118,455 NL Industries, Inc. 124,700 2,816,973 * NMT Medical, Inc. 5,900 25,016 NN, Inc. 2,200 28,028 * Nobel Learning Communities, Inc. 4,900 35,525 Noble International, Ltd. 4,834 95,283 * Norstan, Inc. 17,400 66,642 * North America Galvanizing & Coatings, Inc. 36 70 * North American Scientific, Inc. 54,857 246,857 North Central Bancshares, Inc. 3,500 135,888 Northeast Pennsylvania Financial Corp. 4,100 69,659 * Northland Cranberries, Inc. 625 506 Northrim BanCorp, Inc. 12,210 278,388 * Northwest Pipe Co. 24,900 475,590 * NovaMed, Inc. 119,974 569,877 * Novoste Corp. 68,008 91,811 * NS Group, Inc. 48,400 1,072,544 * Nu Horizons Electronics Corp. 116,657 968,374 * NumereX Corp. Class A 9,400 44,932
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SHARES VALUE+ ---------------- --------------- * Nutraceutical International Corp. 18,100 $ 290,143 NWH, Inc. 20,800 310,960 * NYFIX, Inc. 109,744 701,264 NYMAGIC, Inc. 8,000 196,240 * O'Charleys, Inc. 101,951 1,937,069 * Obie Media Corp. 35,100 240,435 *# OCA, Inc. 314,200 1,797,224 * Oceaneering International, Inc. 5,300 203,520 OceanFirst Financial Corp. 28,050 711,348 * Ocwen Financial Corp. 257,200 2,399,676 * Odd Job Stores, Inc. 9,000 20,250 # Odyssey Re Holdings Corp. 183,850 4,439,978 * Offshore Logistics, Inc. 89,400 3,388,260 * Oglebay Norton Co. 200 58 * Ohio Casualty Corp. 189,800 4,076,904 * Oil States International, Inc. 70,100 1,427,937 Oil-Dri Corp. of America 27,600 441,600 * Old Dominion Freight Line, Inc. 19,125 599,569 Olin Corp. 25,028 567,885 *# Olympic Steel, Inc. 68,156 1,840,212 * OM Group, Inc. 74,300 2,283,982 * Omega Protein Corp. 130,029 1,093,544 Omnicare, Inc. 148,000 4,796,680 * Omnova Solutions, Inc. 24,200 138,182 * Omtool, Ltd. 1,028 8,491 * On Assignment, Inc. 151,598 791,342 * One Price Clothing Stores, Inc. 486 1 *# Oneida, Ltd. 52,000 131,560 Onyx Acceptance Corp. 8,400 234,108 * Opent Technologies, Inc. 134,830 1,164,931 * Opinion Research Corp. 30,600 193,239 * Oplink Communications, Inc. 37,073 76,000 * OPTi, Inc. 43,753 63,004 * Optical Cable Corp. 25,999 140,915 * Optical Communication Products, Inc. 29,318 63,913 Option Care, Inc. 55,238 951,198 * Orbital Sciences Corp. 44,906 583,778 * Oregon Steel Mills, Inc. 131,800 2,369,764 * Orleans Homebuilders, Inc. 3,300 60,753 * Orthologic Corp. 81,405 466,451 * Oscient Pharmaceutical Corp. 242,055 789,099 * OSI Systems, Inc. 66,800 1,450,896 * Osteotech, Inc. 115,000 625,600 Outlook Group Corp. 8,000 57,040 * Overland Storage, Inc. 81,739 1,213,824 Overseas Shipholding Group, Inc. 114,000 7,488,660 * Owens-Illinois, Inc. 140,100 2,930,892 # Oxford Industries, Inc. 23,300 950,640 * OYO Geospace Corp. 39,600 627,264 * P.A.M. Transportation Services, Inc. 65,308 1,325,752 * Pacific Mercantile Bancorp 29,100 412,638 * Pacific Premier Bancorp, Inc. 1,789 25,493 * PacifiCare Health Systems, Inc. 270,800 13,106,720 * Pain Therapeutics, Inc. 8,967 67,522 * Palm Harbor Homes, Inc. 108,931 1,700,413 *# PalmOne, Inc. 64,600 2,263,584 * PalmSource, Inc. 88 1,394 * Paradyne Networks Corp. 107,400 416,712 * Parallel Petroleum Corp. 42,700 237,839 * Parexel International Corp. 46,185 952,797 Park Electrochemical Corp. 93,350 $ 1,968,752 * Parker Drilling Co. 384,500 1,680,265 * Park-Ohio Holdings Corp. 44,000 989,120 Parkvale Financial Corp. 1,900 59,299 * Parlex Corp. 55,600 339,160 * Parlux Fragrances, Inc. 13,400 240,262 Partners Trust Financial Group, Inc. 21,761 243,506 * Pathmark Stores, Inc. 201,705 1,111,395 Patina Oil & Gas Corp. 43,737 1,452,068 Patterson-UTI Energy, Inc. 12,800 256,000 * Paxar Corp. 71,700 1,659,855 * Payless ShoeSource, Inc. 150,500 1,757,840 * PC Connection, Inc. 165,299 1,162,052 * PC Mall, Inc. 34,400 835,920 * PC-Tel, Inc. 171,704 1,385,651 * PDI, Inc. 42,752 994,839 Peabody Energy Corp. 18,400 1,527,200 * PEC Solutions, Inc. 27,474 389,856 * Pediatric Services of America, Inc. 51,150 527,357 * Pediatrix Medical Group, Inc. 22,600 1,407,980 * Peerless Manufacturing Co. 2,400 35,880 * Peerless Systems Corp. 14,200 20,306 *# Pegasus Communications Corp. 34,600 262,960 * Pegasus Solutions, Inc. 129,987 1,519,548 * Pegasystems, Inc. 125,640 912,146 * Pemstar, Inc. 139,701 213,882 Penford Corp. 7,800 131,040 Penn Engineering & Manufacturing Corp. Non-Voting 600 11,490 * Penn Treaty American Corp. 66,800 120,240 Penn Virginia Corp. 51,980 2,259,051 Penn-America Group, Inc. 43,522 644,561 Pennfed Financial Services, Inc. 30,400 522,272 Pep Boys - Manny, Moe & Jack 207,700 3,271,275 * Perceptron, Inc. 54,015 371,083 *# Performance Food Group Co. 79,700 2,091,328 * Performance Technologies, Inc. 43,000 306,590 * Pericom Semiconductor Corp. 139,829 1,227,699 * Perini Corp. 4,700 70,265 Perrigo Co. 20,126 363,073 * Perry Ellis International, Inc. 69,458 1,325,953 * Pervasive Software, Inc. 29,297 116,895 * Petrocorp, Inc. Escrow Shares 4,900 294 * Petroleum Development Corp. 68,250 2,806,440 PETsMART, Inc. 15,605 534,783 PFF Bancorp, Inc. 41,140 1,859,528 * Pharmacopia Drug Discovery, Inc. 58,148 336,095 * Pharmacyclics, Inc. 29,205 304,316 * PharmChem, Inc. 700 14 * Philadelphia Consolidated Holding Corp. 8,899 607,357 Phillips-Van Heusen Corp. 131,200 3,581,760 * Phoenix Technologies, Ltd. 143,315 1,162,285 * Photronics, Inc. 116,313 2,191,337 * Pico Holdings, Inc. 62,260 1,283,179 Pier 1 Imports, Inc. 41,500 756,960 # Pilgrim's Pride Corp. 160,500 5,376,750 * Pinnacle Entertainment, Inc. 111,700 2,030,706 * Pinnacle Systems, Inc. 251,874 1,314,782 Pioneer Natural Resources Co. 46,700 1,643,840 * Piper Jaffray Companies, Inc. 43,900 2,019,839
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SHARES VALUE+ ---------------- --------------- * Pixelworks, Inc. 16,879 $ 189,889 * Plains Exploration & Production Co. 177,812 4,984,070 * Planar Systems, Inc. 107,885 1,150,054 * PLATO Learning, Inc. 124,041 867,047 * Plexus Corp. 149,530 2,056,038 * PLX Technology, Inc. 83,530 752,605 * PMA Capital Corp. Class A 164,136 1,633,153 Pocahontas Bancorp, Inc. 9,400 147,110 * Polycom, Inc. 9,200 210,128 PolyMedica Corp. 86,500 3,075,075 * PolyOne Corp. 25,480 235,180 * Pomeroy IT Solutions, Inc. 94,011 1,284,190 Pope & Talbot, Inc. 68,000 1,142,400 Potlatch Corp. 95,500 4,843,760 * Powell Industries, Inc. 45,735 739,535 * Power-One, Inc. 67 616 * Powerwave Technologies, Inc. 170,526 1,379,214 * PRAECIS Pharmaceuticals, Inc. 265,700 560,627 Precision Castparts Corp. 99,582 6,456,897 Preformed Line Products Co. 4,400 124,300 Presidential Life Corp. 180,300 3,012,813 * Presstek, Inc. 98,004 1,046,683 * PRG-Schultz International, Inc. 203,000 1,096,200 * Price Communications Corp. 103,180 1,868,590 *# Pricesmart, Inc. 46,542 370,009 * Pride International, Inc. 188,436 3,685,808 * Printronix, Inc. 14,100 237,444 * ProAssurance Corp. 92,180 3,599,629 * Procom Technology, Inc. 3,500 4,620 Programmers Paradise, Inc. 100 1,135 * Protection One, Inc. 6,700 1,742 Providence & Worcester Railroad Co. 10,700 131,610 Provident Financial Services, Inc. 17,203 334,254 * Province Healthcare Co. 56,200 1,261,128 * PSS World Medical, Inc. 196,227 2,455,585 * PTEK Holdings, Inc. 113,245 1,192,470 Pulaski Financial Corp. 9,744 192,444 Pulitzer, Inc. 37,500 2,385,375 * Pure World, Inc. 5,600 9,520 Pyramid Breweries, Inc. 12,400 26,660 Quaker Fabric Corp. 69,000 396,750 * Quality Dining, Inc. 13,800 43,332 Quanex Corp. 58,500 3,451,500 * Quanta Services, Inc. 247,300 1,906,683 * Quantum Corp. 182,000 520,520 *# Quantum Fuel Systems Technologies Worldwide, Inc. 135,289 840,145 * QuickLogic Corp. 178,236 434,896 * Quidel Corp. 21,901 141,261 * Quipp, Inc. 900 12,096 * Quovadx, Inc. 136,510 260,734 * R&B, Inc. 7,100 177,500 * Radiant Systems, Inc. 34,744 216,803 * Radio One, Inc. 49,545 687,685 * Radiologix, Inc. 149,600 561,000 * RadiSys Corp. 99,098 1,396,291 * RailAmerica, Inc. 230,200 2,946,560 * Raindance Communictions, Inc. 69,506 160,559 Ralcorp Holdings, Inc. 4,900 201,880 # Range Resources Corp. 128,100 2,656,794 Raven Industries, Inc. 41,900 899,593 Raytech Corp. 45,640 $ 84,434 * RC2 Corp. 34,600 1,082,634 * RCM Technologies, Inc. 84,800 432,480 *# RCN Corp. 19,900 1,473 * Reading International, Inc. Class A 4,720 39,695 * Reading International, Inc. Class B 1,180 9,735 *# Redhook Ale Brewery, Inc. 32,600 114,100 Regal-Beloit Corp. 100,332 2,830,366 * Regent Communications, Inc. 286,344 1,635,024 * Register.com, Inc. 117,700 685,014 * RehabCare Group, Inc. 47,500 1,250,200 * Reliability, Inc. 6,500 5,135 Reliance Steel & Aluminum Co. 139,426 5,564,492 * Reliant Energy, Inc. 13,200 156,816 * Remec, Inc. 230,370 1,389,131 * RemedyTemp, Inc. 52,700 580,754 * Rent-Way, Inc. 210,700 1,786,736 * Reptron Electronics, Inc. 294 2,161 * Republic First Bancorp, Inc. 1,320 20,196 * Res-Care, Inc. 99,600 1,494,000 Resource America, Inc. 104,439 3,073,640 * Restoration Hardware, Inc. 72,924 371,183 * Retail Ventures, Inc. 227,900 1,670,507 * Rex Stores Corp. 68,375 1,203,400 * RF Monolithics, Inc. 41,900 394,698 Richardson Electronics, Ltd. 76,300 850,745 Riggs National Corp. 163,256 3,284,711 * Riverstone Networks, Inc. 247,600 266,170 *# Riviera Tool Co. 841 2,060 RLI Corp. 87,500 3,644,375 * Roadhouse Grill, Inc. 11,350 1,703 Roanoke Electric Steel Corp. 10,600 190,694 Robbins & Myers, Inc. 95,200 2,298,128 *# Robotic Vision Systems, Inc. 20 9 * Rochester Medical Corp. 3,900 35,100 *# Rockford Corp. 58,300 127,677 Rock-Tenn Co. Class A 202,400 3,266,736 * Rocky Shoes & Boots, Inc. 3,500 72,800 * Rofin-Sinar Technologies, Inc. 16,300 635,700 RPC, Inc. 14,700 400,575 RPM International, Inc. 234,300 4,332,207 * RSA Security, Inc. 29,500 623,925 * RTI International Metals, Inc. 132,173 2,848,328 * RTW, Inc. 43,900 400,807 * Rubio's Restaurants, Inc. 65,800 873,824 Ruddick Corp. 132,700 2,894,187 * Rudolph Technologies, Inc. 22,000 352,000 * Rush Enterprises, Inc. Class A 8,600 130,548 * Rush Enterprises, Inc. Class B 7,100 114,452 Russ Berrie & Co., Inc. 91,900 2,089,806 Russell Corp. 154,600 2,835,364 * Ryan's Restaurant Group, Inc. 180,450 2,755,472 Ryder System, Inc. 193,700 10,390,068 Ryerson Tull, Inc. 163,600 2,647,048 # Ryland Group, Inc. 46,813 4,744,498 * S&K Famous Brands, Inc. 3,700 59,274 * S1 Corp. 67,700 634,349 * Safeguard Scientifics, Inc. 329,100 661,491 * SafeNet, Inc. 68,400 2,439,144 *# Safety Components International, Inc. 129 1,806
22
SHARES VALUE+ ---------------- --------------- Saks, Inc. 235,100 $ 3,270,241 *# Salton, Inc. 95,100 581,061 * San Filippo (John B.) & Son, Inc. 11,000 244,200 Sanderson Farms, Inc. 7,150 266,338 * Sangamo BioSciences, Inc. 161,671 755,004 Saucony, Inc. Class A 2,100 51,870 Saucony, Inc. Class B 24,900 613,536 Sauer-Danfoss, Inc. 36,100 716,946 * Savient Pharmaceuticals, Inc. 79,700 175,340 * SBA Communications Corp. 50,863 488,285 * SBS Technologies, Inc. 112,562 1,470,060 * ScanSoft, Inc. 419,828 1,532,372 * Scheid Vineyards, Inc. 13,600 77,656 * Schein (Henry), Inc. 3,700 241,166 * Schlotzsky's, Inc. 1,100 41 Schnitzer Steel Industries, Inc. Class A 34,800 1,313,004 * Scholastic Corp. 51,822 1,707,017 * Schuff International, Inc. 100 276 Schulman (A.), Inc. 139,634 2,995,149 Schweitzer-Maudoit International, Inc. 44,600 1,541,376 * SCM Microsystems, Inc. 65,370 222,912 SCPIE Holdings, Inc. 4,900 48,951 * SCS Transportation, Inc. 91,176 1,928,372 Seaboard Corp. 2,800 2,100,000 * Seabulk International, Inc. 180,000 2,145,600 * Seachange International, Inc. 3,500 59,780 * SEACOR Holdings, Inc. 61,050 3,388,275 * Seattle Genetics, Inc. 13,700 93,571 * Segue Software, Inc. 6,600 32,142 * Selectica, Inc. 279,000 1,074,150 Selective Insurance Group, Inc. 78,029 3,494,919 * Semitool, Inc. 144,400 1,293,824 *# SEMX Corp. 20,400 2,550 # Sensient Technologies Corp. 136,700 3,150,935 * Sequa Corp. Class A 5,900 352,230 * Sequenom, Inc. 110,550 98,390 * SeraCare Life Sciences, Inc. 2,480 28,274 * Serologicals Corp. 93,584 2,184,251 * Service Corp. International 482,000 3,402,920 * Sharper Image Corp. 86,620 1,659,639 *# Shaw Group, Inc. 127,600 1,879,548 * Shiloh Industries, Inc. 81,084 1,052,470 * Shoe Carnival, Inc. 96,851 1,262,937 * Shoe Pavilion, Inc. 6,600 17,952 * ShopKo Stores, Inc. 263,000 4,702,440 * SIFCO Industries, Inc. 600 2,520 * Silicon Storage Technology, Inc. 9,700 67,512 Simmons First National Corp. Class A 41,575 1,205,675 * SimpleTech, Inc. 174,039 864,974 Sinclair Broadcast Group, Inc. Class A 2 14 * Sipex Corp. 139,500 767,250 * Sitel Corp. 264,200 586,524 * Six Flags, Inc. 601,200 2,921,832 * Skechers U.S.A., Inc. Class A 63,800 740,718 Sky Financial Group, Inc. 6,442 186,560 Skyline Corp. 18,000 744,300 Skywest, Inc. 155,800 2,964,874 * Skyworks Solutions, Inc. 57,990 575,841 * Smart & Final Food, Inc. 53,200 $ 770,336 * SmartDisk Corp. 200 58 * Smith & Wollensky Restaurant Group, Inc. 55,300 256,592 Smith (A.O.) Corp. 57,600 1,730,880 * Sola International, Inc. 94,700 2,045,520 * Somera Communications, Inc. 41,225 45,760 Sonic Automotive, Inc. 98,900 2,455,687 * Sonic Innovations, Inc. 125,966 512,682 * SonicWALL, Inc. 287,398 1,767,498 Sound Federal Bancorp, Inc. 54,557 829,321 * Source Interlink Companies, Inc. 79,200 1,033,560 * SOURCECORP, Inc. 75,355 1,253,154 South Jersey Industries, Inc. 46,700 2,400,847 * Southern Energy Homes, Inc. 15,300 70,686 * Southern Union Co. 77,201 1,892,980 * Southwall Technologies, Inc. 20,400 22,848 * Southwestern Energy Co. 74,800 4,106,520 * Spanish Broadcasting System, Inc. 197,268 2,108,795 Spartan Motors, Inc. 18,800 223,363 * Spartan Stores, Inc. 109,637 570,112 Spartech Corp. 59,200 1,654,640 * Specialty Laboratories, Inc. 73,400 805,932 * Spectrum Control, Inc. 64,600 481,916 * Spherion Corp. 359,000 2,828,920 * Spinnaker Exploration Co. 74,400 2,698,488 * Sport-Haley, Inc. 7,000 32,235 * SportsLine.com, Inc. 30 52 * SRI/Surgical Express, Inc. 8,900 46,458 SS&C Technologies, Inc. 69,700 1,560,583 St. Mary Land & Exploration Co. 12,200 524,478 * Staar Surgical Co. 52,457 311,070 * Stage Stores, Inc. 32,400 1,328,076 * Stamps.com, Inc. 43,624 674,863 Standard Commercial Corp. 59,600 1,121,672 * Standard Management Corp. 19,400 69,840 * Standard Microsystems Corp. 86,960 2,137,477 Standard Motor Products, Inc. 112,100 1,747,639 Standard Pacific Corp. 108,900 6,099,489 Standard Register Co. 122,500 1,612,100 Standex International Corp. 5,900 164,315 Stanley Furniture, Inc. 2,700 124,200 State Auto Financial Corp. 73,134 1,959,991 State Financial Services Corp. Class A 13,447 396,687 Steel Dynamics, Inc. 183,400 7,433,202 Steel Technologies, Inc. 78,667 2,303,370 * Stein Mart, Inc. 89,842 1,494,072 * Steinway Musical Instruments, Inc. 62,600 1,769,702 * Stellent, Inc. 217,361 1,706,284 Stepan Co. 10,600 269,982 Sterling Bancorp 5,081 163,456 * Sterling Construction Co., Inc. 26,700 128,160 * Sterling Financial Corp. 73,210 2,924,740 Stewart & Stevenson Services, Inc. 150,300 3,006,000 * Stewart Enterprises, Inc. 308,240 2,287,141 Stewart Information Services Corp. 56,000 2,444,400 * Stifel Financial Corp. 21,313 512,578 * Stillwater Mining Co. 39,900 473,214 * Stone Energy Corp. 56,152 2,694,173 * Stonepath Group, Inc. 65,100 50,127
23
SHARES VALUE+ ---------------- --------------- * Stoneridge, Inc. 187,900 $ 2,857,959 * Strategic Diagnostics, Inc. 32,150 81,340 * Strategic Distribution, Inc. 3,490 39,612 * Stratex Networks, Inc. 1,500 3,090 * Stratos International, Inc. 89,758 364,417 * Stratus Properties, Inc. 13,550 201,082 Stride Rite Corp. 244,611 2,693,167 * Suburban Lodges of America, Inc. Escrow Shares 29,300 0 Summa Industries, Inc. 15,200 138,016 * SumTotal Systems, Inc. 12,050 66,155 * Sun Bancorp, Inc. 49,429 1,228,311 *# Sunrise Senior Living, Inc. 71,100 3,053,745 Sunrise Telecom, Inc. 13,300 35,245 * Suntron Corp. 3,925 12,953 * Superior Consultant Holdings Corp. 48,500 318,160 * Superior Energy Services, Inc. 65,600 963,008 # Superior Industries International, Inc. 67,000 1,892,750 Superior Uniform Group, Inc. 2,800 38,976 Supreme Industries, Inc. 15,720 96,206 SureWest Communications 57,946 1,649,723 Susquehanna Bancshares, Inc. 75,929 1,974,154 * Swift Energy Corp. 138,400 4,199,056 * Swift Transportation Co., Inc. 75,660 1,474,613 SWS Group, Inc. 67,900 1,433,369 * Sycamore Networks, Inc. 406,452 1,524,195 * Sykes Enterprises, Inc. 234,151 1,580,519 * Symmetricom, Inc. 266,601 2,879,291 * Syms Corp. 120,000 1,486,800 * Synalloy Corp. 7,400 72,150 * Synovis Life Technologies, Inc. 76,663 908,457 Sypris Solutions, Inc. 107,685 1,752,035 * Systemax, Inc. 114,100 787,290 *# Tag-It Pacific, Inc. 11,900 53,550 * TALK America Holdings, Inc. 183,399 1,159,082 TALX Corp. 9,900 291,060 Tandy Brand Accessories, Inc. 1,000 14,289 * Tarrant Apparel Group 73,211 136,172 Tasty Baking Co. 64,600 540,702 TB Wood's Corp. 36,700 198,914 * TBC Corp. 68,500 1,826,895 * Team, Inc. 3,200 54,336 * TeamStaff, Inc. 70,500 140,295 Technical Olympic USA, Inc. 26,850 656,483 * Technitrol, Inc. 89,364 1,541,529 * TechTeam Global, Inc. 84,200 791,480 Tecumseh Products Co. Class A 40,075 1,835,034 Tecumseh Products Co. Class B 6,900 302,220 Tektronix, Inc. 6,016 188,722 * Teleglobe International Holdings, Ltd. 37,520 128,694 * TeleTech Holdings, Inc. 120,136 1,173,729 * Telular Corp. 45,000 286,650 * Tenneco Automotive, Inc. 50,200 778,100 * Terayon Communication Systems, Inc. 102,838 204,648 * Terex Corp. 221,800 10,167,312 *# Terra Industries, Inc. 437,400 3,586,680 * Tesoro Petroleum Corp. 121,973 4,039,746 * Tessco Technologies, Inc. 2,500 33,250 * TETRA Technologies, Inc. 48,200 1,465,280 Texas Industries, Inc. 99,300 $ 5,958,000 Texas United Bancshares, Inc. 961 18,019 TF Financial Corp. 1,100 35,624 * The Banc Corp. 95,517 750,764 The Brink's Co. 27,294 1,053,821 * The Dress Barn, Inc. 80,200 1,377,034 * The Geo Group, Inc. 27,000 622,350 * The Lamson & Sessions Co. 83,500 755,675 The Marcus Corp. 116,100 2,652,885 * The Mens Warehouse, Inc. 9,400 297,510 * The Mosaic Co. 131,500 2,285,470 # The Phoenix Companies, Inc. 409,500 4,995,900 * The Rowe Companies 13,000 65,650 * The Sports Authority, Inc. 106,593 3,038,966 * The Sports Club Co., Inc. 1,700 2,873 The Topps Co., Inc. 68,379 681,739 * Theragenics Corp. 247,500 1,039,500 * TheStreet.com, Inc. 78,377 340,940 * Third Wave Technologies, Inc. 108,564 875,026 * Thomas & Betts Corp. 104,100 3,293,724 Thomas Industries, Inc. 77,100 3,020,778 * Thoratec Corp. 219,768 2,197,680 * THQ, Inc. 38,000 815,480 * Three-Five Systems, Inc. 157,100 304,774 * TIBCO Software, Inc. 193,920 2,230,080 * Tier Technologies, Inc. Class B 132,275 1,167,988 TierOne Corp. 91,878 2,279,493 * TII Network Technologies, Inc. 5,200 7,592 Timberland Bancorp, Inc. 8,400 205,800 * Timco Aviation Services, Inc. 2,358 849 * Time Warner Telecom, Inc. 183,408 695,116 Timken Co. 176,100 4,578,600 * Titan Pharmaceuticals, Inc. 128,500 321,250 * Titanium Metals Corp. 32,050 736,830 Todd Shipyards Corp. 25,250 432,533 *# Toll Brothers, Inc. 65,959 3,388,973 * Tollgrade Communications, Inc. 100,183 1,070,956 *# Torch Offshore, Inc. 41,800 82,722 * Total Entertainment Restaurant Corp. 4,700 47,188 *# Tower Automotive, Inc. 322,349 580,228 Traffix, Inc. 105,000 687,750 * Trailer Bridge, Inc. 12,300 79,950 * Trammell Crow Co. 265,200 4,534,920 * Trans World Entertainment Corp. 256,800 2,896,704 * Transact Technologies, Inc. 864 19,310 * Transcat, Inc. 7,000 21,000 * Transgenomic, Inc. 68,900 84,058 * Transkaryotic Therapies, Inc. 75,334 1,718,369 * TransMontaigne, Inc. 195,800 1,063,194 * Transport Corp. of America 2,000 14,720 * Transpro, Inc. 54,600 332,241 * TRC Companies, Inc. 69,800 1,245,232 Tredegar Industries, Inc. 197,800 3,685,014 * Triad Guaranty, Inc. 32,124 1,927,440 * Triad Hospitals, Inc. 16,700 612,723 Triarc Companies, Inc. Class A 59,400 769,230 * Trident Microsystems, Inc. 3,250 50,700 Trinity Industries, Inc. 166,700 5,892,845 * Tripos, Inc. 4,500 23,355 * Triquint Semiconductor, Inc. 147,744 639,732
24
SHARES VALUE+ ---------------- --------------- * Triumph Group, Inc. 68,800 $ 2,790,528 * TriZetto Group, Inc. 100,900 714,372 *# Trump Hotels & Casino Resorts, Inc. 27,600 22,908 * TTM Technologies, Inc. 148,500 1,541,430 * Tumbleweed Communications Corp. 12,000 42,000 * Tweeter Home Entertainment Group, Inc. 172,498 1,105,712 Twin Disc, Inc. 3,500 87,885 * Tyler Technologies, Inc. 74,200 581,728 * U.S. Concrete, Inc. 172,094 1,251,123 * U.S. Energy Corp. Wyoming 4,600 13,754 * U.S. Xpress Enterprises, Inc. Class A 15,716 408,616 UICI 243,900 8,146,260 * Ulticom, Inc. 120,007 2,154,126 *# Ultimate Electronics, Inc. 82,390 252,113 * Ultratech, Inc. 63,201 1,088,953 UMB Financial Corp. 72,911 4,083,745 Umpqua Holdings Corp. 68,987 1,763,998 * Unico American Corp. 9,400 70,218 * Unifi, Inc. 411,400 1,530,408 Unifirst Corp. 63,800 1,763,432 Union Bankshares Corp. 341 12,791 * Unit Corp. 82,100 3,252,802 United Auto Group, Inc. 178,800 5,099,376 United Community Financial Corp. 143,958 1,654,077 * United Financial Mortgage Corp. 19,450 88,498 United Fire & Casualty Co. 4,400 293,040 United Industrial Corp. 38,087 1,485,393 * United Natural Foods, Inc. 12,600 354,438 * United Rentals, Inc. 258,000 4,610,460 * United Retail Group, Inc. 30,366 126,019 United States Steel Corp. 123,202 6,450,857 * United Stationers, Inc. 13,700 655,956 Unity Bancorp, Inc. 11,686 140,816 * Universal American Financial Corp. 258,924 3,456,635 * Universal Compression Holdings, Inc. 62,200 2,320,060 Universal Corp. 61,100 2,974,348 * Universal Electronics, Inc. 6,756 123,297 Universal Forest Products, Inc. 106,237 4,585,189 * Universal Stainless & Alloy Products, Inc. 23,800 350,336 Unizan Financial Corp. 32,322 833,261 * Unova, Inc. 237,900 5,271,864 * Urologix, Inc. 9 64 * URS Corp. 86,800 2,607,472 *# US Airways Group, Inc. Class A 2,050 2,276 * USA Mobility, Inc. 30,096 1,094,291 * USA Truck, Inc. 14,200 175,938 USEC, Inc. 229,300 2,414,529 USF Corp. 104,900 3,878,153 * Vail Resorts, Inc. 120,600 2,743,650 Valeant Pharmaceuticals International 1,871 45,297 Valhi, Inc. 57,700 894,927 Valmont Industries, Inc. 31,200 778,752 * ValueClick, Inc. 183,200 2,363,280 * ValueVision Media, Inc. Class A 95,568 1,083,741 * Vastera, Inc. 212,000 392,200 * Veeco Instruments, Inc. 64,400 1,248,716 * Verilink Corp. 89 $ 312 * Veritas DGC, Inc. 95,300 2,230,020 * Verity, Inc. 144,286 1,978,161 * Verso Technologies, Inc. 13,886 11,248 * VerticalBuyer Inc. 1,212 36 Vesta Insurance Group, Inc. 224,700 844,872 * Vestin Group, Inc. 2,200 6,754 Viad Corp. 64,600 1,549,754 * Viasat, Inc. 56,500 1,179,155 * Vical, Inc. 90,846 390,638 * Vicon Industries, Inc. 11,200 63,392 Vicor Corp. 103,413 1,124,099 Vintage Petroleum, Inc. 404,200 9,801,850 Visteon Corp. 363,500 3,075,210 * Visual Networks, Inc. 3,400 10,948 Vital Signs, Inc. 9,669 361,717 * Vitesse Semiconductor, Inc. 111,214 362,558 * Vitria Technology, Inc. 120,519 416,996 * VL Dissolution Corp. 4,834 725 * Volt Information Sciences, Inc. 122,200 3,727,100 Vulcan International Corp. 400 18,000 * Vyyo, Inc. 58,778 426,141 * W-H Energy Services, Inc. 68,900 1,575,054 Walter Industries, Inc. 238,411 6,003,189 *# Warnaco Group, Inc. 25,581 508,294 Washington Savings Bank FSB 2,000 27,000 * Waste Connections, Inc. 47,600 1,621,256 Waste Industries USA, Inc. 87,000 997,890 * WatchGuard Technologies, Inc. 235,257 964,554 * Water Pik Technologies, Inc. 44,500 765,400 Watsco, Inc. Class A 122,300 4,044,461 Watts Water Technologies, Inc. 78,000 2,389,140 Wausau-Mosinee Paper Corp. 274,200 4,921,890 Waypoint Financial Corp. 66,537 1,847,732 * WCI Communities, Inc. 96,600 2,474,892 * webMethods, Inc. 37,587 230,784 Webster Financial Corp. 8,234 412,112 * Weider Nutrition International, Inc. 13,100 55,544 Weis Markets, Inc. 44,500 1,708,800 Wellman, Inc. 278,300 2,863,707 Werner Enterprises, Inc. 162,407 3,654,158 Wesbanco, Inc. 64,747 2,046,653 * WESCO International, Inc. 18,500 520,220 * West Marine, Inc. 74,500 1,720,950 West Pharmaceutical Services, Inc. 6,200 144,956 * Westaff, Inc. 68,800 209,840 Westbank Corp. 3,087 56,863 * Westcoast Hospitality Corp. 23,500 119,145 Westcorp, Inc. 51,740 2,187,567 * Western Water Co. 100 5 Westwood Holdings Group, Inc. 9,775 186,507 *# Wet Seal, Inc. Class A 100,025 166,042 * WFS Financial, Inc. 25,200 1,172,556 * White Electronics Designs Corp. 159,224 1,066,801 * Whitehall Jewelers, Inc. 97,200 804,816 * Whiting Petroleum Corp. 4,918 167,409 * Wild Oats Markets, Inc. 140,964 1,009,302 *# William Lyon Homes, Inc. 37,200 2,617,020 * Willis Lease Finance Corp. 24,000 213,600 Willow Grove Bancorp, Inc. 28,442 512,809 * Wilshire Enterprises, Inc. 11,000 66,330
25
SHARES VALUE+ ---------------- --------------- * Wilson Greatbatch Technologies, Inc. 133,600 $ 2,678,680 * Wilsons The Leather Experts, Inc. 46,900 234,500 * Wind River Systems, Inc. 139,299 1,685,518 # Winn-Dixie Stores, Inc. 445,200 1,780,800 Wintrust Financial Corp. 1,200 71,808 * Wireless Facilities, Inc. 105,631 874,625 Wireless Telecom Group, Inc. 24,500 72,520 * Wolverine Tube, Inc. 125,700 1,334,934 Wolverine World Wide, Inc. 8,500 254,575 Woodhead Industries, Inc. 32,308 487,205 Woodward Governor Co. 17,789 1,295,929 * World Acceptance Corp. 50,700 1,307,553 World Fuel Services Corp. 26,100 1,075,320 *# WorldQuest Networks, Inc. 4,800 14,352 * Worldwide Restaurant Concepts, Inc. 189,900 620,973 Worthington Industries, Inc. 275,500 5,926,005 * Xanser Corp. 141,700 399,594 * Xeta Corp. 41,300 122,661 Yardville National Bancorp 56,800 1,892,008 # York International Corp. 84,600 3,119,202 * Zapata Corp. 1,170 73,733 Zenith National Insurance Corp. 14,400 661,968 * Zhone Technologies, Inc. 164,733 401,949 * Zoll Medical Corp. 19,362 656,953 *# Zoltek Companies, Inc. 114,100 1,049,720 * Zomax, Inc. 271,319 933,337 * Zones, Inc. 5,350 32,796 * Zoran Corp. 135,069 1,600,568 * Zygo Corp. 105,033 1,220,483 --------------- TOTAL COMMON STOCKS (Cost $1,293,224,353) 2,055,722,460 --------------- RIGHTS/WARRANTS -- (0.0%) *# Angeion Corp. Warrants 10/31/20 6 0 * Chart Industries, Inc. Warrants 09/15/10 25 387 * Chiquita Brands International, Inc. Warrants 03/19/09 11,137 61,254 * Del Global Technologies Corp. Warrants 03/28/08 131 144 *# Foster Wheelers, Ltd. Warrants 09/24/07 3,100 0 * Lodgian, Inc. Class A Warrants 11/25/07 118 4 * Lodgian, Inc. Class B Warrants 11/25/09 363 $ 14 * Magnum Hunter Resources, Inc. Warrants 03/21/05 4,020 2,452 * Timco Aviation Services, Inc. Warrants 02/27/07 5,332 1 --------------- TOTAL RIGHTS/WARRANTS (Cost $293,639) 64,256 --------------- FACE AMOUNT --------------- (000) BONDS -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 $ 0 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 2 0 --------------- TOTAL BONDS (Cost $0) 0 --------------- TEMPORARY CASH INVESTMENTS -- (6.3%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $113,994,000 U.S. Treasury Bills, maturities ranging from 03/10/05 to 05/12/05, valued at $113,164,980) to be repurchased at $110,950,992 (Cost $110,945,013)^ 110,945 110,945,013 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $26,124,000 FHLMC Notes 4.20%, 10/20/09, valued at $26,236,072) to be repurchased at $25,964,356 (Cost $25,963,000) 25,963 25,963,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $136,908,013) 136,908,013 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,430,426,005) $ 2,192,694,729 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 26 TAX-MANAGED U.S. SMALL CAP PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ ---------------- --------------- COMMON STOCKS -- (92.4%) * 1-800 CONTACTS, Inc. 14,167 $ 290,282 * 1-800-FLOWERS.COM, Inc. 30,000 249,000 1st Source Corp. 15,779 414,199 1st State Bancorp, Inc. 1,400 41,258 21st Century Insurance Group 34,700 450,406 * 3-D Systems Corp. 13,900 223,929 * 4Kids Entertainment, Inc. 16,000 326,880 * 7-Eleven, Inc. 54,600 1,288,560 *# 99 Cents Only Stores 49,566 739,525 * @Road, Inc. 71,700 432,351 * A. B. Watley Group, Inc. 200 48 * A.C. Moore Arts & Crafts, Inc. 19,300 555,647 *# aaiPharma, Inc. 20,000 61,800 * AAON, Inc. 6,600 104,940 * AAR Corp. 43,700 597,379 Aaron Rents, Inc. 400 9,704 Aaron Rents, Inc. Class A 4,275 93,836 * Abaxis, Inc. 10,600 132,924 ABC Bancorp 840 17,388 * Abgenix, Inc. 59,500 603,925 * Abiomed, Inc. 27,200 412,896 * Able Laboratories, Inc. 14,500 315,375 ABM Industries, Inc. 22,800 500,460 * ABX Air, Inc. 24,000 188,640 * Acacia Research-Acacia Technologies 16,590 75,484 * Acacia Research-CombiMatrix 10,360 34,810 * Accelrys, Inc. 32,400 202,824 * Access Pharmaceuticals, Inc. 14,200 49,700 * Acclaim Entertainment, Inc. 500 5 *# Accredited Home Lenders Holding Co. 11,800 506,810 * Accredo Health, Inc. 32,444 878,259 * ACE Cash Express, Inc. 15,818 421,945 Aceto Corp. 11,801 200,617 * Aclara BioSciences, Inc. 40,728 170,243 * Acme Communications, Inc. 23,400 137,592 Acme United Corp. 1,100 13,365 * ACT Manufacturing, Inc. 350 2 * ACT Teleconferencing, Inc. 18,778 21,219 * Actel Corp. 29,764 510,750 Action Performance Companies, Inc. 12,500 134,875 * ActivCard Corp. 47,289 376,420 * Active Power, Inc. 58,630 266,766 * Activision, Inc. 91,350 1,436,022 * Actuant Corp. 9,520 447,630 * Actuate Corp. 64,600 153,102 Acxiom Corp. 49,400 1,249,326 * Adaptec, Inc. 86,286 673,031 * ADDvantage Technologies Group, Inc. 3,500 18,375 * ADE Corp. 1,000 18,460 * Adept Technology, Inc. 3,300 5,445 * Administaff, Inc. 30,800 458,920 * Adolor Corp. 35,700 493,731 Adtran, Inc. 32,800 735,048 *# Advance Auto Parts, Inc. 154 6,354 * Advanced Digital Information Corp. 48,600 $ 446,148 * Advanced Energy Industries, Inc. 44,700 382,185 * Advanced Fibre Communications, Inc. 4,600 75,210 *# Advanced Magnetics, Inc. 5,700 80,085 Advanced Marketing Services, Inc. 14,680 157,810 * Advanced Medical Optics, Inc. 7,800 324,324 * Advanced Neuromodulation Systems, Inc. 11,350 409,735 * Advanced Power Technology, Inc. 13,800 103,638 Advanta Corp. Class A 6,800 152,184 Advanta Corp. Class B Non-Voting 11,500 274,620 * Advent Software, Inc. 35,378 707,914 Advo, Inc. 10,250 359,877 * Aehr Test Systems 2,900 6,322 * AEP Industries, Inc. 10,400 113,776 * Aeroflex, Inc. 68,103 834,262 * Aeropostale, Inc. 14,850 423,225 * Aerosonic Corp. 500 2,935 * Aether Systems, Inc. 58,610 218,029 * AFC Enterprises, Inc. 8,000 192,640 * Affiliated Managers Group, Inc. 16,500 1,045,770 * Aftermarket Technology Corp. 25,792 449,297 *# AGCO Corp. 51,569 1,123,689 * Agile Software Corp. 55,900 467,324 Agilysys, Inc. 25,800 426,474 * Air Methods Corp. 13,600 98,872 Airgas, Inc. 59,500 1,581,510 * AirGate PCS, Inc. 800 25,976 * AirNet Systems, Inc. 14,100 46,530 * Airspan Networks, Inc. 41,200 226,188 * Airtran Holdings, Inc. 48,300 570,906 * AK Steel Holding Corp. 121,600 1,569,856 * Akamai Technologies, Inc. 18,200 235,690 *# Akorn, Inc. 10,700 44,512 *# Aksys, Ltd. 34,300 226,723 Alabama National Bancorporation 7,300 461,579 Alamo Group, Inc. 6,000 125,400 * Alaska Air Group, Inc. 30,600 955,638 * Alaska Communications Systems Group, Inc. 4,450 38,225 Albany International Corp. Class A 26,264 878,531 * Albany Molecular Research, Inc. 35,900 384,848 Albemarle Corp. 14,500 577,680 * Alderwoods Group, Inc. 4,600 48,668 Alexander & Baldwin, Inc. 11,500 486,565 * Alexion Pharmaceuticals, Inc. 23,795 492,081 Alfa Corp. 52,548 796,102 * Alico, Inc. 700 39,032 * Align Technology, Inc. 43,400 458,738 * Alkermes, Inc. 23,600 325,444 * Allegheny Energy, Inc. 91,300 1,747,482 Allegheny Technologies, Inc. 24,379 536,338 Allen Organ Co. Class B 700 45,769 ALLETE, Inc. 19,600 713,440 * Alliance Gaming Corp. 21,900 264,771 * Alliance Imaging, Inc. 53,000 498,200 * Alliance Semiconductor Corp. 48,000 168,000
27
SHARES VALUE+ ---------------- --------------- *# Alliant Techsystems, Inc. 8,100 $ 533,547 * Allied Defense Group, Inc. 6,400 131,072 * Allied Healthcare International, Inc. 16,800 90,384 * Allied Healthcare Products, Inc. 1,000 6,190 * Allied Holdings, Inc. 300 769 * Allmerica Financial Corp. 35,800 1,165,290 * Allos Therapeutics, Inc. 41,600 87,360 * Alloy, Inc. 40,513 182,308 * Allscripts Healthcare Solutions, Inc. 49,388 486,472 Alpharma, Inc. Class A 35,400 587,994 Alpine Group, Inc. 1,080 2,322 * Alteon, Inc. 11,900 9,877 * Altiris, Inc. 10,700 299,600 Ambassadors Group, Inc. 4,500 156,510 Ambassadors International, Inc. 11,000 151,140 * AMC Entertainment, Inc. 33,600 649,488 * Amcast Industrial Corp. 500 275 AMCOL International Corp. 18,600 375,720 Amcore Financial, Inc. 17,900 582,287 * Amedisys, Inc. 10,000 329,200 * Amerco, Inc. 24,978 1,027,845 * America Services Group, Inc. 7,500 187,875 *# America West Holdings Corp. Class B 51,700 300,377 American Axle & Manufacturing Holdings, Inc. 9,500 277,020 * American Dental Partners, Inc. 4,900 89,719 American Eagle Outfitters, Inc. 45,400 1,896,358 American Ecology Corp. 2,700 32,616 American Greetings Corp. Class A 41,900 1,115,378 *# American Healthways, Inc. 14,700 490,245 * American Independence Corp. 5,333 78,822 # American Italian Pasta Co. 11,300 217,638 * American Locker Group, Inc. 1,000 12,850 * American Medical Security Group, Inc. 14,800 478,484 * American Medical Systems Holdings, Inc. 28,300 1,079,928 American Pacific Corp. 2,900 24,215 * American Physicians Capital, Inc. 10,800 359,748 American Physicians Services Group, Inc. 500 5,075 * American Retirement Corp. 22,300 177,285 * American Science & Engineering, Inc. 8,700 321,552 American Shared Hospital Services 1,300 6,851 American Software, Inc. Class A 17,693 105,273 American States Water Co. 11,666 303,433 * American Superconductor Corp. 29,459 407,889 * American Technical Ceramics Corp. 4,600 46,046 * American Tower Corp. 64,900 1,176,637 # American Vanguard Corp. 1,318 50,413 * American West Bancorporation 3,926 82,446 American Woodmark Corp. 13,800 555,174 Americana Bancorp 400 6,260 * America's Car-Mart, Inc. 8,500 311,950 * AmeriCredit Corp. 110,300 2,309,682 *# AMERIGROUP Corp. 13,200 910,800 * AmeriServe Financial, Inc. 18,310 95,212 Ameristar Casinos, Inc. 9,500 382,375 Ameron International Corp. 4,200 159,516 AmerUs Group Co. 10,000 $ 435,700 Ametek, Inc. 25,200 823,536 *# Amkor Technology, Inc. 115,100 633,050 * AMN Healthcare Services, Inc. 30,900 494,400 Ampco-Pittsburgh Corp. 900 12,123 *# AMR Corp. 30,200 272,706 Amrep Corp. 1,900 33,801 * Amsurg Corp. 17,000 437,070 * Amtech Systems, Inc. 1,200 5,100 * AMX Corp. 4,800 84,720 * Amylin Pharmaceuticals, Inc. 22,700 462,626 * Anadigics, Inc. 43,250 145,752 * Analex Corp. 16,900 68,445 Analogic Corp. 8,100 367,092 * Analysts International Corp. 29,400 98,490 * Anaren, Inc. 26,100 350,627 Anchor Bancorp Wisconsin, Inc. 13,150 384,111 Andersons, Inc. 900 20,592 * Andrew Corp. 95,318 1,353,516 * Andrx Group 8,900 158,420 * Angeion Corp. 25 64 Angelica Corp. 2,700 68,445 * Angelo & Maxie's, Inc. 316 235 * AngioDynamics, Inc. 1,455 23,280 # Anixter International, Inc. 35,300 1,331,869 * AnnTaylor Stores Corp. 41,175 903,379 * Ansoft Corp. 11,834 213,249 * AnswerThink, Inc. 58,497 263,821 * Ansys, Inc. 18,000 552,420 * Anteon International Corp. 10,400 385,008 * Anthony & Sylvan Pools Corp. 573 3,066 *# Antigenics, Inc. 53,135 500,532 * AP Pharma, Inc. 15,750 19,530 * APAC Customer Services, Inc. 57,400 97,580 * Aphton Corp. 41,345 136,438 Apogee Enterprises, Inc. 23,571 343,665 *# Apogee Technology, Inc. 7,600 29,032 Applebees International, Inc. 42,675 1,096,747 * Applera Corp. - Celera Genomics Group 902 12,700 * Applica, Inc. 35,000 176,750 * Applied Extrusion Technologies, Inc. 12,001 2,040 * Applied Films Corp. 17,005 376,831 * Applied Imaging Corp. 1,200 552 Applied Industrial Technologies, Inc. 11,900 495,635 * Applied Innovation, Inc. 8,500 30,430 * Applied Micro Circuits Corp. 96,500 355,120 Applied Signal Technologies, Inc. 10,800 409,968 * Applix, Inc. 3,800 16,834 * Apria Healthcare Group, Inc. 26,700 818,889 * Apropos Technology, Inc. 22,900 68,471 Aptargroup, Inc. 17,100 898,605 * aQuantive, Inc. 51,100 444,059 * Aquila, Inc. 169,700 593,950 * Aradigm Corp. 16,500 25,080 * Arch Capital Group, Ltd. 2,100 81,795 Arch Chemicals, Inc. 9,840 287,328 Arch Coal, Inc. 22,800 870,960 Arctic Cat, Inc. 9,300 248,403 * Arena Pharmaceuticals, Inc. 34,600 193,763 * ARGON ST, Inc. 7,500 193,950
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SHARES VALUE+ ---------------- --------------- * Argonaut Group, Inc. 28,899 $ 574,512 * Argosy Gaming Corp. 20,500 954,480 * Ariad Pharmaceuticals, Inc. 49,100 283,307 * Ariba, Inc. 50,525 833,662 Ark Restaurants Corp. 700 21,035 Arkansas Best Corp. 17,200 741,664 * Arlington Hospitality, Inc. 1,000 2,900 * Armor Holdings, Inc. 32,700 1,411,659 *# Arotech Corp. 42,400 74,624 * Arqule, Inc. 39,639 219,600 * Array BioPharma, Inc. 31,200 260,832 # Arrhythmia Research Technology, Inc. 1,300 32,890 * Arris Group, Inc. 101,900 579,811 Arrow Financial Corp. 2,129 68,362 Arrow International, Inc. 20,400 616,896 * Art Technology Group, Inc. 4,099 4,550 Artesian Resources Corp. Class A 1,400 40,670 * Artesyn Technologies, Inc. 53,000 504,560 * Arthrocare Corp. 17,639 533,933 * Artisan Components, Inc. 18,900 652,050 ArvinMeritor, Inc. 11,500 252,425 ASB Financial Corp. 200 4,450 * Asbury Automotive Group, Inc. 45,900 637,092 * Ascential Software Corp. 37,575 513,650 * Ashworth, Inc. 18,400 166,520 * Ask Jeeves, Inc. 15,800 408,272 * Aspect Communications Corp. 31,200 338,520 * Aspect Medical Systems, Inc. 23,000 561,200 * Aspen Technology, Inc. 49,400 285,038 Associated Banc-Corp 5,568 185,025 ASTA Funding, Inc. 4,800 105,408 * Astea International, Inc. 100 717 * Astec Industries, Inc. 23,500 391,040 Astro-Med, Inc. 2,640 23,842 * Astronics Corp. 2,700 13,365 * Astronics Corp. Class B 337 1,677 *# AstroPower, Inc. 7,600 72 * ASV, Inc. 11,324 474,815 * Asyst Technologies, Inc. 52,900 220,064 *# ATA Holdings Corp. 10,300 11,330 * Atari, Inc. 105,225 238,861 *# AtheroGenics, Inc. 20,700 490,797 * Atlantic American Corp. 5,300 15,900 * Atlantic Premium Brands, Ltd. 2,500 3,000 * Atlantis Plastics, Inc. 3,400 56,270 * ATMI, Inc. 19,200 441,984 Atmos Energy Corp. 14,500 391,355 * ATP Oil & Gas Corp. 28,200 401,850 Atrion Corp. 600 27,132 * ATS Medical, Inc. 6,900 27,393 * Atwood Oceanics, Inc. 17,689 927,434 * Audiovox Corp. Class A 24,166 361,282 * August Technology Corp. 23,800 201,110 * Ault, Inc. 100 316 * Authentidate Holding Corp. 44,200 306,748 * autobytel.com, Inc. 46,000 334,880 * Avalon Holding Corp. Class A 500 1,550 *# Avanex Corp. 134,671 417,480 * AVANIR Pharmaceuticals Class A 55,900 190,619 * Avant Immunotherapeutics, Inc. 71,060 131,461 * Avatar Holdings, Inc. 2,300 $ 108,721 Avatech Solutions, Inc. 135 47 * AVI BioPharma, Inc. 50,140 109,305 * Aviall, Inc. 32,100 729,954 * Avici Systems, Inc. 16,430 117,474 * Avid Technology, Inc. 17,800 1,015,846 * Avigen, Inc. 29,300 101,085 Avista Corp. 13,400 238,520 * Avnet, Inc. 766 14,094 * Avocent Corp. 29,090 1,103,384 *# AVTEAM, Inc. Class A 2,400 4 * Aware, Inc. 30,200 148,282 * Axcelis Technologies, Inc. 64,600 471,580 * Axesstel, Inc. 6,300 23,940 * AXM Pharma, Inc. 1,000 2,300 * AXS-One, Inc. 26,800 76,112 * Axsys Technologies, Inc. 1,200 21,696 * AXT, Inc. 24,648 41,902 * Aztar Corp. 22,300 754,186 * AZZ, Inc. 3,600 54,900 * Badger Paper Mills, Inc. 300 1,272 Bairnco Corp. 2,000 23,400 * Baker (Michael) Corp. 3,900 73,320 Balchem Corp. 1,800 55,458 Baldor Electric Co. 12,200 336,476 Baldwin & Lyons, Inc. Class A 250 6,287 Baldwin & Lyons, Inc. Class B 1,375 35,750 * Ballantyne of Omaha, Inc. 2,800 12,012 * Bally Total Fitness Holding Corp. 38,200 127,206 * Bancinsurance Corp. 2,600 19,292 BancorpSouth, Inc. 22,250 553,135 Bandag, Inc. 4,500 224,415 Bank of Granite Corp. 8,525 184,992 BankAtlantic Bancorp, Inc. Class A 150 2,850 * Bankrate, Inc. 1,300 20,748 * BankUnited Financial Corp. Class A 21,459 659,650 Banner Corp. 7,710 254,584 Banta Corp. 15,600 694,200 Barnes Group, Inc. 8,100 212,058 Barnwell Industries, Inc. 200 10,590 * Barry (R.G.) Corp. 11,800 41,300 Bassett Furniture Industries, Inc. 6,300 124,173 Bay View Capital Corp. 5,637 96,956 * BayCorp Holdings, Ltd. 239 3,023 * BE Aerospace, Inc. 35,900 380,432 * BearingPoint, Inc. 40,000 348,000 * Beasley Broadcast Group, Inc. 6,200 108,810 # Beazer Homes USA, Inc. 10,055 1,246,820 Bebe Stores, Inc. 30,750 1,115,610 BEI Technologies, Inc. 8,700 255,345 Bel Fuse, Inc. Class A 700 20,510 Belden CDT, Inc. 36,950 856,870 * Bell Industries, Inc. 4,400 12,804 * Bell Microproducts, Inc. 37,734 322,626 * Benchmark Electronics, Inc. 29,300 1,026,965 * Benihana, Inc. 1,500 21,375 * Benihana, Inc. Class A 225 3,172 * Bentley Pharmaceuticals, Inc. 27,600 243,432 Berkley (W.R.) Corp. 15,075 683,651 Berry Petroleum Corp. Class A 23,200 1,074,160 * Beverly Enterprises, Inc. 114,100 989,247
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SHARES VALUE+ ---------------- --------------- * BFC Financial Corp. 1,300 $ 14,664 * Big Dog Holdings, Inc. 2,600 16,328 *# Big Lots, Inc. 89,100 1,033,560 * BindView Development Corp. 48,860 173,453 * Bioanalytical Systems, Inc. 2,100 11,025 * BioCryst Pharmaceuticals, Inc. 26,600 175,560 * Bioenvision, Inc. 24,291 250,197 * Bio-Imaging Technologies, Inc. 13,600 59,160 # BioLase Technology, Inc. 16,900 152,776 * Bio-Logic Systems Corp. 2,000 16,320 * BioMarin Pharmaceutical, Inc. 49,300 262,769 * Bio-Rad Laboratories, Inc. Class A 11,400 646,380 * Bio-Rad Laboratories, Inc. Class B 400 22,800 * Bio-Reference Laboratories, Inc. 12,400 203,608 * BioSante Pharmaceuticals, Inc. 15,800 159,106 *# Biosite, Inc. 13,700 762,953 * Biosource International, Inc. 6,300 41,454 * Biospecifics Technologies Corp. 700 1,155 * BioSphere Medical, Inc. 15,280 47,368 * Bioveris Corp. 8,700 53,766 * Bitstream, Inc. 3,900 11,310 BIW, Ltd. 2,300 45,195 * BJ's Restaurants, Inc. 17,700 264,792 Black Box Corp. 10,700 456,676 Black Hills Corp. 9,500 291,745 Blair Corp. 5,000 175,000 # Blockbuster, Inc. Class A 44,000 373,120 * Blonder Tongue Laboratories, Inc. 1,300 6,175 * Blount International, Inc. 28,500 496,755 * Blue Coat Systems, Inc. 11,400 190,266 * Blue Martini Software, Inc. 16,494 45,837 * Bluegreen Corp. 31,800 505,620 Blyth, Inc. 19,700 577,407 * BNCCORP, Inc. 1,000 15,125 * BNS Co. Class A 1,280 8,512 Bob Evans Farms, Inc. 21,200 535,300 * Boca Resorts, Inc. 29,400 703,836 * Bogen Communications International, Inc. 5,100 25,117 * BOK Financial Corp. 1,621 79,105 * Bolt Technology Corp. 2,300 12,052 * Bombay Co., Inc. 54,900 379,908 * Bone Care International, Inc. 16,292 379,929 Bon-Ton Stores, Inc. 10,200 142,800 *# Bookham, Inc. 9,039 48,449 Books-A-Million, Inc. 19,000 175,180 BorgWarner, Inc. 12,600 630,756 * Borland Software Corp. 59,841 699,541 Boston Acoustics, Inc. 600 8,250 * Boston Beer Co., Inc. Class A 9,300 202,554 * Boston Communications Group, Inc. 24,300 216,270 Boston Private Financial Holdings, Inc. 13,700 371,133 BostonFed Bancorp, Inc. 700 30,723 * Bottomline Technologies, Inc. 21,200 248,040 Bowne & Co., Inc. 22,800 351,120 Boyd Gaming Corp. 31,100 1,143,236 * Boyds Collection, Ltd. 53,083 186,321 * Bradley Pharmaceuticals, Inc. 16,600 293,820 Brady Co. Class A 8,400 513,240 Bridgford Foods Corp. 1,000 8,465 # Briggs & Stratton Corp. 18,000 $ 705,960 * Brigham Exploration Co. 44,040 411,774 * Bright Horizons Family Solutions, Inc. 2,000 125,500 * Brightpoint, Inc. 23,725 453,385 * Brillian Corp. 6,200 19,096 *# BroadVision, Inc. 27,200 62,560 * Broadwing Corp. 400 2,656 *# Brocade Communications Systems, Inc. 160,900 1,115,037 Brookline Bancorp, Inc. 29,961 485,368 * Brooks Automation, Inc. 31,400 481,990 * Brookstone, Inc. 22,500 411,750 * Brooktrout, Inc. 18,800 230,488 Brown & Brown, Inc. 18,600 754,230 Brown Shoe Company, Inc. 11,300 322,276 * Bruker BioSciences Corp. 100,525 463,420 * Brush Engineered Materials, Inc. 22,100 430,950 * BTU International, Inc. 7,351 21,906 * Buca, Inc. 25,100 150,600 * Buckeye Technologies, Inc. 43,800 542,682 Buckle, Inc. 22,200 683,760 Building Materials Holding Corp. 11,600 422,820 Burlington Coat Factory Warehouse Corp. 26,825 625,291 * Bush Industries, Inc. Class A 300 25 * Butler International, Inc. 3,500 16,030 C&D Technologies, Inc. 27,200 471,376 * C-COR, Inc. 50,192 449,218 *# C-Phone Corp. 2,200 29 * Cabot Microelectronics Corp. 15,100 557,945 Cabot Oil & Gas Corp. 19,100 924,058 * Cache, Inc. 19,600 323,596 * CACI International, Inc. Class A 16,700 1,037,571 Cadmus Communications Corp. 2,700 37,479 * Cal Dive International, Inc. 26,400 1,136,784 * CalAmp Corp. 30,800 294,756 Calavo Growers, Inc. 4,400 51,524 Calgon Carbon Corp. 27,600 258,060 * California Coastal Communities, Inc. 4,200 93,618 California First National Bancorp 3,400 45,047 * California Micro Devices Corp. 24,785 215,629 * California Pizza Kitchen, Inc. 20,000 501,000 California Water Service Group 12,953 452,966 * Caliper Life Sciences, Inc. 59,841 418,289 Callaway Golf Co. 29,400 345,744 * Callidus Software 11,800 53,572 * Callon Petroleum Co. 24,900 348,849 # Cal-Maine Foods, Inc. 16,400 216,939 *# Calpine Corp. 152,400 591,312 * Calton, Inc. 2,100 756 * CAM Commerce Solutions, Inc. 1,400 22,567 Cambrex Corp. 18,100 448,880 Camco Financial Corp. 1,400 21,322 * CancerVax Corp. 24,800 234,856 * Candela Corp. 26,700 261,126 * Candie's, Inc. 29,291 136,496 * Candlewood Hotel Co., Inc. 2,300 132 * Cantel Medical Corp. 11,998 359,460 * Canyon Resources Corp. 30,600 37,026 Capital Corp. of the West 1,703 87,687
30
SHARES VALUE+ ---------------- --------------- * Capital Crossing Bank 5,800 $ 154,918 * Capital Pacific Holdings, Inc. 6,700 26,632 # Capital Properties, Inc. 500 8,450 Capital Properties, Inc. Class B 50 0 * Capital Senior Living Corp. 34,500 179,055 Capitol Bancorp, Ltd. 1,700 58,990 * Capstone Turbine Corp. 66,900 125,103 * Captaris, Inc. 42,700 209,657 * Caraco Pharmaceutical Laboratories, Ltd. 21,800 159,140 * Caraustar Industries, Inc. 33,000 530,970 CARBO Ceramics, Inc. 7,600 590,520 * Cardiac Sciences, Inc. 88,900 188,468 * Cardinal Financial Corp. 12,422 124,468 * CardioDynamics International Corp. 40,585 185,473 *# Cardiotech International, Inc. 22,500 63,225 *# Career Education Corp. 30,570 1,189,173 Carlisle Companies, Inc. 8,700 520,347 * CarMax, Inc. 12,800 356,480 Carmike Cinemas, Inc. 9,700 363,168 Carpenter Technology Corp. 9,700 566,965 * Carreker Corp. 7,100 59,924 * Carriage Services, Inc. 23,400 117,702 * Carrier Access Corp. 44,500 401,835 * Carrington Laboratories, Inc. 200 922 * Carrizo Oil & Gas, Inc. 8,500 82,195 Cascade Corp. 9,900 317,691 Cascade Natural Gas Corp. 7,400 158,212 * Casella Waste Systems, Inc. Class A 26,600 401,926 Casey's General Stores, Inc. 26,700 517,179 Cash America International, Inc. 21,200 543,780 * Castle (A.M.) & Co. 7,800 99,216 Castle Energy Corp. 3,600 45,360 * Casual Male Retail Group, Inc. 47,500 205,200 Catalina Marketing Corp. 23,400 657,540 * Catalyst Semiconductor, Inc. 25,150 149,894 * Catalytica Energy Systems, Inc. 8,800 18,480 * Catapult Communications Corp. 16,500 447,810 Cathay General Bancorp 15,804 611,931 Cato Corp. Class A 11,300 301,484 * Cavalier Homes, Inc. 23,000 127,190 * Cavco Industries, Inc. 3,700 149,110 CBRL Group, Inc. 22,100 901,017 CCA Industries, Inc. 3,060 33,660 * CCC Information Services Group, Inc. 13,600 284,240 CDI Corp. 11,000 212,520 * CEC Entertainment, Inc. 23,700 964,353 * Celadon Group, Inc. 14,300 306,020 Celeritek, Inc. 16,700 60,287 * Celestica, Inc. 6,250 94,875 * Cell Genesys, Inc. 49,307 361,913 *# Cell Therapeutics, Inc. 33,200 248,336 * Cellegy Pharmaceuticals, Inc. 21,495 106,400 * CellStar Corp. 25,213 92,027 * Centene Corp. 10,550 564,425 * Centennial Communications Corp. 4,700 31,067 Center Financial Corp. 3,600 74,124 * Centillium Communications, Inc. 51,400 129,528 * Centra Software, Inc. 24,200 52,509 Central Bancorp, Inc. 300 $ 9,292 * Central Coast Bancorp 605 14,066 * Central European Distribution Corp. 13,650 358,858 * Central Garden & Pet Co. 16,200 626,940 Central Pacific Financial Corp. 11,200 374,416 Central Parking Corp. 22,426 340,427 Central Vermont Public Service Corp. 7,000 158,060 * Century Aluminum Co. 24,100 617,442 * Century Business Services, Inc. 93,240 400,932 * Cenuco, Inc. 8,500 61,880 * Cenveo, Inc. 58,300 185,977 * Cepheid, Inc. 32,150 296,101 * Ceradyne, Inc. 14,250 703,950 * Ceres Group, Inc. 48,416 242,080 *# Cerner Corp. 18,700 985,864 * Cerus Corp. 29,700 77,517 * CEVA, Inc. 1,166 9,351 CFS Bancorp, Inc. 8,800 121,264 CH Energy Group, Inc. 4,600 213,762 * Chad Therapeutics, Inc. 200 906 * Champion Enterprises, Inc. 38,200 438,536 * Championship Auto Racing Teams, Inc. 3,600 508 * Champps Entertainment, Inc. 17,149 136,163 * Channell Commercial Corp. 200 1,500 * Charles and Colvard, Ltd. 18,400 175,518 * Charles River Associates, Inc. 4,400 189,816 * Charles River Laboratories International, Inc. 7,584 354,552 * Charlotte Russe Holding, Inc. 25,500 297,075 * Charming Shoppes, Inc. 80,700 754,545 *# Chart Industries, Inc. 5 235 *# Charter Communications, Inc. 70,500 152,280 Charter Financial Corp. 1,500 61,365 Chase Corp. 600 9,390 * Chattem, Inc. 23,000 833,060 * Chaus (Bernard), Inc. 300 270 * Checkers Drive-In Restaurants, Inc. 16,900 209,222 * CheckFree Corp. 24,000 889,200 * Checkpoint Systems, Inc. 29,800 550,108 * Cheesecake Factory, Inc. 11,250 550,012 Chemed Corp. 7,700 477,708 Chemical Financial Corp. 10,091 422,813 * Cheniere Energy, Inc. 11,600 659,576 Cherokee, Inc. 3,100 91,140 Chesapeake Corp. 11,325 305,662 Chesapeake Energy Corp. 146,900 2,644,200 Chesapeake Utilities Corp. 1,800 46,620 *# Chicos FAS, Inc. 43,450 1,677,170 * chinadotcom Corp. Class A 1,811 7,987 * Chiquita Brands International, Inc. 32,100 634,938 Chittenden Corp. 19,545 576,187 Choice Hotels International, Inc. 26,000 1,331,200 * Cholestech Corp. 19,800 158,400 * Chordiant Software, Inc. 91,650 187,882 Christopher & Banks Corp. 22,634 446,569 * Chromcraft Revington, Inc. 4,000 50,040 * Chronimed, Inc. 16,900 111,371 Church & Dwight Co., Inc. 18,300 571,326 Churchill Downs, Inc. 6,500 301,925 * Ciber, Inc. 71,451 666,638
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SHARES VALUE+ ---------------- --------------- * CIENA Corp. 71,700 $ 182,835 * Cimarex Energy Co. 8,406 337,753 * Cincinnati Bell, Inc. 150,000 540,000 * Ciphergen Biosystems, Inc. 35,900 115,598 * Ciprico, Inc. 1,700 7,055 CIRCOR International, Inc. 10,445 217,778 * Cirrus Logic, Inc. 99,593 590,586 Citizens Banking Corp. 18,925 664,267 Citizens South Banking Corp. 2,500 32,750 * Citizens, Inc. 53,384 344,330 * Citrix Systems, Inc. 3,000 70,830 City Holding Co. 9,900 365,508 City National Corp. 153 10,465 * CKE Restaurants, Inc. 50,700 634,257 Claire's Stores, Inc. 35,600 724,460 Clarcor, Inc. 14,500 761,540 * Clark, Inc. 20,848 347,119 * Clarus Corp. 22,400 194,320 * Clayton Williams Energy, Inc. 6,700 153,363 * Clean Harbors, Inc. 13,000 162,890 * ClearOne Communications, Inc. 900 3,802 Cleco Corp. 13,300 263,340 # Cleveland-Cliffs, Inc. 10,700 1,036,830 * Closure Medical Corp. 11,900 211,701 * CMS Energy Corp. 115,106 1,174,081 * CNA Surety Corp. 44,369 579,459 # CNB Financial Corp. 2,500 36,900 *# CNET Networks, Inc. 65,500 610,460 CNS, Inc. 15,100 182,257 Coachmen Industries, Inc. 10,300 165,521 * Coast Dental Services, Inc. 233 815 * Coastcast Corp. 2,000 4,580 CoBiz, Inc. 2,475 54,450 * Cobra Electronics Corp. 3,100 25,110 * Coeur d'Alene Mines Corp. 233,500 1,071,765 * Cogent Communications Group, Inc. 3,100 2,449 Cognex Corp. 15,500 399,900 * Cognitronics Corp. 2,300 7,314 *# Cognizant Technology Solutions Corp. 25,800 983,754 * Coherent, Inc. 21,400 618,246 Cohu, Inc. 15,800 264,808 * Coinstar, Inc. 18,500 481,370 * Coldwater Creek, Inc. 20,587 539,379 * Collagenex Pharmaceuticals, Inc. 20,700 117,990 # Collegiate Pacific, Inc. 1,500 22,125 * Collins & Aikman Corp. 93,406 331,591 Columbia Banking System, Inc. 12,509 317,604 * Columbia Laboratories, Inc. 36,440 70,694 * Columbia Sportswear Co. 11,350 645,815 * Columbus McKinnon Corp. 20,619 163,096 * Comarco, Inc. 5,800 46,980 * Comfort Systems USA, Inc. 49,700 357,840 Commerce Group, Inc. 7,100 421,669 *# Commerce One, Inc. 28,800 4,680 Commercial Bancshares, Inc. 781 29,483 Commercial Capital Bancorp, Inc. 21,846 521,246 Commercial Federal Corp. 13,200 384,516 Commercial Metals Co. 20,300 920,402 Commercial National Financial Corp. 600 14,100 * Commonwealth Industries, Inc. 7,100 92,939 * Commonwealth Telephone Enterprises, Inc. 12,359 $ 601,389 * CommScope, Inc. 43,200 834,624 Communications Systems, Inc. 2,900 33,872 Community Bancorp, Inc. 1,000 41,000 Community Bancorp, Inc. 210 5,985 Community Bank System, Inc. 11,400 315,780 Community Trust Bancorp, Inc. 3,606 120,759 Community West Bancshares 2,300 24,265 * Compex Technologies, Inc. 15,300 74,970 * CompuCredit Corp. 44,000 1,054,680 * Compudyne Corp. 10,700 75,981 * Computer Horizons Corp. 38,900 147,820 * Computer Network Technology Corp. 36,300 206,910 Computer Programs & Systems, Inc. 3,200 69,120 * Computer Task Group, Inc. 25,800 93,912 * Comstock Resources, Inc. 31,500 683,865 * COMSYS IT Partners, Inc. 48 432 * Comtech Telecommunications Corp. 14,912 469,430 * Conceptus, Inc. 24,900 222,357 * Concord Camera Corp. 31,989 84,451 * Concord Communications, Inc. 26,900 249,901 * Concur Technologies, Inc. 17,700 166,380 * Concurrent Computer Corp. 48,400 91,960 * Conexant Systems, Inc. 109,913 218,727 * Conmed Corp. 22,850 661,964 Connecticut Water Services, Inc. 1,800 50,094 * Connetics Corp. 18,000 376,380 * Conrad Industries, Inc. 3,000 5,550 * Consolidated Graphics, Inc. 15,200 718,960 Consolidated-Tokoma Land Co. 1,600 64,192 * Constar International, Inc. 10,700 64,200 * Consumer Portfolio Services, Inc. 16,100 69,874 *# Continental Airlines, Inc. 50,250 559,785 * Continental Materials Corp. 1,000 26,600 * Convera Corp. 36,355 169,414 *# Cooker Restaurant Corp. 500 2 Cooper Companies, Inc. 17,400 1,209,822 Cooper Tire & Rubber Co. 27,100 553,382 * Copart, Inc. 63,300 1,367,280 * Copper Mountain Networks, Inc. 8,000 25,112 * Core Molding Technologies, Inc. 1,800 4,806 * Corillian Corp. 32,223 187,216 * Corinthian Colleges, Inc. 25,300 440,852 * Corio, Inc. 63,200 104,912 * Corixa Corp. 65,000 243,750 Corn Products International, Inc. 12,600 685,692 * Cornell Companies, Inc. 19,300 282,745 * Correctional Services Corp. 10,600 29,468 * Corrections Corporation of America 26,400 1,042,800 * Cortech, Inc. 1,100 3,300 Corus Bankshares, Inc. 12,200 593,774 * Corvel Corp. 6,900 218,868 * Cosine Communications, Inc. 13,200 40,524 * Cost Plus, Inc. 12,850 408,373 * CoStar Group, Inc. 7,400 324,120 Cotton States Life Insurance Co. 1,300 26,130 Courier Corp. 10,800 546,264 * Covance, Inc. 31,000 1,223,260 * Covansys Corp. 31,600 425,336 * Covenant Transport, Inc. Class A 15,400 295,988
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SHARES VALUE+ ---------------- --------------- * Cox Radio, Inc. 4,600 $ 73,140 * CPI Aerostructures, Inc. 7,200 74,160 Craftmade International, Inc. 3,900 69,030 * Cray, Inc. 92,100 323,271 * Credence Systems Corp. 60,964 465,765 * Credit Acceptance Corp. 40,300 997,425 *# Cree, Inc. 38,200 1,366,796 * Criticare Systems, Inc. 14,200 37,772 Crompton Corp. 46,772 524,314 * Cross (A.T.) Co. Class A 6,200 29,512 * Cross Country Healthcare, Inc. 35,452 629,273 * Crossroads Systems, Inc. 28,900 39,015 * Crown Castle International Corp. 100,200 1,691,376 * Crown Financial Group, Inc. 1,800 594 * Crown Holdings, Inc. 75,000 960,000 * Crown Media Holdings, Inc. 45,700 404,902 *# CryoLife, Inc. 31,850 226,772 * CSG Systems International, Inc. 41,600 755,872 * CSK Auto Corp. 32,300 495,482 * CSP, Inc. 1,400 12,320 CSS Industries, Inc. 6,900 221,697 CT Communications, Inc. 10,000 132,300 * CTI Molecular Imaging, Inc. 12,100 161,898 CTS Corp. 24,900 332,664 Cubic Corp. 20,600 525,300 * Cubist Pharmaceuticals, Inc. 25,200 302,400 * Culp, Inc. 17,800 107,156 * Cumulus Media, Inc. Class A 37,100 566,888 * CUNO, Inc. 9,800 642,194 * CuraGen Corp. 60,000 361,800 * Curative Health Services, Inc. 18,000 102,780 * Curis, Inc. 39,500 159,975 Curtiss-Wright Corp. 4,000 238,400 Cutter & Buck, Inc. 13,100 194,928 * CV Therapeutics, Inc. 29,000 628,720 CVB Financial Corp. 15,213 413,489 * Cyberguard Corp. 23,072 142,354 * Cyberonics, Inc. 15,400 285,978 * Cyberoptics Corp. 11,243 158,077 * Cybersource Corp. 37,700 266,162 * Cycle Country Accessories Corp. 5,100 24,837 * Cymer, Inc. 25,900 787,878 * Cypress Bioscience, Inc. 19,900 231,835 * Cypress Semiconductor Corp. 90,300 889,455 Cytec Industries, Inc. 21,300 1,035,393 * Cytogen Corp. 20,660 203,501 D&E Communications, Inc. 6,346 83,133 D&K Healthcare Resources, Inc. 15,200 110,352 * Daktronics, Inc. 10,700 277,344 * Danielson Holding Corp. 22,100 180,557 * Darling International, Inc. 71,900 296,228 * Data Systems & Software, Inc. 400 440 * Datalink Corp. 300 570 * Dataram Corp. 11,283 67,360 Datascope Corp. 11,200 449,008 * Datastream Systems, Inc. 9,200 54,280 * Datawatch Corp. 532 2,048 * Dave & Busters, Inc. 7,700 143,990 * DaVita, Inc. 31,650 1,051,413 * Dawson Geophysical Co. 1,900 44,365 * Daxor Corp. 2,600 54,860 * Dearborn Bancorp, Inc. 1,274 $ 38,220 Deb Shops, Inc. 5,600 138,040 *# Deckers Outdoor Corp. 4,300 187,136 * Del Global Technologies Corp. 3,105 7,949 * Del Laboratories, Inc. 4,410 151,042 * Delphax Technologies, Inc. 5,000 20,445 Delphi Financial Group, Inc. Class A 13,950 648,117 Delta & Pine Land Co. 9,800 261,660 *# Delta Air Lines, Inc. 52,200 363,834 Delta Apparel, Inc. 940 21,479 Delta Financial Corp. 16,400 165,640 Delta Natural Gas Co., Inc. 900 23,175 * Delta Petroleum Corp. 4,800 75,504 * Delta Woodside Industries, Inc. 75 49 Deltic Timber Corp. 8,600 388,720 * Denali, Inc. 1,100 110 * Denbury Resources, Inc. 42,130 1,219,663 * Dendreon Corp. 41,815 410,205 * Dendrite International, Inc. 36,900 629,883 * Department 56, Inc. 19,900 336,907 * DepoMed, Inc. 39,800 185,468 * Devcon International Corp. 600 9,300 * DeVry, Inc. 37,900 638,994 * DHB Industries, Inc. 35,900 667,740 Diagnostic Products Corp. 13,100 634,040 * DiamondCluster International, Inc. 30,000 366,900 * Diedrich Coffee, Inc. 1,500 6,705 * Digene Corp. 11,200 270,850 * Digi International, Inc. 28,700 441,693 * Digimarc Corp. 26,081 240,206 * Digital Angel Corp. 43,700 279,243 * Digital Generation Systems, Inc. 44,500 60,075 * Digital Impact, Inc. 33,300 38,961 * Digital Insight Corp. 39,800 649,735 * Digital Lightwave, Inc. 16,500 22,605 * Digital River, Inc. 15,100 632,992 * Digitas, Inc. 74,773 613,886 Dillards, Inc. Class A 22,000 553,960 Dime Community Bancshares 20,025 367,459 DIMON, Inc. 27,500 179,025 * Diodes, Inc. 6,900 171,603 * Dionex Corp. 7,600 436,164 * Discovery Laboratories, Inc. 1,000 6,980 * Discovery Partners International, Inc. 34,800 160,080 * Distributed Energy Systems Corp. 39,100 104,788 * Ditech Communications Corp. 39,100 616,216 * Diversa Corp. 49,551 419,697 * Dixie Group, Inc. 15,708 251,799 * Dixon Ticonderoga Co. 600 3,666 * DJ Orthopedics, Inc. 26,000 524,420 * DocuCorp International, Inc. 17,200 153,596 * Dollar Thrifty Automotive Group, Inc. 21,200 570,068 * Dominion Homes, Inc. 2,800 57,848 Donaldson Co., Inc. 8,800 272,800 Donegal Group, Inc. Class A 666 14,319 Donegal Group, Inc. Class B 333 6,577 * Dot Hill Systems Corp. 51,300 338,580 * DoubleClick, Inc. 95,500 716,250 * DOV Pharmaceutical, Inc. 12,000 222,120 Dover Downs Gaming & Entertainment, Inc. 4,900 55,321
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SHARES VALUE+ ---------------- --------------- Dover Motorsports, Inc. 7,700 $ 37,422 Downey Financial Corp. 22,000 1,270,280 * DPAC Technologies Corp. 2,500 1,300 * Drew Industries, Inc. 10,500 349,755 Dreyer's Grand Ice Cream Holdings, Inc. Class A 10,000 802,300 * Dril-Quip, Inc. 20,300 484,561 * DRS Technologies, Inc. 17,500 747,600 * drugstore.com, Inc. 79,218 257,458 * DSP Group, Inc. 27,000 598,860 * Duckwall-ALCO Stores, Inc. 1,500 25,125 * Ducommun, Inc. 13,584 344,354 * DuPont Photomasks, Inc. 20,300 535,514 Duquesne Light Holdings, Inc. 20,600 363,384 * Dura Automotive Systems, Inc. 23,479 213,659 * Duratek, Inc. 8,700 200,187 * Durect Corp. 52,298 117,148 * DUSA Pharmaceuticals, Inc. 19,550 259,428 * Dyax Corp. 30,500 241,865 * Dycom Industries, Inc. 30,634 892,675 *# Dynacq Healthcare, Inc. 12,700 68,580 * Dynamex, Inc. 13,900 279,668 * Dynamics Research Corp. 9,400 157,074 *# Dynegy, Inc. 189,700 1,071,805 * E Com Ventures, Inc. 125 1,486 *# E-Loan, Inc. 78,227 211,213 E-Z-EM, Inc. 1,700 24,735 * E.piphany, Inc. 82,146 371,300 # Eagle Materials, Inc. 10,200 799,374 Eagle Materials, Inc. Class B 4,900 370,440 *# EarthLink, Inc. 105,700 1,145,788 East West Bancorp, Inc. 22,800 945,516 Eastern Co. 550 10,417 * Echelon Corp. 45,951 347,390 * Eclipsys Corp. 2,000 38,900 * eCollege.com 27,961 328,542 Ecology & Environment, Inc. Class A 400 3,520 * Edelbrock Corp. 880 14,608 * Eden Bioscience Corp. 7,900 5,609 * Edge Petroleum Corp. 19,100 292,230 * Edgewater Technology, Inc. 8,267 34,556 EDO Corp. 14,900 454,003 * Education Lending Group, Inc. 200 2,812 * Education Management Corp. 23,300 772,162 EFC Bancorp, Inc. 900 23,085 * eFunds Corp. 36,100 859,902 * EGL, Inc. 34,500 1,164,030 * El Paso Electric Co. 55,900 1,003,405 Electro Rent Corp. 27,400 388,532 * Electro Scientific Industries, Inc. 15,200 295,184 * Electroglas, Inc. 27,560 89,846 * Electronics Boutique Holdings Corp. 17,300 673,835 * Electronics for Imaging, Inc. 34,800 582,204 * Elizabeth Arden, Inc. 22,300 508,440 ElkCorp 15,900 470,640 * eLoyalty Corp. 2,400 12,072 * ELXSI Corp. 1,000 3,250 * EMAK Worldwide, Inc. 2,800 27,611 * Embarcadero Technologies, Inc. 35,578 314,510 * Embrex, Inc. 11,500 152,375 EMC Insurance Group, Inc. 1,100 23,881 * EMCOR Group, Inc. 11,300 $ 522,286 * EMCORE Corp. 47,065 125,193 * Emeritus Corp. 3,200 30,400 * Emerson Radio Corp. 37,500 116,250 * Emisphere Technologies, Inc. 25,900 79,435 * Emmis Communications Corp. Class A 36,500 674,885 Empire District Electric Co. 15,000 340,650 * EMS Technologies, Inc. 15,200 238,488 * Emulex Corp. 53,200 752,248 * Encore Acquisition Co. 23,400 823,914 * Encore Capital Grooup, Inc. 12,700 318,516 * Encore Medical Corp. 67,456 424,636 * Encore Wire Corp. 29,550 398,186 * Encysive Pharmaceuticals, Inc. 32,700 354,795 * Endeavour International Corp. 37,600 161,304 * Endo Pharmaceuticals Holdings, Inc. 20,100 411,648 * Endocardial Solutions, Inc. 18,545 210,857 *# Endocare, Inc. 7,700 18,518 * Endologix, Inc. 33,600 217,056 Energen Corp. 12,600 729,036 * Energy Conversion Devices, Inc. 24,600 547,596 * Energy Partners, Ltd. 37,000 716,690 * Energy West, Inc. 3,100 18,414 EnergySouth, Inc. 3,750 107,962 * Enesco Group, Inc. 20,300 149,814 Engineered Support Systems, Inc. 17,943 986,865 Ennis, Inc. 11,400 226,290 * Enpath Medical, Inc. 7,506 71,757 * EnPro Industries, Inc. 24,200 695,508 ENSCO International, Inc. 6,049 189,394 * Entegris, Inc. 47,300 462,594 * Enterrasys Networks, Inc. 118,000 206,500 * Entravision Communications Corp. 59,300 486,260 * Entremed, Inc. 30,000 71,700 * Entrust, Inc. 86,969 324,394 * Environmental Tectonics Corp. 2,800 18,200 * Enzo Biochem, Inc. 24,990 481,057 * EP Medsystems, Inc. 1,200 4,116 * EpicEdge, Inc. 2,800 8 * Epicor Software Corp. 24,600 387,942 * Epimmune, Inc. 8,000 10,800 * EPIQ Systems, Inc. 21,385 320,561 * EPIX Pharmaceuticals, Inc. 13,300 234,080 * ePlus, Inc. 10,770 136,025 * ePresence, Inc. Escrow Shares 8,100 1,053 * Equinix, Inc. 16,900 657,072 *# eResearch Technology, Inc. 24,650 363,341 ESB Financial Corp. 2,937 41,441 Escalade, Inc. 2,400 35,328 * ESCO Technologies, Inc. 9,700 710,040 * eSpeed, Inc. 25,800 288,702 Espey Manufacturing & Electronics Corp. 200 5,210 * ESS Technology, Inc. 43,500 306,675 * Esterline Technologies Corp. 23,200 825,920 Ethan Allen Interiors, Inc. 18,000 710,100 * Euronet Worldwide, Inc. 18,200 447,720 * European Micro Holdings, Inc. 1,200 36 * Evans & Sutherland Computer Corp. 4,900 32,389 * Evans Systems, Inc. 400 17
34
SHARES VALUE+ ---------------- --------------- *# Evergreen Solar, Inc. 40,160 $ 136,102 * Exact Sciences Corp. 32,141 111,208 * Exactech, Inc. 3,000 56,520 * Exar Corp. 33,293 465,436 * Excel Technology, Inc. 12,600 327,600 * Exelixis, Inc. 55,342 496,418 * Exponent, Inc. 2,700 75,033 * ExpressJet Holdings, Inc. 17,300 201,718 * Extended Systems, Inc. 200 510 * Extreme Networks, Inc. 69,400 474,002 * EZCORP, Inc. Class A Non-Voting 1,000 10,690 F.N.B. Corp. 11,849 251,554 * F5 Networks, Inc. 19,000 817,950 * Fab Industries, Inc. 1,000 3,980 Factset Research Systems, Inc. 12,400 640,460 # Fair Isaac Corp. 27,771 921,442 * Fairchild Corp. Class A 28,900 86,700 * Fairchild Semiconductor Corp. Class A 13,900 212,670 * Falcon Products, Inc. 4,300 3,752 *# FalconStor Software, Inc. 26,500 207,495 * Famous Dave's of America, Inc. 16,000 177,920 * Fargo Electronics 15,387 228,035 Farmer Brothers Co. 3,000 79,680 * Faro Technologies, Inc. 11,700 318,240 FBL Financial Group, Inc. Class A 11,000 312,620 Fedders Corp. 14,210 42,630 * Federal Agriculture Mortgage Corporation 200 4,532 Federal Signal Corp. 21,000 361,200 * FEI Co. 23,394 500,398 Ferro Corp. 17,700 404,976 FFLC Bancorp, Inc. 1,048 34,196 * Fiberstars, Inc. 9,500 85,500 Fidelity Bancorp, Inc. 266 6,246 Fidelity Bankshares, Inc. 10,783 442,426 Fidelity Southern Corp. 1,600 29,008 * Filenet Corp. 21,200 568,372 * Financial Federal Corp. 15,200 584,592 * Financial Industries Corp. 10,541 83,801 * FindWhat.com 17,411 335,684 * Finisar Corp. 162,100 296,643 Finish Line, Inc. Class A 33,400 614,560 * Finlay Enterprises, Inc. 9,700 188,374 * Firebrand Financial Group, Inc. 1,700 68 * First Acceptance Corp. 3,600 31,320 First Albany Companies, Inc. 4,983 45,794 First American Corp. 7,600 250,420 * First Aviation Services, Inc. 1,600 6,416 First Bancorp 1,308 37,043 * First Cash Financial Services, Inc. 16,800 437,472 First Charter Corp. 12,600 345,114 First Commonwealth Financial Corp. 29,353 450,569 First Community Bancorp 8,161 342,925 First Community Bancshares, Inc. 7,803 277,943 * First Consulting Group, Inc. 34,212 187,140 First Defiance Financial Corp. 700 19,152 First Federal Bancshares of Arkansas, Inc. 2,400 52,248 First Federal Bankshares, Inc. 200 4,674 First Financial Bancorp 19,162 327,287 First Financial Bankshares, Inc. 2,500 $ 108,750 First Financial Corp. 1,800 65,376 First Financial Holdings, Inc. 8,300 271,742 First Financial Service Corp. 220 5,641 * First Health Group Corp. 48,000 855,360 * First Horizon Pharmaceutical Corp. 33,400 653,304 First Indiana Corp. 9,900 229,383 * First Investors Financial Services Group, Inc. 400 1,792 First Keystone Financial, Inc. 200 4,530 * First Mariner Bancorp 2,200 37,818 First Merchants Corp. 10,662 287,341 First Midwest Bancorp, Inc. 7,522 282,376 First Midwest Financial, Inc. 600 15,066 First Mutual Bancshares, Inc. 292 7,255 First National Bankshares of Florida 50 1,284 First Niagara Financial Group, Inc. 33,111 478,123 First Oak Brook Bancshares, Inc. 6,450 211,560 First PacTrust Bancorp, Inc. 1,300 33,930 First Place Financial Corp. 7,767 174,757 First Republic Bank 11,850 608,971 First State Bancorporation 5,111 192,020 First United Corp. 800 16,280 First West Virginia Bancorp, Inc. 400 9,640 FirstBank NW Corp. 545 15,791 * FirstCity Financial Corp. 14,142 126,571 * FirstFed Financial Corp. 12,100 636,702 * Fischer Imaging Corp. 900 3,285 * Five Star Quality Care, Inc. 11,700 79,326 Flag Financial Corp. 1,600 22,800 Flagstar Bancorp, Inc. 27,550 600,314 * Flanders Corp. 35,100 350,298 * Fleetwood Enterprises, Inc. 33,100 448,505 Flexsteel Industries, Inc. 1,200 21,012 * Flight Safety Technologies, Inc. 3,200 4,768 *# Flir Systems, Inc. 13,000 732,550 Florida East Coast Industries, Inc. 19,300 823,145 Florida Public Utilities Co. 666 12,281 Florida Rock Industries, Inc. 20,925 1,178,077 * Flow International Corp. 11,900 32,963 Flowers Foods, Inc. 24,150 737,299 * Flowserve Corp. 44,100 1,112,202 Flushing Financial Corp. 13,350 283,687 *# FLYi, Inc. 49,500 93,060 * FMC Corp. 24,800 1,228,840 FNB Corp. 1,400 27,370 FNB Corp. 439 12,731 FNB Financial Services Corp. 1,375 28,875 * Foamex International, Inc. 21,568 87,782 * Foodarama Supermarkets, Inc. 100 4,050 Foothill Independent Bancorp 1,746 40,280 * Footstar, Inc. 12,300 46,740 * Forest Oil Corp. 34,330 1,168,250 * Forgent Networks, Inc. 29,200 49,640 * Forrester Research, Inc. 26,203 427,633 * Forward Air Corp. 8,950 414,832 * Fossil, Inc. 36,225 979,886 * Foster (L.B.) Co. Class A 200 1,760 * Foster Wheeler, Ltd. 60 854 * Foundry Networks, Inc. 88,700 1,184,145 * FPIC Insurance Group, Inc. 12,174 402,107
35
SHARES VALUE+ ---------------- --------------- * Frankfort Tower Industries, Inc. 3,100 $ 4 * Franklin Covey Co. 2,700 5,373 Franklin Electric Co., Inc. 4,000 162,640 * Franklin Electronic Publishers, Inc. 1,300 5,720 # Fred's, Inc. 20,087 348,108 # Fremont General Corp. 38,600 918,680 Frequency Electronics, Inc. 1,500 22,425 * Fresh Brands, Inc. 1,200 9,120 * Fresh Choice, Inc. 2,500 1,075 * Friedmans, Inc. Class A 20,800 35,048 * Friendly Ice Cream Corp. 2,000 17,900 Frisch's Restaurants, Inc. 1,100 26,202 * Frontier Airlines, Inc. 41,498 486,772 Frontier Oil Corp. 17,000 453,050 * Frozen Food Express Industries, Inc. 24,400 287,920 * FSI International, Inc. 38,000 171,000 * FTI Consulting, Inc. 29,950 604,091 *# FuelCell Energy, Inc. 50,500 507,525 Fuller (H.B.) Co. 14,000 400,680 Fulton Financial Corp. 1,772 39,693 Furniture Brands International, Inc. 15,100 366,779 G & K Services, Inc. Class A 14,048 577,092 * G-III Apparel Group, Ltd. 1,800 11,070 Gabelli Asset Management, Inc. 3,200 154,880 * Gaiam, Inc. 6,400 33,600 * Galaxy Nutritional Foods, Inc. 1,600 2,848 * GameStop Corp. 15,100 318,459 GameTech International, Inc. 5,100 19,538 * Gardner Denver Machinery, Inc. 21,800 749,920 * Gartner Group, Inc. 48,400 575,960 * Gartner, Inc. 400 4,688 * Gateway Financial Holdings, Inc. 600 9,360 * Gateway, Inc. 198,600 1,352,466 GATX Corp. 13,600 400,384 * Gaylord Entertainment Co. 33,150 1,168,206 * Gehl Co. 7,405 162,836 *# Genaissance Pharmaceuticals, Inc. 28,200 43,428 Gencorp, Inc. 38,400 645,504 * Gene Logic, Inc. 42,400 142,888 * Genecor International, Inc. 32,966 534,049 * Genelabs Technologies, Inc. 35,636 25,302 * General Binding Corp. 5,500 73,315 * General Cable Corp. 40,600 552,160 * General Communications, Inc. Class A 61,900 633,856 * General DataComm Industries, Inc. 80 48 * Genesco, Inc. 24,000 709,920 * Genesee & Wyoming, Inc. 20,048 552,723 * Genesee Corp. Class B 100 210 * Genesis HealthCare Corp. 23,356 753,231 * Genesis Microchip, Inc. 14,189 231,423 * Genlyte Group, Inc. 9,400 753,598 * Genta, Inc. 66,780 86,814 * Gentiva Health Services, Inc. 850 14,152 * Genus, Inc. 44,201 76,910 * GenVec, Inc. 60,862 118,072 Georgia Gulf Corp. 32,100 1,848,318 * Gerber Scientific, Inc. 30,700 240,995 * Geron Corp. 45,100 313,445 * Getty Images, Inc. 25,800 1,502,850 Gevity HR, Inc. 13,300 235,543 * Giant Industries, Inc. 14,900 $ 417,200 Gibraltar Industries, Inc. 8,250 198,742 * Giga-Tronics, Inc. 200 460 Glacier Bancorp, Inc. 8,850 306,298 Glatfelter (P.H.) Co. 25,800 369,714 * Glenayre Technologies, Inc. 82,740 151,414 * Global e-Point, Inc. 18 55 * Global Imaging Systems, Inc. 16,500 617,430 * Global Payment Technologies, Inc. 2,400 12,216 *# Global Power Equipment Group, Inc. 51,100 444,059 * Globecomm Systems, Inc. 7,900 49,612 * Glowpoint, Inc. 28,000 33,880 Gold Banc Corp. 24,900 372,504 * Goodrich Petroleum Corp. 17,400 281,010 *# Goodyear Tire & Rubber Co. 140,900 1,778,158 Goody's Family Clothing, Inc. 34,000 331,160 * GoRemote Internet Communications, Inc. 17,000 30,600 Gorman-Rupp Co. 2,625 60,112 * GP Strategies Corp. 10,800 76,680 Graco, Inc. 30,712 1,124,673 * Graftech International, Ltd. 28,100 268,074 Graham Corp. 300 3,945 Granite Construction, Inc. 17,750 471,085 * Graphic Packaging Corp. 110,700 903,312 Gray Television, Inc. 19,180 287,700 Gray Television, Inc. Class A 200 2,774 Great American Financial Resources, Inc. 8,200 143,172 * Great Atlantic & Pacific Tea Co., Inc. 45,100 340,956 Great Lakes Chemical Corp. 22,200 650,460 Great Southern Bancorp, Inc. 2,000 82,000 * Greater Atlantic Financial Corp. 1,300 7,995 Greater Bay Bancorp 21,674 629,630 Greater Communications Bancorp 2,152 31,850 * Green Mountain Coffee, Inc. 8,200 196,636 Green Mountain Power Corp. 2,100 57,015 Greenbrier Companies, Inc. 3,100 92,194 Grey Global Group, Inc. 300 329,106 * Grey Wolf, Inc. 144,700 795,850 * Griffin Land & Nurseries, Inc. Class A 1,200 31,680 * Griffon Corp. 21,280 533,702 * Group 1 Automotive, Inc. 15,900 469,209 * Grubb & Ellis Co. 5,100 22,950 GS Financial Corp. 400 7,648 * GSE Systems, Inc. 1,000 2,160 * GSI Commerce, Inc. 34,190 517,295 * GSV, Inc. 380 95 * GTC Biotherapeutics, Inc. 37,038 56,668 Gtech Holdings, Inc. 69,200 1,671,180 * GTSI Corp. 11,687 118,506 Guaranty Bancshares, Inc. 400 8,680 Guaranty Federal Bancshares, Inc. 900 21,411 * Guess, Inc. 36,800 533,600 * Guilford Pharmaceuticals, Inc. 45,000 253,800 * Guitar Center, Inc. 13,900 672,482 Gulf Island Fabrication, Inc. 13,941 296,525 * Gulfmark Offshore, Inc. 22,200 461,982 * Gymboree Corp. 35,600 419,724 * Ha-Lo Industries, Inc. 16,600 12 * Haemonetics Corp. 17,000 593,300
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SHARES VALUE+ --------------- --------------- Haggar Corp. 2,000 $ 44,200 * Hain Celestial Group, Inc. 23,551 457,596 * Hammons (John Q.) Hotels, Inc. Class A 1,600 23,040 * Hampshire Group, Ltd. 1,000 31,175 Hancock Fabrics, Inc. 13,100 130,476 Hancock Holding Co. 13,169 447,746 Handleman Co. 27,170 576,004 * Hanger Orthopedic Group, Inc. 29,900 233,220 Hanmi Financial Corp. 4,100 152,438 * Hanover Compressor Co. 62,800 916,880 Harbor Florida Bancshares, Inc. 22,100 775,710 Hardinge, Inc. 1,400 15,680 Harland (John H.) Co. 18,400 649,704 Harleysville Group, Inc. 13,300 319,732 Harleysville National Corp. 14,711 414,262 * Harmonic, Inc. 55,700 432,789 * Harris Interactive, Inc. 63,712 423,048 Harsco Corp. 13,100 696,265 * Hartmarx Corp. 5,800 46,806 * Harvard Bioscience, Inc. 39,200 155,624 * Harvest Natural Resources, Inc. 37,984 693,208 * Hastings Entertainment, Inc. 11,800 96,406 * Hauppauge Digital, Inc. 2,700 14,820 * Hawaiian Holdings, Inc. 1,000 6,260 * Hawk Corp. 3,500 29,575 Hawkins, Inc. 3,200 38,080 HCC Insurance Holdings, Inc. 12,300 407,622 * Headwaters, Inc. 25,800 826,374 Healthcare Services Group, Inc. 6,900 143,106 * HealthExtras, Inc. 32,900 525,413 * HealthTronics Surgical Services, Inc. 24,416 182,388 Heartland Express, Inc. 37,549 824,576 Heartland Financial USA, Inc. 8,466 186,845 * Hecla Mining Co. 49,300 334,747 Hector Communications Corp. 1,700 36,040 Heico Corp. 7,297 156,156 Heico Corp. Class A 1,568 25,731 * Heidrick & Struggles International, Inc. 18,000 619,200 Helix Technology Corp. 16,500 248,655 Helmerich & Payne, Inc. 19,100 623,233 *# Hemispherx Biopharma, Inc. 40,000 62,800 *# Hercules, Inc. 29,400 438,060 * Heritage Commerce Corp. 4,700 91,932 Heritage Financial Corp. 1,100 23,881 * Herley Industries, Inc. 16,300 335,617 * Hewitt Associates, Inc. Class A 10,780 325,017 * Hexcel Corp. 22,000 335,500 HF Financial Corp. 770 14,264 * Hi-Shear Technology Corp. 2,200 12,122 * Hi-Tech Pharmacal, Inc. 11,950 195,382 * Hibbett Sporting Goods, Inc. 21,012 520,467 Hilb Rogal Hamilton Co. 15,100 523,819 * Hines Horticulture, Inc. 7,200 27,720 HMN Financial, Inc. 3,600 115,056 * HMS Holdings Corp. 26,640 187,013 * Hoenig Group Escrow Shares 3,200 736 Hollinger International, Inc. Class A 21,000 393,330 * Hollis-Eden Pharmaceuticals, Inc. 25,980 263,437 Holly Corp. 20,000 563,400 * Hollywood Entertainment Corp. 41,100 $ 521,559 * Hollywood Media Corp. 38,213 171,576 * Hologic, Inc. 21,500 537,285 Home Federal Bancorp 900 21,915 * Home Products International, Inc. 600 1,338 * HomeStore, Inc. 52,200 135,720 Hooper Holmes, Inc. 48,000 252,000 HopFed Bancorp, Inc. 500 8,570 Horace Mann Educators Corp. 11,100 210,900 Horizon Financial Corp. 5,337 109,462 * Horizon Health Corp. 4,800 115,152 *# Horizon Offshore, Inc. 29,700 10,395 * Hot Topic, Inc. 22,725 372,008 * Houston Exploration Co. 23,347 1,398,485 * Hovnanian Enterprises, Inc. Class A 15,900 640,293 * Hub Group, Inc. Class A 3,000 130,500 * Hudson Highland Group, Inc. 2,205 60,219 Hudson River Bancorp, Inc. 17,200 348,300 * Hudson Technologies, Inc. 1,300 1,040 Hudson United Bancorp 3,300 134,145 * Huffy Corp. 18,700 3,787 Hughes Supply, Inc. 23,600 775,968 * Human Genome Sciences, Inc. 91,900 1,010,900 Hunt (J.B.) Transport Services, Inc. 41,400 1,664,280 * Hurco Companies, Inc. 1,200 19,212 * Hutchinson Technology, Inc. 18,600 609,522 * Huttig Building Products, Inc. 4,000 34,520 * Hydril Co. 11,700 548,847 * Hypercom Corp. 61,000 370,880 * HyperFeed Technologies, Inc. 220 605 * Hyperion Solutions Corp. 22,570 1,011,362 *# Hythiam, Inc. 2,300 9,775 * I-Flow Corp. 16,600 340,798 * I-Sector Corp. 4,600 33,580 *# I-Trax, Inc. 33,700 44,484 IBERIABANK Corp. 4,760 307,496 * Ibis Technology Corp. 14,100 35,814 * ICOS Corp. 14,600 352,590 * ICT Group, Inc. 11,900 101,745 *# ICU Medical, Inc. 15,850 395,457 IDACORP, Inc. 10,700 344,754 * Identix, Inc. 89,021 705,937 IDEX Corp. 19,800 792,000 * IDEXX Laboratories, Inc. 19,600 1,011,360 * IDT Corp. 25,500 374,085 * IDT Corp. Class B 14,200 218,254 * IDX Systems Corp. 15,938 559,743 * iGATE Capital Corp. 73,219 292,876 IHOP Corp. 11,500 487,255 * II-VI, Inc. 12,000 517,800 IKON Office Solutions, Inc. 35,300 398,184 * ILEX Oncology, Inc. 8,975 223,118 * Illumina, Inc. 39,100 297,160 # ILX Resorts, Inc. 400 4,648 * Image Entertainment, Inc. 21,500 130,505 * ImageWare Systems, Inc. 2,100 6,132 Imation Corp. 18,800 605,548 * IMCO Recycling, Inc. 21,600 349,056 * Immersion Corp. 19,700 105,592 *# Immtech International, Inc. 9,500 133,095 * Immucor, Inc. 19,762 635,348
37
SHARES VALUE+ --------------- --------------- * ImmunoGen, Inc. 56,561 $ 442,307 * Immunomedics, Inc. 46,100 129,541 * IMPAC Medical Systems, Inc. 5,300 88,775 * Impath, Inc. 14,800 66,600 * Impax Laboratoroes, Inc. 14,900 186,548 * IMPCO Technologies, Inc. 27,000 179,280 * Imperial Sugar Co. 13,330 261,135 * Implant Sciences Corp. 6,800 73,372 * Incyte Corp. 71,100 730,197 Independence Community Bank Corp. 35,071 1,489,816 Independence Holding Co. 1,584 28,655 Independent Bank Corp. MA 9,900 342,144 Independent Bank Corp. MI 12,859 387,056 * Indevus Pharmaceuticals, Inc. 29,937 206,865 * Indus International, Inc. 11,800 22,420 * Industrial Distribution Group, Inc. 12,503 102,912 Infinity Property & Casualty Corp. 8,000 296,000 *# Infinity, Inc. 13,500 85,846 *# Infocrossing, Inc. 15,801 265,457 * InFocus Corp. 45,153 302,525 * Infonet Services Corp. 55,100 109,649 * Informatica Corp. 93,800 731,640 * Inforte Corp. 15,700 106,132 * Infosonics Corp. 1,200 4,008 * InfoSpace, Inc. 27,400 1,213,820 * infoUSA, Inc. 49,100 540,591 Ingles Market, Inc. Class A 6,500 83,135 * InKine Pharmaceutical Co., Inc. 16,800 87,948 * Innodata Isogen, Inc. 23,100 161,007 * Innotrac Corp. 5,600 47,320 * Innovative Solutions & Support, Inc. 13,200 404,052 * Innovex, Inc. 23,900 119,261 * Input/Output, Inc. 60,400 529,708 * Insight Communications Co., Inc. 53,421 452,476 * Insight Enterprises, Inc. 34,700 701,981 * Insignia Systems, Inc. 11,000 13,530 * Insituform Technologies, Inc. Class A 29,000 676,860 *# Insmed, Inc. 37,600 59,032 * Inspire Pharmaceuticals, Inc. 33,900 607,149 * Insurance Auto Auctions, Inc. 15,571 345,520 * InsWeb Corp. 666 1,645 Integra Bank Corp. 13,355 305,562 *# Integra LifeSciences Holdings 14,400 489,456 Integral Systems, Inc. 4,700 93,953 * IntegraMed America, Inc. 1,300 9,113 * Integrated Biopharma, Inc. 9,800 69,678 * Integrated Circuit Systems, Inc. 4,600 108,744 * Integrated Device Technology, Inc. 70,728 802,763 * Integrated Electrical Services, Inc. 41,500 125,330 * Integrated Information Systems, Inc. 120 16 * Integrated Silicon Solution, Inc. 39,893 305,580 *# Intelli-Check, Inc. 9,400 38,070 * Intellidata Technologies Corp. 30,077 11,730 * Intelligent Systems Corp. 700 1,610 * Intelligroup, Inc. 15,700 21,352 *# Intellisync Corp. 59,361 106,850 Inter Parfums, Inc. 6,650 111,254 * Interactive Data Corp. 45,600 935,712 * Interactive Intelligence, Inc. 13,200 57,420 Interchange Financial Services Corp. 2,658 70,969 * Interdigital Communications Corp. 29,700 $ 604,395 * Interep National Radio Sales, Inc. 200 160 * Interface, Inc. Class A 52,550 520,245 * Intergraph Corp. 32,700 856,740 * Interland, Inc. 22,249 69,862 * Interlink Electronics, Inc. 5,850 52,474 * Intermagnetics General Corp. 23,178 683,056 Intermet Corp. 7,300 949 * InterMune, Inc. 22,200 275,502 International Bancshares Corp. 162 6,407 * International Microcomputer Software, Inc. 300 309 * International Shipholding Corp. 1,200 17,988 * Internet Commerce Corp. 1,100 1,485 * Internet Security Systems, Inc. 37,500 907,875 *# Interpharm Holdings, Inc. 23,100 70,455 * Interphase Corp. 3,200 22,400 Interpool, Inc. 6,900 147,315 Intersil Corp. 8,024 129,186 # Interstate Bakeries Corp. 37,200 214,830 * Interstate Hotels & Resorts, Inc. 31,700 150,575 Inter-Tel, Inc. 19,000 538,080 * Intervoice, Inc. 30,500 396,500 * Interwoven, Inc. 44,077 427,547 * Intest Corp. 4,400 21,340 * Intevac, Inc. 4,400 31,020 * IntraBiotics Pharmaceuticals, Inc. 12,300 45,141 * Intrado, Inc. 25,600 346,112 * Intraware, Inc. 5,400 6,264 *# Introgen Therapeutics, Inc. 23,200 161,936 * Intrusion, Inc. 1,600 2,306 * Intuitive Surgical, Inc. 23,474 843,421 Invacare Corp. 20,700 1,045,557 * Inverness Medical Innovations, Inc. 3,318 80,627 * Investment Technology Group, Inc. 41,500 695,540 * INVESTools, Inc. 1,800 5,202 * Invision Technologies, Inc. 17,000 824,160 * Iomed, Inc. 4,900 11,760 * Iomega Corp. 73,800 335,790 * Ionics, Inc. 22,800 985,188 * iPass, Inc. 21,300 138,237 *# IPIX Corp. 4,300 27,950 * Iridex Corp. 2,700 10,989 * IRIS International, Inc. 18,200 149,986 Irwin Financial Corp. 13,600 361,896 * Isis Pharmaceuticals, Inc. 37,400 176,528 *# Island Pacific, Inc. 27,500 11,000 * Isle of Capri Casinos, Inc. 31,300 767,789 *# Isolagen, Inc. 28,700 217,833 * Ista Pharmaceuticals, Inc. 13,500 135,135 * ITLA Capital Corp. 2,300 125,649 * Itron, Inc. 23,700 513,105 *# ITT Educational Services, Inc. 21,600 1,030,968 * iVillage, Inc. 43,100 204,509 * Ixia 53,600 755,760 * IXYS Corp. 37,594 349,248 * J & J Snack Foods Corp. 10,507 493,199 * J Net Enterprises, Inc. 2,900 7,685 * J. Alexander's Corp. 5,100 35,955 * J. Jill Group, Inc. 23,650 408,435 J. M. Smucker Co. 15,264 694,207
38
SHARES VALUE+ --------------- --------------- * j2 Global Communication, Inc. 17,000 $ 592,450 * Jack in the Box, Inc. 27,300 1,031,394 * Jaco Electronics, Inc. 550 2,381 * Jacuzzi Brands, Inc. 81,800 764,012 * Jakks Pacific, Inc. 28,900 538,118 * Jameson Inns, Inc. 2,200 3,850 * Jarden Corp. 15,000 575,550 * JDA Software Group, Inc. 31,600 414,592 Jefferies Group, Inc. 24,600 999,252 JLG Industries, Inc. 38,400 668,160 * Jo-Ann Stores, Inc. 19,100 525,632 * Johnson Outdoors, Inc. 2,900 58,667 * Jones Lang LaSalle, Inc. 22,500 807,750 *# Jos. A. Bank Clothiers, Inc. 12,187 320,518 * Journal Register Co. 11,300 213,683 Joy Global, Inc. 31,700 1,289,873 * JPS Industries, Inc. 1,800 6,741 * Jupitermedia Corp. 21,600 362,232 K-Swiss, Inc. Class A 18,000 487,656 * K-Tron International, Inc. 600 15,060 * K-V Pharmaceutical Co. Class A 20,500 385,400 * K-V Pharmaceutical Co. Class B 7,725 152,955 * K2, Inc. 38,347 647,297 * Kadant, Inc. 15,592 315,738 Kaman Corp. Class A 12,400 148,800 * Kansas City Southern 49,200 836,892 * Katy Industries, Inc. 400 2,160 Kaydon Corp. 10,500 341,040 # KB Home 10,600 931,634 * KCS Energy, Inc. 27,800 398,374 * Keane, Inc. 48,124 745,922 * Keith Companies, Inc. 8,600 146,630 Keithley Instruments, Inc. 9,800 185,416 Kellwood Co. 11,713 407,730 Kelly Services, Inc. Class A 14,300 434,720 # Kelly Services, Inc. Class B 200 6,100 * Kemet Corp. 70,216 622,114 * Kendle International, Inc. 16,900 140,101 Kennametal, Inc. 15,400 790,020 * Kennedy-Wilson, Inc. 2,800 20,090 Kenneth Cole Productions, Inc. Class A 8,350 246,492 * Kensey Nash Corp. 9,500 296,970 Kewaunee Scientific Corp. 300 2,727 * Key Energy Group, Inc. 93,200 1,166,864 * Key Technology, Inc. 900 8,577 * Key Tronic Corp. 800 2,536 * Keynote Systems, Inc. 11,900 151,487 * Keystone Automotive Industries, Inc. 18,200 426,426 * Kforce, Inc. 46,698 559,442 *# KFX, Inc. 53,700 808,722 Kimball International, Inc. Class B 13,900 207,110 * Kindred Healthcare, Inc. 31,600 862,680 * Kirby Corp. 17,900 814,808 * Kirkland's, Inc. 13,000 124,800 * Knight Trading Group, Inc. 79,400 905,954 * Knight Transportation, Inc. 27,637 666,052 * Koala Corp. 1,800 171 * Komag, Inc. 32,500 544,375 * Kopin Corp. 75,825 307,849 * Korn/Ferry International 38,400 715,392 * Kos Pharmaceuticals, Inc. 16,400 $ 698,148 * Kosan Biosciences, Inc. 40,722 262,250 Koss Corp. 1,000 20,000 *# Krispy Kreme Doughnuts, Inc. 39,300 395,751 Kronos Worldwide, Inc. 2,573 118,101 * Kronos, Inc. 13,837 699,322 * Kulicke & Soffa Industries, Inc. 50,300 376,244 * KVH Industries, Inc. 21,100 213,110 * Kyphon, Inc. 10,400 250,224 * La Jolla Pharmceutical Co. 69,300 97,713 * La Quinta Corp. 122,700 987,735 La-Z-Boy, Inc. 21,116 324,131 * LaBarge, Inc. 18,600 223,200 * LabOne, Inc. 17,600 530,640 * Labor Ready, Inc. 37,800 600,264 Laclede Group, Inc. 10,900 350,980 * LaCrosse Footwear, Inc. 2,500 24,625 * Ladish Co., Inc. 17,600 194,128 * Laidlaw International, Inc. 65,000 1,228,500 Lakeland Bancorp, Inc. 89 1,615 * Lakeland Industries, Inc. 726 14,266 * Lakes Entertainment, Inc. 24,500 341,775 Lancaster Colony Corp. 13,720 599,290 Lance, Inc. 29,600 551,744 * Lancer Corp. 2,700 31,833 LandAmerica Financial Group, Inc. 8,900 475,260 Landauer, Inc. 4,000 185,520 * Landec Corp. 32,194 202,178 Landmark Bancorp, Inc. 120 3,567 Landry's Restaurants, Inc. 15,050 444,727 * Landstar Systems, Inc. 29,752 2,097,814 * Lannet Co., Inc. 23,200 215,296 * Large Scale Biology Corp. 2,700 2,916 * LaserCard Corp. 14,034 139,498 * Laserscope 12,900 419,508 * Lattice Semiconductor Corp. 90,000 480,420 * Laureate Education, Inc. 27,000 1,063,530 Lawson Products, Inc. 2,500 122,125 * Lawson Software, Inc. 66,700 412,206 * Layne Christensen Co. 4,700 91,180 * Lazare Kaplan International, Inc. 200 1,980 LCA-Vision, Inc. 11,600 380,480 * LCC International, Inc. Class A 27,300 138,957 * Learning Care Group, Inc. 1,500 4,575 * Learning Tree International, Inc. 17,920 235,290 * Leather Factory, Inc. 4,500 13,860 * LeCroy Corp. 11,700 250,497 Lennox International, Inc. 36,600 658,434 * Lesco, Inc. 9,100 109,200 * Level 8 Systems, Inc. 100 7 Levitt Corp. Class A 13,937 358,320 * Lexar Media, Inc. 55,300 436,317 * Lexicon Genetics, Inc. 75,200 528,656 Libbey, Inc. 9,000 188,730 Liberty Corp. 6,600 287,760 Liberty Homes, Inc. Class B 100 500 * Lifecell Corp. 24,500 253,330 * Lifecore Biomedical, Inc. 17,300 176,633 * Lifeline Systems, Inc. 1,800 48,690 Lifetime Hoan Corp. 5,800 78,822 *# Lifeway Foods, Inc. 400 3,732
39
SHARES VALUE+ --------------- --------------- *# Ligand Pharmaceuticals, Inc. Class B 22,200 $ 248,640 * Lightbridge, Inc. 31,809 149,184 * Lin TV Corp. 20,500 369,410 Lincoln Electric Holdings, Inc. 16,300 585,007 Lindsay Manufacturer Co. 8,100 227,934 * Linens 'n Things, Inc. 32,600 809,784 * Lionbridge Technologies, Inc. 23,400 128,934 * Lipid Sciences, Inc. 23,700 109,494 *# Liquidmetal Technologies, Inc. 40,600 87,087 Lithia Motors, Inc. Class A 10,000 253,800 * Littlefuse, Inc. 11,500 448,730 * LMI Aerospace, Inc. 1,600 11,824 LNR Property Corp. 14,000 875,700 * Lodgenet Entertainment Corp. 11,000 169,620 * LogicVision, Inc. 18,900 39,123 * Logility, Inc. 1,700 7,021 * LoJack Corp. 14,400 151,488 Lone Star Steakhouse & Saloon, Inc. 12,600 340,074 * Lone Star Technologies, Inc. 26,700 838,380 Longs Drug Stores Corp. 17,700 472,590 Longview Fibre Co. 40,500 703,890 * LookSmart, Ltd. 61,700 122,721 Louisiana-Pacific Corp. 61,400 1,502,458 Lowrance Electronics, Inc. 3,500 107,135 LSB Corp. 1,100 20,306 LSI Industries, Inc. 18,250 181,405 * LTX Corp. 59,399 424,109 * Luby's, Inc. 31,300 223,482 Lufkin Industries, Inc. 4,300 173,118 * Luminex Corp. 32,009 288,401 * Lydall, Inc. 22,600 252,668 * M&F Worldwide Corp. 22,000 287,100 M/I Homes, Inc. 10,300 465,663 MacDermid, Inc. 19,000 699,580 * Mac-Gray Corp. 5,200 39,780 * Macromedia, Inc. 38,940 1,110,958 * Macrovision Corp. 25,500 677,025 * Madden (Steven), Ltd. 17,800 335,708 MAF Bancorp, Inc. 28,320 1,299,888 * Magma Design Automation, Inc. 23,841 323,284 * Magna Entertainment Corp. 8,800 52,800 * Magnetek, Inc. 41,200 272,332 * Magnum Hunter Resources, Inc. 61,700 826,780 Main Street Banks, Inc. 11,874 376,168 * Main Street Restaurant Group, Inc. 12,000 17,400 * MAIR Holdings, Inc. 27,700 254,840 * Management Network Group, Inc. 28,920 57,262 * Manchester Technologies, Inc. 900 4,410 # Mandalay Resort Group 3,700 257,890 * Manhattan Associates, Inc. 17,100 415,530 # Mannatech, Inc. 10,200 234,600 *# Manning (Greg) Auctions, Inc. 4,900 56,203 Manpower, Inc. 8,813 426,285 * Manugistic Group, Inc. 92,400 254,100 * MAPICS, Inc. 23,665 230,024 * Mapinfo Corp. 27,037 323,092 Marine Products Corp. 6,690 175,278 * MarineMax, Inc. 18,500 543,900 Maritrans, Inc. 1,700 30,685 * MarketWatch, Inc. 27,556 499,866 MarkWest Hydrocarbon, Inc. 2,904 50,994 Marsh Supermarkets, Inc. Class B 200 $ 2,558 * Martek Biosciences Corp. 17,600 684,112 *# Martha Stewart Living Omnimedia, Inc. 19,400 458,228 * Marvel Enterprises, Inc. 39,600 729,828 MASSBANK Corp. 900 33,390 # Massey Energy Co. 24,830 872,030 * Mastec, Inc. 57,008 478,297 * Material Sciences Corp. 20,000 334,400 * Matria Healthcare, Inc. 12,866 450,310 * Matritech, Inc. 18,900 18,900 * Matrix Bancorp, Inc. 2,700 32,400 * Matrix Service Co. 24,100 179,545 * MatrixOne, Inc. 55,400 366,194 * Matrixx Initiatives, Inc. 11,700 160,173 Matthews International Corp. Class A 13,400 494,058 * Mattson Technology, Inc. 50,478 471,969 * Maui Land & Pineapple Co., Inc. 7,700 251,020 * Maverick Tube Corp. 29,800 944,660 * Max & Erma's Restaurants, Inc. 500 6,663 * Maxco, Inc. 300 1,047 Maxcor Financial Group, Inc. 9,200 83,720 *# Maxim Pharmaceuticals, Inc. 30,100 87,591 * Maximus, Inc. 21,800 682,994 * Maxtor Corp. 175,900 671,938 * Maxwell Technologies, Inc. 18,000 193,320 * Maxxam, Inc. 3,900 116,961 * Maxygen, Inc. 41,099 414,689 # Maytag Corp. 9,300 186,930 MB Financial, Inc. 11,100 468,420 MBT Financial Corp. 11,583 276,255 * McAfee, Inc. 45 1,301 * McDATA Corp. 49,600 280,240 MCG Capital Corp. 11,400 193,800 McGrath Rentcorp 8,700 367,662 * McMoran Exploration Co. 15,000 235,350 McRae Industries, Inc. Class A 1,300 18,200 MDC Holdings, Inc. 15,918 1,204,993 * Meade Instruments Corp. 27,200 86,224 * Meadowbrook Insurance Group, Inc. 37,800 191,646 * Medallion Finanacial Corp. 400 3,756 * Medarex, Inc. 76,100 829,490 * MedCath Corp. 20,346 441,915 *# Med-Design Corp. 13,900 16,819 Media General, Inc. Class A 10,100 628,220 * Media Services Group, Inc. 77 1,110 * Mediacom Communications Corp. 47,300 246,906 * Medical Action Industries, Inc. 13,900 274,942 * Medical Staffing Network Holdings, Inc. 40,700 350,427 Medicis Pharmaceutical Corp. Class A 3,000 110,370 *# Medifast, Inc. 13,000 44,720 * MedQuist, Inc. 30,859 374,165 * MEDTOX Scientific, Inc. 5,184 40,176 * MEMC Electronic Materials, Inc. 12,800 136,064 * Memry Corp. 18,000 50,400 # Mentor Corp. 23,400 722,124 * Mentor Graphics Corp. 48,600 609,930 Mercantile Bank Corp. 2,315 94,452
40
SHARES VALUE+ --------------- --------------- Merchants Bancshares, Inc. 3,250 $ 96,525 Merchants Group, Inc. 1,400 33,950 Mercury Air Group, Inc. 800 3,160 * Mercury Computer Systems, Inc. 19,265 606,848 *# Merge Technologies, Inc. 13,937 268,566 Meridian Bioscience, Inc. 4,597 76,080 * Meridian Resource Corp. 79,000 539,570 * Merit Medical Systems, Inc. 26,911 305,709 * Meritage Homes Corp. 9,200 861,120 * Meritage Hospitality Group, Inc. 1,000 5,000 * Merix Corp. 26,950 293,216 * Merrimac Industries, Inc. 1,300 11,960 * Mesa Air Group, Inc. 46,500 326,430 Mesa Laboratories, Inc. 4,800 56,400 * Mestek, Inc. 3,700 67,044 * Meta Group, Inc. 5,500 29,260 * Metal Management, Inc. 16,600 436,248 * Metals USA, Inc. 23,315 437,156 * MetaSolv, Inc. 49,555 120,914 Methode Electronics, Inc. 23,300 307,560 Met-Pro Corp. 2,133 28,156 * Metris Companies, Inc. 65,300 756,174 * Metro One Telecommunications, Inc. 19,566 32,871 MetroCorp. Bancshares, Inc. 1,400 30,310 * Metrologic Instruments, Inc. 20,400 416,772 * Mexican Restaurants, Inc. 500 4,270 MFB Corp. 200 5,660 * MFRI, Inc. 300 2,100 MGE Energy, Inc. 8,540 294,288 * MGI Pharma, Inc. 22,400 604,576 MGP Ingredients, Inc. 2,600 24,284 * Michael Anthony Jewelers, Inc. 1,800 3,699 Michaels Stores, Inc. 41,200 1,125,996 * Micrel, Inc. 42,150 450,162 * Micro Component Technology, Inc. 3,300 2,145 * Micro Linear Corp. 12,900 59,469 * Micro Therapeutics, Inc. 44,976 179,004 * MicroFinancial, Inc. 12,600 49,266 * Micromuse, Inc. 38,000 199,804 * Micros Systems, Inc. 10,800 792,396 * Microsemi Corp. 46,200 822,360 * MicroStrategy, Inc. 4,900 316,295 * Microtek Medical Holdings, Inc. 63,000 257,040 * Microtune, Inc. 47,200 282,256 *# Microvision, Inc. 18,900 143,829 Mid Penn Bancorp, Inc. 210 5,502 * Midas, Inc. 19,400 374,614 Middleby Corp. 9,900 568,458 Middlesex Water Co. 666 13,253 Midland Co. 4,000 127,200 Mid-State Bancshares 15,532 463,475 *# Midway Games, Inc. 46,800 507,312 * Midwest Air Group, Inc. 22,918 68,754 Midwest Banc Holdings, Inc. 10,550 243,494 * Mikohn Gaming Corp. 19,200 156,480 * Milacron, Inc. 61,519 183,942 *# Milestone Scientific, Inc. 4,900 8,330 * Millennium Cell, Inc. 20,700 18,837 * Millennium Chemicals, Inc. 44,800 1,190,784 * Miller Industries, Inc. 8,500 93,585 * MIM Corp. 30,800 199,276 * Mindspeed Technologies, Inc. 93,752 $ 234,380 Mine Safety Appliances Co. 15,900 753,660 Minerals Technologies, Inc. 14,200 942,170 * MIPS Technologies, Inc. 51,191 447,921 * Misonix, Inc. 9,298 58,670 * Mission Resources Corp. 48,600 301,806 * Mitcham Industries, Inc. 12,096 90,720 * Mity Enterprises, Inc. 2,400 35,880 * MKS Instruments, Inc. 33,281 565,444 * Mobile Mini, Inc. 17,200 520,988 * Mobility Electronics, Inc. 23,400 227,214 * Mobius Management Systems, Inc. 9,100 72,800 Mocon, Inc. 1,500 13,860 Modine Manufacturing Co. 12,400 398,660 * Mod-Pac Corp. 1,350 16,335 * Mod-Pac Corp. Class B 168 2,033 * Modtech Holdings, Inc. 18,900 154,224 * Moldflow Corp. 15,600 218,400 * Molecular Devices Corp. 17,700 372,231 Monaco Coach Corp. 28,550 568,145 * Monarch Casino & Resort, Inc. 2,500 87,300 * Mondavi (Robert) Corp. Class A 9,000 506,700 * Monolithic System Technology, Inc. 29,700 138,699 * Monro Muffler Brake, Inc. 5,250 128,888 * Monster Worldwide, Inc. 29,400 828,786 * Monterey Pasta Co. 18,200 58,240 * Moog, Inc. Class A 11,250 472,725 * Moog, Inc. Class B 300 12,780 * Morgan Group Holding Co. 100 9 * Moscow CableCom Corp. 1,000 6,350 * Mossimo, Inc. 2,300 8,303 * Mothers Work, Inc. 7,400 95,386 * Motorcar Parts of America, Inc. 200 1,467 Movado Group, Inc. 13,500 248,400 Movie Gallery, Inc. 18,700 325,941 * MPS Group, Inc. 87,800 988,628 * MRO Software, Inc. 28,400 364,940 * MRV Communications, Inc. 114,200 440,698 MSC Industrial Direct Co., Inc. Class A 10,900 388,258 * MSC.Software Corp. 33,600 319,536 * MTC Technologies, Inc. 7,600 233,624 * MTM Technologies, Inc. 1,200 5,040 * MTR Gaming Group, Inc. 33,500 337,010 MTS Systems Corp. 16,200 491,670 Mueller Industries, Inc. 26,055 800,670 * Multi-Color Corp. 3,075 50,123 *# Multimedia Games, Inc. 27,900 364,932 Myers Industries, Inc. 18,570 210,398 * Mykrolis Corp. 48,400 593,384 * Myriad Genetics, Inc. 28,200 542,568 Mystic Financial, Inc. 210 8,610 * Nabi Biopharmaceuticals 50,317 724,565 NACCO Industries, Inc. Class A 3,800 416,062 *# Nanogen, Inc. 48,900 219,561 * Nanometrics, Inc. 18,100 294,487 * Nanophase Technologies Corp. 17,300 106,741 *# Napco Security Systems, Inc. 3,360 33,264 Nara Bancorp, Inc. 13,600 282,336 Nash Finch Co. 7,800 289,458 * Nashua Corp. 1,400 14,700
41
SHARES VALUE+ --------------- --------------- * Nassda Corp. 34,081 $ 145,867 *# Nastech Pharmaceutical Co., Inc. 11,800 179,124 * NATCO Group, Inc. Class A 19,200 162,816 * Nathan's Famous, Inc. 3,100 25,885 National Beverage Corp. 7,800 73,398 * National Dentex Corp. 2,600 67,886 National Healthcare Corp. 300 10,530 National Home Health Care Corp. 3,097 35,585 * National Medical Health Card Systems, Inc. 5,300 113,367 * National Patent Development Corp. 10,800 18,576 National Penn Bancshares, Inc. 13,096 377,165 National Presto Industries, Inc. 2,200 99,748 * National Research Corp. 2,900 46,400 * National RV Holdings, Inc. 14,200 138,166 National Security Group, Inc. 1,000 22,065 * National Technical Systems, Inc. 900 4,779 * National Western Life Insurance Co. Class A 1,700 275,723 * National-Oilwell, Inc. 6,569 237,798 * Natrol, Inc. 5,100 17,238 Nature's Sunshine Products, Inc. 8,900 148,986 * Natus Medical, Inc. 23,500 169,200 # Nautilus Group, Inc. 22,350 487,007 * Navarre Corp. 24,600 418,938 * Navigant Consulting, Inc. 39,300 917,655 * Navigant International, Inc. 19,000 208,620 * Navigators Group, Inc. 12,818 362,109 NBT Bancorp, Inc. 13,900 352,921 * NBTY, Inc. 41,300 1,076,278 * NCI Building Systems, Inc. 20,800 771,680 * NCO Group, Inc. 23,849 598,848 NDCHealth Corp. 19,200 362,496 * NeighborCare, Inc. 29,800 837,082 * Nektar Therapeutics 52,222 975,768 Nelson (Thomas), Inc. 9,500 234,650 * Neoforma, Inc. 27,890 207,223 * Neogen Corp. 3,500 75,740 * NeoMagic Corp. 39,100 33,235 * NEON Systems, Inc. 4,800 17,664 * Neopharm, Inc. 32,284 376,109 * Neose Technologies, Inc. 36,128 252,535 * Neoware Systems, Inc. 23,200 203,232 * NES Rentals Holdings, Inc. 6 66 * Net2Phone, Inc. 55,300 189,679 NetBank, Inc. 28,156 289,162 *# Netflix, Inc. 12,500 142,250 * NetIQ Corp. 44,300 543,561 * NetManage, Inc. 9,157 52,195 * Netopia, Inc. 26,000 79,300 * NetRatings, Inc. 37,600 752,000 * Netscout System, Inc. 42,638 322,770 * Network Engines, Inc. 44,800 104,384 * Network Equipment Technologies, Inc. 35,600 338,556 *# Network Plus Corp. 7,400 6 * Neurocrine Biosciences, Inc. 8,100 372,600 * Neurogen Corp. 39,993 349,939 * Nevada Gold & Casinos, Inc. 14,300 157,014 * New Brunswick Scientific Co., Inc. 3,751 20,255 * New Century Financial Corp. 14,700 929,922 New Hampshire Thrift Bancshares, Inc. 100 $ 2,913 * New Horizons Worldwide, Inc. 1,975 6,873 New Jersey Resources Corp. 12,000 522,000 * Newfield Exploration Co. 371 23,317 * NewMarket Corp. 19,400 372,286 NewMil Bancorp, Inc. 1,600 48,176 * Newpark Resources, Inc. 94,500 540,540 * Newport Corp. 41,600 513,344 * Newtek Business Services, Inc. 41,544 170,538 * Nextel Partners, Inc. 21,500 388,935 Niagara Corp. 900 7,155 * NIC, Inc. 61,800 283,971 # Nicor, Inc. 10,900 402,210 NL Industries, Inc. 18,100 408,879 * NMS Communications Corp. 45,002 287,473 * NMT Medical, Inc. 7,700 32,648 NN, Inc. 4,400 56,056 * Nobel Learning Communities, Inc. 3,200 23,200 Nobility Homes, Inc. 1,900 41,040 Noble International, Ltd. 4,500 88,700 Nordson Corp. 9,000 342,540 * Norstan, Inc. 18,000 68,940 * North American Scientific, Inc. 20,200 90,900 North Central Bancshares, Inc. 400 15,530 North Pittsburgh Systems, Inc. 9,100 228,319 Northeast Bancorp 200 4,540 Northeast Pennsylvania Financial Corp. 1,400 23,786 Northern Technologies International Corp. 5,100 37,230 *# Northfield Laboratories, Inc. 12,900 241,230 * Northland Cranberries, Inc. 100 81 Northrim BanCorp, Inc. 2,630 59,964 Northway Financial, Inc. 200 6,770 * Northwest Airlines Corp. 21,000 215,040 Northwest Bancorp, Inc. 20,235 523,479 Northwest Natural Gas Co. 7,600 257,336 * Northwest Pipe Co. 3,900 74,490 Norwood Financial Corp. 300 9,575 * NovaMed, Inc. 30,885 146,704 * Novatel Wireless, Inc. 7,000 147,420 * Novavax, Inc. 36,248 123,968 * Novell, Inc. 117,900 719,190 * Noven Pharmaceuticals, Inc. 19,601 358,306 * Novoste Corp. 22,500 30,375 * NPS Pharmaceuticals, Inc. 9,800 175,518 * NS Group, Inc. 25,700 569,512 NSD Bancorp, Inc. 1,735 66,277 * NTN Communications, Inc. 44,700 123,372 * Nu Horizons Electronics Corp. 22,995 190,882 Nu Skin Enterprises, Inc. Class A 21,200 476,576 * NuCo2, Inc. 12,600 312,480 NUI Corp. 7,700 105,490 * NumereX Corp. Class A 1,100 5,258 * Nutraceutical International Corp. 15,800 253,274 * Nutri/System, Inc. 10,300 25,647 * Nuvelo, Inc. 19,000 185,250 NWH, Inc. 3,200 47,840 * NYFIX, Inc. 37,525 239,785 NYMAGIC, Inc. 5,500 134,915
42
SHARES VALUE+ --------------- --------------- * O'Charleys, Inc. 23,300 $ 442,700 * O'Reilly Automotive, Inc. 9,200 400,568 * O.I. Corp. 1,000 10,779 Oak Hill Financial, Inc. 1,200 45,708 Oakley, Inc. 75,100 912,465 * Obie Media Corp. 1,100 7,535 *# OCA, Inc. 55,200 315,744 * Oceaneering International, Inc. 18,300 702,720 OceanFirst Financial Corp. 9,200 233,312 * Ocular Sciences, Inc. 23,300 1,125,716 * Ocwen Financial Corp. 74,200 692,286 * Odyssey Healthcare, Inc. 32,700 436,545 * Odyssey Marine Exploration, Inc. 14,800 39,960 # Odyssey Re Holdings Corp. 25,500 615,825 * Offshore Logistics, Inc. 22,300 845,170 * Oglebay Norton Co. 900 261 * Ohio Casualty Corp. 48,600 1,043,928 * Oil States International, Inc. 44,400 904,428 Oil-Dri Corp. of America 800 12,800 * Old Dominion Freight Line, Inc. 20,925 655,999 Olin Corp. 24,500 555,905 * Olympic Steel, Inc. 9,200 248,400 * OM Group, Inc. 31,900 980,606 * Omega Protein Corp. 32,771 275,604 * OMNI Energy Services Corp. 12,400 36,332 * Omnicell, Inc. 14,500 155,875 *# OmniVision Technologies, Inc. 31,700 565,528 * Omnova Solutions, Inc. 10,300 58,813 * On Assignment, Inc. 31,130 162,499 * ON Semiconductor Corp. 197,800 721,970 * One Price Clothing Stores, Inc. 143 0 *# Oneida, Ltd. 11,800 29,854 * Online Resources Corp. 14,600 102,930 *# Onvia, Inc. 100 614 Onyx Acceptance Corp. 500 13,935 * Onyx Pharmacueticals, Inc. 15,100 472,328 * ONYX Software Corp. 18,300 60,207 * Opent Technologies, Inc. 29,527 255,113 * Openwave Systems, Inc. 34,900 459,982 * Opinion Research Corp. 5,400 34,101 * Opsware, Inc. 45,100 308,935 * OPTi, Inc. 2,700 3,888 * Optical Cable Corp. 7,200 39,024 * Optical Communication Products, Inc. 47,777 104,154 * Optical Sensors, Inc. 300 975 Option Care, Inc. 23,475 404,240 * OraSure Technologies, Inc. 37,300 267,068 * Orbital Sciences Corp. 46,583 605,579 * Orchid Biosciences, Inc. 23,660 253,399 * Oregon Steel Mills, Inc. 36,300 652,674 * Orleans Homebuilders, Inc. 20,400 375,564 * Orphan Medical, Inc. 2,600 26,468 * Orthologic Corp. 43,200 247,536 * Oscient Pharmaceutical Corp. 83,010 270,613 OshKosh B'Gosh, Inc. Class A 5,900 120,950 Oshkosh Truck Corp. Class B 16,200 1,017,684 * OSI Pharmaceuticals, Inc. 13,400 637,572 * OSI Systems, Inc. 18,300 397,476 * Osteotech, Inc. 23,900 130,016 Otter Tail Corp. 7,100 191,203 Outlook Group Corp. 400 $ 2,852 * Overland Storage, Inc. 20,262 300,891 Overseas Shipholding Group, Inc. 12,000 788,280 *# Overstock.com, Inc. 11,100 790,986 Owens & Minor, Inc. 16,400 455,100 * Owens-Illinois, Inc. 73,200 1,531,344 # Oxford Industries, Inc. 7,900 322,320 * Oxigene, Inc. 3,300 18,384 * OYO Geospace Corp. 5,300 83,952 * P & F Industries, Inc. Class A 1,300 19,175 * P.A.M. Transportation Services, Inc. 14,261 289,498 * P.F. Chang's China Bistro, Inc. 10,400 584,896 Pacific Capital Bancorp 36,977 1,220,611 * Pacific Mercantile Bancorp 4,200 59,556 * Pacific Premier Bancorp, Inc. 4,020 57,285 * Pacific Sunwear of California, Inc. 40,725 904,502 * PacifiCare Health Systems, Inc. 47,800 2,313,520 Packaging Dynamics Corp. 3,440 49,226 * Packeteer, Inc. 27,300 354,900 * Pac-West Telecomm, Inc. 1,900 2,337 * Pain Therapeutics, Inc. 32,700 246,231 * PainCare Holdings, Inc. 54,900 159,210 * Palm Harbor Homes, Inc. 25,331 395,417 *# PalmOne, Inc. 46,600 1,632,864 * PalmSource, Inc. 18,239 288,906 * Palomar Medical Technologies, Inc. 9,600 216,288 * Panavision, Inc. 700 4,375 *# Panera Bread Co. 10,600 423,364 * Pantry, Inc. 20,600 566,912 * Papa John's International, Inc. 14,000 497,980 * Par Pharmaceutical Companies, Inc. 19,600 773,416 * PAR Technology Corp. 900 10,638 * Paradyne Networks Corp. 64,103 248,720 * Paragon Technologies, Inc. 1,900 18,183 * Parallel Petroleum Corp. 37,390 208,262 * Parametric Technology Corp. 91,200 533,520 * Parexel International Corp. 30,500 629,215 Park Electrochemical Corp. 15,400 324,786 * Parker Drilling Co. 111,700 488,129 *# Parkervision, Inc. 9,213 68,637 * Park-Ohio Holdings Corp. 6,400 143,872 Parkvale Financial Corp. 1,200 37,452 * Parlex Corp. 7,300 44,530 Partners Trust Financial Group, Inc. 4,719 52,806 * Party City Corp. 21,300 272,427 * Path 1 Network Technologies, Inc. 5,400 18,684 * Pathmark Stores, Inc. 41,000 225,910 *# Patient Infosystems, Inc. 133 412 Patina Oil & Gas Corp. 31,562 1,047,858 * Patriot Transportation Holding, Inc. 1,500 62,490 Patterson-UTI Energy, Inc. 31,748 634,960 * Paxar Corp. 38,231 885,048 * Paxson Communications Corp. 45,500 52,780 * Payless ShoeSource, Inc. 47,200 551,296 * PC Connection, Inc. 28,483 200,235 * PC Mall, Inc. 13,000 315,900 * PC-Tel, Inc. 28,900 233,223 * PDF Solutions, Inc. 31,799 409,253 * PDI, Inc. 17,966 418,069 Peabody Energy Corp. 14,500 1,203,500 * PEC Solutions, Inc. 29,700 421,443
43
SHARES VALUE+ --------------- --------------- * Pediatric Services of America, Inc. 9,500 $ 497,945 * Pediatrix Medical Group, Inc. 16,900 1,052,870 * Peerless Manufacturing Co. 900 13,455 * Peerless Systems Corp. 15,100 21,593 * Peet's Coffee & Tea, Inc. 13,100 331,168 *# Pegasus Communications Corp. 12,000 91,200 * Pegasus Solutions, Inc. 25,900 302,771 * Pegasystems, Inc. 41,110 298,459 * Pemstar, Inc. 50,855 77,859 Penford Corp. 500 8,400 * Penn National Gaming, Inc. 19,800 1,044,846 * Penn Treaty American Corp. 17,000 30,600 Penn Virginia Corp. 10,020 435,469 Penn-America Group, Inc. 8,828 130,743 Pennfed Financial Services, Inc. 1,600 27,488 * Penwest Pharmaceuticals Co. 19,004 236,600 Peoples Community Bancorp 1,100 25,465 Peoples Energy Corp. 9,600 428,352 Peoples Holding Co. 1,350 47,655 Pep Boys - Manny, Moe & Jack 55,600 875,700 * Perceptron, Inc. 11,135 76,497 * Performance Food Group Co. 30,200 792,448 * Performance Technologies, Inc. 18,550 132,262 * Pericom Semiconductor Corp. 30,306 266,087 * Perini Corp. 34,900 521,755 * Perot Systems Corp. 72,200 1,155,922 Perrigo Co. 44,300 799,172 * Perry Ellis International, Inc. 12,500 238,625 * Per-Se Technologies, Inc. 19,233 265,223 * Pervasive Software, Inc. 30,600 122,094 * PetMed Express, Inc. 17,964 116,766 * Petrocorp, Inc. Escrow Shares 5,200 312 * Petroleum Development Corp. 20,400 838,848 PETsMART, Inc. 34,200 1,172,034 PFF Bancorp, Inc. 9,380 423,976 * Pharmaceutical Products Development Service, Inc. 15,000 631,650 * Pharmacopia Drug Discovery, Inc. 13,750 79,475 * Pharmacyclics, Inc. 28,500 296,970 *# Pharmanetics, Inc. 100 101 * PharmChem, Inc. 700 14 * Philadelphia Consolidated Holding Corp. 15,800 1,078,350 Phillips-Van Heusen Corp. 16,800 458,640 * Phoenix Technologies, Ltd. 35,600 288,716 * PhotoMedex, Inc. 22,000 49,500 * Photon Dynamics, Inc. 18,700 412,335 * Photronics, Inc. 34,095 642,350 * Pico Holdings, Inc. 10,600 218,466 # Piedmont Natural Gas Co. 18,000 423,180 Pier 1 Imports, Inc. 27,800 507,072 Pilgrim's Pride Corp. 26,000 871,000 Pinnacle Bancshares, Inc. 100 1,520 * Pinnacle Entertainment, Inc. 30,900 561,762 * Pinnacle Financial Partners, Inc. 3,320 80,776 * Pinnacle Systems, Inc. 76,200 397,764 * Pioneer Drilling Co. 1,600 15,440 Pioneer Natural Resources Co. 18,489 650,813 * Piper Jaffray Companies, Inc. 13,500 621,135 * Pixelworks, Inc. 36,300 408,375 * Plains Exploration & Production Co. 65,371 1,832,349 * Planar Systems, Inc. 20,300 $ 216,398 Plantronics, Inc. 7,700 317,163 * PLATO Learning, Inc. 32,158 224,784 * Playboy Enterprises, Inc. Class A 2,400 27,120 * Playboy Enterprises, Inc. Class B 29,600 358,160 * Playtex Products, Inc. 50,400 378,000 * Plexus Corp. 35,400 486,750 * Plug Power, Inc. 58,111 343,436 * PLX Technology, Inc. 35,300 318,053 * PMA Capital Corp. Class A 29,100 289,545 * PMC-Sierra, Inc. 1,300 14,352 PNM Resources, Inc. 20,550 522,792 Pocahontas Bancorp, Inc. 1,600 25,040 Pogo Producing Co. 6,800 343,400 * Point.360 3,700 9,102 # Polaris Industries, Inc. 10,600 698,540 * Polycom, Inc. 32,800 749,152 PolyMedica Corp. 16,500 586,575 * PolyOne Corp. 3,200 29,536 * Pomeroy IT Solutions, Inc. 17,600 240,416 Pope & Talbot, Inc. 11,600 194,880 * Portal Software, Inc. 57,595 198,703 * Portfolio Recovery Associates, Inc. 10,200 382,500 * Possis Medical, Inc. 14,500 167,330 Potlatch Corp. 13,900 705,008 * Powell Industries, Inc. 13,468 217,778 * Power Intergrations, Inc. 15,900 313,707 PowerCerv Corp. 288 86 * Power-One, Inc. 46,900 431,011 * Powerwave Technologies, Inc. 68,900 557,263 * Pozen, Inc. 28,600 198,484 * PRAECIS Pharmaceuticals, Inc. 64,700 136,517 Precision Castparts Corp. 9,783 634,330 Preformed Line Products Co. 600 16,950 * Premier Financial Bancorp 100 1,105 *# Pre-Paid Legal Services, Inc. 9,800 335,650 Presidential Life Corp. 18,475 308,717 * Presstek, Inc. 34,300 366,324 * Pressure BioSciences, Inc. 2,900 8,845 * PRG-Schultz International, Inc. 72,980 394,092 * Price Communications Corp. 39,610 717,337 *# Priceline.com, Inc. 12,784 305,154 *# Pricesmart, Inc. 9,300 73,935 * Pride International, Inc. 37,000 723,720 * PRIMEDIA, Inc. 86,874 277,997 * Primus Telecommunications Group, Inc. 47,139 142,831 Princeton National Bancorp, Inc. 1,400 40,460 * Princeton Review, Inc. 11,000 65,340 * Printronix, Inc. 1,200 20,208 * Priority Healthcare Corp. 22,368 467,491 * Private Business, Inc. 454 972 PrivateBancorp, Inc. 3,600 123,984 * ProAssurance Corp. 22,600 882,530 * Procom Technology, Inc. 1,200 1,584 * Progenics Pharmaceuticals, Inc. 18,252 272,867 * Progress Software Corp. 35,800 812,660 * ProQuest Co. 12,500 338,125 Prosperity Bancshares, Inc. 15,937 451,973 * Protection One, Inc. 14,600 3,796 * Protein Design Labs, Inc. 59,700 1,081,764
44
SHARES VALUE+ --------------- --------------- Providence & Worcester Railroad Co. 1,900 $ 23,370 Provident Bancorp, Inc. 7,485 99,251 Provident Bankshares Corp. 11,381 418,138 Provident Financial Holdings, Inc. 1,350 39,420 Provident Financial Services, Inc. 6,899 134,048 * Province Healthcare Co. 36,600 821,304 * ProxyMed, Inc. 6,082 42,574 * PSB Bancorp, Inc. 500 6,875 * PSS World Medical, Inc. 66,300 829,678 * Psychiatric Solutions, Inc. 12,100 393,855 * PTEK Holdings, Inc. 41,100 432,783 Pulaski Financial Corp. 1,400 27,650 Pulitzer, Inc. 2,800 178,108 * PW Eagle, Inc. 4,200 16,586 Pyramid Breweries, Inc. 5,400 11,610 QAD, Inc. 21,700 178,808 * QEP Co., Inc. 200 3,152 * QLT, Inc. 10,700 171,735 Quaker Chemical Corp. 6,680 161,656 Quaker Fabric Corp. 18,500 106,375 * Quality Dining, Inc. 2,300 7,222 * Quality Systems, Inc. 3,700 227,217 Quanex Corp. 6,700 395,300 * Quanta Services, Inc. 95,700 737,847 * Quantum Corp. 47,000 134,420 * Quantum Fuel Systems Technologies Worldwide, Inc. 46,700 290,007 * Quest Software, Inc. 63,100 976,788 * QuickLogic Corp. 31,598 77,099 * Quidel Corp. 46,800 301,860 *# Quigley Corp. 10,200 82,416 * Quiksilver, Inc. 34,600 1,025,890 * Quinton Cardiology Systems, Inc. 18,491 189,533 * Quipp, Inc. 2,507 33,694 Quixote Corp. 4,400 92,224 * Quovadx, Inc. 43,433 82,957 * R&B, Inc. 3,700 92,500 * R.H. Donnelley Corp. 11,200 612,640 * Radiant Systems, Inc. 39,099 243,978 * Radio One, Inc. 15,800 219,304 * Radiologix, Inc. 27,800 104,250 * RadiSys Corp. 21,111 297,454 * RailAmerica, Inc. 43,200 552,960 * Raindance Communictions, Inc. 71,406 164,948 Ralcorp Holdings, Inc. 20,900 861,080 * Rambus, Inc. 23,500 543,085 * Ramtron International Corp. 19,500 71,760 Range Resources Corp. 52,600 1,090,924 * Rare Hospitality International, Inc. 19,950 597,702 Raven Industries, Inc. 9,600 206,112 * Rayovac Corp. 18,800 557,984 Raytech Corp. 25,960 48,026 * RC2 Corp. 17,700 553,833 * RCM Technologies, Inc. 5,300 27,030 *# RCN Corp. 51,700 3,826 Reader's Digest Association, Inc. 22,500 321,750 * Reading International, Inc. Class A 560 4,710 * Reading International, Inc. Class B 140 1,155 * RealNetworks, Inc. 121,100 762,930 * Red Hat, Inc. 74,300 1,075,864 * Redback Networks, Inc. 17,436 83,693 *# Redhook Ale Brewery, Inc. 5,500 $ 19,250 Redwood Empire Bancorp 1,575 45,029 # Reebok International, Ltd. 25,000 972,000 * Refac 40 172 Regal-Beloit Corp. 13,500 380,835 * Regeneration Technologies, Inc. 37,248 346,406 * Regeneron Pharmaceuticals, Inc. 46,400 427,808 * Regent Communications, Inc. 54,661 312,114 Regis Corp. 20,400 910,860 * Register.com, Inc. 33,200 193,224 * RehabCare Group, Inc. 19,200 505,344 * Reliability, Inc. 1,000 790 Reliance Steel & Aluminum Co. 15,400 614,614 * Reliant Energy, Inc. 62,500 742,500 Reliv International, Inc. 10,393 84,911 * Remec, Inc. 69,062 416,444 * RemedyTemp, Inc. 7,600 83,752 * Remington Oil & Gas Corp. 23,500 680,325 Renaissance Learning, Inc. 11,300 217,638 * Renal Care Group, Inc. 7,050 234,765 * Rent-A-Center, Inc. 20,250 516,173 * Rentrak Corp. 8,500 83,300 * Rent-Way, Inc. 38,800 329,024 * Repligen Corp. 39,700 96,074 * Reptron Electronics, Inc. 58 426 Republic Bancorp, Inc. 34,069 529,435 Republic Bancorp, Inc. Class A 1,050 29,138 * Republic First Bancorp, Inc. 2,750 42,075 * Res-Care, Inc. 31,149 467,235 * ResMed, Inc. 2,600 130,156 Resource America, Inc. 13,600 400,248 * Resources Connection, Inc. 8,600 390,096 *# Respironics, Inc. 11,917 659,963 * Restoration Hardware, Inc. 48,700 247,883 * Retail Ventures, Inc. 41,300 302,729 * Retek, Inc. 60,900 371,490 * Revlon, Inc. 77,172 162,833 * Rewards Network, Inc. 34,400 216,720 * Rex Stores Corp. 15,725 276,760 * Rexhall Industries, Inc. 2,600 1,118 Reynolds & Reynolds Co. 900 21,357 * RF Micro Devices, Inc. 121,100 842,856 * RF Monolithics, Inc. 10,200 96,084 RGC Resources, Inc. 700 16,940 Richardson Electronics, Ltd. 11,900 132,685 Riggs National Corp. 14,814 298,058 * Rimage Corp. 4,200 63,882 *# Rita Medical Systems, Inc. 33,900 104,073 * Riverstone Networks, Inc. 90,600 97,395 Riverview Bancorp, Inc. 900 19,387 * Riviera Holdings Corp. 1,100 29,700 * Riviera Tool Co. 300 735 RLI Corp. 10,500 437,325 Roanoke Electric Steel Corp. 800 14,392 Robbins & Myers, Inc. 10,000 241,400 * Rochester Medical Corp. 2,400 21,600 Rock of Ages Corp. 1,800 13,340 * Rockford Corp. 7,500 16,425 Rock-Tenn Co. Class A 26,500 427,710 * Rocky Shoes & Boots, Inc. 1,500 31,200 * Rofin-Sinar Technologies, Inc. 17,200 670,800
45
SHARES VALUE+ --------------- --------------- * Rogers Corp. 9,500 $ 450,775 Rollins, Inc. 27,300 670,215 Roper Industries, Inc. 1,200 73,860 * Rowan Companies, Inc. 6,500 168,350 Royal Bancshares of Pennsylvania, Inc. Class A 116 3,364 Royal Gold, Inc. 11,600 205,552 * Royale Energy, Inc. 2,974 22,811 RPC, Inc. 8,800 239,800 * RSA Security, Inc. 43,400 917,910 * RTI International Metals, Inc. 24,900 536,595 * RTW, Inc. 2,000 18,260 * Rubio's Restaurants, Inc. 12,448 165,309 # Ruby Tuesday, Inc. 16,600 457,330 Ruddick Corp. 28,900 630,309 * Rudolph Technologies, Inc. 19,600 313,600 * Rush Enterprises, Inc. Class A 2,900 44,022 * Rush Enterprises, Inc. Class B 2,900 46,748 Russ Berrie & Co., Inc. 14,900 338,826 Russell Corp. 22,300 408,982 * Ryan's Restaurant Group, Inc. 34,050 519,944 Ryder System, Inc. 18,100 970,884 Ryerson Tull, Inc. 17,000 275,060 # Ryland Group, Inc. 16,228 1,644,708 * S&K Famous Brands, Inc. 900 14,418 S&T Bancorp, Inc. 10,568 387,951 * S1 Corp. 70,000 655,900 * Saba Software, Inc. 14,300 60,489 * Safeguard Scientifics, Inc. 126,200 253,662 * SafeNet, Inc. 18,550 661,493 * Safety Components International, Inc. 14 196 * Saga Communications, Inc. Class A 19,175 325,783 Saks, Inc. 36,600 509,106 * Salem Communications Corp. 12,900 316,824 Salisbury Bancorp, Inc. 200 8,900 *# Salton, Inc. 15,800 96,538 * San Filippo (John B.) & Son, Inc. 8,900 197,580 Sanders Morris Harris Group, Inc. 14,000 213,500 Sanderson Farms, Inc. 11,400 424,650 * Sandisk Corp. 83,200 1,878,656 Sandy Spring Bancorp, Inc. 8,950 325,064 * Sangamo BioSciences, Inc. 32,200 150,374 * Sapient Corp. 76,800 607,488 * SatCon Technology Corp. 24,100 48,923 Saucony, Inc. Class A 300 7,410 Saucony, Inc. Class B 1,500 36,960 Sauer-Danfoss, Inc. 16,100 319,746 * Savient Pharmaceuticals, Inc. 57,932 127,450 * Saxon Capital, Inc. 13,100 297,370 * SBA Communications Corp. 50,300 482,880 * SBE, Inc. 100 331 * SBS Technologies, Inc. 22,400 292,544 * ScanSoft, Inc. 113,388 413,866 * ScanSource, Inc. 9,200 595,240 Schawk, Inc. 4,600 78,108 * Scheid Vineyards, Inc. 2,700 15,417 * Schein (Henry), Inc. 8,400 547,512 * Schick Technologies, Inc. 500 6,400 * Schieb (Earl), Inc. 400 1,180 * Schlotzsky's, Inc. 3,000 113 Schnitzer Steel Industries, Inc. Class A 12,150 $ 458,420 * Scholastic Corp. 29,979 987,508 *# School Specialty, Inc. 900 34,200 * Schuff International, Inc. 300 828 Schulman (A.), Inc. 14,600 313,170 Schweitzer-Maudoit International, Inc. 10,000 345,600 * Sciclone Pharmaceuticals, Inc. 59,553 242,976 * Scientific Games Corp. 41,800 999,020 * Scientific Learning Corp. 4,300 23,220 * SCM Microsystems, Inc. 18,828 64,203 * Scope Industries 400 27,920 *# Scotts Co. Class A 13,000 891,150 SCP Pool Corp. 30,937 975,444 SCPIE Holdings, Inc. 900 8,991 * SCS Transportation, Inc. 16,694 353,078 Seaboard Corp. 270 202,500 * Seabulk International, Inc. 24,100 287,272 * Seachange International, Inc. 27,850 475,678 Seacoast Banking Corp. of Florida 8,701 191,596 * SEACOR Holdings, Inc. 14,700 815,850 * Seattle Genetics, Inc. 48,000 327,840 * Secure Computing Corp. 25,256 263,168 * Security National Financial Corp. Class A 1,764 5,539 * SeeBeyond Technology Corp. 68,400 216,144 * Segue Software, Inc. 4,000 19,480 *# Select Comfort Corp. 9,200 179,308 Select Medical Corp. 36,200 631,690 * Selectica, Inc. 43,870 168,900 Selective Insurance Group, Inc. 11,100 497,169 SEMCO Energy, Inc. 8,000 38,720 * Semitool, Inc. 39,700 355,712 * Semtech Corp. 22,100 452,387 * Seneca Foods Corp. Class B 400 7,458 * Senesco Technologies, Inc. 6,900 22,425 Sensient Technologies Corp. 13,000 299,650 * Sepracor, Inc. 19,700 876,847 * Sequa Corp. Class A 3,400 202,980 * Sequa Corp. Class B 1,600 96,400 * Sequenom, Inc. 44,700 39,783 * SeraCare Life Sciences, Inc. 880 10,033 *# Serena Software, Inc. 31,500 656,775 * Serologicals Corp. 26,200 611,508 * Service Corp. International 205,700 1,452,242 * SFBC International, Inc. 14,250 553,328 * Shared Technologies Cellular, Inc. 1,800 4 * Sharper Image Corp. 17,300 331,468 * Shaw Group, Inc. 44,800 659,904 * Shiloh Industries, Inc. 21,298 276,448 * Shoe Carnival, Inc. 17,734 231,251 * Shoe Pavilion, Inc. 600 1,632 * Sholodge, Inc. 2,100 9,597 * ShopKo Stores, Inc. 34,000 607,920 *# Shuffle Master, Inc. 13,050 600,692 * Siebert Financial Corp. 9,800 30,370 * Sierra Health Services, Inc. 19,600 1,090,348 * Sierra Pacific Resources 93,400 957,350 * SIFCO Industries, Inc. 400 1,680 * Sigma Designs, Inc. 17,800 160,734
46
SHARES VALUE+ --------------- --------------- Silgan Holdings, Inc. 6,700 $ 363,810 *# Silicon Graphics, Inc. 50,500 81,305 * Silicon Image, Inc. 29,700 498,960 * Silicon Laboratories, Inc. 2,100 63,294 * Silicon Storage Technology, Inc. 71,600 498,336 *# Silicon Valley Bancshares 26,200 1,099,876 * Siliconix, Inc. 18,700 691,713 Simmons First National Corp. Class A 9,702 281,358 * SimpleTech, Inc. 65,226 324,173 Simpson Manufacturing Co., Inc. 28,800 967,680 Sinclair Broadcast Group, Inc. Class A 41,200 297,052 * Sipex Corp. 41,100 226,050 * Sirenza Microdevices, Inc. 37,415 190,068 * Sirna Therapeutics, Inc. 48,903 151,110 * Sitel Corp. 99,800 221,556 * Six Flags, Inc. 109,100 530,226 * Skechers U.S.A., Inc. Class A 24,668 286,395 Sky Financial Group, Inc. 1,638 47,436 Skyline Corp. 3,800 157,130 Skywest, Inc. 18,620 354,339 * Skyworks Solutions, Inc. 107,500 1,067,475 * SL Industries, Inc. 2,400 33,384 * SM&A 18,800 151,716 * Smart & Final Food, Inc. 35,700 516,936 * Smith & Wollensky Restaurant Group, Inc. 7,100 32,944 Smith (A.O.) Corp. 10,000 300,500 Smith (A.O.) Corp. Convertible Class A 200 6,010 * Smithfield Foods, Inc. 3,700 107,485 * Smithway Motor Xpress Corp. Class A 700 5,075 * Sola International, Inc. 31,000 669,600 * Somera Communications, Inc. 18,800 20,868 * Sonesta International Hotels Corp. Class A 1,400 8,386 Sonic Automotive, Inc. 18,100 449,423 * Sonic Corp. 29,775 868,537 *# Sonic Foundry, Inc. 6,725 11,971 * Sonic Innovations, Inc. 27,935 113,695 * Sonic Solutions, Inc. 13,300 256,690 * SonicWALL, Inc. 78,455 482,498 * SonoSite, Inc. 14,700 438,795 * Sonus Networks, Inc. 43,000 284,230 * Sonus Pharmaceuticals, Inc. 27,600 84,456 * Sotheby's Holdings, Inc. Class A 12,700 199,136 Sound Federal Bancorp, Inc. 5,958 90,568 * Source Interlink Companies, Inc. 31,357 409,209 * SOURCECORP, Inc. 18,200 302,666 South Financial Group, Inc. 17,434 552,396 South Jersey Industries, Inc. 6,058 311,442 * Southern Energy Homes, Inc. 5,200 24,024 Southern Missouri Bancorp, Inc. 400 7,600 * Southern Union Co. 53,058 1,300,997 * Southwall Technologies, Inc. 800 896 Southwest Bancorporation of Texas, Inc. 40,800 997,968 Southwest Gas Corp. 9,900 251,460 Southwest Georgia Financial Corp. 1,320 31,020 Southwest Water Co. 8,720 $ 118,679 * Southwestern Energy Co. 25,400 1,394,460 * Spacehab, Inc. 11,466 26,372 Span-American Medical System, Inc. 200 2,300 * Spanish Broadcasting System, Inc. 29,712 317,621 * SPAR Group, Inc. 3,100 4,709 Spartan Motors, Inc. 11,000 130,691 * Spartan Stores, Inc. 25,620 133,224 Spartech Corp. 15,500 433,225 * Sparton Corp. 3,704 36,007 * Specialty Laboratories, Inc. 31,500 345,870 SpectraLink Corp. 12,600 184,590 * Spectranetics Corp. 22,100 107,406 * Spectrum Control, Inc. 5,800 43,268 * Spectrum Pharmaceuticals, Inc. 600 3,378 * SpectRx, Inc. 1,400 1,050 Speedway Motorsports, Inc. 24,100 885,434 * Spherion Corp. 69,400 546,872 *# Spherix, Inc. 5,300 15,529 * Spinnaker Exploration Co. 26,000 943,020 * Spire Corp. 3,100 13,640 * Sport Chalet, Inc. 2,300 29,902 * Sport-Haley, Inc. 600 2,763 * SportsLine.com, Inc. 2,600 4,498 * Sportsman's Guide, Inc. 5,350 129,898 * SPSS, Inc. 14,832 237,164 *# SR Telecom, Inc. 113 342 * SRA International, Inc. 8,600 499,144 * SRI/Surgical Express, Inc. 1,800 9,396 * SRS Labs, Inc. 18,000 117,000 SS&C Technologies, Inc. 16,200 362,718 St. Mary Land & Exploration Co. 18,700 803,913 * Staar Surgical Co. 26,279 155,834 * Stage Stores, Inc. 12,400 508,276 * Stamps.com, Inc. 25,125 388,684 Standard Commercial Corp. 8,600 161,852 * Standard Management Corp. 3,100 11,160 * Standard Microsystems Corp. 21,000 516,180 Standard Motor Products, Inc. 11,100 173,049 Standard Pacific Corp. 15,000 840,150 Standard Register Co. 11,900 156,604 Standex International Corp. 8,600 239,510 Stanley Furniture, Inc. 4,000 184,000 *# Star Scientific, Inc. 36,517 240,647 StarTek, Inc. 7,900 227,204 State Auto Financial Corp. 21,400 573,520 State Financial Services Corp. Class A 4,000 118,000 Station Casinos, Inc. 26,350 1,503,004 *# STATS ChipPAC, Ltd. 11,136 62,484 * Steak n Shake Co. 31,982 595,505 Steel Dynamics, Inc. 36,800 1,491,504 Steel Technologies, Inc. 8,600 251,808 * SteelCloud, Inc. 2,200 4,378 * Stein Mart, Inc. 39,318 653,858 * Steinway Musical Instruments, Inc. 10,800 305,316 * Stellent, Inc. 37,066 290,968 Stepan Co. 200 5,094 Stephan Co. 900 3,654 * Stericycle, Inc. 14,800 618,492
47
SHARES VALUE+ --------------- --------------- * Steris Corp. 46,800 $ 1,070,784 Sterling Bancorp 9,203 296,061 Sterling Bancshares, Inc. 27,550 401,679 * Sterling Construction Co., Inc. 7,400 35,520 * Sterling Financial Corp. 18,390 734,681 Stewart & Stevenson Services, Inc. 20,700 414,000 * Stewart Enterprises, Inc. 112,400 834,008 Stewart Information Services Corp. 13,400 584,910 * Stifel Financial Corp. 11,900 286,195 * Stillwater Mining Co. 64,000 759,040 * Stone Energy Corp. 27,684 1,328,278 * Stonepath Group, Inc. 48,000 36,960 * Stoneridge, Inc. 26,800 407,628 * Storage Technology Corp. 2,400 69,936 * Stratagene Corp. 2,093 14,356 * Stratasys, Inc. 8,700 281,010 * Strategic Diagnostics, Inc. 23,300 58,949 * Strategic Distribution, Inc. 800 9,080 * Stratex Networks, Inc. 91,245 187,965 * Stratos International, Inc. 16,667 67,668 * Strattec Security Corp. 3,400 214,200 * Stratus Properties, Inc. 2,150 31,906 Strayer Education, Inc. 7,700 827,596 Stride Rite Corp. 29,200 321,492 Sturm Ruger & Co., Inc. 21,900 198,852 * Suburban Lodges of America, Inc. Escrow Shares 4,100 0 Summa Industries, Inc. 3,300 29,964 Summit Bancshares, Inc. 200 6,810 * SumTotal Systems, Inc. 17,884 98,183 * Sun Bancorp, Inc. 20,160 500,976 * Sun Healthcare Group, Inc. 10,500 78,750 * Sunair Electronics, Inc. 300 1,911 * Suncoast Naturals, Inc. 442 84 *# Sunrise Senior Living, Inc. 16,900 725,855 Sunrise Telecom, Inc. 11,300 29,945 * Superconductor Technologies, Inc. 19,300 16,212 * SuperGen, Inc. 28,300 204,326 * Superior Consultant Holdings Corp. 5,000 32,800 * Superior Energy Services, Inc. 55,700 817,676 # Superior Industries International, Inc. 10,800 305,100 Superior Uniform Group, Inc. 700 9,744 * Supertex, Inc. 16,082 349,784 * SupportSoft, Inc. 56,009 284,526 Supreme Industries, Inc. 4,110 25,153 SureWest Communications 7,700 219,219 *# SurModics, Inc. 13,500 406,350 Susquehanna Bancshares, Inc. 18,854 490,204 * SVB Financial Services, Inc. 231 4,274 * Swift Energy Corp. 30,800 934,472 * Swift Transportation Co., Inc. 52,250 1,018,353 SWS Group, Inc. 12,698 268,055 * Sybase, Inc. 62,900 1,083,767 * Sybron Dental Specialties, Inc. 17,000 583,780 * Sycamore Networks, Inc. 189,300 709,875 * Sykes Enterprises, Inc. 46,485 313,774 * Symmetricom, Inc. 52,175 563,490 * Syms Corp. 16,800 208,152 * Symyx Technologies 12,000 378,360 * Synalloy Corp. 200 $ 1,950 *# Synaptics, Inc. 16,300 625,920 Synergy Financial Group, Inc. 7,400 84,360 * Synovis Life Technologies, Inc. 16,800 199,080 * Synplicity, Inc. 28,460 159,945 Syntel, Inc. 22,000 430,760 * Synthetech, Inc. 12,100 12,584 * Syntroleum Corp. 44,683 309,653 Sypris Solutions, Inc. 15,968 259,799 * Systemax, Inc. 34,100 235,290 * Tag-It Pacific, Inc. 9,100 40,950 *# Take-Two Interactive Software, Inc. 27,100 947,145 Talbots, Inc. 20,600 589,572 * TALK America Holdings, Inc. 36,200 228,784 TALX Corp. 10,176 299,174 Tandy Brand Accessories, Inc. 2,500 35,723 * Tanox, Inc. 26,200 362,870 * Tarrant Apparel Group 15,200 28,272 Tasty Baking Co. 7,900 66,123 TB Wood's Corp. 4,700 25,474 * TBC Corp. 25,300 674,751 * Team, Inc. 3,000 50,940 *# TeamStaff, Inc. 11,000 21,890 Teche Holding Co. 400 16,350 * Techne Corp. 4,400 163,460 Technical Olympic USA, Inc. 7,693 188,094 * Technitrol, Inc. 28,400 489,900 Technology Research Corp. 2,900 20,300 * TechTeam Global, Inc. 11,200 105,280 Tecumseh Products Co. Class A 3,829 175,330 * Tejon Ranch Co. 7,100 280,805 * Tekelec 31,700 742,097 Tektronix, Inc. 8,102 254,160 * TeleCommunication Systems, Inc. 31,500 95,760 * Teledyne Technologies, Inc. 22,900 680,130 * Teleglobe International Holdings, Ltd. 5,350 18,351 * TeleTech Holdings, Inc. 69,585 679,845 * Telik, Inc. 12,500 238,875 * Telular Corp. 19,138 121,909 * TenFold Corp. 8,300 8,549 Tennant Co. 6,400 256,000 * Tenneco Automotive, Inc. 48,700 754,850 * Terayon Communication Systems, Inc. 78,300 155,817 * Terex Corp. 40,708 1,866,055 * Terra Industries, Inc. 82,600 677,320 * Tesoro Petroleum Corp. 51,700 1,712,304 * Tessco Technologies, Inc. 1,200 15,960 * Tetra Tech, Inc. 40,113 611,322 * TETRA Technologies, Inc. 21,350 649,040 Texas Industries, Inc. 9,100 546,000 Texas Regional Banchshares, Inc. Class A 20,867 742,031 Texas United Bancshares, Inc. 575 10,781 TF Financial Corp. 400 12,954 * The Banc Corp. 20,600 161,916 The Brink's Co. 23,718 915,752 * The Children's Place Retail Stores, Inc. 26,800 848,488
48
SHARES VALUE+ --------------- --------------- * The Dress Barn, Inc. 35,100 $ 602,667 * The Geo Group, Inc. 19,600 451,780 * The Lamson & Sessions Co. 20,200 182,810 The Manitowoc Co., Inc. 11,500 429,525 The Marcus Corp. 14,300 326,755 * The Medicines Co. 23,500 586,090 * The Mens Warehouse, Inc. 27,801 879,902 * The Mosaic Co. 75,468 1,311,634 The Neiman Marcus Group, Inc. 6,400 417,984 # The Phoenix Companies, Inc. 26,100 318,420 * The Sports Authority, Inc. 24,339 693,905 * The Sports Club Co., Inc. 200 338 The Topps Co., Inc. 36,100 359,917 * The Washtenaw Group, Inc. 800 1,272 * Theragenics Corp. 40,200 168,840 * Therma-Wave, Inc. 39,900 127,680 * Thermo Electron Corp. 3,150 95,288 * TheStreet.com, Inc. 28,100 122,235 * Third Wave Technologies, Inc. 42,362 341,438 * Thomas & Betts Corp. 43,700 1,382,668 Thomas Industries, Inc. 11,200 438,816 Thor Industries, Inc. 33,000 1,102,200 * Thoratec Corp. 55,495 554,950 * THQ, Inc. 30,150 647,019 * Three-Five Systems, Inc. 30,200 58,588 * TIBCO Software, Inc. 152,200 1,750,300 * Tier Technologies, Inc. Class B 26,101 230,472 TierOne Corp. 13,477 334,364 * TII Network Technologies, Inc. 1,800 2,628 Timberland Bancorp, Inc. 1,500 36,750 * Timberland Co. Class A 2,100 132,993 * Timco Aviation Services, Inc. 630 227 * Time Warner Telecom, Inc. 49,600 187,984 * Tipperary Corp. 4,600 21,666 * TippingPoint Technologies, Inc. 1,800 62,550 * Titan Corp. 27,410 441,575 * Titan Pharmaceuticals, Inc. 43,578 108,945 * Titanium Metals Corp. 7,600 174,724 *# TiVo, Inc. 48,500 228,435 Todd Shipyards Corp. 2,050 35,117 * Todhunter International, Inc. 200 2,384 * Tofutti Brands, Inc. 800 2,480 * Toll Brothers, Inc. 27,800 1,428,364 * Tollgrade Communications, Inc. 18,700 199,903 * Too, Inc. 34,400 873,760 Tootsie Roll Industries, Inc. 11,400 353,970 * Torch Offshore, Inc. 11,900 23,550 * Toreador Resources Corp. 3,200 49,376 # Toro Co. 17,800 1,290,500 * Total Entertainment Restaurant Corp. 14,455 145,128 * Total Logistics, Inc. 2,100 56,690 *# Tower Automotive, Inc. 80,800 145,440 * Tractor Supply Co. 23,600 748,592 * Tradestation Group, Inc. 40,400 299,768 Traffix, Inc. 8,500 55,675 * Trammell Crow Co. 41,600 711,360 * Trans World Entertainment Corp. 40,200 453,456 * Transact Technologies, Inc. 2,550 56,993 * Transaction Systems Architects, Inc. 17,100 350,892 * Transcat, Inc. 300 $ 900 * Transgenomic, Inc. 23,200 28,304 * Transkaryotic Therapies, Inc. 35,557 811,055 *# Transmeta Corp. 84,000 141,960 * TransMontaigne, Inc. 45,676 248,021 * Transport Corp. of America 3,000 22,080 * Transpro, Inc. 8,200 49,897 * Transtechnology Corp. 2,700 20,385 * Transwitch Corp. 61,800 75,396 * TRC Companies, Inc. 17,900 319,336 Tredegar Industries, Inc. 22,600 421,038 * Trestle Holdings, Inc. 80 130 * Trex Co., Inc. 10,400 488,280 * Triad Guaranty, Inc. 10,800 648,000 * Triad Hospitals, Inc. 3,596 131,937 Triarc Companies, Inc. Class A 14,900 192,955 Triarc Companies, Inc. Class B 25,000 318,750 Trico Bancshares 2,400 57,480 * Trico Marine Services, Inc. 31,970 11,190 * Trident Microsystems, Inc. 27,750 432,900 * Trimble Navigation, Ltd. 29,000 915,530 * Trimeris, Inc. 16,109 199,913 Trinity Industries, Inc. 17,900 632,765 * TriPath Imaging, Inc. 34,600 248,428 * Tripath Technology, Inc. 26,400 22,440 * Tripos, Inc. 9,664 50,156 * Triquint Semiconductor, Inc. 106,507 461,175 * Triton PCS Holdings, Inc. 57,800 144,500 * Triumph Group, Inc. 14,800 600,288 * Tri-Valley Corp. 7,600 51,756 * TriZetto Group, Inc. 48,300 341,964 * Tropical Sportswear International Corp. 13,000 18,330 * Troy Group, Inc. 8,057 23,446 * Trump Hotels & Casino Resorts, Inc. 1,200 996 TrustCo Bank Corp. NY 19,160 270,156 TSR, Inc. 1,000 6,970 * TTM Technologies, Inc. 46,740 485,161 * Tuesday Morning Corp. 12,500 418,625 * Tufco Technologies, Inc. 2,000 15,500 * Tumbleweed Communications Corp. 63,811 223,339 Tupperware Corp. 14,900 278,928 * TurboChef Technologies, Inc. 3,200 20,320 * Tut Systems, Inc. 23,500 92,825 * Tutogen Medical, Inc. 1,000 2,900 * Tweeter Home Entertainment Group, Inc. 32,700 209,607 * Tyler Technologies, Inc. 43,400 340,256 * U.S. Concrete, Inc. 38,315 278,550 * U.S. Energy Corp. Wyoming 5,600 16,744 * U.S. Physical Therapy, Inc. 15,000 232,500 * U.S. Xpress Enterprises, Inc. Class A 3,300 85,800 * UbiquiTel, Inc. 54,000 351,000 # UCBH Holdings, Inc. 15,800 716,372 UGI Corp. 13,000 527,540 UICI 39,400 1,315,960 UIL Holdings Corp. 4,089 218,598 * Ulticom, Inc. 42,464 762,229 *# Ultimate Electronics, Inc. 18,200 55,692
49
SHARES VALUE+ --------------- --------------- * Ultimate Software Group, Inc. 15,300 $ 195,381 * Ultralife Batteries, Inc. 4,000 60,160 * Ultratech, Inc. 28,000 482,440 UMB Financial Corp. 7,405 414,754 Umpqua Holdings Corp. 26,965 689,495 * Unico American Corp. 1,200 8,964 * Unifi, Inc. 71,400 265,608 Unifirst Corp. 6,500 179,660 Union Community Bancorp 400 7,570 Unisource Energy Corp. 13,000 317,070 * Unit Corp. 30,900 1,224,258 United Auto Group, Inc. 32,710 932,889 United Bankshares, Inc. 18,407 704,436 United Community Banks, Inc. 15,173 434,858 United Community Financial Corp. 19,900 228,651 United Financial Corp. 165 4,059 * United Financial Mortgage Corp. 6,800 30,940 United Fire & Casualty Co. 300 19,980 United Industrial Corp. 7,300 284,700 * United Natural Foods, Inc. 22,000 618,860 * United Online, Inc. 35,941 383,490 * United PanAm Financial Corp. 6,500 129,025 * United Rentals, Inc. 55,600 993,572 * United Retail Group, Inc. 14,628 60,706 * United Stationers, Inc. 33,066 1,583,200 * United Surgical Partners International, Inc. 20,600 813,082 * United Therapeutics Corp. 18,100 796,581 United-Guardian, Inc. 900 6,975 Unity Bancorp, Inc. 2,535 30,547 * Universal American Financial Corp. 59,200 790,320 * Universal Compression Holdings, Inc. 24,000 895,200 Universal Corp. 10,800 525,744 * Universal Display Corp. 21,282 207,500 * Universal Electronics, Inc. 16,300 297,475 Universal Forest Products, Inc. 13,700 591,292 * Universal Stainless & Alloy Products, Inc. 5,100 75,072 Unizan Financial Corp. 10,573 272,572 * Unova, Inc. 56,100 1,243,176 * UQM Technologies, Inc. 17,900 37,769 * Urban Outfitters, Inc. 36,400 1,547,000 * Urologix, Inc. 22,712 161,709 * URS Corp. 30,500 916,220 *# US Airways Group, Inc. Class A 31,500 34,965 * US LEC Corp. 31,700 106,829 * USA Mobility, Inc. 21,000 763,560 * USA Truck, Inc. 1,300 16,107 * USANA Health Services, Inc. 10,900 323,839 USB Holding Co., Inc. 4,074 113,828 *# USDATA Corp. 360 14 USEC, Inc. 24,863 261,807 USF Corp. 12,800 473,216 Utah Medical Products, Inc. 2,000 43,500 * VA Software Corp. 39,028 96,399 * Vail Resorts, Inc. 30,750 699,563 *# Valassis Communications, Inc. 16,300 553,385 Valeant Pharmaceuticals International 30,600 740,826 Valhi, Inc. 16,900 $ 262,119 Valley National Gases, Inc. 1,100 14,080 Valmont Industries, Inc. 17,000 424,320 * Valpey Fisher Corp. 1,300 4,420 * ValueClick, Inc. 77,658 1,001,788 * ValueVision Media, Inc. Class A 41,202 467,231 * Varco International, Inc. 8,331 247,764 * Varian Semiconductor Equipment Associates, Inc. 26,100 927,072 * Varian, Inc. 19,400 726,530 * Vascular Solutions, Inc. 12,500 129,500 * Vastera, Inc. 51,136 94,602 *# Vaxgen, Inc. 15,000 235,200 * VCA Antech, Inc. 21,600 400,896 Vector Group, Ltd. 4,935 80,934 * Veeco Instruments, Inc. 26,400 511,896 * VendingData Corp. 9,500 17,955 * Ventana Medical Systems, Inc. 7,300 436,175 * Ventiv Health, Inc. 600 11,616 * Verilink Corp. 16,600 58,100 * Veritas DGC, Inc. 36,100 844,740 * Verity, Inc. 40,890 560,602 * Vermont Pure Holdings, Ltd. 10,100 17,978 * Versar, Inc. 5,600 24,360 * Verso Technologies, Inc. 1,048 849 * Vertex Pharmaceuticals, Inc. 40,900 434,358 * Vertrue, Inc. 7,600 263,720 Vesta Insurance Group, Inc. 44,800 168,448 * Vestin Group, Inc. 1,550 4,759 Viad Corp. 19,100 458,209 * Vialta, Inc. 2,103 358 * Viasat, Inc. 28,100 586,447 * Viasys Healthcare, Inc. 460 8,565 * Vical, Inc. 31,368 134,882 * Vicon Industries, Inc. 2,000 11,320 Vicor Corp. 28,500 309,795 * Vicuron Pharmaceuticals, Inc. 14,200 249,778 # Video Display Corp. 2,680 36,582 * Viewpoint Corp. 37,046 97,061 * Vignette Corp. 115,800 147,066 * Viisage Technology, Inc. 43,000 347,010 Village Super Market, Inc. 700 27,650 Vintage Petroleum, Inc. 52,700 1,277,975 * Virage Logic Corp. 26,500 398,295 * Virbac Corp. 9,500 33,440 *# Virologic, Inc. 39,000 81,900 *# ViroPharma, Inc. 24,400 69,052 Visteon Corp. 35,700 302,022 * Visual Networks, Inc. 17,700 56,994 * VISX, Inc. 52,700 1,362,822 * Vita Food Products, Inc. 1,600 5,024 * Vital Images, Inc. 14,350 232,327 Vital Signs, Inc. 10,200 381,582 * VitalWorks, Inc. 62,200 250,666 * Vitesse Semiconductor, Inc. 139,000 453,140 * Vitria Technology, Inc. 48,560 168,018 * Vivus, Inc. 40,900 240,492 * VL Dissolution Corp. 1,011 152 * Volt Information Sciences, Inc. 17,500 533,750
50
SHARES VALUE+ --------------- --------------- Vulcan International Corp. 200 $ 9,000 * Vyyo, Inc. 20,541 148,922 * W-H Energy Services, Inc. 36,400 832,104 * Wabash National Corp. 23,200 576,984 Wabtec Corp. 22,794 468,873 Walter Industries, Inc. 36,400 916,552 *# Warnaco Group, Inc. 31,719 630,257 Washington Banking Co. 1,012 17,750 * Washington Group International, Inc. 12,500 487,500 Washington Savings Bank FSB 600 8,100 Washington Trust Bancorp, Inc. 8,754 257,543 * Waste Connections, Inc. 31,500 1,072,890 Waste Industries USA, Inc. 14,400 165,168 * WatchGuard Technologies, Inc. 44,665 183,127 * Water Pik Technologies, Inc. 6,500 111,800 Watsco, Inc. Class A 19,400 641,558 Watson Wyatt & Co., Holdings 13,700 365,242 Watts Water Technologies, Inc. 12,100 370,623 Wausau-Mosinee Paper Corp. 38,500 691,075 Waypoint Financial Corp. 13,917 386,475 * WCI Communities, Inc. 34,700 889,014 WD-40 Co. 7,900 230,759 * Webco Industries, Inc. 200 1,500 * WebEx Communications, Inc. 19,400 460,556 *# WebMD Corp. 6,500 47,125 * webMethods, Inc. 61,700 378,838 * Websense, Inc. 13,500 648,810 Webster Financial Corp. 3,036 151,952 * Weider Nutrition International, Inc. 3,900 16,536 Weis Markets, Inc. 7,893 303,091 Wellco Enterprises, Inc. 200 2,960 Wellman, Inc. 18,700 192,423 * Wells-Gardner Electronics Corp. 2,893 15,275 Werner Enterprises, Inc. 32,832 738,720 Wesbanco, Inc. 13,000 410,930 * WESCO International, Inc. 36,214 1,018,338 West Bancorporation 3,328 57,708 West Coast Bancorp 10,760 283,096 * West Corp. 1,900 65,816 * West Marine, Inc. 24,524 566,504 West Pharmaceutical Services, Inc. 17,600 411,488 * Westaff, Inc. 10,800 32,940 Westar Energy, Inc. 17,200 380,980 Westbank Corp. 661 12,176 * Westcoast Hospitality Corp. 2,200 11,154 Westcorp, Inc. 13,560 573,317 * Westell Technologies, Inc. 45,500 298,025 * Western Digital Corp. 55,100 538,327 Western Gas Resources, Inc. 16,000 496,000 * Western Wireless Corp. 22,000 594,000 Westwood Holdings Group, Inc. 1,703 32,493 * Wet Seal, Inc. Class A 30,400 50,464 * WFS Financial, Inc. 23,600 1,098,108 WGL Holdings, Inc. 13,400 406,288 * White Electronics Designs Corp. 33,081 221,643 * Whitehall Jewelers, Inc. 18,800 155,664 * Whiting Petroleum Corp. 2,164 73,663 *# WHX Corp. 2,500 1,950 * Wickes, Inc. 1,800 8 * Wild Oats Markets, Inc. 32,600 $ 233,416 Wiley (John) & Sons, Inc. Class A 900 29,745 * William Lyon Homes, Inc. 10,900 766,815 * Williams Industries, Inc. 1,500 5,250 * Willis Lease Finance Corp. 4,900 43,610 Willow Grove Bancorp, Inc. 3,900 70,317 * Wilshire Enterprises, Inc. 800 4,824 * Wilson Greatbatch Technologies, Inc. 25,100 503,255 * Wilsons The Leather Experts, Inc. 45,050 225,250 * Wind River Systems, Inc. 72,218 873,838 # Winn-Dixie Stores, Inc. 153,100 612,400 # Winnebago Industries, Inc. 20,600 781,358 Wintrust Financial Corp. 8,950 535,568 * Wireless Facilities, Inc. 74,004 612,753 Wireless Telecom Group, Inc. 8,300 24,568 * Witness Systems, Inc. 28,400 425,716 * WJ Communications, Inc. 1,400 4,746 * WMS Industries, Inc. 24,900 740,526 * Wolverine Tube, Inc. 21,500 228,330 Wolverine World Wide, Inc. 20,800 622,960 Woodhead Industries, Inc. 5,400 81,432 Woodward Governor Co. 4,800 349,680 * World Acceptance Corp. 19,600 505,484 World Fuel Services Corp. 8,900 366,680 World Wrestling Federation Entertainment, Inc. 7,700 92,400 * WorldQuest Networks, Inc. 2,300 6,877 * Worldwide Restaurant Concepts, Inc. 38,700 126,549 Worthington Industries, Inc. 16,900 363,519 * Wright Medical Group, Inc. 14,700 388,815 WSI Industries, Inc. 100 260 WVS Financial Corp. 500 8,500 X-Rite, Inc. 12,000 178,920 * Xanser Corp. 12,100 34,122 * Xeta Corp. 1,900 5,643 *# XM Satellite Radio Holdings, Inc. 12,300 453,993 * Yankee Candle Co., Inc. 17,700 539,142 Yardville National Bancorp 7,100 236,501 * Yellow Roadway Corp. 26,367 1,393,496 York International Corp. 17,500 645,225 * Young Broadcasting, Inc. Class A 15,900 155,184 Young Innovations, Inc. 4,500 143,730 * Zapata Corp. 600 37,812 Zenith National Insurance Corp. 2,500 114,925 * Zevex International, Inc. 600 2,100 * Zhone Technologies, Inc. 91,854 224,124 * Zila, Inc. 50,050 222,723 *# Zix Corp. 27,089 124,068 * Zoll Medical Corp. 10,800 366,444 *# Zoltek Companies, Inc. 22,500 207,000 * Zomax, Inc. 41,900 144,136 * Zoran Corp. 29,833 353,521 * Zygo Corp. 24,480 284,458 * Zymogenetics, Inc. 27,700 629,898 --------------- TOTAL COMMON STOCKS (Cost $579,302,787) 946,860,485 ---------------
51
SHARES VALUE+ --------------- --------------- RIGHTS/WARRANTS -- (0.0%) * A IntelliCheck, Inc. Rights 06/30/05 60 $ 0 * Anacomp, Inc. Class B Warrants 12/10/06 0 0 *# Angeion Corp. Warrants 10/31/20 25 1 * Chart Industries, Inc. Warrants 09/15/10 6 93 * Chiquita Brands International, Inc. Warrants 03/19/09 463 2,547 * Del Global Technologies Corp. Warrants 03/28/08 442 486 *# Foster Wheelers, Ltd. Warrants 09/24/07 1,200 0 * Lodgian, Inc. Class A Warrants 11/25/07 96 3 * Lodgian, Inc. Class B Warrants 11/25/09 295 11 * Magnum Hunter Resources, Inc. Warrants 03/21/05 4,000 2,440 * Optical Cable Corp. Warrants 10/24/07 4,294 0 * Timco Aviation Services, Inc. Warrants 02/27/07 1,484 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $13,067) 5,581 --------------- FACE AMOUNT --------------- (000) BONDS -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 $ 1 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 0 0 --------------- TOTAL BONDS (Cost $0) 0 --------------- TEMPORARY CASH INVESTMENTS -- (7.6%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $68,545,000 U.S. Treasury Bills, 05/12/05, valued at $67,827,334) to be repurchased at $66,498,275 (Cost $66,494,692)^ 66,495 66,494,692 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $10,918,000 FHLMC Notes 4.20%, 10/20/09, valued at $10,964,838) to be repurchased at $10,850,567 (Cost $10,850,000) 10,850 10,850,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $77,344,692) 77,344,692 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $656,660,546) $ 1,024,210,758 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 52 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ --------------- -------------- UNITED KINGDOM -- (18.4%) COMMON STOCKS -- (18.40%) Aggregate Industries P.L.C. 751,766 $ 1,411,034 Alliance & Leicester P.L.C. 79,000 1,283,543 Allied Domecq P.L.C. 80,900 798,088 Amvescap P.L.C. 167,100 1,023,991 Arriva P.L.C. 107,620 1,007,941 Associated British Foods P.L.C. 406,483 5,808,338 Associated British Ports Holdings P.L.C. 187,900 1,688,167 Aviva P.L.C. 1,192,289 13,196,186 BAA P.L.C. 632,862 7,038,787 BAE Systems P.L.C. 1,664,136 7,797,515 Barratt Developments P.L.C. 122,817 1,206,520 BBA Group P.L.C. 260,385 1,440,333 Bellway P.L.C. 57,000 775,789 BG Group P.L.C. 558,000 3,872,738 Bovis Homes Group P.L.C. 66,000 636,085 BPB P.L.C. 88,200 741,976 Bradford & Bingley P.L.C. 35,034 184,181 Brambles Industries P.L.C. 394,000 1,967,041 Britannic P.L.C. 101,500 805,487 * British Airways P.L.C. 573,000 2,419,817 British Land Co. P.L.C. 284,254 4,446,623 British Vita P.L.C. 115,600 591,919 Brixton P.L.C. 139,200 859,026 Cable and Wireless P.L.C. 24,636 53,362 Carnival P.L.C. 13,266 740,062 Carphone Warehouse Group P.L.C. 100,000 315,972 * Chorion P.L.C. 38 186 * Colt Telecom Group P.L.C. 856,000 724,689 * Corus Group P.L.C. 2,532,150 2,659,324 DeVere Group P.L.C. 27,633 231,483 * Dimension Data Holdings P.L.C. 587,000 375,439 Dixons Group P.L.C. 666,805 1,855,086 * Duelguide Units P.L.C. 11,933 122,672 * Easyjet P.L.C. 184,000 654,174 Emap P.L.C. 51,000 778,575 FKI P.L.C. 332,000 841,553 Friends Provident P.L.C. 912,000 2,669,475 Galen Holdings P.L.C. 95,000 1,547,794 GKN P.L.C. 350,004 1,507,304 Great Universal Stores P.L.C. 107,650 1,797,584 Greene King P.L.C. 41,000 935,055
Hammerson P.L.C. 157,600 2,399,025 Hanson P.L.C. 389,879 3,122,598 HBOS P.L.C. 184,851 2,587,327 * HHG P.L.C. 459,831 426,092 Hilton Group P.L.C. 934,865 4,615,478 IMI P.L.C. 57,000 412,731 Intercontinental Hotels Group P.L.C. 402,508 5,119,435 * International Power P.L.C. 810,635 2,348,662 Johnson Matthey P.L.C. 5,321 102,988 Kesa Electricals P.L.C. 85,791 443,245 Kingfisher P.L.C. 837,051 4,606,177 Land Securities Group P.L.C. 25,621 629,011 Liberty International P.L.C. 177,700 3,009,378 London Merchant Securities P.L.C. 127,102 486,666 Lonmin P.L.C. 4,357 77,499 Marks & Spencer Group P.L.C. 350,751 2,199,543 Mersey Docks & Harbour Co. P.L.C. 40,360 689,022 MFI Furniture Group P.L.C. 94,200 208,704 Millennium and Copthorne Hotels P.L.C. 148,065 1,021,790 Mitchells & Butlers P.L.C. 296,123 1,712,193 * MM02 P.L.C. 4,595,000 10,044,847 Northern Foods P.L.C. 27,000 86,828 Northern Rock P.L.C. 25,000 346,357 Pearson P.L.C. 421,458 4,937,681 Peninsular & Oriental Steam Navigation P.L.C. 406,011 2,336,901 Persimmon P.L.C. 149,099 1,763,730 Pilkington P.L.C. 772,588 1,581,647 * Pillar Property P.L.C. 48,357 651,594 Quintain Estates & Development P.L.C. 66,000 596,773 RAC P.L.C. 50,498 588,683 Rank Group P.L.C. 125,890 729,368 Rio Tinto P.L.C. 18,664 545,357 RMC Group P.L.C. 151,000 2,420,027 * Rolls Royce Group P.L.C. 904,007 4,544,047 Rolls Royce Group P.L.C. 28,747,422 58,413 Sabmiller P.L.C. 108,976 1,833,941 Sainsbury (J.) P.L.C. 955,512 4,764,673 Schroders P.L.C. 117,000 1,530,559 Scottish & Newcastle P.L.C. 486,337 3,985,283 Scottish Power P.L.C. 1,046,646 7,733,548 Shire Pharmaceuticals Group P.L.C. 252,000 2,525,885 Signet Group P.L.C. 47,556 95,183 Singer & Friedlander Group P.L.C. 88,568 474,788 Slough Estates P.L.C. 238,000 2,193,456 Smith (David S.) Holdings P.L.C. 220,800 628,593 Smith (WH) P.L.C. 102,960 586,678 Somerfield P.L.C. 283,000 825,756 Stagecoach Group P.L.C. 562,048 1,027,721 Stanley Leisure P.L.C. 68,583 585,464 Tate & Lyle P.L.C. 247,930 2,329,402 Taylor Woodrow P.L.C. 329,527 1,462,312 * The Berkeley Group Holdings P.L.C. 69,621 1,584,987
The Big Food Group P.L.C. 181,000 320,241 * Thus Group P.L.C. 693,187 189,116 Trinity Mirror P.L.C. 166,578 1,983,214 Urbium P.L.C. 23 224 Vodafone Group P.L.C. 4,643,500 12,612,821 Westbury P.L.C. 58,674 429,326 Whitbread P.L.C. 173,789 2,649,993 Wilson Bowden P.L.C. 48,000 913,274 Wimpey (George) P.L.C. 221,935 1,513,020 Wolverhampton & Dudley Breweries P.L.C. 37,368 653,607 Woolworths Group P.L.C. 764,448 650,336 XANSA P.L.C. 2,938 5,195 -------------- TOTAL COMMON STOCKS (Cost $139,801,721) 202,349,327 -------------- INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 88,050 -------------- (Cost $86,583) TOTAL -- UNITED KINGDOM (Cost $139,888,304) 202,437,377 -------------- JAPAN -- (17.5%) COMMON STOCKS -- (17.5%) Acom Co., Ltd. 13,300 997,831 Aichi Bank, Ltd. 400 31,137 # Aichi Steel Corp. 74,000 394,583 AIOI Insurance Co., Ltd. 239,700 1,057,927 Aisin Seiki Co., Ltd. 91,600 1,968,590 Akita Bank, Ltd. 57,000 223,472 Alfresa Holdings Corp. 1,200 41,335 # Alpine Electronics, Inc. 19,200 257,664 Alps Electric Co., Ltd. 31,000 451,142 Amada Co., Ltd. 126,000 634,269 Amano Corp. 8,000 72,848 Anritsu Corp. 47,000 343,396 Aoyama Trading Co., Ltd. 20,100 496,046 Asahi Breweries, Ltd. 105,000 1,239,859 Asahi Kasei Corp. 187,000 920,371 Asatsu-Dk, Inc. 15,800 460,962 * Ashikaga Financial Group, Inc. 90,000 876 Autobacs Seven Co., Ltd. 11,000 321,058 Awa Bank, Ltd. 64,000 389,498 Bank of Iwate, Ltd. 5,800 268,756 Bank of Kyoto, Ltd. 101,000 844,744 Bank of Nagoya, Ltd. 64,000 330,228 Bosch Automotive Systems Corp. 19,000 89,377 Canon Sales Co., Inc. 22,000 315,039 Casio Computer Co., Ltd. 72,000 986,183 Chiba Bank, Ltd. 268,000 1,701,025
Chudenko Corp. 19,200 277,814 Chugoku Bank, Ltd. 77,400 844,843 Citizen Watch Co., Ltd. 82,000 742,189 Coca-Cola West Japan Co., Ltd. 24,700 614,832 Comsys Holdings Corp. 46,000 395,201 Cosmo Oil Co., Ltd. 235,000 682,132 Dai Nippon Ink & Chemicals, Inc. 229,000 517,510 Dai Nippon Pharmaceutical Co., Ltd. 50,000 480,867 Dai Nippon Printing Co., Ltd. 160,000 2,387,489 Daicel Chemical Industries, Ltd. 136,000 752,606 Daido Steel Co., Ltd. 162,000 443,229 * Daiei, Inc. 48,500 96,377 Daihatsu Motor Co., Ltd. 166,000 1,275,419 Dai-Ichi Pharmaceutical Co., Ltd. 36,900 733,374 Daimaru, Inc. 27,000 226,078 Daio Paper Corp. 10,000 90,333 Daishi Bank, Ltd. 120,000 457,967 Daito Trust Construction Co., Ltd. 8,100 365,936 Daiwa House Industry Co., Ltd. 202,200 2,169,947 Daiwa Securities Co., Ltd. 17,000 115,672 Denki Kagaku Kogyo KK 4,000 12,942 Ebara Corp. 111,000 493,853 Eighteenth Bank, Ltd. 2,000 8,782 Ezaki Glico Co., Ltd. 45,000 316,681 Fuji Electric Co., Ltd. 229,000 591,130 Fuji Fire & Marine Insurance Co., Ltd. 142,000 462,484 Fuji Heavy Industries 248,000 1,145,436 Fuji Oil Co., Ltd. 26,100 306,868 Fuji Photo Film Co., Ltd. 153,000 5,372,928 Fuji Television Network, Inc. 35 74,010 Fujikura, Ltd. 122,000 546,927 Fujitsu, Ltd. 127,000 795,631 Fukui Bank, Ltd. 12,000 48,734 Fukuoka Bank, Ltd. 201,000 1,273,237 Fukuyama Transporting Co., Ltd. 104,000 410,880 * Furukawa Electric Co., Ltd. 196,000 967,738 Futaba Corp. 10,000 234,340 Futaba Industrial Co., Ltd. 24,000 389,273 Glory, Ltd. 23,500 367,501 Gunma Bank, Ltd. 162,000 847,279 Gunze, Ltd. 87,000 379,241 Hachijuni Bank, Ltd. 173,000 1,141,175 * Hankyu Corp. 218,000 842,109 Hankyu Department Stores, Inc. 25,000 190,902 Hanshin Electric Railway Co., Ltd. 102,000 335,789 Heiwa Corp. 34,600 517,733 Higo Bank, Ltd. 91,000 573,661 Hino Motors, Ltd. 22,000 145,712 Hiroshima Bank, Ltd. 132,000 648,836 Hitachi Cable, Ltd. 139,000 586,541 Hitachi Construction Machinery Co., Ltd. 3,000 37,106 Hitachi High-Technologies Corp. 9,000 124,776
Hitachi Kokusai Electric, Inc. 31,000 247,532 Hitachi Maxell, Ltd. 37,100 503,645 Hitachi Metals, Ltd. 109,000 618,133 Hitachi Software Engineering Co., Ltd. 1,700 34,960 Hitachi Transport System, Ltd. 4,000 33,628 Hitachi, Ltd. 860,000 5,524,479 Hokkoku Bank, Ltd. 108,000 479,258 Hokuetsu Paper Mills, Ltd. 61,000 330,164 Hokugin Financial Group, Inc. 394,000 1,012,779 Hosiden Corp. 800 8,250 House Foods Corp. 41,000 583,574 Hyakugo Bank, Ltd. 80,000 457,450 Hyakujishi Bank, Ltd. 85,000 499,343 * Ishikawajima-Harima Heavy Industries Co., Ltd. 398,000 541,521 #* Isuzu Motors, Ltd. 88,000 261,466 * Itochu Corp. 147,000 665,393 Itoham Foods, Inc. 78,000 377,307 Iyo Bank, Ltd. 99,000 722,390 Japan Airport Terminal Co., Ltd. 24,000 225,379 JGC Corp. 10,000 85,698 Joyo Bank, Ltd. 274,000 1,281,968 Juroku Bank, Ltd. 127,000 546,059 Kagoshima Bank, Ltd. 62,000 373,597 Kajima Corp. 21,000 90,765 Kamigumi Co., Ltd. 102,000 790,533 Kandenko Co., Ltd. 63,000 333,717 Kansai Paint Co., Ltd., Osaka 57,000 343,750 Kanto Auto Works, Ltd., Yokosuka 2,200 25,320 Katokichi Co., Ltd. 17,300 326,020 # Kawasaki Heavy Industries, Ltd. 681,000 1,025,167 Keiyo Bank, Ltd. 12,000 42,629 Kikkoman Corp. 73,000 665,456 Kinden Corp. 84,000 618,603 Kirin Brewery Co., Ltd. 220,000 2,106,665 Kissei Pharmaceutical Co., Ltd. 21,000 439,920 Kiyo Bank, Ltd. 16,000 31,685 Kobe Steel, Ltd. 1,389,000 2,113,714 Koito Manufacturing Co., Ltd. 48,000 395,848 Kokuyo Co., Ltd. 48,000 550,783 Komatsu, Ltd. 256,000 1,737,873 Komori Corp. 27,000 372,570 Konica Corp. 18,000 230,532 Kubota Corp. 232,000 1,145,655 Kuraray Co., Ltd. 121,000 995,778 Kuraya Sanseido, Inc. 41,300 383,336 Kureha Chemical Industry Co., Ltd. 58,000 220,171 KYORIN Pharmaceutical Co., Ltd. 25,000 356,898 Lintec Corp. 2,000 27,931 # Lion Corp. 66,000 366,469 Makita Corp. 55,000 849,527 Marubeni Corp. 458,000 1,296,204 Marui Co., Ltd. 113,100 1,494,364
Maruichi Steel Tube, Ltd. 36,000 631,293 Matsushita Electric Industrial Co., Ltd. 732,998 10,881,763 Matsushita Electric Works, Ltd. 71,000 607,633 # Mazda Motor Corp. 78,000 239,273 Meiji Seika Kaisha, Ltd. Tokyo 122,000 536,455 Michinoku Bank, Ltd. 45,000 212,980 Millea Holdings, Inc. 108 1,527,483 Mitsubishi Gas Chemical Co., Inc. 148,000 699,962 Mitsubishi Heavy Industries, Ltd. 1,069,000 3,059,197 Mitsubishi Logistics Corp. 51,000 473,862 Mitsubishi Materials Corp. 348,000 721,329 Mitsubishi Rayon Co., Ltd. 20,000 67,795 Mitsubishi Securities Co., Ltd. 59,000 630,711 Mitsui Chemicals, Inc. 163,000 852,974 Mitsui Engineering and Shipbuilding Co., Ltd. 407,000 678,537 Mitsui Marine & Fire Insurance Co., Ltd. 94,000 826,205 Mitsui Trust Holdings 226,000 1,717,815 Mitsumi Electric Co., Ltd. 21,700 239,604 Mizuho Holdings, Inc. 238 1,032,992 Mori Seiki Co., Ltd. 22,700 197,760 Morinaga Milk Industry Co., Ltd. 69,000 277,977 Musashino Bank, Ltd. 10,000 400,030 Nagase & Co., Ltd. 41,000 324,034 Namco, Ltd. 7,600 93,292 Nanto Bank, Ltd. 86,000 415,721 NGK Insulators, Ltd. 113,000 937,451 NGK Spark Plug Co., Ltd. 70,000 681,278 NHK Spring Co., Ltd. 16,000 105,552 Nichicon Corp. 30,200 373,732 Nichirei Corp. 65,000 242,242 Nifco, Inc. 17,000 260,821 Nihon Unisys, Ltd. 32,700 303,497 Nippon Broadcasting System, Inc. 10,060 475,654 Nippon Electric Glass Co., Ltd. 38,000 985,365 Nippon Kayaku Co., Ltd. 68,000 371,537 Nippon Meat Packers, Inc., Osaka 70,000 904,544 Nippon Mining Holdings, Inc. 181,500 905,467 Nippon Mitsubishi Oil Corp. 479,800 3,148,887 Nippon Paint Co., Ltd. 84,000 337,368 Nippon Sanso Corp. 18,000 99,942 Nippon Sheet Glass Co., Ltd. 165,000 634,306 * Nippon Shinpan Co., Ltd. 90,000 318,276 Nippon Shokubai Co., Ltd. 58,000 476,115 Nippon Steel Corp. 353,000 868,325 Nippon Suisan Kaisha, Ltd. 16,000 52,176 Nippon Television Network Corp. 8,040 1,162,219 Nipponkoa Insurance Co., Ltd. 53,000 319,559 Nishimatsu Construction Co., Ltd. 103,000 323,022 Nishi-Nippon Bank, Ltd. 145,400 627,096 Nissay Dowa General Insurance Co., Ltd. 125,000 582,996 Nisshin Seifun Group, Inc. 72,000 789,157 Nisshin Steel Co., Ltd. 305,000 726,838
Nisshinbo Industries, Inc. 80,000 546,794 * Nissho Iwai-Nichmen Holdings Corp. 65,500 275,218 NOK Corp. 2,000 57,850 Noritsu Koki Co., Ltd. 3,000 61,809 Noritz Corp. 1,000 14,571 NSK, Ltd. 159,000 738,320 NTN Corp. 123,000 681,485 Obayashi Corp. 192,000 1,191,123 Oji Paper Co., Ltd. 120,000 682,822 Okumura Corp. 85,000 468,257 Omron Corp. 17,000 387,764 Onward Kashiyama Co., Ltd. 84,000 1,140,588 PanaHome Corp. 50,000 256,519 Pioneer Electronic Corp. 11,200 209,403 Q.P. Corp. 47,700 418,039 Rengo Co., Ltd. 70,000 320,817 * Resona Holdings, Inc. 267,250 471,986 Rinnai Corp. 16,100 405,753 Sakata Seed Corp. 5,000 60,800 San In Godo Bank, Ltd. 53,000 425,051 Sankyo Co., Ltd. 40,000 782,274 Santen Pharmaceutical Co., Ltd. 18,500 360,196 Sanwa Shutter Corp. 48,000 267,860 Sanyo Electric Co., Ltd. 112,000 367,812 Sanyo Shinpan Finance Co., Ltd. 14,000 900,760 Sapporo Breweries, Ltd. 166,000 716,799 Sapporo Hokuyo Holdings, Inc. 112 782,971 Seino Transportation Co., Ltd. 65,000 590,027 Sekisui Chemical Co., Ltd. 171,000 1,119,630 Sekisui House, Ltd. 224,000 2,467,862 Seventy-seven (77) Bank, Ltd. 117,000 761,201 SFCG Co., Ltd. 4,240 1,043,599 Shiga Bank, Ltd. 93,000 507,603 Shikoku Bank, Ltd. 52,000 298,171 Shima Seiki Manufacturing Co., Ltd. 2,000 65,819 Shimachu Co., Ltd. 19,100 453,137 Shimadzu Corp. 39,000 218,575 Shinko Securities Co., Ltd. 397,000 1,197,902 Shizuoka Bank, Ltd. 237,000 2,081,873 Showa Denko KK 78,000 189,774 Showa Shell Sekiyu KK 55,000 494,498 Stanley Electric Co., Ltd. 7,000 112,927 Sumitomo Bakelite Co., Ltd. 23,000 133,634 Sumitomo Corp. 205,000 1,725,400 Sumitomo Electric Industries, Ltd. 237,000 2,477,769 Sumitomo Forestry Co., Ltd. 50,000 437,905 Sumitomo Metal Industries, Ltd. Osaka 441,000 586,280 Sumitomo Metal Mining Co., Ltd. 119,000 889,671 Sumitomo Mitsui Financial Group, Inc. 43 303,791 Sumitomo Osaka Cement Co., Ltd. 135,000 296,916 Sumitomo Rubber 118,000 992,950 Suzuken Co., Ltd. 22,200 521,818
Suzuki Motor Corp. 27,000 486,847 Taiheiyo Cement Corp. 284,000 709,699 Taisei Corp. 205,000 808,209 Taiyo Yuden Co., Ltd. 34,000 345,633 Takara Standard Co., Ltd. 63,000 371,848 Takashimaya Co., Ltd. 149,000 1,408,798 Takefuji Corp. 45,210 2,945,751 Tanabe Seiyaku Co., Ltd. 13,000 124,366 Teijin, Ltd. 294,000 1,260,839 Teikoku Oil Co., Ltd. 91,000 493,945 Toda Corp. 120,000 535,689 Toho Bank, Ltd. 64,000 235,493 Tokai Tokyo Securities Co., Ltd. 81,000 230,024 Tokuyama Corp. 95,000 542,955 Tokyo Broadcasting System, Inc. 57,000 902,274 # Tokyo Steel Manufacturing Co., Ltd. 49,100 800,610 Tokyo Style Co., Ltd. 50,000 558,896 Tokyo Tatemono Co., Ltd. 68,000 437,943 Toppan Printing Co., Ltd. 221,000 2,293,555 Toray Industries, Inc. 291,000 1,278,360 Toshiba TEC Corp. 88,000 391,256 Tostem Inax Holding Corp. 70,840 1,249,925 Toto, Ltd. 99,000 882,513 Toyo Ink Manufacturing Co., Ltd. 82,000 289,947 Toyo Seikan Kaisha, Ltd. 73,000 1,189,845 Toyo Suisan Kaisha, Ltd. 32,000 412,860 Toyobo Co., Ltd. 46,000 103,607 Toyota Auto Body Co., Ltd. 32,000 526,178 Toyota Industries Corp. 83,600 1,921,789 UFJ Tsubasa Securities Co. Ltd. 40,000 170,026 UNY Co., Ltd. 91,000 983,158 Victor Co. of Japan, Ltd. 37,000 254,581 Wacoal Corp. 54,000 606,402 Yamagata Bank, Ltd. 52,000 243,579 Yamaguchi Bank, Ltd. 74,000 750,866 Yamanashi Chuo Bank, Ltd. 55,000 323,890 Yamato Kogyo Co., Ltd. 2,000 26,872 Yamazaki Baking Co., Ltd. 107,000 968,281 Yasuda Fire & Marine Insurance Co., Ltd. 243,840 2,331,449 Yasuda Trust & Banking Co., Ltd. 780,000 1,381,733 Yokohama Rubber Co., Ltd. 127,000 444,358 York-Benimaru Co., Ltd. 12,000 331,035 -------------- TOTAL COMMON STOCKS (Cost $145,802,371) 193,368,478 -------------- INVESTMENT IN CURRENCY -- (0.0%) * Japanese Yen 37,049 -------------- (Cost $37,068) TOTAL -- JAPAN (Cost $145,839,439) 193,405,527 --------------
FRANCE -- (11.8%) COMMON STOCKS -- (11.8%) Accor SA 7,550 321,707 AGF (Assurances Generales de France SA) 89,333 6,140,494 Air France 125,452 2,375,458 Air Liquide SA 2,553 434,650 Arcelor SA 30,300 667,605 AXA 545,657 12,779,781 BNP Paribas SA 198,485 13,800,888 Bongrain SA 2,870 194,782 Bouygues 1,600 68,840 * Business Objects SA 25,873 604,025 * Cap Gemini SA 59,817 1,930,603 * Club Mediterranee SA 3,600 165,355 Compagnie de Saint-Gobain 109,754 6,244,192 Compagnie Francaise d'Etudes et de Construction Technip SA 6,139 1,028,129 Credit Agricole SA 45,600 1,350,294 Credit Industriel et Commercial 3,760 889,233 Dior (Christian) SA 17,000 1,069,689 Eiffage SA 8,466 844,665 Esso SA 3,000 445,612 Euler-Hermes SA 3,851 252,279 * Eurafrance 4,941 385,354 Faurecia SA 14,460 1,081,470 Fimalac SA 21,791 987,697 France Telecom SA 276,260 8,664,266 Gecina SA 24,540 2,318,455 Generale des Establissements Michelin SA Series B 38,368 2,217,937 Groupe Danone 10,600 945,904 Havas SA 120,335 664,969 Imerys SA 18,000 1,375,918 LaFarge SA 42,261 3,969,805 LaFarge SA Prime Fidelity 12,295 1,156,098 Lagardere S.C.A. SA 14,400 1,028,976 L'Oreal 10,550 763,057 Nexans 4,485 172,767 Pernod-Ricard SA 7,875 1,177,427 Peugeot SA 82,668 5,051,417 Pinault Printemps Redoute SA 44,918 4,667,492 Rallye SA 5,000 240,309 Remy Cointreau SA 27,450 1,016,042 Renault SA 92,256 7,552,982 Rexel SA 15,379 778,528 SA Des Galeries Lafayette 829 186,505 SA Fromageries Bel la Vache Qui Rit 500 87,814 Sagem SA 4,545 418,571 Schneider SA 52,440 3,645,983 * Scor SA 168,769 313,698 SEB SA Prime Fidelite 2002 880 88,975 SEB SA Prime Fidelity 1,430 145,391
Societe BIC SA 19,397 943,018 Societe des Ciments de Francais 16,882 1,482,269 Societe du Louvre SA 400 44,699 Societe Generale d'Enterprise SA 2,640 327,175 Societe Generale Paris 46,221 4,463,809 Sodexho Alliance SA 53,603 1,630,996 Suez (ex Suez Lyonnaise des Eaux) 181,750 4,273,174 Thales SA 1,800 77,103 Thomson Multimedia 75,626 1,816,467 # Unibail SA 13,011 1,851,229 Valeo SA 33,059 1,308,928 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 1,660 229,521 Veolia Environnement SA 40,500 1,276,484 * Vivendi Universal SA 251,818 7,420,699 -------------- TOTAL COMMON STOCKS (Cost $97,123,993) 129,857,659 -------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 10,700 11,945 * Rallye SA Series B Warrants 11/30/05 5,000 661 -------------- TOTAL RIGHTS/WARRANTS (Cost $15,851) 12,606 -------------- TOTAL - FRANCE (Cost $97,139,844) 129,870,265 -------------- GERMANY -- (8.2%) COMMON STOCKS -- (8.2%) Aachener und Muenchener Beteiligungs AG 27,667 2,090,842 Aareal Bank AG 9,500 290,428 Allianz AG 16,244 2,030,798 Altana AG 1,800 98,323 Audi AG 1,000 285,919 Axel Springer Verlag AG 1,100 130,249 BASF AG 50,700 3,423,015 Bayer AG 153,371 4,866,773 Bayerische Motorenwerke AG 2,600 110,198 * Bayerische Vereinsbank AG 228,793 5,100,805 BHW Holding AG 7,300 98,800 Bilfinger & Berger Bau AG 9,900 370,883 * Commerzbank AG 202,794 4,053,959 Continental AG 25,400 1,550,398 DaimlerChrysler AG 307,506 13,761,781 Deutsche Bank AG 148,162 12,548,579 * Deutsche Lufthansa AG 128,822 1,826,392 * Dyckerhoff AG DM50 1,000 41,478 E.ON AG 86,960 7,322,956 Fraport AG 30,003 1,168,888
Gehe AG 2,100 160,855 Hannover Rueckversicherungs AG 12,636 456,506 * Heidelberger Druckmaschinen AG 35,484 1,212,954 Heidelberger Zement AG 42,810 2,429,369 Hochtief AG 24,431 725,580 Hoechst AG 9,600 725,446 * Hypo Real Estate Holding AG 12,025 465,701 * Infineon Technologies AG 224,515 2,477,249 IVG Immobilien AG 2,300 34,997 # Karstadt Quelle AG 49,433 507,797 * Koelnische Rueckversicherungs 80 8,513 Linde AG 25,045 1,538,813 MAN AG 21,800 828,108 Merck KGAA 14,998 863,597 * MG Technologies AG 76,688 905,715 Munchener Rueckversicherungs-Gesellschaft AG 30,142 3,421,345 Preussag AG 66,594 1,484,414 Rwe AG (NEU) Series A 1,750 93,038 Suedzucker AG 27,929 564,212 ThyssenKrupp AG 216,048 4,694,433 Volkswagen AG 115,683 5,204,164 * WCM Beteiligungs AG 18,943 32,989 Wuestenrot & Wuerttemberg AG 2,500 49,563 -------------- TOTAL COMMON STOCKS (Cost $75,390,592) 90,056,822 -------------- RIGHTS/WARRANTS -- (0.0%) * Karstadt Quelle AG Rights 12/09/04 49,433 117,601 -------------- (Cost $179,409) TOTAL -- GERMANY (Cost $75,570,001) 90,174,423 -------------- SWITZERLAND -- (6.8%) COMMON STOCKS -- (6.8%) * ABB, Ltd. 108,800 672,740 Banque Cantonale Vaudoise 4,955 764,875 Berner Kantonalbank 8,700 1,236,429 * Ciba Spezialitaetenchemie Holding AG 47,300 3,423,269 Cie Financiere Richemont AG Series A 393,600 11,978,910 Clariant AG 55,300 860,807 Converium Holding AG 4,200 37,895 * Credit Swisse Group 148,330 5,790,688 Ems-Chemie Holding AG 10,050 891,106 Givaudan SA 7,680 5,076,297 Helvetia Patria Holding 4,457 621,211 Holcim, Ltd. 120,362 6,893,204 Jelmoli Holding AG 40 55,218 Julius Baer Holding AG 787 232,451 Kuoni Reisen Holding AG 490 207,952
Lonza Group AG 9,000 486,502 Luzerner Kantonalbank AG 4,000 733,381 PSP Swiss Property AG 30,000 1,281,480 Rieters Holdings AG 5,340 1,551,944 * Saurer AG 1,500 89,418 Schindler Holding AG 750 278,354 Sig Holding AG 6,375 1,436,754 * Sika Finanz AG, Baar 1,810 1,069,228 Societe Generale de Surveillance Holding SA 2,300 1,535,793 St. Galler Kantonalbank 4,902 1,202,474 Swatch Group AG 11,500 1,583,785 * Swiss Life AG 34,000 4,465,863 Swiss Reinsurance Co., Zurich 49,956 3,336,875 * Syngenta AG 77,200 8,179,549 * Valiant Holding AG 9,300 844,049 Valora Holding AG 4,120 998,538 * Zurich Financial SVCS AG 43,900 6,754,795 -------------- TOTAL COMMON STOCKS (Cost $53,162,507) 74,571,834 -------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs 665,459 -------------- (Cost $651,704) RIGHTS/WARRANTS -- (0.0%) * Helvetia Patria Holding Rights 12/07/04 4,457 49,744 -------------- (Cost $0) TOTAL -- SWITZERLAND (Cost $53,814,211) 75,287,037 -------------- AUSTRALIA -- (5.7%) COMMON STOCKS -- (5.7%) Amcor, Ltd. 378,014 2,166,688 AMP, Ltd. 560,361 2,976,324 Ansell, Ltd. 102,749 728,313 APN News & Media, Ltd. 173,411 668,986 Australand Property Group 324,633 456,798 AWB, Ltd. 151,364 556,429 AXA Asia Pacific Holdings, Ltd. 1,183,515 3,660,622 Bluescope Steel, Ltd. 413,911 2,689,022 Boral, Ltd. 331,452 1,764,377 Brambles Industries, Ltd. 173,370 943,135 Brickworks, Ltd. 2,258 20,059 Caltex Australia, Ltd. 188,779 1,338,159 Commonwealth Bank of Australia 301,855 7,331,817 CSR, Ltd. 559,868 1,113,101 Downer Group, Ltd. 174,611 604,393 Foster's Group, Ltd. 41,135 171,739 Insurance Australiz Group, Ltd. 503,718 2,271,184
Lend Lease Corp., Ltd. 247,138 2,323,447 Lion Nathan, Ltd. 361,743 2,223,011 Mayne Group, Ltd. 339,111 1,116,961 Mirvac, Ltd. 357,328 1,305,604 National Australia Bank, Ltd. 227,429 4,944,647 Onesteel, Ltd. 347,420 662,607 Origin Energy, Ltd. 305,156 1,659,378 Paperlinx, Ltd. 269,041 966,794 Publishing and Broadcasting, Ltd. 176,876 2,135,665 Quantas Airways, Ltd. 1,582,005 4,372,558 Rinker Group, Ltd. 415,659 3,083,658 Rio Tinto, Ltd. 42,885 1,300,965 Santos, Ltd. 352,426 2,414,144 # Seven Network, Ltd. 130,150 633,005 * Southcorp, Ltd. 448,938 1,265,736 Suncorp-Metway, Ltd. 5,504 73,363 Telstra Corp., Ltd. 11,561 44,113 WMC Resources, Ltd. 558,201 3,094,647 -------------- TOTAL -- AUSTRALIA (Cost $39,994,673) 63,081,449 -------------- SPAIN -- (5.5%) COMMON STOCKS -- (5.5%) Acciona SA 22,208 1,742,534 Acerinox SA 138,400 2,031,312 Actividades de Construccion y Servicios SA 27,369 575,370 Arcelor SA 25,464 562,007 Autopistas Concesionaria Espanola SA 120,001 2,491,416 Banco de Andalucia 2,475 232,157 Banco de Sabadell SA 92,200 2,070,045 Banco Pastor SA 1,500 48,966 * Banco Santander Central Hispano SA 715,100 8,522,693 # Banco Santander Central Hispanoamerica SA 650,766 7,806,674 Cementos Portland SA 20,523 1,147,906 Corporacion Mapfre Compania Internacional de Reaseguros SA 107,303 1,506,411 Ebro Puleva SA 85,295 1,098,183 Endesa SA, Madrid 260,283 5,607,425 Fomento de Construcciones y Contratas SA 20,600 843,803 Gas Natural SA, Buenos Aires 19,200 549,610 Grupo Ferrovial SA 2,300 111,057 Iberia Lineas Aereas de Espana SA 521,257 1,699,656 Inmobiliaria Colonial SA ICSA 27,400 1,054,849 Inmobiliaria Urbis SA 65,963 907,355 Metrovacesa SA 25,112 1,196,254 Red Electrica de Espana SA 24,600 476,682 Repsol SA 567,226 13,821,251 Sociedad General de Aguas de Barcelona SA 112,639 2,108,423 # Sol Melia SA 118,706 1,113,396 Vallehermoso SA 58,015 887,950 -------------- TOTAL COMMON STOCKS (Cost $41,409,287) 60,213,385 --------------
RIGHTS/WARRANTS -- (0.0%) * Sociedad General de Aguas de Barcelona SA Rights 12/15/04 112,639 20,958 -------------- (Cost $0) TOTAL -- SPAIN (Cost $41,409,287) 60,234,343 -------------- NETHERLANDS -- (4.5%) COMMON STOCKS -- (4.5%) ABN AMRO Holding NV 111,836 2,745,991 Aegon NV 529,334 6,544,664 AM NV 26,184 238,088 Buhrmann NV 38,273 341,912 DSM NV 51,732 3,115,949 Hunter Douglas NV 21,936 1,105,763 IHC Caland NV 11,144 681,531 ING Groep NV 441,191 12,109,457 * Koninklijke Ahold NV 346,429 2,545,629 Koninklijke KPN NV 599,000 5,196,749 Koninklijke Nedlloyd NV 10,349 525,133 Koninklijke Philips Electronics NV 293,483 7,563,323 Koninklijke Vopak NV 42,754 923,492 Nutreco Holding NV 9,513 232,715 NV Holdingsmij de Telegraaf 21,800 518,904 Oce NV 68,471 1,023,589 Univar NV 15,400 417,767 Vedior NV 50,525 848,381 #* Versatel Telecom International NV 110,500 293,695 VNU NV 97,929 2,954,644 -------------- TOTAL -- NETHERLANDS (Cost $43,977,712) 49,927,376 -------------- ITALY -- (3.3%) COMMON STOCKS -- (3.3%) * Alitalia Linee Aeree Italiane SpA Series A 2,140,000 734,285 Banca Monte Dei Paschi di Siena SpA 915,125 2,991,282 * Banca Nazionale del Lavoro SpA 1,011,192 2,473,934 Banca Popolare di Lodi Scarl 171,100 1,910,091 Banca Popolare di Milano 379,940 3,091,449 Benetton Group SpA 61,500 739,442 Buzzi Unicem SpA 106,000 1,485,995 Caltagirone Editore SpA 121,001 1,028,642 Capitalia SpA 492,295 1,931,342 CIR SpA (Cie Industriale Riunite), Torino 625,000 1,567,400 # Compagnia Assicuratrice Unipol SpA 300,630 1,330,518
#* E.Biscom SpA 12,000 722,937 * Edison SpA 155,856 320,095 Erg SpA 124,000 1,380,139 * Fiat SpA 269,740 1,997,934 IFIL Finanziaria Partecipazioni SpA 367,850 1,420,575 Intesabci SpA 524,600 2,321,179 Italcementi SpA 154,040 2,329,622 Italmobiliare SpA, Milano 17,226 997,791 Milano Assicurazioni SpA 316,000 1,592,320 Pirelli & Co. SpA 1,013,332 1,289,475 SAI SpA (Sta Assicuratrice Industriale), Torino 57,183 1,390,976 San Paolo-IMI SpA 55,055 755,685 * SNIA SpA 84,682 28,643 Societe Cattolica di Assicurazoni Scarl SpA 4,400 193,724 * Sorin SpA 127,023 380,769 #* Tiscali SpA 73,000 295,702 -------------- TOTAL COMMON STOCKS (Cost $28,485,173) 36,701,946 -------------- PREFERRED STOCKS -- (0.0%) * Fiat SpA 3,000 14,931 -------------- (Cost $47,699) RIGHTS/WARRANTS -- (0.0%) * Banca Nazionale del Lavoro SpA Rights 12/13/04 15 2 * Fiat SpA Warrants 01/31/07 17,880 2,844 -------------- TOTAL RIGHTS/WARRANTS (Cost $0) 2,846 -------------- TOTAL -- ITALY (Cost $28,532,872) 36,719,723 -------------- SWEDEN -- (3.2%) COMMON STOCKS -- (3.2%) * Ainax AB 12,438 493,509 * ASEA AB 29,000 179,775 Atlas Copco AB Series A 13,200 581,057 Atlas Copco AB Series B 6,600 267,972 Electrolux AB Series B 24,300 534,693 Gambro AB Series A 145,400 1,884,333 Gambro AB Series B 43,900 551,096 Holmen AB Series B 42,700 1,491,317 * Invik and Co. AB Series B 75,950 746,017 NCC AB Series B 24,800 313,054 Netcom AB Series B 14,900 585,546 Nordic Baltic Holdings AB 335,900 3,297,279 Skandinaviska Enskilda Banken Series A 80,800 1,537,884 SSAB Swedish Steel Series A 41,000 989,034 SSAB Swedish Steel Series B 12,600 298,500
Svenska Cellulosa AB Series B 107,500 4,479,898 Svenska Kullagerfabriken AB Series A 7,700 328,106 Svenska Kullagerfabriken AB Series B 9,900 420,760 Telia AB 859,500 5,237,232 * Transcom Worldwide SA Series A 385 1,638 * Transcom Worldwide SA Series B 715 3,181 Trelleborg AB Series B 40,800 675,509 Volvo AB Series A 69,600 2,740,212 Volvo AB Series B 143,500 5,848,793 Whilborg Fastigheter AB Class B 61,020 1,212,555 -------------- TOTAL -- SWEDEN (Cost $21,711,060) 34,698,950 -------------- HONG KONG -- (2.7%) COMMON STOCKS -- (2.7%) Cheung Kong Holdings, Ltd. 457,000 4,394,267 China Overseas Land & Investment, Ltd. 1,670,000 396,780 # China Travel International Investment, Ltd. 1,316,000 396,962 China Unicom, Ltd. 800,000 615,831 Chinese Estates Holdings, Ltd. 232,000 157,836 Citic Pacific, Ltd. 109,000 308,020 Great Eagle Holdings, Ltd. 99,808 237,264 Hang Lung Development Co., Ltd. 560,000 1,049,975 Henderson Land Development Co., Ltd. 280,000 1,453,751 Hong Kong and Shanghai Hotels, Ltd. 190,500 178,628 Hopewell Holdings, Ltd. 352,000 912,483 Hutchison Whampoa, Ltd. 648,000 5,773,082 Hysan Development Co., Ltd. 465,605 944,913 Kerry Properties, Ltd. 619,484 1,326,616 MTR Corp., Ltd. 323,000 514,213 New Asia Realty & Trust Co., Ltd. 445,000 211,819 New World Development Co., Ltd. 1,365,642 1,532,306 Shanghai Industrial Holdings, Ltd. 291,000 586,125 # Shangri-La Asia, Ltd. 1,086,063 1,389,049 Shun Tak Holdings, Ltd. 46,000 46,638 Sino Land Co., Ltd. 2,253,768 2,155,220 Sung Hungkai Properties, Ltd. 5,000 49,499 Tsim Sha Tsui Properties, Ltd. 255,000 357,379 Wharf Holdings, Ltd. 770,600 2,740,523 Wheelock and Co., Ltd. 1,073,000 1,772,369 -------------- TOTAL COMMON STOCKS (Cost $21,142,136) 29,501,548 -------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 25,926 -------------- (Cost $25,937) RIGHTS/WARRANTS -- (0.0%)
* China Travel International Investment, Ltd. Warrants 05/31/06 190,400 18,609 -------------- (Cost $0) TOTAL -- HONG KONG (Cost $21,168,073) 29,546,083 -------------- FINLAND -- (1.9%) COMMON STOCKS -- (1.9%) Fortum Oyj 538,483 9,330,420 Huhtamaki Van Leer Oyj 64,400 942,277 * Kemira GrowHow Oyj 15,049 110,004 Kemira Oyj 70,823 980,280 # Kesko Oyj 71,100 1,653,509 Metso Oyj 93,027 1,489,610 M-real Oyj Series B 114,400 745,667 Okobank Class A 8,400 116,781 Outokumpu Oyj Series A 121,900 2,267,098 Rautaruukki Oyj Series K 16,100 194,266 Stora Enso Oyj Series R 93,600 1,492,388 Upm-Kymmene Oyj 71,700 1,617,171 Wartsila Corp. Oyj Series B 6,900 239,507 -------------- TOTAL -- FINLAND (Cost $9,647,216) 21,178,978 -------------- IRELAND -- (1.7%) COMMON STOCKS -- (1.7%) Allied Irish Banks P.L.C. 177,641 3,448,016 Bank of Ireland P.L.C. 95,775 1,460,108 CRH P.L.C. 265,371 6,692,568 DCC P.L.C. 7,379 154,609 * Elan Corp. P.L.C. 168,361 4,386,329 Independent News & Media P.L.C. 35,273 104,569 Irish Permanent P.L.C. 154,778 2,676,163 -------------- TOTAL -- IRELAND (Cost $11,779,449) 18,922,362 -------------- BELGIUM -- (1.6%) COMMON STOCKS -- (1.6%) Ackermans & Van Haaren SA 1,842 62,551 AGFA-Gevaert NV, Mortsel 31,600 1,011,164 Algemene Mij Voor Nijverheidskredit Almanij 70,477 6,324,258 Banque Nationale de Belgique 160 677,392 Bekaert SA 8,500 664,989 Cie Martime Belge SA 404 117,070 Cofinimmo SA 487 77,983
Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 43,163 3,339,913 Dexia SA 93,080 1,985,884 D'Ieteren SA 304 57,535 Solvay SA 10,900 1,205,003 Tessenderlo Chemie 9,995 416,568 Union Miniere SA 15,120 1,369,074 -------------- TOTAL COMMON STOCKS (Cost $9,777,717) 17,309,384 -------------- RIGHTS/WARRANTS -- (0.0%) * Umicore-Strip VVPR Rights 720 95 -------------- (Cost $0) TOTAL -- BELGIUM (Cost $9,777,717) 17,309,479 -------------- DENMARK -- (1.3%) COMMON STOCKS -- (1.3%) Carlsberg A.S. Series B 19,087 890,592 Codan A.S. 24,160 1,237,499 Danisco A.S. 14,870 907,011 Danske Bank A.S. 199,426 5,962,492 * Jyske Bank A.S. 21,400 768,670 Koebenhavns Lufthavne 620 113,793 Nordea AB 21,596 211,819 Rockwool, Ltd. 6,150 296,128 Sydbank A.S. 2,210 419,612 Tele Danmark A.S. 86,930 3,563,913 * Topdanmark A.S. 3,830 289,249 -------------- TOTAL COMMON STOCKS (Cost $10,278,082) 14,660,778 -------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 1,878 -------------- (Cost $1,877) TOTAL -- DENMARK (Cost $10,279,959) 14,662,656 -------------- NORWAY -- (1.1%) COMMON STOCKS -- (1.1%) * Aker Kvaerner OGEP ASA 18,187 465,019 * Aker Yards AS 11,213 230,828 Den Norske Bank ASA Series A 100,600 949,423 Norsk Hydro ASA 75,360 6,175,708 Norske Skogindustrier ASA Series A 90,300 1,921,100 Odfjell ASA Series A 1,900 125,824 Prosafe ASA 4,150 109,584
Smedvig ASA Series A 5,400 81,391 Storebrand ASA 173,400 1,544,025 Wilhelmsen (Wilhelm), Ltd. ASA Series A 7,150 162,407 * Yara International ASA 3,400 43,745 -------------- TOTAL -- NORWAY (Cost $8,931,005) 11,809,054 -------------- SINGAPORE -- (0.9%) COMMON STOCKS -- (0.9%) Cycle & Carriage, Ltd. 14,000 84,503 DBS Group Holdings, Ltd. 119,000 1,147,018 Fraser & Neave, Ltd. 154,710 1,377,340 Haw Par Brothers International, Ltd. 1,594 4,766 Keppel Corp., Ltd. 471,000 2,311,273 Keppel Land, Ltd. 67,000 84,620 Neptune Orient Lines, Ltd. 283,000 509,030 Overseas Chinese Banking Corp., Ltd. 53,000 433,416 Sembcorp Industries, Ltd. 355,000 314,290 Singapore Airlines, Ltd. 438,800 2,916,472 Singapore Land, Ltd. 123,000 336,167 United Overseas Bank, Ltd. 46,000 381,857 United Overseas Land, Ltd. 231,000 327,538 -------------- TOTAL COMMON STOCKS (Cost $7,197,908) 10,228,290 -------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 25,650 -------------- (Cost $25,563) TOTAL -- SINGAPORE (Cost $7,223,471) 10,253,940 -------------- AUSTRIA -- (0.5%) COMMON STOCKS -- (0.5%) * Bank Austria Creditanstalt AG 19,428 1,654,233 Bohler Uddeholm AG 2,145 254,233 OMV AG 2,984 788,236 Telekom Austria AG 44,047 750,870 Voestalpine AG 20,565 1,471,088 -------------- TOTAL -- AUSTRIA (Cost $2,928,023) 4,918,660 --------------
GREECE -- (0.4%) COMMON STOCKS -- (0.4%) * Agricultural Bank of Greece S.A. 8,700 71,230 Alpha Credit Bank 23,400 735,164 Bank of Greece 9,390 1,187,934 Bank of Piraeus S.A. 5,000 78,557 Commercial Bank of Greece 17,600 536,644 Hellenic Petroleum S.A. 62,610 655,724 Hellenic Tellecommunication Organization Co. S.A. 49,810 818,886 Intracom S.A. 101,820 535,600 -------------- TOTAL -- GREECE (Cost $3,833,172) 4,619,739 -------------- PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 382,568 956,797 Banco Espirito Santo e Comercial de Lisboa 63,170 1,117,752 BPI SGPS SA 155,277 632,251 Cimpor Cimentos de Portugal SA 61,612 341,847 * Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) 15,762 200,535 Portucel-Empresa Produtora de Pasta de Papel SA 593,270 1,208,707 -------------- TOTAL -- PORTUGAL (Cost $3,888,847) 4,457,889 -------------- NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 93,436 519,808 Carter Holt Harvey, Ltd. 673,200 1,070,032 Contact Energy, Ltd. 35,243 159,114 Fletcher Building, Ltd. 42,720 188,500 -------------- TOTAL COMMON STOCKS (Cost $1,065,377) 1,937,454 -------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 11,722 -------------- (Cost $11,191) TOTAL -- NEW ZEALAND (Cost $1,076,568) 1,949,176 -------------- CANADA -- (0.1%) COMMON STOCKS -- (0.1%) Alcan, Inc. 12,133 630,604 -------------- (Cost $535,565)
FACE AMOUNT VALUE+ -------------- --------------- (000) TEMPORARY CASH INVESTMENTS -- (2.4%) Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04 (Collateralized by $22,029,213 U.S. Treasury Note 1.625%, 03/31/05, valued at $21,983,613) to be repurchased at $21,984,804 (Cost $21,983,613)^ $ 21,984 21,983,613 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $4,375,000 FNMA Notes 2.95%, 11/14/07, valued at $4,381,138) to be repurchased at $4,321,226 (Cost $4,321,000) 4,321 4,321,000 =============== TOTAL TEMPORARY CASH INVESTMENTS (Cost $26,304,613) 26,304,613 =============== TOTAL INVESTMENTS - (100.0%) (Cost $805,251,081) $ 1,102,399,703 ===============
- ---------- + Securities have been fair valued. See Note B to Financial Statements. # Total or Partial Securities on Loan. * Non-Income Producing Securities. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
TAX-MANAGED TAX-MANAGED U.S. MARKETWIDE TAX- MANAGED U.S. SMALL CAP VALUE U.S. EQUITY VALUE PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- ASSETS: Investments at Value (including $0, $0, and $105,055 of securities on loan, respectively) $ 1,197,434 $ 618,949 $ 2,192,695 Cash -- -- 1 Receivables: Investment Securities Sold -- -- 5,388 Dividends, Interest, and Tax Reclaims -- -- 1,162 Securities Lending -- -- 60 Fund Shares Sold 1,024 607 1,137 Prepaid Expenses and Other Assets 10 16 23 --------------- --------------- --------------- Total Assets 1,198,468 619,572 2,200,466 --------------- --------------- --------------- LIABILITIES: Payables: Upon Return of Securities Loaned -- -- 110,945 Investment Securities Purchased 846 567 9,335 Fund Shares Redeemed 178 40 477 Due to Advisor 146 31 832 Accrued Expenses and Other Liabilities 71 46 159 --------------- --------------- --------------- Total Liabilities 1,241 684 121,748 --------------- --------------- --------------- NET ASSETS $ 1,197,227 $ 618,888 $ 2,078,718 =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE (Authorized 100,000,000) 90,219,768 50,614,658 89,123,413 =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.27 $ 12.23 $ 23.32 =============== =============== =============== Investments at Cost $ 861,076 $ 524,296 $ 1,430,426 =============== =============== ===============
TAX-MANAGED TAX-MANAGED DFA INTERNATIONAL U.S. SMALL CAP VALUE PORTFOLIO PORTFOLIO --------------- ----------------- ASSETS: Investments at Value (including $62,934 and $20,773 of securities on loan, respectively) $ 1,024,211 $ 1,102,400 Cash -- 16 Receivables: Investment Securities Sold 1,058 444 Dividends, Interest, and Tax Reclaims 293 2,611 Securities Lending 45 40 Fund Shares Sold 503 803 Prepaid Expenses and Other Assets 10 14 --------------- --------------- Total Assets 1,026,120 1,106,328 --------------- --------------- LIABILITIES: Payables: Upon Return of Securities Loaned 66,495 21,984 Investment Securities Purchased 702 1,299 Fund Shares Redeemed 221 182 Due to Advisor 385 437 Accrued Expenses and Other Liabilities 84 151 --------------- --------------- Total Liabilities 67,887 24,053 --------------- --------------- NET ASSETS $ 958,233 $ 1,082,275 =============== =============== SHARES OUTSTANDING $.01 PAR VALUE (Authorized 100,000,000) 46,681,057 79,399,747 =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 20.53 $ 13.63 =============== =============== Investments at Cost $ 656,661 $ 805,251 =============== ===============
See accompanying Notes to Financial Statements. 58 STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS)
TAX-MANAGED TAX-MANAGED U.S. MARKETWIDE TAX-MANAGED U.S. SMALL CAP VALUE U.S. EQUITY VALUE PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- INVESTMENT INCOME Dividends $ 13,103 $ 7,672 $ 17,065 Interest 165 80 296 Income from Securities Lending 105 44 644 Expenses Allocated from Master Funds (2,364) (463) -- --------------- --------------- --------------- Total Investment Income 11,009 7,333 18,005 --------------- --------------- --------------- EXPENSES Investment Advisory Services -- -- 8,967 Administrative Services 1,441 722 -- Accounting & Transfer Agent Fees 66 35 550 Custodian Fees -- -- 171 Legal Fees 17 8 30 Audit Fees 4 2 92 Filing Fees 84 123 66 Shareholders' Reports 32 17 60 Directors' Fees and Expenses 12 4 22 Other 7 1 24 --------------- --------------- --------------- Total Expenses 1,663 912 9,982 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) -- (174) -- --------------- --------------- --------------- Net Expenses 1,663 738 9,982 --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS) 9,346 6,595 8,023 --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Net Realized Gain (Loss) on Investment Securities Sold 1,052 206 153,147 Change in Unrealized Appreciation (Depreciation) of Investment Securities 169,859 47,212 200,871 --------------- --------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 170,911 47,418 354,018 --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 180,257 $ 54,013 $ 362,041 =============== =============== ===============
See accompanying Notes to Financial Statements. 59
TAX-MANAGED TAX-MANAGED DFA INTERNATIONAL U.S. SMALL CAP VALUE PORTFOLIO PORTFOLIO --------------- ----------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0 and $2,055, respectively) $ 4,581 $ 21,892 Interest 123 110 Income from Securities Lending 430 85 --------------- ----------------- Total Investment Income 5,134 22,087 --------------- ----------------- EXPENSES Investment Advisory Services 4,001 4,325 Accounting & Transfer Agent Fees 245 705 Custodian Fees 76 265 Legal Fees 15 22 Audit Fees 41 45 Filing Fees 59 138 Shareholders' Reports 31 32 Directors' Fees and Expenses 9 11 Other 21 41 --------------- ----------------- Total Expenses 4,498 5,584 --------------- ----------------- NET INVESTMENT INCOME (LOSS) 636 16,503 --------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 18,956 4,514 Net Realized Gain (Loss) on Foreign Currency Transactions -- (304) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 100,609 205,170 Translation of Foreign Currency Denominated Amounts -- 147 --------------- ----------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 119,565 209,527 --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 120,201 $ 226,030 =============== =================
See accompanying Notes to Financial Statements. 60 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
TAX-MANAGED TAX-MANAGED U.S. MARKETWIDE U.S. EQUITY VALUE PORTFOLIO PORTFOLIO ----------------------------- ----------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------- ------------- ------------- ------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 9,346 $ 2,417 $ 6,595 $ 2,170 Net Realized Gain (Loss) on Investment Securities Sold 1,052 (15,486) 206 (12,492) Change in Unrealized Appreciation (Depreciation) of Investment Securities 169,859 140,524 47,212 58,133 ------------- ------------- ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 180,257 127,455 54,013 47,811 ------------- ------------- ------------- ------------- Distributions From: Net Investment Income (7,026) (1,935) (5,216) (1,091) ------------- ------------- ------------- ------------- Total Distributions (7,026) (1,935) (5,216) (1,091) ------------- ------------- ------------- ------------- Capital Share Transactions (1): Shares Issued 359,314 301,893 264,799 171,830 Shares Issued in Lieu of Cash Distributions 6,572 1,868 5,203 1,086 Shares Redeemed (98,729) (151,388) (48,663) (69,135) ------------- ------------- ------------- ------------- Net Increase (Decrease) From Capital Share Transactions 267,157 152,373 221,339 103,781 ------------- ------------- ------------- ------------- Total Increase (Decrease) 440,388 277,893 270,136 150,501 NET ASSETS Beginning of Period 756,839 478,946 348,752 198,251 ------------- ------------- ------------- ------------- End of Period $ 1,197,227 $ 756,839 $ 618,888 $ 348,752 ============= ============= ============= ============= (1) SHARES ISSUED AND REDEEMED: Shares Issued 29,799 32,302 22,827 17,947 Shares Issued in Lieu of Cash Distributions 550 201 454 119 Shares Redeemed (8,210) (17,112) (4,224) (7,609) ------------- ------------- ------------- ------------- 22,139 15,391 19,057 10,457 ============= ============= ============= ============= TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO ----------------------------- YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2004 2003 ------------- ------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 8,023 $ 3,142 Net Realized Gain (Loss) on Investment Securities Sold 153,147 22,129 Change in Unrealized Appreciation (Depreciation) of Investment Securities 200,871 442,005 ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 362,041 467,276 ------------- ------------- Distributions From: Net Investment Income (7,014) (1,454) ------------- ------------- Total Distributions (7,014) (1,454) ------------- ------------- Capital Share Transactions (1): Shares Issued 447,201 413,799 Shares Issued in Lieu of Cash Distributions 6,276 1,244 Shares Redeemed (311,135) (286,987) ------------- ------------- Net Increase (Decrease) From Capital Share Transactions 142,342 128,056 ------------- ------------- Total Increase (Decrease) 497,369 593,878 NET ASSETS Beginning of Period 1,581,349 987,471 ------------- ------------- End of Period $ 2,078,718 $ 1,581,349 ============= ============= (1) SHARES ISSUED AND REDEEMED: Shares Issued 21,563 28,806 Shares Issued in Lieu of Cash Distributions 313 95 Shares Redeemed (15,041) (20,644) ------------- ------------- 6,835 8,257 ============= =============
See accompanying Notes to the Financial Statements. 61
TAX-MANAGED TAX-MANAGED U.S. SMALL CAP PORTFOLIO DFA INTERNATIONAL VALUE PORTFOLIO ---------------------------------- ---------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------- ------------- ------------- ------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 636 $ 528 $ 16,503 $ 10,062 Net Realized Gain (Loss) on Investment Securities Sold 18,956 (35,339) 4,514 764 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (304) 321 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 100,609 236,677 205,170 145,760 Translation of Foreign Currency Denominated Amounts -- -- 147 (40) ------------- ------------- ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 120,201 201,866 226,030 156,867 ------------- ------------- ------------- ------------- Distributions From: Net Investment Income (552) (344) (24,542) (7,505) ------------- ------------- ------------- ------------- Total Distributions (552) (344) (24,542) (7,505) ------------- ------------- ------------- ------------- Capital Share Transactions (1): Shares Issued 222,592 197,395 290,800 251,371 Shares Issued in Lieu of Cash Distributions 547 338 23,798 7,378 Shares Redeemed (87,917) (132,155) (108,953) (138,886) ------------- ------------- ------------- ------------- Net Increase (Decrease) From Capital Share Transactions 135,222 65,578 205,645 119,863 ------------- ------------- ------------- ------------- Total Increase (Decrease) 254,871 267,100 407,133 269,225 NET ASSETS Beginning of Period 703,362 436,262 675,142 405,917 ------------- ------------- ------------- ------------- End of Period $ 958,233 $ 703,362 $ 1,082,275 $ 675,142 ============= ============= ============= ============= (1) SHARES ISSUED AND REDEEMED: Shares Issued 11,936 15,041 24,124 29,187 Shares Issued in Lieu of Cash Distributions 31 28 2,046 945 Shares Redeemed (4,710) (10,416) (9,050) (17,110) ------------- ------------- ------------- ------------- 7,257 4,653 17,120 13,022 ============= ============= ============= =============
See accompanying Notes to the Financial Statements. 62 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO ----------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 11.12 $ 9.09 $ 11.46 $ 10.77 $ 10.64 ----------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.11 0.04 0.05 0.12 0.17 Net Gains (Losses) on Securities (Realized and Unrealized) 2.13 2.02 (2.39) 0.77 0.12 ----------- ---------- ---------- ---------- ---------- Total From Investment Operations 2.24 2.06 (2.34) 0.89 0.29 ----------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS Net Investment Income (0.09) (0.03) (0.03) (0.16) (0.16) Net Realized Gains -- -- -- -- -- Return of Capital -- -- -- (0.04) -- ----------- ---------- ---------- ---------- ---------- Total Distributions (0.09) (0.03) (0.03) (0.20) (0.16) ----------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period $ 13.27 $ 11.12 $ 9.09 $ 11.46 $ 10.77 =========== ========== ========== ========== ========== Total Return 20.24% 22.79% (20.43)% 8.17% 2.80% ----------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands) $ 1,197,227 $ 756,839 $ 478,946 $ 574,286 $ 259,457 Ratio of Expenses to Average Net Assets** 0.42% 0.43% 0.42% 0.44% 0.50% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.42% 0.43% 0.42% 0.44% 0.50% Ratio of Net Investment Income to Average Net Assets 0.97% 0.43% 0.44% 0.97% 1.75% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 5% 6% 15% 11% 39% TAX-MANAGED U.S. EQUITY PORTFOLIO ------------------------------------------------------- YEAR YEAR YEAR SEPT. 25, ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 - -------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 11.05 $ 9.40 $ 11.78 $ 10.00 ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.14 0.07 0.04 0.01 Net Gains (Losses) on Securities (Realized and Unrealized) 1.18 1.63 (2.41) 1.77 ---------- ---------- ---------- ---------- Total From Investment Operations 1.32 1.70 (2.37) 1.78 ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS Net Investment Income (0.14) (0.05) (0.01) -- Net Realized Gains -- -- -- -- Return of Capital -- -- -- -- ---------- ---------- ---------- ---------- Total Distributions (0.14) (0.05) (0.01) -- ---------- ---------- ---------- ---------- Net Asset Value, End of Period $ 12.23 $ 11.05 $ 9.40 $ 11.78 ========== ========== ========== ========== Total Return 12.03% 18.21% (20.16)% 17.80%# ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands) $ 618,888 $ 348,752 $ 198,251 $ 81,550 Ratio of Expenses to Average Net Assets** 0.25% 0.25% 0.25% 0.25%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.29% 0.29% 0.34% 0.71%* Ratio of Net Investment Income to Average Net Assets 1.37% 0.87% 0.50% 0.57%* Portfolio Turnover Rate N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 5% 13% 11% 4%
* Annualized # Non-annualized ** Represents the combined ratios for the portfolio and its pro-rata share of the Master Fund Series. N/A Refer to the Master Fund Series. See accompanying Notes to Financial Statements. 63
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 ----------- ----------- ----------- ----------- ----------- Net Asset Value, Beginning of Period $ 19.22 $ 13.34 $ 14.63 $ 12.08 $ 11.19 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.09 0.04 0.02 0.06 0.09 Net Gains (Losses) on Securities (Realized and Unrealized) 4.09 5.86 (1.25) 2.58 0.86 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 4.18 5.90 (1.23) 2.64 0.95 ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Net Investment Income (0.08) (0.02) (0.06) (0.09) (0.06) Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.08) (0.02) (0.06) (0.09) (0.06) ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period $ 23.32 $ 19.22 $ 13.34 $ 14.63 $ 12.08 =========== =========== =========== =========== =========== Total Return 21.84% 44.29% (8.47)% 22.01% 8.50% Net Assets, End of Period (thousands) $ 2,078,718 $ 1,581,349 $ 987,471 $ 834,773 $ 435,729 Ratio of Expenses to Average Net Assets 0.56% 0.56% 0.56% 0.57% 0.60% Ratio of Net Investment Income to Average Net Assets 0.45% 0.27% 0.13% 0.53% 0.88% Portfolio Turnover Rate 21% 13% 11% 12% 50%
See accompanying Notes to Financial Statements. 64
TAX-MANAGED U.S. SMALL CAP PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 17.84 $ 12.55 $ 14.54 $ 12.95 $ 12.19 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.01 0.01 0.01 0.05 0.05 Net Gains (Losses) on Securities (Realized and Unrealized) 2.69 5.29 (1.96) 1.59 0.74 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 2.70 5.30 (1.95) 1.64 0.79 ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Net Investment Income (0.01) (0.01) (0.04) (0.05) (0.03) Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.01) (0.01) (0.04) (0.05) (0.03) ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period $ 20.53 $ 17.84 $ 12.55 $ 14.54 $ 12.95 =========== =========== =========== =========== =========== Total Return 15.17% 42.27% (13.45)% 12.69% 6.50% ----------- ----------- ----------- ----------- ----------- Net Assets, End of Period (thousands) $ 958,233 $ 703,362 $ 436,262 $ 382,381 $ 163,739 Ratio of Expenses to Average Net Assets 0.56% 0.57% 0.57% 0.58% 0.61% Ratio of Net Investment Income to Average Net Assets 0.08% 0.10% 0.07% 0.40% 0.45% Portfolio Turnover Rate 7% 19% 10% 12% 54% TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.84 $ 8.24 $ 9.20 $ 10.20 $ 10.24 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.22 0.17 0.14 0.11 0.13 Net Gains (Losses) on Securities (Realized and Unrealized) 2.93 2.59 (0.98) (1.00) (0.12) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.15 2.76 (0.84) (0.89) 0.01 ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Net Investment Income (0.36) (0.16) (0.12) (0.11) (0.05) Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.36) (0.16) (0.12) (0.11) (0.05) ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period $ 13.63 $ 10.84 $ 8.24 $ 9.20 $ 10.20 =========== =========== =========== =========== =========== Total Return 29.69% 34.20% (9.29)% (8.83)% 0.04% ----------- ----------- ----------- ----------- ----------- Net Assets, End of Period (thousands) $ 1,082,275 $ 675,142 $ 405,917 $ 288,440 $ 111,350 Ratio of Expenses to Average Net Assets 0.65% 0.66% 0.68% 0.76% 0.81% Ratio of Net Investment Income to Average Net Assets 1.91% 2.08% 1.84% 1.91% 1.86% Portfolio Turnover Rate 7% 25% 8% 4% 6%
See accompanying Notes to Financial Statements. 65 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company. The Fund offers thirty-six portfolios, five of which (the "Portfolios") are included in this report. The remaining portfolios are presented in separate reports. The Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S. Equity Portfolio (the "Feeder Funds") invest all of their assets in The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (each, a "Series"), respectively, each a corresponding series or "master fund" of The DFA Investment Trust Company. At November 30, 2004, the Feeder Funds owned 70% and 100%, respectively, of the outstanding shares of their respective Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. Tax-Managed U.S. Small Cap Value Portfolio, Tax-Managed U.S. Small Cap Portfolio and Tax-Managed DFA International Value Portfolio are organized as stand-alone registered investment companies. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operation during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by Tax-Managed U.S. Small Cap Value Portfolio and Tax-Managed U.S Small Cap Portfolio 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. Securities held by these portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, these Portfolios value the securities at the mean between the quoted bid and asked prices. Securities held by Tax-Managed DFA International Value Portfolio 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, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Directors. The Tax-Managed DFA International Value Portfolio (the "International Portfolio") will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset value of the International Portfolio is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Portfolio prices its shares at the close of the NYSE, the International Portfolio will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Portfolio's foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the 66 Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Fund utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of the International Portfolio. When the International Portfolio uses fair value pricing, the values assigned to the International Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. For the Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S. Equity Portfolio, the investment reflects their proportionate interest in the net assets of their respective Series. 2. FOREIGN CURRENCY: Securities and other assets and liabilities of the Tax-Managed DFA International Value Portfolio whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. 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 Tax-Managed DFA International Value Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of interest, dividends and foreign withholding taxes recorded on the books of the Tax-Managed DFA International Value Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors, generally based on average net assets. The Feeder Funds record, on a daily basis, their respective share of income and expenses on their investment in their respective Series, 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 are allocated pro-rata among their investors at the time of such determination. The Tax-Managed DFA International Value Portfolio may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The portfolio accrues such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital abroad. 67 C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or "the Advisor") provides investment advisory services to all Portfolios except the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board of Directors, and other administrative services. For the year ended November 30, 2004, the Portfolios' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: Tax-Managed U.S. Small Cap Value Portfolio 0.50 of 1% Tax Managed U.S. Small Cap Portfolio 0.50 of 1% Tax Managed DFA International Value Portfolio 0.50 of 1%
For the year ended November 30, 2004, the Feeder Funds accrued and paid monthly to the Advisor an administration fee based on an effective annual rate of 0.15 of 1% of average daily net assets. For the Tax-Managed U.S. Equity Portfolio, the Advisor has contractually agreed to waive its administration fee and assume the expenses of the Portfolio (up to the amount of fees paid to the Advisor based on the Portfolio's assets invested in its master fund) to the extent necessary to reduce the Portfolio's expenses when its total operating expenses exceed 0.25% of the average net assets of the Portfolio on an annualized basis. At any time that the annualized expenses of the Tax-Managed U.S. Equity Portfolio are less than 0.25% of the Portfolio's average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or any expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's annualized expenses to exceed 0.25% of its average net assets. The Tax-Managed U.S. Equity Portfolio is not obligated to reimburse the Advisor for fees waived or expenses assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. The expense waiver will remain in effect for a period of one year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At November 30, 2004, approximately $458,000 of previously waived fees were subject to future reimbursement to the Advisor over various periods not exceeding November 30, 2007. Certain officers of the Fund are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At November 30, 2004, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities as follows: Tax-Managed U.S. Marketwide Value Portfolio $ 15,707 Tax-Managed U.S. Equity Portfolio 7,804 Tax-Managed U.S. Small Cap Value Portfolio 29,889 Tax-Managed U.S. Small Cap Portfolio 13,237 Tax-Managed DFA International Value Portfolio 14,145
E. PURCHASES AND SALES OF SECURITIES: For the year ended November 30, 2004, the Portfolios made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
OTHER INVESTMENT SECURITIES ----------------------- PURCHASES SALES ---------- ---------- Tax-Managed U.S. Small Cap Value Portfolio $ 501,384 $ 370,826 Tax-Managed U.S. Small Cap Portfolio 184,840 57,979 Tax-Managed DFA International Value Portfolio 268,363 57,529
There were no purchases or sales of U.S. Government Securities during the year ended November 30, 2004. 68 F. FEDERAL INCOME TAXES: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in-capital or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of November 30, 2004, primarily attributable to realized net foreign currency gains/losses and net realized gains on securities considered to be "passive foreign investment companies", were reclassified to the following accounts (amounts in thousands):
INCREASE INCREASE (DECREASE) (DECREASE) INCREASE UNDISTRIBUTED UNDISTRIBUTED (DECREASE) NET INVESTMENT NET REALIZED PAID-IN CAPITAL INCOME GAINS/LOSSES --------------- -------------- ------------- Tax-Managed DFA International Value Portfolio -- $ (156) $ 156
These reclassifications had no effect on net assets or net asset value per share. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAIN TOTAL ------------- ------------ -------- Tax-Managed U.S. Marketwide Value Portfolio 2004 $ 7,026 -- $ 7,026 2003 1,935 -- 1,935 Tax-Managed U.S. Equity Portfolio 2004 5,216 -- 5,216 2003 1,091 -- 1,091 Tax-Managed U.S. Small Cap Value Portfolio 2004 7,014 -- 7,014 2003 1,454 -- 1,454 Tax-Managed U.S. Small Cap Portfolio 2004 552 -- 552 2003 344 -- 344 Tax-Managed DFA International Value Portfolio 2004 24,542 -- 24,542 2003 7,505 -- 7,505
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. 69 As of November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/ NET INVESTMENT LONG-TERM LOSS (ACCUMULATED) INCOME CAPITAL GAINS CARRYFORWARD LOSS) -------------- ------------- ------------ ------------- Tax-Managed U.S. Marketwide Value Portfolio $ 3,444 -- $ (180,882) $ (177,438) Tax-Managed U.S. Equity Portfolio 3,310 -- (35,393) (32,083) Tax-Managed U.S. Small Cap Value Portfolio 3,703 $ 34,361 -- 38,064 Tax-Managed U.S. Small Cap Portfolio 471 -- (87,376) (86,905) Tax-Managed DFA International Value Portfolio 6,385 -- (20,973) (14,588)
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. At November 30, 2004, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amount in thousands):
EXPIRES ON NOVEMBER 30, --------------------------------------- 2008 2009 2010 2011 TOTAL -------- -------- --------- -------- --------- Tax-Managed U.S. Marketwide Value Portfolio $ 11,968 $ 19,886 $ 133,556 $ 15,472 $ 180,882 Tax-Managed U.S. Equity Portfolio -- -- 22,901 12,492 35,393 Tax-Managed U.S. Small Cap Portfolio -- -- 52,168 35,208 87,376 Tax-Managed DFA International Value Portfolio -- 1,701 19,272 -- 20,973
During the year ended November 30, 2004, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes in the following (amounts in thousands): Tax-Managed U.S. Marketwide Value Portfolio $ 1,006 Tax-Managed U.S. Equity Portfolio 611 Tax-Managed U.S. Small Cap Value Portfolio 118,434 Tax-Managed U.S. Small Cap Portfolio 19,643 Tax-Managed DFA International Value Portfolio 3,566
Certain of the investments held by the Tax-Managed DFA International Value Portfolio are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. At November 30, 2004, the Portfolio had unrealized appreciation (depreciation) (mark to market) of $4,570,262 and $148,925 of realized gains on the sale of passive foreign investment companies, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. At November 30, 2004, the total cost of securities and net realized gains or losses on securities sold for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- Tax-Managed U.S. Marketwide Value Portfolio $ 861,609 $ 377,898 $ (42,073) $ 335,825 Tax-Managed U.S. Equity Portfolio 524,722 108,966 (14,739) 94,227 Tax-Managed U.S. Small Cap Value Portfolio 1,431,341 816,279 (54,925) 761,354 Tax-Managed U.S. Small Cap Portfolio 657,933 395,536 (29,258) 366,278 Tax-Managed DFA International Value Portfolio 810,142 305,112 (12,854) 292,258
70 G. FINANCIAL INSTRUMENTS: In accordance with the Portfolios' investment objectives and policies, the Portfolios 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 Portfolios may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty 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 with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on November 30, 2004. 2. 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 Portfolios may be inhibited. H. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 28, 2005. For the year ended November 30, 2004, borrowings under the line were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- Tax-Managed Small Cap Value Portfolio 1.75% $ 106,000 3 $ 15 $ 106,000 Tax-Managed Small Cap Portfolio 1.75% 60,000 3 9 60,000
The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2005. There were no borrowings under the line of credit with the international custodian bank during the year ended November 30, 2004. 71 I. COMPONENTS OF NET ASSETS: At November 30, 2004, net assets consisted of (amounts in thousands):
TAX-MANAGED TAX-MANAGED TAX-MANAGED U.S. MARKETWIDE U.S. EQUITY U.S. SMALL CAP VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO --------------- ------------ --------------- Paid-In Capital $ 1,038,849 $ 556,791 $ 1,279,484 Accumulated Net Investment Income (Loss) 3,436 3,263 3,678 Accumulated Net Realized Gain (Loss) (181,416) (35,819) 33,287 Unrealized Appreciation (Depreciation) of Investment Securities 336,358 94,653 762,269 --------------- ------------ --------------- Total Net Assets $ 1,197,227 $ 618,888 $ 2,078,718 =============== ============ =============== TAX-MANAGED TAX-MANAGED DFA VALUE U.S. SMALL CAP INTERNATIONAL PORTFOLIO PORTFOLIO -------------- -------------- Paid-In Capital $ 678,873 $ 804,490 Accumulated Net Investment Income (Loss) 460 2,107 Accumulated Net Realized Gain (Loss) (88,650) (21,294) Accumulated Net Realized Foreign Exchange Gain (Loss) -- (304) Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 367,550 297,149 Unrealized Net Foreign Exchange Gain (Loss) -- 127 -------------- -------------- Total Net Assets $ 958,233 $ 1,082,275 ============== ==============
J. SECURITIES LENDING: As of November 30, 2004, some of the Fund's portfolios had securities on loan to broker/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% 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, PNCBank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. The cash collateral received by each Portfolio from securities on loan is invested along with cash collateral from the other Portfolios in repurchase agreements collateralized by U.S. government securities. These investments are accounted for separately for each Portfolio. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. K. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 72 REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC. In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments (for Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Small Cap Value Portfolio and Tax-Managed U.S. Small Cap Portfolio) and the summary schedule of portfolio holdings (for Tax-Managed DFA International Value Portfolio), and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Small Cap Value Portfolio, Tax-Managed U.S. Small Cap Portfolio and Tax-Managed DFA International Value Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolios") at November 30, 2004, the results of each of their operations for the year then ended and the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2004 by correspondence with the custodians and transfer agent of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 14, 2005 73 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS [CHART] THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS. RUSSELL 3000 VALUE INDEX DECEMBER 14, 1998-NOVEMBER 30, 2004 GROWTH OF $10,000
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES RUSSELL 3000 VALUE INDEX 12/14/98 $ 10,000 $ 10,000 12/31/98 $ 10,310 $ 10,636 1/31/99 $ 10,380 $ 10,695 2/28/99 $ 10,011 $ 10,500 3/31/99 $ 10,371 $ 10,695 4/30/99 $ 11,611 $ 11,693 5/31/99 $ 11,791 $ 11,598 6/30/99 $ 12,081 $ 11,941 7/31/99 $ 11,621 $ 11,596 8/31/99 $ 11,221 $ 11,167 9/30/99 $ 10,641 $ 10,789 10/31/99 $ 10,811 $ 11,349 11/30/99 $ 10,751 $ 11,269 12/31/99 $ 10,921 $ 11,342 1/31/2000 $ 10,291 $ 10,977 2/29/2000 $ 9,570 $ 10,261 3/31/2000 $ 10,701 $ 11,422 4/30/2000 $ 10,981 $ 11,302 5/31/2000 $ 10,861 $ 11,402 6/30/2000 $ 10,191 $ 10,937 7/31/2000 $ 10,701 $ 11,090 8/31/2000 $ 11,350 $ 11,698 9/30/2000 $ 11,230 $ 11,794 10/31/2000 $ 11,560 $ 12,062 11/30/2000 $ 11,080 $ 11,627 12/31/2000 $ 12,141 $ 12,251 1/31/2001 $ 13,021 $ 12,317 2/28/2001 $ 12,861 $ 11,997 3/31/2001 $ 12,471 $ 11,589 4/30/2001 $ 13,230 $ 12,154 5/31/2001 $ 13,540 $ 12,430 6/30/2001 $ 13,390 $ 12,209 7/31/2001 $ 13,210 $ 12,166 8/31/2001 $ 12,431 $ 11,709 9/30/2001 $ 10,901 $ 10,852 10/31/2001 $ 10,961 $ 10,783 11/30/2001 $ 12,001 $ 11,421 12/31/2001 $ 12,370 $ 11,720 1/31/2002 $ 11,940 $ 11,647 2/28/2002 $ 11,770 $ 11,669 3/31/2002 $ 12,271 $ 12,246 4/30/2002 $ 11,801 $ 11,891 5/31/2002 $ 11,651 $ 11,913 6/30/2002 $ 10,510 $ 11,263 7/31/2002 $ 9,210 $ 10,169 8/31/2002 $ 9,360 $ 10,237 9/30/2002 $ 8,500 $ 9,127 10/31/2002 $ 8,950 $ 9,764 11/30/2002 $ 9,570 $ 10,390 12/31/2002 $ 9,020 $ 9,939 1/31/2003 $ 8,829 $ 9,695 2/28/2003 $ 8,589 $ 9,432 3/31/2003 $ 8,589 $ 9,454 4/30/2003 $ 9,399 $ 10,291 5/31/2003 $ 10,189 $ 10,982 6/30/2003 $ 10,278 $ 11,123 7/31/2003 $ 10,608 $ 11,316 8/31/2003 $ 11,028 $ 11,511 9/30/2003 $ 10,689 $ 11,397 10/31/2003 $ 11,448 $ 12,112 11/30/2003 $ 11,758 $ 12,299 12/31/2003 $ 12,368 $ 13,033 1/31/2004 $ 12,638 $ 13,279 2/29/2004 $ 12,918 $ 13,562 3/31/2004 $ 12,898 $ 13,467 4/30/2004 $ 12,668 $ 13,109 5/31/2004 $ 12,768 $ 13,244 6/30/2004 $ 13,168 $ 13,584 7/31/2004 $ 12,708 $ 13,356 8/31/2004 $ 12,638 $ 13,541 9/30/2004 $ 13,098 $ 13,778 10/31/2004 $ 13,278 $ 14,006 11/30/2004 $ 14,168 $ 14,759
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 12/14/1998 ------------------------------------------------- 20.49% 5.68% 6.02%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 3000 Value Index is courtesy of Russell Analytic Services. [CHART] THE TAX-MANAGED U.S. EQUITY SERIES VS. WILSHIRE 5000 INDEX SEPTEMBER 25, 2001-NOVEMBER 30, 2004 GROWTH OF $10,000
THE TAX-MANAGED U.S. EQUITY SERIES WILSHIRE 5000 INDEX 9/25/2001 $ 10,000 $ 10,000 9/30/2001 $ 10,240 $ 10,278 10/31/2001 $ 10,780 $ 10,539 11/30/2001 $ 11,780 $ 11,346 12/31/2001 $ 11,970 $ 11,550 1/31/2002 $ 11,710 $ 11,407 2/28/2002 $ 11,300 $ 11,172 3/31/2002 $ 11,880 $ 11,661 4/30/2002 $ 11,210 $ 11,092 5/31/2002 $ 10,970 $ 10,961 6/30/2002 $ 10,030 $ 10,190 7/31/2002 $ 9,100 $ 9,368 8/31/2002 $ 9,190 $ 9,423 9/30/2002 $ 8,320 $ 8,478 10/31/2002 $ 8,960 $ 9,127 11/30/2002 $ 9,409 $ 9,677 12/31/2002 $ 8,869 $ 9,141 1/31/2003 $ 8,640 $ 8,911 2/28/2003 $ 8,500 $ 8,760 3/31/2003 $ 8,590 $ 8,859 4/30/2003 $ 9,279 $ 9,585 5/31/2003 $ 9,830 $ 10,171 6/30/2003 $ 9,950 $ 10,322 7/31/2003 $ 10,260 $ 10,570 8/31/2003 $ 10,550 $ 10,824 9/30/2003 $ 10,330 $ 10,704 10/31/2003 $ 11,010 $ 11,358 11/30/2003 $ 11,150 $ 11,517 12/31/2003 $ 11,600 $ 12,034 1/31/2004 $ 11,830 $ 12,302 2/29/2004 $ 12,010 $ 12,482 3/31/2004 $ 11,860 $ 12,349 4/30/2004 $ 11,670 $ 12,085 5/31/2004 $ 11,850 $ 12,252 6/30/2004 $ 12,060 $ 12,507 7/31/2004 $ 11,580 $ 12,029 8/31/2004 $ 11,590 $ 12,069 9/30/2004 $ 11,790 $ 12,284 10/31/2004 $ 11,960 $ 12,494 11/30/2004 $ 12,510 $ 13,079
AVERAGE ANNUAL ONE FROM TOTAL RETURN YEAR 9/25/2001 ---------------------------------------- 12.20% 7.29%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Wilshire 5000 Index courtesy of Wilshire Associates Incorporated. 74 DISCLOSURE OF FUND EXPENSES The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholders reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated and may be different from the expense ratio in the Financial Highlights which is for the year ended November 30, 2004. FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/04 11/30/04 RATIO PERIOD* ------------ ------------ ------------ ------------ THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,109.60 0.25% $ 1.32 Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26 THE TAX-MANAGED U.S. EQUITY SERIES Actual Fund Return $ 1,000.00 $ 1,055.70 0.09% $ 0.46 Hypothetical 5% Return $ 1,000.00 $ 1,024.55 0.09% $ 0.46
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 75 DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete schedule of investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its first Form N-Q with the SEC on October 27, 2004. It is available upon request, without charge, by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a schedule of investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES Financials 24.1% Consumer Discretionary 22.8 Energy 11.3 Industrials 10.7 Information Technology 9.4 Materials 6.5 Telecommunication Services 5.9 Health Care 4.3 Consumer Staples 4.1 Utilities 0.5 Other 0.3 REITS 0.1 ----- 100.0% =====
THE TAX-MANAGED U.S. EQUITY SERIES Financials 18.6% Information Technology 17.1 Consumer Discretionary 14.2 Health Care 13.4 Industrials 11.2 Consumer Staples 9.3 Energy 7.0 Materials 3.6 Utilities 2.8 Telecommunication Services 2.5 Other 0.2 REITS 0.1 ----- 100.0% =====
76 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ --------------- --------------- COMMON STOCKS -- (90.3%) 1st Source Corp. 9,700 $ 254,625 21st Century Insurance Group 37,700 489,346 * 3Com Corp. 193,900 860,916 * 4Kids Entertainment, Inc. 1,500 30,645 # A.G. Edwards, Inc. 48,600 1,900,260 * AAR Corp. 9,900 135,333 * ABX Air, Inc. 19,300 151,698 * Accelrys, Inc. 15,800 98,908 * ACE Cash Express, Inc. 400 10,670 * Aclara BioSciences, Inc. 9,400 39,292 * Acme Communications, Inc. 300 1,764 * ACT Manufacturing, Inc. 100 0 * Actel Corp. 7,300 125,268 # Action Performance Companies, Inc. 6,700 72,293 * ActivCard Corp. 7,200 57,312 * Active Power, Inc. 11,300 51,415 * Activision, Inc. 48,150 756,918 * Adaptec, Inc. 36,500 284,700 * ADC Telecommunications, Inc. 173,900 408,665 * ADE Corp. 2,600 47,996 * Adept Technology, Inc. 700 1,155 * Administaff, Inc. 30,800 458,920 * Advanced Digital Information Corp. 23,300 213,894 * Advanced Energy Industries, Inc. 1,600 13,680 Advanced Marketing Services, Inc. 7,400 79,550 * Advanced Micro Devices, Inc. 103,800 2,208,864 * Advanced Power Technology, Inc. 1,200 9,012 Advanta Corp. Class A 14,400 322,272 Advanta Corp. Class B Non-Voting 15,000 358,200 * Advent Software, Inc. 10,700 214,107 * Aehr Test Systems 500 1,090 * AEP Industries, Inc. 8,300 90,802 * Aeroflex, Inc. 9,100 111,475 * Aether Systems, Inc. 13,900 51,708 Aetna, Inc. 91,900 10,891,069 * Aetrium, Inc. 100 360 * Aftermarket Technology Corp. 1,500 26,130 *# AGCO Corp. 47,700 1,039,383 * Agile Software Corp. 2,500 20,900 Agilysys, Inc. 22,600 373,578 * Air Methods Corp. 1,900 13,813 Airgas, Inc. 78,300 2,081,214 Alamo Group, Inc. 3,800 79,420 *# Alaska Air Group, Inc. 16,700 521,541 Albany International Corp. Class A 17,000 568,650 * Albany Molecular Research, Inc. 4,900 52,528 Albemarle Corp. 18,200 725,088 # Albertson's, Inc. 294,200 7,443,260 Alcoa, Inc. 2,552 86,717 * Alderwoods Group, Inc. 5,100 53,958 Alexander & Baldwin, Inc. 30,900 1,307,379 * Alexion Pharmaceuticals, Inc. 6,600 136,488 Alfa Corp. 30,557 462,939 * Align Technology, Inc. 1,000 10,570 * All American Semiconductor, Inc. 1,300 7,930 * Allegheny Corp. 2,265 640,021 Allegheny Technologies, Inc. 4,200 92,400 * Alliance Semiconductor Corp. 5,800 $ 20,300 * Allied Defense Group, Inc. 3,000 61,440 * Allied Healthcare International, Inc. 1,200 6,456 * Allied Healthcare Products, Inc. 400 2,476 * Allied Holdings, Inc. 1,100 2,821 *# Allied Waste Industries, Inc. 95,200 865,368 * Allmerica Financial Corp. 16,000 520,800 * Alloy, Inc. 1,200 5,400 * Allscripts Healthcare Solutions, Inc. 22,400 220,640 Allstate Corp. 573,700 28,971,850 Alltel Corp. 500 28,345 Alpharma, Inc. Class A 33,800 561,418 AMBAC Financial Group, Inc. 58,200 4,733,406 Ambassadors Group, Inc. 700 24,346 Ambassadors International, Inc. 4,000 54,960 * AMC Entertainment, Inc. 9,700 187,501 Amerada Hess Corp. 92,600 8,227,510 * America Services Group, Inc. 600 15,030 *# America West Holdings Corp. Class B 200 1,162 American Axle & Manufacturing Holdings, Inc. 50,300 1,466,748 # American Capital Strategies, Ltd. 18,023 575,655 * American Dental Partners, Inc. 1,800 32,958 American Financial Group, Inc. 73,500 2,313,780 # American Greetings Corp. Class A 34,700 923,714 * American Independence Corp. 1,266 18,711 # American Italian Pasta Co. 9,000 173,340 * American Medical Security Group, Inc. 7,200 232,776 American National Insurance Co. 24,200 2,459,930 American Pacific Corp. 500 4,175 * American Physicians Capital, Inc. 4,000 133,240 American Power Conversion Corp. 3,000 63,420 * American Retirement Corp. 9,800 77,910 American Shared Hospital Services 600 3,162 American Software, Inc. Class A 4,500 26,775 * American Superconductor Corp. 3,800 52,615 * American Technical Ceramics Corp. 500 5,005 *# American Tower Corp. 78,900 1,430,457 * American West Bancorporation 666 13,986 * AmeriCredit Corp. 32,000 670,080 * AmeriServe Financial, Inc. 200 1,040 # AmerisourceBergen Corp. 136,372 8,037,766 Ameron International Corp. 4,000 151,920 # AmerUs Group Co. 28,300 1,233,031 * AMN Healthcare Services, Inc. 7,300 116,800 *# AMR Corp. 7,500 67,725 Amrep Corp. 500 8,895 AmSouth Bancorporation 2,500 64,825 Anadarko Petroleum Corp. 323,234 22,497,086 *# Anadigics, Inc. 1,800 6,066 * Analex Corp. 200 810 Analogic Corp. 9,933 450,164 * Analysts International Corp. 200 670 * Anaren, Inc. 8,700 116,876 * Andrew Corp. 71,873 1,020,597 # Anixter International, Inc. 400 15,092
77
SHARES VALUE+ --------------- --------------- * AnnTaylor Stores Corp. 39,375 $ 863,887 * AnswerThink, Inc. 15,200 68,552 *# Anthem, Inc. 52,339 5,303,511 # AON Corp. 139,900 2,954,688 * APA Enterprises, Inc. 5,200 11,232 Apache Corp. 228,346 12,344,385 Apogee Enterprises, Inc. 9,600 139,968 * Apple Computer, Inc. 155,000 10,392,750 * Applica, Inc. 4,600 23,230 * Applied Films Corp. 5,400 119,664 Applied Industrial Technologies, Inc. 11,700 487,305 * Applied Innovation, Inc. 1,300 4,654 * Applied Micro Circuits Corp. 127,400 468,832 Applied Signal Technologies, Inc. 2,400 91,104 * Apropos Technology, Inc. 7,000 20,930 Aptargroup, Inc. 6,500 341,575 * aQuantive, Inc. 13,000 112,970 * Arch Capital Group, Ltd. 3,900 151,905 Arch Chemicals, Inc. 7,500 219,000 # Arch Coal, Inc. 18,995 725,609 Archer-Daniels-Midland Co. 548,965 11,638,058 *# Arena Pharmaceuticals, Inc. 400 2,240 * Argonaut Group, Inc. 2,050 40,754 * Ariba, Inc. 5,350 88,275 Arkansas Best Corp. 11,000 474,320 * Armor Holdings, Inc. 10,700 461,919 * Arqule, Inc. 3,100 17,174 * Arris Group, Inc. 59,400 337,986 * Arrow Electronics, Inc. 35,200 863,456 * Artesyn Technologies, Inc. 30,500 290,360 ArvinMeritor, Inc. 200 4,390 * Ascential Software Corp. 40,525 553,977 Ashland, Inc. 67,600 3,998,540 * Ashworth, Inc. 4,000 36,200 * Aspect Communications Corp. 8,400 91,140 * Aspect Medical Systems, Inc. 1,600 39,040 * Aspen Technology, Inc. 5,900 34,043 Associated Banc-Corp 1,885 62,639 * Astec Industries, Inc. 10,800 179,712 # Astoria Financial Corp. 5,400 224,100 Astro-Med, Inc. 1,300 11,740 *# AstroPower, Inc. 5,400 51 AT&T Corp. 499,000 9,131,700 * Atmel Corp. 27,900 99,045 * ATP Oil & Gas Corp. 6,900 98,325 Atrion Corp. 200 9,044 * Atwood Oceanics, Inc. 1,600 83,888 * Audiovox Corp. Class A 23,900 357,305 * August Technology Corp. 8,600 72,670 * autobytel.com, Inc. 7,300 53,144 * AutoNation, Inc. 324,600 6,011,592 * Avatar Holdings, Inc. 1,700 80,359 * Aviall, Inc. 5,600 127,344 *# Avici Systems, Inc. 200 1,430 *# Avid Technology, Inc. 4,700 268,229 * Avigen, Inc. 100 345 * Avnet, Inc. 37,900 697,360 *# Avocent Corp. 20,400 773,772 AVX Corp. 176,800 2,225,912 * Aware, Inc. 21,800 107,038 * Axcelis Technologies, Inc. 51,400 375,220 * Axsys Technologies, Inc. 450 $ 8,136 * Aztar Corp. 30,900 1,045,038 * AZZ, Inc. 3,600 54,900 Baldwin & Lyons, Inc. Class B 1,500 39,000 * Bancinsurance Corp. 1,800 13,356 Bandag, Inc. 4,500 224,415 Bandag, Inc. Class A 2,600 118,508 Bank of America Corp. 28,000 1,295,560 Bank of Hawaii Corp. 64,600 3,136,330 # Banknorth Group, Inc. 3,000 107,910 * BankUnited Financial Corp. Class A 16,500 507,210 Banner Corp. 5,966 196,997 Banta Corp. 13,000 578,500 * Barnes & Noble, Inc. 28,700 777,196 Bassett Furniture Industries, Inc. 3,579 70,542 Bay View Capital Corp. 1,690 29,068 * BayCorp Holdings, Ltd. 34 430 BB&T Corp. 437 18,551 Bear Stearns Companies, Inc. 78,522 7,662,177 * BearingPoint, Inc. 52,000 452,400 # Beazer Homes USA, Inc. 10,001 1,240,124 # Belden CDT, Inc. 18,550 430,174 * Bell Industries, Inc. 2,700 7,857 * Bell Microproducts, Inc. 9,600 82,080 Belo Corp. Class A 109,700 2,766,634 * Benchmark Electronics, Inc. 12,600 441,630 Berkley (W.R.) Corp. 23,625 1,071,394 * Beverly Enterprises, Inc. 26,800 232,356 *# Big Lots, Inc. 84,200 976,720 * Bio-Logic Systems Corp. 300 2,448 * BioMarin Pharmaceutical, Inc. 15,200 81,016 * Bio-Rad Laboratories, Inc. Class A 4,000 226,800 * Biosource International, Inc. 2,600 17,108 *# BJ's Wholesale Club, Inc. 500 14,845 Black Box Corp. 18,500 789,580 Blair Corp. 4,600 161,000 # Blockbuster, Inc. Class A 47,000 398,560 * Blonder Tongue Laboratories, Inc. 500 2,375 * Blue Martini Software, Inc. 2,800 7,781 * Bluegreen Corp. 7,800 124,020 Bob Evans Farms, Inc. 20,000 505,000 * Boca Resorts, Inc. 35,200 842,688 *# Bogen Communications International, Inc. 700 3,447 * Bombay Co., Inc. 9,900 68,508 Bon-Ton Stores, Inc. 4,800 67,200 Books-A-Million, Inc. 5,000 46,100 # Borders Group, Inc. 73,400 1,672,052 BorgWarner, Inc. 46,200 2,312,772 * Borland Software Corp. 9,700 113,393 * Boston Communications Group, Inc. 5,300 47,170 * Bottomline Technologies, Inc. 1,000 11,700 # Bowater, Inc. 38,100 1,543,431 Bowne & Co., Inc. 29,300 451,220 Boyd Gaming Corp. 42,300 1,554,948 * Boyds Collection, Ltd. 8,600 30,186 * Brigham Exploration Co. 1,100 10,285 * Brightpoint, Inc. 2,250 42,997 * Brillian Corp. 1,475 4,543 *# Broadcom Corp. 42,400 1,378,848 Brookline Bancorp, Inc. 30,250 490,050
78
SHARES VALUE+ --------------- --------------- * Brookstone, Inc. 3,375 $ 61,762 * Brooktrout, Inc. 3,300 40,458 Brown Shoe Company, Inc. 10,800 308,016 * Bruker BioSciences Corp. 20,400 94,044 Brunswick Corp. 51,400 2,509,348 * Brush Engineered Materials, Inc. 3,000 58,500 * BTU International, Inc. 500 1,490 * Buca, Inc. 100 600 * Buckeye Technologies, Inc. 19,400 240,366 Building Materials Holding Corp. 8,100 295,245 Burlington Coat Factory Warehouse Corp. 51,900 1,209,789 Burlington Northern Santa Fe Corp. 311,900 14,047,976 Burlington Resources, Inc. 321,400 14,916,174 C&D Technologies, Inc. 15,200 263,416 Cabot Corp. 27,400 1,031,610 Cabot Oil & Gas Corp. 17,100 827,298 * Cache, Inc. 1,050 17,335 * Caesars Entertainment, Inc. 247,700 4,656,760 * CalAmp Corp. 1,600 15,312 Calgon Carbon Corp. 32,900 307,615 * California Coastal Communities, Inc. 700 15,603 * Caliper Life Sciences, Inc. 14,800 103,452 Callaway Golf Co. 41,000 482,160 * Callon Petroleum Co. 11,000 154,110 # Cal-Maine Foods, Inc. 16 212 Cambrex Corp. 16,400 406,720 * Candela Corp. 5,400 52,812 * Capital Pacific Holdings, Inc. 5,700 22,657 * Capital Senior Living Corp. 9,600 49,824 * Captaris, Inc. 10,800 53,028 * Caraustar Industries, Inc. 24,100 387,769 * Cardiac Sciences, Inc. 2,100 4,452 * CarMax, Inc. 21,729 605,153 Carpenter Technology Corp. 14,100 824,145 * Carreker Corp. 2,200 18,568 * Carriage Services, Inc. 1,700 8,551 * Carrizo Oil & Gas, Inc. 1,700 16,439 Cascade Corp. 3,500 112,315 * Casella Waste Systems, Inc. Class A 6,400 96,704 Casey's General Stores, Inc. 24,500 474,565 Cash America International, Inc. 19,100 489,915 * Castle (A.M.) & Co. 100 1,272 Castle Energy Corp. 1,700 21,420 *# Casual Male Retail Group, Inc. 20,000 86,400 * Catalytica Energy Systems, Inc. 6,900 14,490 Cato Corp. Class A 400 10,672 * Cavalier Homes, Inc. 5,800 32,074 * Cavco Industries, Inc. 3,025 121,907 CBRL Group, Inc. 60,100 2,450,277 CDI Corp. 9,800 189,336 * Celadon Group, Inc. 2,000 42,800 * Celestica, Inc. 562 8,531 * Cell Genesys, Inc. 3,700 27,158 * CellStar Corp. 5,000 18,250 Cendant Corp. 618,879 14,029,987 # Centex Corp. 121,000 6,348,870 * Centillium Communications, Inc. 6,300 15,876 * Central Garden & Pet Co. 7,100 274,770 Central Parking Corp. 30,900 469,062 * Century Aluminum Co. 24,600 630,252 * Century Business Services, Inc. 42,800 $ 184,040 CenturyTel, Inc. 3,100 102,052 * Cenveo, Inc. 12,000 38,280 * Ceradyne, Inc. 1,500 74,100 * Ceres Group, Inc. 1,900 9,500 CFS Bancorp, Inc. 3,023 41,657 * Chalone Wine Group, Ltd. 700 8,282 *# Champion Enterprises, Inc. 8,800 101,024 * Channell Commercial Corp. 700 5,250 * Charles and Colvard, Ltd. 1,000 9,539 * Charlotte Russe Holding, Inc. 200 2,330 *# Charming Shoppes, Inc. 50,800 474,980 *# Chart Industries, Inc. 3 141 * Checkers Drive-In Restaurants, Inc. 3,100 38,378 * CheckFree Corp. 21,400 792,870 * Checkpoint Systems, Inc. 24,200 446,732 Chemed Corp. 1,200 74,448 Chemical Financial Corp. 2,100 87,990 Chesapeake Corp. 9,000 242,910 # Chesapeake Energy Corp. 143,100 2,575,800 * Chiquita Brands International, Inc. 900 17,802 * Chromcraft Revington, Inc. 700 8,757 * Chronimed, Inc. 3,100 20,429 Chubb Corp. 136,900 10,433,149 * Ciber, Inc. 32,200 300,426 * CIENA Corp. 15,900 40,545 CIGNA Corp. 69,000 4,831,380 * Cimarex Energy Co. 6,111 245,540 Cincinnati Financial Corp. 143,745 6,439,776 * Ciphergen Biosystems, Inc. 6,900 22,218 * Ciprico, Inc. 400 1,660 CIRCOR International, Inc. 8,550 178,267 Circuit City Stores, Inc. 171,800 2,678,362 Citigroup, Inc. 45,069 2,016,838 # Citizens Communications Co. 133,500 1,909,050 Citizens South Banking Corp. 1,842 24,130 City Holding Co. 6,500 239,980 * Clark, Inc. 9,200 153,180 *# Clarus Corp. 8,800 76,340 * Clayton Williams Energy, Inc. 6,100 139,629 * Clean Harbors, Inc. 3,200 40,096 Clear Channel Communications, Inc. 576,100 19,403,048 # Cleveland-Cliffs, Inc. 4,300 416,670 * CMS Energy Corp. 25,775 262,905 * CNA Financial Corp. 70,500 1,840,755 * CNA Surety Corp. 14,300 186,758 *# CNET Networks, Inc. 40,100 373,732 Coachmen Industries, Inc. 8,600 138,202 * Cobra Electronics Corp. 1,200 9,720 Coca-Cola Enterprises, Inc. 455,800 9,480,640 * Coherent, Inc. 13,100 378,459 Cohu, Inc. 2,981 49,962 * Coldwater Creek, Inc. 1,350 35,370 * Collins & Aikman Corp. 16,500 58,575 Columbia Banking System, Inc. 7,623 193,548 * Comarco, Inc. 8,700 70,470 * Comcast Corp. Class A 461,469 13,862,529 * Comcast Corp. Special Class A Non-Voting 322,500 9,562,125 # Comerica, Inc. 72,600 4,464,900 * Comfort Systems USA, Inc. 12,700 91,440
79
SHARES VALUE+ --------------- --------------- Commerce Bancshares, Inc. 1,701 $ 83,196 Commerce Group, Inc. 19,100 1,134,349 # Commercial Capital Bancorp, Inc. 6,669 159,122 Commercial Federal Corp. 34,300 999,159 Commercial Metals Co. 18,600 843,324 * Commonwealth Industries, Inc. 2,900 37,961 * CommScope, Inc. 21,500 415,380 Community Bank System, Inc. 11,400 315,780 * Community Health Systems, Inc. 700 19,355 Community West Bancshares 400 4,220 # Compass Bancshares, Inc. 2,700 125,712 * Compex Technologies, Inc. 2,000 9,800 * CompuCredit Corp. 36,500 874,905 *# Compudyne Corp. 1,000 7,101 Computer Associates International, Inc. 176,400 5,385,492 * Computer Horizons Corp. 9,600 36,480 * Computer Network Technology Corp. 3,200 18,240 *# Computer Sciences Corp. 38,200 2,066,620 * Computer Task Group, Inc. 5,600 20,384 * Compuware Corp. 151,500 874,155 * Comstock Resources, Inc. 13,700 297,427 * Comtech Telecommunications Corp. 2,700 84,996 * Comverse Technology, Inc. 237,100 5,043,117 * Concord Camera Corp. 9,900 26,136 * Conexant Systems, Inc. 41,810 83,202 * Conmed Corp. 14,650 424,410 ConocoPhillips 498,094 45,321,573 * Consolidated Graphics, Inc. 5,700 269,610 *# Constellation Brands, Inc. 19,300 862,710 *# Continental Airlines, Inc. 12,600 140,364 * Continental Materials Corp. 100 2,660 * Convera Corp. 8,800 41,008 * Convergys Corp. 33,800 502,606 # Cooper Tire & Rubber Co. 47,200 963,824 Coors (Adolph) Co. Class B 16,800 1,258,320 *# Copper Mountain Networks, Inc. 700 2,197 Corn Products International, Inc. 32,200 1,752,324 * Cornell Companies, Inc. 2,400 35,160 * Corning, Inc. 470,500 5,918,890 * Correctional Services Corp. 1,500 4,170 * Corrections Corporation of America 11,900 470,050 Corus Bankshares, Inc. 13,400 652,178 * Cosine Communications, Inc. 800 2,456 Countrywide Financial Corp. 424,098 14,084,295 * Covansys Corp. 21,000 282,660 * Covenant Transport, Inc. Class A 15,100 290,222 * COX Communications, Inc. 356,500 12,359,855 * Cox Radio, Inc. 15,000 238,500 * Credence Systems Corp. 2,500 19,100 * Credit Acceptance Corp. 35,400 876,150 *# Cree, Inc. 29,900 1,069,822 * Cross (A.T.) Co. Class A 1,100 5,236 * Cross Country Healthcare, Inc. 5,000 88,750 *# Crown Castle International Corp. 68,300 1,152,904 * Crown Holdings, Inc. 67,300 861,440 * Crown Media Holdings, Inc. 13,500 119,610 *# CryoLife, Inc. 1,100 7,832 CSS Industries, Inc. 2,550 81,931 CSX Corp. 191,300 7,294,269 CT Communications, Inc. 6,441 85,214 * CTI Molecular Imaging, Inc. 5,800 $ 77,604 CTS Corp. 22,300 297,928 Cubic Corp. 31,500 803,250 * Culp, Inc. 2,500 15,050 * Cumulus Media, Inc. Class A 15,600 238,368 * CuraGen Corp. 5,400 32,562 * Curative Health Services, Inc. 2,500 14,275 Curtiss-Wright Corp. Class B 1,272 74,183 Cutter & Buck, Inc. 3,700 55,056 * Cyberoptics Corp. 600 8,436 * Cybersource Corp. 6,500 45,890 *# Cypress Semiconductor Corp. 46,900 461,965 Cytec Industries, Inc. 13,500 656,235 D&E Communications, Inc. 3,300 43,230 D&K Healthcare Resources, Inc. 13,600 98,736 Dana Corp. 173,300 2,833,455 * Datalink Corp. 12,500 23,737 Datascope Corp. 5,617 225,186 * Datastream Systems, Inc. 3,900 23,010 * Dave & Busters, Inc. 3,900 72,930 * DaVita, Inc. 75,000 2,491,500 * Dawson Geophysical Co. 400 9,340 * Dean Foods Co. 34,300 1,086,281 *# Deckers Outdoor Corp. 1,900 82,688 Deere & Co. 2,500 179,325 * Delphax Technologies, Inc. 400 1,636 Delphi Financial Group, Inc. Class A 16,500 766,590 Delta Financial Corp. 300 3,030 * Denbury Resources, Inc. 24,100 697,695 *# Dendreon Corp. 6,400 62,784 * Department 56, Inc. 3,900 66,027 * Devcon International Corp. 300 4,650 Devon Energy Corp. 163,800 6,784,596 # Diamond Offshore Drilling, Inc. 80,300 3,008,038 * DiamondCluster International, Inc. 5,000 61,150 Diebold, Inc. 200 10,640 * Diedrich Coffee, Inc. 400 1,788 * Digi International, Inc. 4,300 66,177 * Digimarc Corp. 2,400 22,104 *# Digital Angel Corp. 5,900 37,701 * Digital Insight Corp. 7,900 128,967 * Digitas, Inc. 15,500 127,255 Dillards, Inc. Class A 73,900 1,860,802 Dime Community Bancshares 19,912 365,385 DIMON, Inc. 55,600 361,956 * Diodes, Inc. 3,000 74,610 * Discovery Partners International, Inc. 8,900 40,940 Disney (Walt) Co. 569,400 15,305,472 * Distributed Energy Systems Corp. 2,000 5,360 * Ditech Communications Corp. 13,600 214,336 * Dixie Group, Inc. 11,100 177,933 * Dollar Thrifty Automotive Group, Inc. 22,900 615,781 * Dominion Homes, Inc. 700 14,462 Dominion Resources, Inc. 1,194 78,171 * DoubleClick, Inc. 51,900 389,250 Dover Motorsports, Inc. 5,200 25,272 Downey Financial Corp. 21,200 1,224,088 * Drew Industries, Inc. 700 23,317 * Dril-Quip, Inc. 2,600 62,062 * drugstore.com, Inc. 26,300 85,475 * Ducommun, Inc. 1,000 25,350
80
SHARES VALUE+ --------------- --------------- * DuPont Photomasks, Inc. 600 $ 15,828 * Dura Automotive Systems, Inc. 5,500 50,050 * DUSA Pharmaceuticals, Inc. 10,100 134,027 * Dyax Corp. 15,200 120,536 * Dycom Industries, Inc. 21,399 623,567 * Dynamex, Inc. 700 14,084 *# Dynegy, Inc. 69,100 390,415 * E*TRADE Financial Corp. 212,600 2,946,636 * E.piphany, Inc. 4,600 20,792 # Eagle Materials, Inc. 19,681 1,542,400 Eagle Materials, Inc. Class B 9,015 681,534 # Eastman Chemical Co. 22,900 1,245,302 Eastman Kodak Co. 128,300 4,196,693 Eaton Corp. 3,200 215,680 * Edge Petroleum Corp. 2,800 42,840 * Edgewater Technology, Inc. 7,700 32,186 * eFunds Corp. 16,300 388,266 *# EGL, Inc. 12,800 431,872 Electro Rent Corp. 2,700 38,286 * Electro Scientific Industries, Inc. 7,500 145,650 * Electroglas, Inc. 200 652 Electronic Data Systems Corp. 375,700 8,434,465 * Electronics for Imaging, Inc. 24,000 401,520 * eLoyalty Corp. 900 4,527 * EMC Corp. 26,550 356,301 * EMCOR Group, Inc. 2,800 129,416 * EMCORE Corp. 2,400 6,384 * Emisphere Technologies, Inc. 6,000 18,402 * Emmis Communications Corp. Class A 18,800 347,612 * EMS Technologies, Inc. 9,700 152,193 * Emulex Corp. 6,400 90,496 * Encore Medical Corp. 7,100 44,694 * Encore Wire Corp. 7,050 94,999 Energen Corp. 11,300 653,818 * Energy Partners, Ltd. 11,500 222,755 * Enesco Group, Inc. 3,600 26,568 * EnPro Industries, Inc. 3,700 106,338 ENSCO International, Inc. 85,046 2,662,790 * Entercom Communications Corp. 10,500 378,210 * Entravision Communications Corp. 55,400 454,280 * Entrust, Inc. 66,800 249,164 # EOG Resources, Inc. 60,600 4,549,242 * ePlus, Inc. 2,400 30,312 *# ePresence, Inc. Escrow Shares 6,400 832 * ESCO Technologies, Inc. 5,700 417,240 * ESS Technology, Inc. 10,300 72,615 * Esterline Technologies Corp. 8,200 291,920 * Exar Corp. 15,900 222,282 * Exelixis, Inc. 32,600 292,422 * Exponent, Inc. 500 13,895 * Extreme Networks, Inc. 33,232 226,975 # F.N.B. Corp. 13,200 280,236 # Fair Isaac Corp. 12,922 428,752 * Fairchild Corp. Class A 8,100 24,300 * Fairchild Semiconductor Corp. Class A 47,466 726,230 * Famous Dave's of America, Inc. 2,100 23,352 Farmer Brothers Co. 5,000 132,800 * Faro Technologies, Inc. 1,400 38,080 FBL Financial Group, Inc. Class A 18,200 517,244 Federated Department Stores, Inc. 171,600 $ 9,403,680 FedEx Corp. 4,782 454,433 Fidelity National Financial, Inc. 90,335 3,874,468 * Financial Federal Corp. 2,100 80,766 * Financial Industries Corp. 2,444 19,430 Finish Line, Inc. Class A 23,400 430,560 * Finlay Enterprises, Inc. 4,400 85,448 First American Corp. 61,100 2,013,245 * First Cash Financial Services, Inc. 2,700 70,308 First Charter Corp. 7,900 216,381 First Citizens BancShares, Inc. 3,900 530,653 First Community Bancorp 4,200 176,484 First Community Bancshares, Inc. 3,000 106,860 * First Consulting Group, Inc. 200 1,094 * First Horizon Pharmaceutical Corp. 5,665 110,807 First Indiana Corp. 7,775 180,147 * First Mariner Bancorp 300 5,157 First Merchants Corp. 7,031 189,485 First Niagara Financial Group, Inc. 40,854 589,932 # First PacTrust Bancorp, Inc. 600 15,660 First Place Financial Corp. 3,780 85,050 First Republic Bank 6,800 349,452 First State Bancorporation 2,000 75,140 * FirstFed Financial Corp. 7,800 410,436 * Flanders Corp. 1,900 18,962 * Fleetwood Enterprises, Inc. 39,700 537,935 Florida East Coast Industries, Inc. 9,600 409,440 Flowers Foods, Inc. 39,150 1,195,249 * Flowserve Corp. 35,500 895,310 *# FLYi, Inc. 4,999 9,398 * FMC Corp. 10,300 510,365 * FMC Technologies, Inc. 1,719 56,469 FNB Corp. 700 13,685 * Foodarama Supermarkets, Inc. 100 4,050 Foot Locker, Inc. 32,000 831,360 # Ford Motor Co. 1,169,040 16,576,987 * Forest Oil Corp. 49,750 1,692,992 Fortune Brands, Inc. 2,000 156,960 * Foster (L.B.) Co. Class A 700 6,160 * Foster Wheeler, Ltd. 175 2,490 * Fox Entertainment Group, Inc. Class A 119,300 3,507,420 *# FPIC Insurance Group, Inc. 1,800 59,454 # Fremont General Corp. 32,300 768,740 * Frontier Airlines, Inc. 15,800 185,334 * Frozen Food Express Industries, Inc. 4,300 50,740 * FSI International, Inc. 200 900 *# FuelCell Energy, Inc. 12,200 122,610 Fuller (H.B.) Co. 12,200 349,164 Furniture Brands International, Inc. 28,600 694,694 G & K Services, Inc. Class A 4,843 198,950 * G-III Apparel Group, Ltd. 500 3,075 * GameStop Corp. Class B 12,193 258,735 GameTech International, Inc. 800 3,065 * Gardner Denver Machinery, Inc. 5,500 189,200 * Gateway, Inc. 24,100 164,121 # GATX Corp. 27,197 800,680 *# Gaylord Entertainment Co. 34,760 1,224,942 * Gehl Co. 400 8,796 Gencorp, Inc. 27,600 463,956 * Gene Logic, Inc. 4,600 15,502
81
SHARES VALUE+ --------------- --------------- * General Binding Corp. 2,600 $ 34,658 * General Communications, Inc. Class A 16,200 165,888 General Electric Co. 139 4,915 # General Motors Corp. 336,800 12,997,112 * Genesee Corp. Class B 100 210 * Genesis HealthCare Corp. 100 3,225 * Genesis Microchip, Inc. 9,200 150,052 * Genlyte Group, Inc. 6,100 489,037 * Gentiva Health Services, Inc. 2,800 46,620 # Genuine Parts Co. 3,800 164,958 Georgia-Pacific Corp. 178,600 6,538,546 * Gerber Scientific, Inc. 300 2,355 * Getty Images, Inc. 17,800 1,036,850 * Giant Industries, Inc. 2,900 81,200 Gibraltar Industries, Inc. 11,400 274,626 Glatfelter (P.H.) Co. 24,700 353,951 * Global Payment Technologies, Inc. 400 2,036 * Globecomm Systems, Inc. 10,200 64,056 Gold Banc Corp. 4,700 70,312 *# Goodyear Tire & Rubber Co. 52,300 660,026 Goody's Family Clothing, Inc. 35,300 343,822 * Gottschalks, Inc. 2,400 21,600 *# GP Strategies Corp. 7,600 53,960 Granite Construction, Inc. 14,500 384,830 * Graphic Packaging Corp. 3,200 26,112 Gray Television, Inc. 23,340 350,100 Great American Financial Resources, Inc. 2,300 40,158 * Great Atlantic & Pacific Tea Co., Inc. 12,700 96,012 # Great Lakes Chemical Corp. 18,000 527,400 *# Grey Wolf, Inc. 15,200 83,600 * Griffin Land & Nurseries, Inc. Class A 400 10,560 * Griffon Corp. 27,170 681,424 * Group 1 Automotive, Inc. 19,100 563,641 * GSI Commerce, Inc. 9,700 146,761 * GTSI Corp. 1,600 16,224 * Guess, Inc. 12,900 187,050 Gulf Island Fabrication, Inc. 2,900 61,683 * Gulfmark Offshore, Inc. 1,500 31,215 * Ha-Lo Industries, Inc. 19,500 14 * Hain Celestial Group, Inc. 15,100 293,393 Hancock Holding Co. 4,500 153,000 Handleman Co. 25,400 538,480 * Hanger Orthopedic Group, Inc. 9,000 70,200 * Hanover Compressor Co. 15,100 220,460 Harbor Florida Bancshares, Inc. 5,200 182,520 Harleysville Group, Inc. 12,400 298,096 * Harmonic, Inc. 2,400 18,648 # Harrahs Entertainment, Inc. 2,600 159,640 # Harris Corp. 17,800 1,178,182 * Harris Interactive, Inc. 5,600 37,184 Hartford Financial Services Group, Inc. 205,400 13,145,600 * Harvard Bioscience, Inc. 15,300 60,741 * Harvest Natural Resources, Inc. 3,800 69,350 Hasbro, Inc. 229,000 4,357,870 * Hastings Entertainment, Inc. 5,000 40,850 * Hauppauge Digital, Inc. 1,200 6,587 * Hawk Corp. 600 5,070 HCC Insurance Holdings, Inc. 11,800 391,052 * Health Net, Inc. 18,000 $ 489,960 Healthcare Services Group, Inc. 1,200 24,888 * HealthTronics Surgical Services, Inc. 7,900 59,013 Hearst-Argyle Television, Inc. 43,100 1,107,670 Hector Communications Corp. 200 4,240 Heico Corp. 8,700 186,180 Heico Corp. Class A 870 14,277 * Heidrick & Struggles International, Inc. 7,400 254,560 Helmerich & Payne, Inc. 32,600 1,063,738 *# Hercules, Inc. 100 1,490 * Heritage Commerce Corp. 800 15,648 * Herley Industries, Inc. 3,800 78,242 * Hewitt Associates, Inc. Class A 3,000 90,450 Hewlett-Packard Co. 1,298,900 25,978,000 * Hexcel Corp. 5,000 76,250 Hibernia Corp. 1,900 54,948 Hilton Hotels Corp. 42,400 875,984 * Hines Horticulture, Inc. 1,600 6,160 HMN Financial, Inc. 3,600 115,056 * HMS Holdings Corp. 4,500 31,590 *# Hollywood Entertainment Corp. 15,400 195,426 * Hologic, Inc. 6,500 162,435 Hooper Holmes, Inc. 34,400 180,600 Horace Mann Educators Corp. 21,700 412,300 Horizon Financial Corp. 1,900 38,969 * Horizon Health Corp. 2,000 47,980 *# Horizon Offshore, Inc. 7,100 2,485 Horton (D.R.), Inc. 82,755 2,913,804 * Houston Exploration Co. 13,400 802,660 * Hub Group, Inc. Class A 500 21,750 * Hudson Highland Group, Inc. 3,390 92,581 Hughes Supply, Inc. 45,200 1,486,176 * Human Genome Sciences, Inc. 11,700 128,700 * Humana, Inc. 94,100 2,335,562 # Hunt (J.B.) Transport Services, Inc 50,000 2,010,000 Huntington Bancshares, Inc. 2,500 60,650 *# Hutchinson Technology, Inc. 22,300 730,771 * Huttig Building Products, Inc. 4,400 37,972 * Hypercom Corp. 21,100 128,288 *# IAC/InterActiveCorp 214,503 5,296,079 * Ibis Technology Corp. 1,600 4,064 * Identix, Inc. 27,179 215,529 # IDEX Corp. 12,750 510,000 * IDT Corp. 11,100 162,837 * IDT Corp. Class B 1,100 16,907 * iGATE Capital Corp. 20,600 82,400 IHOP Corp. 9,700 410,989 IKON Office Solutions, Inc. 107,000 1,206,960 * ILEX Oncology, Inc. 10,099 251,061 * Illumina, Inc. 24,400 185,440 # ILX Resorts, Inc. 200 2,324 * Image Entertainment, Inc. 4,800 29,136 Imation Corp. 31,300 1,008,173 * IMCO Recycling, Inc. 3,900 63,024 * ImmunoGen, Inc. 4,400 34,408 * Impath, Inc. 600 2,700 * IMPCO Technologies, Inc. 3,700 24,568 * Imperial Sugar Co. 300 5,877 Independence Community Bank Corp. 52,087 2,212,656 IndyMac Bancorp, Inc. 22,400 727,776
82
SHARES VALUE+ --------------- --------------- Infinity Property & Casualty Corp. 11,400 $ 421,800 * InFocus Corp. 7,000 46,900 * Infonet Services Corp. 58,600 116,614 * Informatica Corp. 400 3,120 * Inforte Corp. 6,700 45,292 * Infosonics Corp. 600 2,004 * InfoSpace, Inc. 8,500 376,550 Ingles Market, Inc. Class A 5,000 63,950 * Ingram Micro, Inc. 71,200 1,369,888 * Innotrac Corp. 200 1,690 * Innovative Solutions & Support, Inc. 1,100 33,671 * Innovex, Inc. 4,500 22,455 * Insight Communications Co., Inc. 15,650 132,555 * Insight Enterprises, Inc. 16,100 325,703 * Insituform Technologies, Inc. Class A 4,500 105,030 * Inspire Pharmaceuticals, Inc. 5,100 91,341 * Instinet Group, Inc. 42,300 253,377 * Insurance Auto Auctions, Inc. 6,900 153,111 Integra Bank Corp. 4,100 93,808 * IntegraMed America, Inc. 200 1,402 * Integrated Device Technology, Inc. 49,000 556,150 * Integrated Electrical Services, Inc. 35,700 107,814 * Integrated Silicon Solution, Inc. 6,000 45,960 * Interactive Data Corp. 2,200 45,144 * Interface, Inc. Class A 19,800 196,020 * Intergraph Corp. 40,200 1,053,240 * Interland, Inc. 5,400 16,956 * Interlink Electronics, Inc. 1,800 16,146 # Intermet Corp. 6,500 845 International Paper Co. 206,912 8,590,986 * International Rectifier Corp. 25,900 1,096,606 International Speedway Corp. Class A 1,000 48,890 *# Internet Security Systems, Inc. 16,600 401,886 * Interphase Corp. 1,100 7,700 Interpool, Inc. 4,500 96,075 Intersil Corp. 99,900 1,608,390 # Interstate Bakeries Corp. 14,600 84,315 * Interstate Hotels & Resorts, Inc. 4,600 21,850 * Interwoven, Inc. 1,500 14,550 * Intest Corp. 600 2,910 * Invitrogen Corp. 30,600 1,851,300 * Iomega Corp. 200 910 *# Ionics, Inc. 11,900 514,199 *# IPIX Corp. 1,700 11,050 * Iron Mountain, Inc. 450 13,558 Irwin Financial Corp. 14,700 391,167 * ITLA Capital Corp. 400 21,852 * IXYS Corp. 21,522 199,939 * J & J Snack Foods Corp. 1,700 79,798 * J Net Enterprises, Inc. 600 1,590 J. M. Smucker Co. 3,282 149,265 * Jack in the Box, Inc. 12,000 453,360 * Jaco Electronics, Inc. 1,400 6,062 * Jacuzzi Brands, Inc. 19,300 180,262 * Jakks Pacific, Inc. 4,700 87,514 Janus Capital Group, Inc. 244,500 4,046,475 * Jarden Corp. 1,500 57,555 * JDA Software Group, Inc. 8,900 116,768 Jefferies Group, Inc. 22,800 926,136 Jefferson-Pilot Corp. 77,200 3,797,468 JLG Industries, Inc. 39,300 683,820 * Jo-Ann Stores, Inc. 2,100 $ 57,792 * Johnson Outdoors, Inc. 500 10,115 Jones Apparel Group, Inc. 87,000 3,091,110 * Jones Lang LaSalle, Inc. 700 25,130 *# Jos. A. Bank Clothiers, Inc. 2,062 54,231 Joy Global, Inc. 5,000 203,450 JPMorgan Chase & Co. 51,048 1,921,957 * K-Tron International, Inc. 200 5,020 * K2, Inc. 11,324 191,149 * Kadant, Inc. 5,657 114,554 Kaman Corp. Class A 8,632 103,584 * Kansas City Southern 29,300 498,393 # KB Home 1,000 87,890 *# Keane, Inc. 26,300 407,650 * Keith Companies, Inc. 2,400 40,920 Kellwood Co. 94,700 3,296,507 # Kelly Services, Inc. Class A 18,204 553,402 * Kemet Corp. 41,500 367,690 Kennametal, Inc. 27,400 1,405,620 * Kennedy-Wilson, Inc. 900 6,457 Kerr-McGee Corp. 95,990 5,973,458 * Key Energy Group, Inc. 51,500 644,780 KeyCorp 215,100 7,160,679 * Keynote Systems, Inc. 12,100 154,033 * Keystone Automotive Industries, Inc. 4,700 110,121 * Kforce, Inc. 3,656 43,799 Kimball International, Inc. Class B 9,000 134,100 * Kindred Healthcare, Inc. 8,600 234,780 *# King Pharmaceuticals, Inc. 8,300 103,335 * Kirby Corp. 8,300 377,816 * Knight Trading Group, Inc. 77,000 878,570 Knight-Ridder, Inc. 1,700 115,753 * Komag, Inc. 400 6,700 *# Korn/Ferry International 17,000 316,710 # Kraft Foods, Inc. 347,700 11,891,340 Kronos Worldwide, Inc. 218 10,006 * Kulicke & Soffa Industries, Inc. 8,500 63,580 * La Quinta Corp. 53,300 429,065 La-Z-Boy, Inc. 24,800 380,680 * LaBarge, Inc. 1,900 22,800 * Labor Ready, Inc. 6,700 106,396 * LaCrosse Footwear, Inc. 400 3,940 * Ladish Co., Inc. 3,000 33,090 LaFarge North America, Inc. 54,900 2,753,235 * Laidlaw International, Inc. 5,900 111,510 * Lakes Entertainment, Inc. 1,600 22,320 Lance, Inc. 14,100 262,824 * Lancer Corp. 700 8,253 LandAmerica Financial Group, Inc. 17,100 913,140 * Landec Corp. 3,300 20,724 Landry's Restaurants, Inc. 25,200 744,660 * Lattice Semiconductor Corp. 1,200 6,406 * Laureate Education, Inc. 33,800 1,331,382 * Lawson Software, Inc. 5,800 35,844 * Layne Christensen Co. 800 15,520 * Lazare Kaplan International, Inc. 500 4,950 * LCC International, Inc. Class A 2,700 13,743 Lear Corp. 56,700 3,288,600 *# LeCroy Corp. 1,100 23,551 Leggett & Platt, Inc. 1,800 53,730 Lehman Brothers Holdings, Inc. 87,971 7,370,210
83
SHARES VALUE+ --------------- --------------- # Lennar Corp. Class A 34,400 $ 1,545,592 Lennar Corp. Class B 4,340 181,195 Lennox International, Inc. 45,700 822,143 * Lesco, Inc. 4,200 50,400 *# Level 3 Communications, Inc. 40,500 139,725 * Lexicon Genetics, Inc. 15,000 105,450 Libbey, Inc. 2,400 50,328 Liberty Corp. 9,000 392,400 * Liberty Media Corp. Class A 1,421,700 14,686,161 * Liberty Media International, Inc. Class A 71,085 3,060,920 * Lightbridge, Inc. 3,300 15,477 Lilly (Eli) & Co. 676 36,051 # Limited Brands, Inc. 164,000 4,008,160 * Lin TV Corp. 3,600 64,872 Lincoln National Corp. 111,900 5,149,638 * Linens 'n Things, Inc. 6,000 149,040 Lithia Motors, Inc. Class A 8,800 223,344 LNR Property Corp. 27,200 1,701,360 Lockheed Martin Corp. 133,500 8,122,140 Loews Corp. 175,000 12,234,250 * LogicVision, Inc. 10,600 21,942 * Logility, Inc. 1,000 4,130 Lone Star Steakhouse & Saloon, Inc. 41,400 1,117,386 * Lone Star Technologies, Inc. 11,300 354,820 Longs Drug Stores Corp. 29,800 795,660 Longview Fibre Co. 30,500 530,090 # Louisiana-Pacific Corp. 130,100 3,183,547 LSI Industries, Inc. 7,550 75,047 * LSI Logic Corp. 177,500 938,975 * LTX Corp. 15,451 110,320 Lubrizol Corp. 27,900 963,945 * Luby's, Inc. 1,900 13,566 * Lydall, Inc. 4,800 53,664 # Lyondell Chemical Co. 80,000 2,244,800 * M&F Worldwide Corp. 4,900 63,945 M/I Homes, Inc. 8,500 384,285 * Mac-Gray Corp. 500 3,825 * Macromedia, Inc. 20,900 596,277 * Madden (Steven), Ltd. 800 15,088 MAF Bancorp, Inc. 17,300 794,070 * Magna Entertainment Corp. 7,000 42,000 * Magnetek, Inc. 4,900 32,389 *# Magnum Hunter Resources, Inc. 24,600 329,640 * Main Street Restaurant Group, Inc. 2,000 2,900 * MAIR Holdings, Inc. 6,100 56,120 # Mandalay Resort Group 39,500 2,753,150 Manor Care, Inc. 29,800 1,026,610 * Manugistic Group, Inc. 13,300 36,575 # Manulife Financial Corp. 284,353 12,775,980 * Mapinfo Corp. 6,700 80,065 Marathon Oil Corp. 249,400 9,836,336 * MarineMax, Inc. 7,200 211,680 * MarketWatch, Inc. 16,700 302,938 MarkWest Hydrocarbon, Inc. 726 12,749 Martin Marietta Materials, Inc. 24,700 1,241,175 # Massey Energy Co. 35,800 1,257,296 * Mastec, Inc. 21,500 180,385 * Material Sciences Corp. 3,900 65,208 * Matria Healthcare, Inc. 2,000 70,000 * Matrix Bancorp, Inc. 500 6,000 * Matrix Service Co. 4,000 $ 29,800 * Maverick Tube Corp. 14,300 453,310 Maxcor Financial Group, Inc. 3,700 33,670 *# Maxim Pharmaceuticals, Inc. 6,300 18,333 * Maxtor Corp. 139,600 533,272 * Maxwell Technologies, Inc. 700 7,518 * Maxygen, Inc. 5,300 53,477 May Department Stores Co. 173,700 4,884,444 MBIA, Inc. 111,750 6,700,530 * McAfee, Inc. 12,000 346,800 * McDATA Corp. 6,500 36,725 MCG Capital Corp. 9,600 163,200 McGrath Rentcorp. 3,004 126,949 McKesson Corp. 201,700 5,960,235 McRae Industries, Inc. Class A 2,200 30,800 MDC Holdings, Inc. 15,665 1,185,840 * Meade Instruments Corp. 16,000 50,720 * Meadowbrook Insurance Group, Inc. 2,200 11,154 MeadWestavco Corp. 128,300 4,317,295 * Medarex, Inc. 18,200 198,380 * MedCath Corp. 1,400 30,408 * Medco Health Solutions, Inc. 78,500 2,961,020 Media General, Inc. Class A 14,000 870,800 * Medical Staffing Network Holdings, Inc. 400 3,444 * MedQuist, Inc. 8,300 100,637 * MEDTOX Scientific, Inc. 3,750 29,062 Mercantile Bankshares Corp. 2,381 122,621 * Merix Corp. 9,400 102,272 Merrill Lynch & Co., Inc. 164,200 9,147,582 * Merrimac Industries, Inc. 1,100 10,120 * Mesa Air Group, Inc. 12,000 84,240 * Meta Group, Inc. 2,900 15,428 * Metals USA, Inc. 1,000 18,750 MetLife, Inc. 759,500 29,620,500 * Metris Companies, Inc. 12,900 149,382 * Metro-Goldwyn-Mayer, Inc. 186,200 2,204,608 * Metrologic Instruments, Inc. 7,200 147,096 MGIC Investment Corp. 111,100 7,554,800 * MGM MIRAGE 91,900 5,357,770 MGP Ingredients, Inc. 1,800 16,812 Michaels Stores, Inc. 61,600 1,683,528 * Micro Linear Corp. 4,200 19,362 * Micromuse, Inc. 22,000 115,676 * Micron Technology, Inc. 228,000 2,526,240 * Microsemi Corp. 18,400 327,520 * Microtek Medical Holdings, Inc. 100 408 * Microtune, Inc. 5,600 33,488 Middleby Corp. 600 34,452 Midland Co. 2,000 63,600 *# Midway Games, Inc. 3,200 34,688 * Midwest Air Group, Inc. 4,100 12,300 * Millennium Chemicals, Inc. 900 23,922 * Millennium Pharmaceuticals, Inc. 131,300 1,657,006 * Miller Industries, Inc. 8,700 95,787 * MIM Corp. 100 647 Mine Safety Appliances Co. 3,900 184,860 Minerals Technologies, Inc. 18,600 1,234,110 * MIPS Technologies, Inc. 2,700 23,625 * Misonix, Inc. 4,500 28,395 * Mission Resources Corp. 5,400 33,534
84
SHARES VALUE+ --------------- --------------- * MKS Instruments, Inc. 16,200 $ 275,238 * Mobile Mini, Inc. 5,900 178,711 * Mobius Management Systems, Inc. 1,300 10,400 Modine Manufacturing Co. 16,100 517,615 * Modtech Holdings, Inc. 1,800 14,688 * Moldflow Corp. 2,000 28,000 * Molecular Devices Corp. 4,600 96,738 Monaco Coach Corp. 3,200 63,680 * Mondavi (Robert) Corp. Class A 4,800 270,240 * Monro Muffler Brake, Inc. 900 22,095 Monsanto Co. 119,100 5,480,982 * Monster Worldwide, Inc. 45,200 1,274,188 * Monterey Pasta Co. 7,500 24,000 * Moog, Inc. Class A 5,175 217,453 Movado Group, Inc. 13,200 242,880 Movie Gallery, Inc. 17,200 299,796 * MPS Group, Inc. 86,100 969,486 * MRO Software, Inc. 33,300 427,905 * MSC.Software Corp. 8,500 80,835 Mueller Industries, Inc. 23,200 712,936 Myers Industries, Inc. 16,650 188,644 * Nabi Biopharmaceuticals 16,200 233,280 NACCO Industries, Inc. Class A 7,300 799,277 *# Nanometrics, Inc. 2,200 35,794 *# Napco Security Systems, Inc. 480 4,752 Nash Finch Co. 6,300 233,793 * Nashua Corp. 400 4,200 * NATCO Group, Inc. Class A 1,500 12,720 National City Corp. 5,788 214,619 * National Patent Development Corp. 7,600 13,072 * National RV Holdings, Inc. 1,800 17,514 * National Semiconductor Corp. 10,000 154,600 * National Western Life Insurance Co. Class A 900 145,971 Nationwide Financial Services, Inc. 34,500 1,296,510 * Natrol, Inc. 900 3,042 Nature's Sunshine Products, Inc. 100 1,674 * Natus Medical, Inc. 3,300 23,760 * Navigant International, Inc. 6,200 68,076 * Navigators Group, Inc. 1,200 33,900 * NCI Building Systems, Inc. 14,800 549,080 * NCO Group, Inc. 13,197 331,377 * NCR Corp. 6,300 376,299 NDCHealth Corp. 8,100 152,928 * Nektar Therapeutics 21,400 399,859 * Neoforma, Inc. 7,800 57,954 * NEON Systems, Inc. 700 2,576 * Neopharm, Inc. 1,610 18,757 * Neoware Systems, Inc. 400 3,504 * NES Rentals Holdings, Inc. 5 55 * Net2Phone, Inc. 200 686 * NetIQ Corp. 8,300 101,841 * Netopia, Inc. 300 915 * NetRatings, Inc. 33,900 678,000 * Netscout System, Inc. 22,100 167,297 * Network Equipment Technologies, Inc. 26,700 253,917 * Neurogen Corp. 1,300 11,375 *# New Century Financial Corp. 11,400 721,164 * New Horizons Worldwide, Inc. 900 3,132 New Jersey Resources Corp. 5,500 239,250 # New York Community Bancorp Inc. 132,600 2,622,828 * Newfield Exploration Co. 23,890 $ 1,501,487 * NewMarket Corp. 2,800 53,732 Newmont Mining Corp. 2,294 108,621 * Newpark Resources, Inc. 26,000 148,720 * Newport Corp. 24,700 304,798 * NIC, Inc. 8,000 36,760 NL Industries, Inc. 14,500 327,555 * NMT Medical, Inc. 1,500 6,360 * Nobel Learning Communities, Inc. 400 2,900 Noble Energy, Inc. 18,700 1,192,873 Nordstrom, Inc. 1,900 83,125 Norfolk Southern Corp. 339,800 11,665,334 * North American Scientific, Inc. 5,800 26,100 North Fork Bancorporation, Inc. 92,970 2,677,536 Northrop Grumman Corp. 245,224 13,813,468 Northwest Bancorp, Inc. 2,300 59,501 * Northwest Pipe Co. 500 9,550 * Novell, Inc. 205,000 1,250,500 * Nu Horizons Electronics Corp. 12,600 104,593 Nucor Corp. 71,600 3,787,640 * Nutraceutical International Corp. 2,200 35,266 * Nuvelo, Inc. 21 205 NWH, Inc. 3,600 53,820 * NYFIX, Inc. 9,700 61,983 * O'Charleys, Inc. 3,508 66,652 * O.I. Corp. 200 2,156 * Obie Media Corp. 400 2,740 *# OCA, Inc. 8,400 48,048 Occidental Petroleum Corp. 15,100 909,171 OceanFirst Financial Corp. 2,400 60,864 * Ocular Sciences, Inc. 1,900 91,797 * Ocwen Financial Corp. 39,300 366,669 # Odyssey Re Holdings Corp. 52,000 1,255,800 * Office Depot, Inc. 215,300 3,530,920 OfficeMax, Inc. 67,300 2,037,171 * Offshore Logistics, Inc. 16,400 621,560 * Ohio Casualty Corp. 48,700 1,046,076 * Oil States International, Inc. 17,700 360,549 * Old Dominion Freight Line, Inc. 450 14,108 Old Republic International Corp. 111,650 2,790,134 Olin Corp. 448 10,165 *# Olympic Steel, Inc. 2,500 67,500 * OM Group, Inc. 9,300 285,882 * Omega Protein Corp. 2,500 21,025 # Omnicare, Inc. 64,800 2,100,168 * Omnova Solutions, Inc. 10,500 59,955 *# Oneida, Ltd. 2,600 6,578 *# Onvia, Inc. 200 1,228 # Onyx Acceptance Corp. 400 11,148 * Onyx Pharmacueticals, Inc. 5,600 175,168 * Opent Technologies, Inc. 23,600 203,904 * Openwave Systems, Inc. 10,900 143,662 * Opinion Research Corp. 5,300 33,470 Option Care, Inc. 5,000 86,100 * Orbital Sciences Corp. 37,313 485,069 * Oregon Steel Mills, Inc. 5,500 98,890 * Orleans Homebuilders, Inc. 600 11,046 * Oscient Pharmaceutical Corp. 1,500 4,890 * OSI Systems, Inc. 2,500 54,300 * Osteotech, Inc. 4,100 22,304 * Overland Storage, Inc. 2,800 41,580
85
SHARES VALUE+ --------------- --------------- Overseas Shipholding Group, Inc. 23,900 $ 1,569,991 * Owens-Illinois, Inc. 81,700 1,709,164 * OYO Geospace Corp. 2,500 39,600 * P.A.M. Transportation Services, Inc. 400 8,120 Paccar, Inc. 3,825 298,733 * Pacific Mercantile Bancorp 1,000 14,180 * PacifiCare Health Systems, Inc. 31,600 1,529,440 * Packeteer, Inc. 7,100 92,300 * Pactiv Corp. 1,800 44,730 * Pain Therapeutics, Inc. 10,700 80,571 * Palm Harbor Homes, Inc. 6,800 106,148 *# PalmOne, Inc. 4,015 140,686 * PalmSource, Inc. 1,243 19,689 * Panavision, Inc. 600 3,750 * PAR Technology Corp. 600 7,092 * Paradyne Networks Corp. 10,200 39,576 * Parallel Petroleum Corp. 4,500 25,065 * Parexel International Corp. 7,400 152,662 Park Electrochemical Corp. 6,300 132,867 * Parker Drilling Co. 29,100 127,167 Parker Hannifin Corp. 2,600 194,480 * Park-Ohio Holdings Corp. 2,800 62,944 * Parlex Corp. 3,300 20,130 * Pathmark Stores, Inc. 4,400 24,244 * Patriot Transportation Holding, Inc. 200 8,332 * Paxar Corp. 11,000 254,650 * Payless ShoeSource, Inc. 7,300 85,264 * PC Connection, Inc. 17,661 124,157 * PC Mall, Inc. 2,300 55,890 * PC-Tel, Inc. 8,300 66,981 * PDI, Inc. 3,300 76,791 Peabody Energy Corp. 34,900 2,896,700 * Pediatric Services of America, Inc. 200 2,062 * Pediatrix Medical Group, Inc. 5,100 317,730 *# Pegasus Communications Corp. 3,200 24,320 * Pegasus Solutions, Inc. 9,200 107,548 * Pegasystems, Inc. 23,000 166,980 * Pelican Financial, Inc. 300 1,995 * Pemstar, Inc. 6,700 10,258 Penn Virginia Corp. 2,400 104,304 Penn-America Group, Inc. 4,800 71,088 Penney (J.C.) Co., Inc. 235,400 9,086,440 Pep Boys - Manny, Moe & Jack 62,500 984,375 PepsiAmericas, Inc. 169,900 3,586,589 * Perceptron, Inc. 100 687 *# Performance Food Group Co. 6,500 170,560 * Performance Technologies, Inc. 1,400 9,982 * Pericom Semiconductor Corp. 8,200 71,996 PerkinElmer, Inc. 66,000 1,407,780 Perrigo Co. 2,700 48,708 * Perry Ellis International, Inc. 600 11,454 * Pervasive Software, Inc. 100 399 * Petrocorp, Inc. Escrow Shares 900 54 * Petroleum Development Corp. 4,900 201,488 PETsMART, Inc. 78,300 2,683,341 PFF Bancorp, Inc. 21,000 949,200 * Pharmacopia Drug Discovery, Inc. 7,900 45,662 * Pharmacyclics, Inc. 2,900 30,218 Phelps Dodge Corp. 70,800 6,876,804 Phillips-Van Heusen Corp. 19,400 529,620 * Phoenix Technologies, Ltd. 7,400 60,014 * Photon Dynamics, Inc. 3,800 $ 83,790 * Photronics, Inc. 11,200 211,008 * Pico Holdings, Inc. 9,700 199,917 Pier 1 Imports, Inc. 18,600 339,264 # Pilgrim's Pride Corp. 30,700 1,028,450 * Pinnacle Entertainment, Inc. 5,400 98,172 * Pinnacle Systems, Inc. 21,300 111,186 Pioneer Natural Resources Co. 50,700 1,784,640 * Piper Jaffray Companies, Inc. 3,600 165,636 * Pixelworks, Inc. 10,700 120,375 * Plains Exploration & Production Co 20,910 586,107 * Planar Systems, Inc. 900 9,594 * PLATO Learning, Inc. 13,300 92,967 * Plexus Corp. 13,500 185,625 * PLX Technology, Inc. 3,800 34,238 * PMA Capital Corp. Class A 3,900 38,805 PMI Group, Inc. 117,100 4,822,178 Pogo Producing Co. 48,300 2,439,150 * Polycom, Inc. 40,400 922,736 PolyMedica Corp. 10,600 376,830 *# PolyOne Corp. 1,500 13,845 * Pomeroy IT Solutions, Inc. 10,400 142,064 Pope & Talbot, Inc. 5,100 85,680 Potlatch Corp. 11,800 598,496 * Powell Industries, Inc. 1,400 22,638 * Power-One, Inc. 22,100 203,099 * Powerwave Technologies, Inc. 21,700 175,510 * PRAECIS Pharmaceuticals, Inc. 18,600 39,246 Precision Castparts Corp. 51,955 3,368,762 Preformed Line Products Co. 300 8,475 * Premier Financial Bancorp 400 4,420 Presidential Life Corp. 16,248 271,504 * Presstek, Inc. 16,700 178,356 * Pressure BioSciences, Inc. 100 305 * PRG-Schultz International, Inc. 3,597 19,424 * Price Communications Corp. 12,038 218,008 *# Pricesmart, Inc. 100 795 * Pride International, Inc. 78,700 1,539,372 Principal Financial Group, Inc. 309,100 11,646,888 * ProAssurance Corp. 15,200 593,560 *# Procom Technology, Inc. 900 1,188 * Progenics Pharmaceuticals, Inc. 1,400 20,930 * Protection One, Inc. 8,900 2,314 Protective Life Corp. 47,800 2,000,430 * Protein Design Labs, Inc. 30,500 552,660 Providence & Worcester Railroad Co. 1,500 18,450 Provident Financial Holdings, Inc. 675 19,710 Provident Financial Services, Inc. 3,828 74,378 * Providian Financial Corp. 117,300 1,882,665 * Province Healthcare Co. 14,300 320,892 Prudential Financial, Inc. 506,200 24,778,490 * PSS World Medical, Inc. 64,000 800,896 * PTEK Holdings, Inc. 8,400 88,452 Pulitzer, Inc. 5,400 343,494 Pulte Homes, Inc. 141,022 7,792,876 * PW Eagle, Inc. 500 1,975 Quaker Fabric Corp. 5,800 33,350 Quanex Corp. 12,100 713,900 * Quanta Services, Inc. 24,400 188,124 * Quantum Corp. 12,500 35,750 Questar Corp. 37,800 1,920,618
86
SHARES VALUE+ --------------- --------------- * QuickLogic Corp. 6,100 $ 14,884 * Quidel Corp. 1,600 10,320 * Quovadx, Inc. 6,564 12,537 * Qwest Communications International, Inc. 97,900 391,600 Radian Group, Inc. 123,804 6,344,955 * Radio One, Inc. 12,500 173,500 * Radiologix, Inc. 400 1,500 * RadiSys Corp. 7,200 101,448 * RailAmerica, Inc. 23,700 303,360 Ralcorp Holdings, Inc. 5,100 210,120 # Range Resources Corp. 20,600 427,244 Raytheon Co. 285,400 11,513,036 * RC2 Corp. 3,900 122,031 * RCM Technologies, Inc. 800 4,080 *# RCN Corp. 18,600 1,376 * RealNetworks, Inc. 43,700 275,310 * Redhook Ale Brewery, Inc. 5,900 20,650 # Reebok International, Ltd. 27,200 1,057,536 Regal-Beloit Corp. 12,000 338,520 * Regent Communications, Inc. 34,600 197,566 Regions Financial Corp. 104,237 3,647,253 * Register.com, Inc. 5,600 32,592 # Reinsurance Group of America, Inc. 47,100 2,186,382 # Reliance Steel & Aluminum Co. 17,300 690,443 * Reliant Energy, Inc. 124,900 1,483,812 * Remec, Inc. 11,600 69,948 * RemedyTemp, Inc. 3,300 36,366 * Rent-Way, Inc. 9,500 80,560 * Republic First Bancorp, Inc. 550 8,415 * Res-Care, Inc. 1,610 24,150 Resource America, Inc. 16,600 488,538 *# Respironics, Inc. 6,200 343,356 * Restoration Hardware, Inc. 4,500 22,905 * Retail Ventures, Inc. 2,900 21,257 * Retek, Inc. 16,500 100,650 * Rex Stores Corp. 4,250 74,800 Reynolds American, Inc. 44,400 3,357,972 * RF Monolithics, Inc. 8,100 76,302 Richardson Electronics, Ltd. 13,800 153,870 Riggs National Corp. 20,700 416,484 * Riviera Holdings Corp. 300 8,100 RLI Corp. 14,600 608,090 Robbins & Myers, Inc. 8,900 214,846 Rock of Ages Corp. 300 2,223 *# Rockford Corp. 3,600 7,884 Rock-Tenn Co. Class A 19,900 321,186 * Rocky Shoes & Boots, Inc. 300 6,240 * Rofin-Sinar Technologies, Inc. 800 31,200 Rohm & Haas Co. 1,000 44,090 * Rowan Companies, Inc. 123,500 3,198,650 RPM International, Inc. 92,000 1,701,080 * RSA Security, Inc. 24,400 516,060 * RTI International Metals, Inc. 20,900 450,395 * Rubio's Restaurants, Inc. 3,400 45,152 Ruddick Corp. 11,800 257,358 * Rush Enterprises, Inc. Class A 500 7,590 * Rush Enterprises, Inc. Class B 500 8,060 Russ Berrie & Co., Inc. 10,400 236,496 Russell Corp. 25,800 473,172 * Ryan's Restaurant Group, Inc. 43,050 657,374 Ryder System, Inc. 83,000 $ 4,452,120 Ryerson Tull, Inc. 15,600 252,408 # Ryland Group, Inc. 11,000 1,114,850 Sabre Holdings Corp. 47,100 1,087,068 Safeco Corp. 107,900 5,229,913 * Safeguard Scientifics, Inc. 23,100 46,431 * SafeNet, Inc. 2,918 104,056 Saks, Inc. 129,550 1,802,041 *# Salton, Inc. 600 3,666 * San Filippo (John B.) & Son, Inc. 400 8,880 Sanders Morris Harris Group, Inc. 1,100 16,775 * Sandisk Corp. 47,000 1,061,260 * Sangamo BioSciences, Inc. 28,600 133,562 * Sanmina-SCI Corp. 170,700 1,507,281 Saucony, Inc. Class B 300 7,392 Sauer-Danfoss, Inc. 6,000 119,160 * Savient Pharmaceuticals, Inc. 11,289 24,836 SBC Communications, Inc. 1,903,800 47,918,646 * SBS Technologies, Inc. 700 9,142 * ScanSoft, Inc. 2,700 9,855 * Schein (Henry), Inc. 16,900 1,101,542 * Scholastic Corp. 4,800 158,112 Schulman (A.), Inc. 26,300 564,135 Schweitzer-Maudoit International, Inc. 8,100 279,936 Scientific-Atlanta, Inc. 46,700 1,383,254 * SCM Microsystems, Inc. 7,900 26,939 * SCS Transportation, Inc. 11,200 236,880 Seaboard Corp. 1,100 825,000 * Seabulk International, Inc. 7,641 91,081 * Seachange International, Inc. 7,500 128,100 * SEACOR Holdings, Inc. 12,550 696,525 * Sealed Air Corp. 39,700 2,040,977 # Sears, Roebuck & Co. 160,700 8,361,221 * Selectica, Inc. 29,900 115,115 # Selective Insurance Group, Inc. 22,600 1,012,254 * Semitool, Inc. 26,400 236,544 *# SEMX Corp. 100 13 # Sensient Technologies Corp. 18,500 426,425 * Sequa Corp. Class A 3,300 197,010 * Sequa Corp. Class B 900 54,225 * Serologicals Corp. 27,200 634,848 * Service Corp. International 178,300 1,258,798 * SFBC International, Inc. 1,500 58,245 * Sharper Image Corp. 2,300 44,068 *# Shaw Group, Inc. 11,700 172,341 Sherwin-Williams Co. 3,500 156,100 * Shiloh Industries, Inc. 4,000 51,920 * Shoe Carnival, Inc. 3,000 39,120 * ShopKo Stores, Inc. 16,100 287,868 * Silicon Storage Technology, Inc. 32,300 224,808 *# Silicon Valley Bancshares 13,700 575,126 Simmons First National Corp. Class A 4,611 133,719 * SimpleTech, Inc. 7,500 37,275 Sinclair Broadcast Group, Inc. Class A 29,200 210,532 * Sipex Corp. 30,000 165,000 * Sitel Corp. 2,000 4,440 * Six Flags, Inc. 29,600 143,856 * Skechers U.S.A., Inc. Class A 5,800 67,338 Skyline Corp. 1,000 41,350 Skywest, Inc. 30,500 580,415
87
SHARES VALUE+ --------------- --------------- * Skyworks Solutions, Inc. 55,980 $ 555,881 * SL Industries, Inc. 400 5,564 * Smart & Final Food, Inc. 7,800 112,944 * Smith & Wollensky Restaurant Group, Inc. 3,700 17,168 Smith (A.O.) Corp. 13,400 402,670 Smith (A.O.) Corp. Convertible Class A 2,200 66,110 * Smithfield Foods, Inc. 60,100 1,745,905 * Smurfit-Stone Container Corp. 219,600 3,944,016 Snap-On, Inc. 23,600 745,996 * Sola International, Inc. 10,100 218,160 * Solectron Corp. 370,900 2,318,125 Sonic Automotive, Inc. 23,300 578,539 * SonicWALL, Inc. 41,100 252,765 Sound Federal Bancorp, Inc. 3,636 55,271 * Source Interlink Companies, Inc. 11,400 148,770 * SOURCECORP, Inc. 6,000 99,780 South Financial Group, Inc. 30,508 966,646 South Jersey Industries, Inc. 7,100 365,011 * Southern Energy Homes, Inc. 3,200 14,784 * Southern Union Co. 24,657 604,593 Southwest Airlines Co. 214,500 3,374,085 * Southwestern Energy Co. 11,300 620,370 Sovereign Bancorp, Inc. 205,918 4,499,308 * Spartan Stores, Inc. 6,700 34,840 Spartech Corp. 10,900 304,655 * Specialty Laboratories, Inc. 6,900 75,762 * Spectrum Control, Inc. 3,500 26,110 * Spherion Corp. 23,900 188,332 * Spinnaker Exploration Co. 10,600 384,462 * Sport Chalet, Inc. 500 6,501 Sprint Corp. 875,888 19,979,005 SPX Corp. 47,800 1,965,058 SS&C Technologies, Inc. 1,650 36,944 * Staar Surgical Co. 8,200 48,626 * Stage Stores, Inc. 100 4,099 * Stamps.com, Inc. 10,650 164,756 StanCorp Financial Group, Inc. 23,600 1,865,580 Standard Commercial Corp. 4,200 79,044 * Standard Management Corp. 700 2,520 * Standard Microsystems Corp. 7,300 179,434 Standard Motor Products, Inc. 8,300 129,397 Standard Pacific Corp. 21,700 1,215,417 Standard Register Co. 15,000 197,400 Starwood Hotels & Resorts Worldwide, Inc. 105,800 5,532,282 State Auto Financial Corp. 15,100 404,680 Steel Dynamics, Inc. 31,400 1,272,642 Steel Technologies, Inc. 7,100 207,888 Steelcase, Inc. Class A 42,100 559,930 * Stein Mart, Inc. 10,400 172,952 * Steinway Musical Instruments, Inc. 600 16,962 * Stellent, Inc. 8,200 64,370 Stepan Co. 1,100 28,017 * Sterling Financial Corp. 11,259 449,797 Stewart & Stevenson Services, Inc. 16,200 324,000 * Stewart Enterprises, Inc. 36,500 270,830 Stewart Information Services Corp. 12,000 523,800 * Stillwater Mining Co. 10,200 120,972 * Stone Energy Corp. 12,500 599,750 * Stoneridge, Inc. 16,300 $ 247,923 * Storage Technology Corp. 50,100 1,459,914 * Stratasys, Inc. 600 19,380 * Strategic Distribution, Inc. 200 2,270 * Stratos International, Inc. 100 406 * Stratus Properties, Inc. 500 7,420 Stride Rite Corp. 30,089 331,280 * Suburban Lodges of America, Inc. Escrow Shares 900 0 Summa Industries, Inc. 2,200 19,976 * Sun Bancorp, Inc. 800 19,880 * Sun Microsystems, Inc. 932,000 5,172,600 # Sunoco, Inc. 29,300 2,419,008 *# Sunrise Senior Living, Inc. 10,100 433,795 Sunrise Telecom, Inc. 13,300 35,245 # Superior Industries International, Inc. 14,600 412,450 Supervalu, Inc. 79,700 2,517,723 Supreme Industries, Inc. 610 3,733 SureWest Communications 5,574 158,692 Susquehanna Bancshares, Inc. 10,800 280,800 * Swift Energy Corp. 25,900 785,806 * Swift Transportation Co., Inc. 15,720 306,383 SWS Group, Inc. 10,800 227,988 * Sycamore Networks, Inc. 119,400 447,750 * Sykes Enterprises, Inc. 14,700 99,225 * Symmetricom, Inc. 17,642 190,534 * Syms Corp. 5,500 68,145 * Synovis Life Technologies, Inc. 200 2,370 Sypris Solutions, Inc. 9,225 150,091 *# Tag-It Pacific, Inc. 700 3,150 * TALK America Holdings, Inc. 300 1,896 Tasty Baking Co. 3,800 31,806 TB Wood's Corp. 5,400 29,268 * TBC Corp. 9,400 250,698 * Tech Data Corp. 26,200 1,189,218 * Technitrol, Inc. 300 5,175 * TechTeam Global, Inc. 5,000 47,000 Tecumseh Products Co. Class A 7,184 328,955 Tektronix, Inc. 1,766 55,399 Teleflex, Inc. 20,300 1,025,150 Telephone & Data Systems, Inc. 40,300 3,123,250 * TeleTech Holdings, Inc. 25,200 246,204 * Tellabs, Inc. 197,000 1,684,350 * Telular Corp. 3,400 21,658 Temple-Inland, Inc. 35,500 2,115,445 * Tenet Healthcare Corp. 94,550 1,025,868 * Teradyne, Inc. 74,300 1,267,558 * Terex Corp. 42,500 1,948,200 *# Terra Industries, Inc. 34,300 281,260 * Tesoro Petroleum Corp. 20,200 669,024 * Tetra Tech, Inc. 18,600 283,464 * TETRA Technologies, Inc. 8,400 255,360 Texas Genco Holdings, Inc. 48,700 2,281,595 Texas Industries, Inc. 23,600 1,416,000 Textron, Inc. 67,600 4,909,112 * The Banc Corp. 4,200 33,012 The Brink's Co. 20,300 783,783 * The Children's Place Retail Stores, Inc. 8,300 262,778 * The DIRECTV Group, Inc. 26,179 418,602 * The Dress Barn, Inc. 14,800 254,116
88
SHARES VALUE+ --------------- --------------- * The Geo Group, Inc. 2,000 $ 46,100 * The Lamson & Sessions Co. 12,800 115,840 The Marcus Corp. 12,600 287,910 * The Mens Warehouse, Inc. 12,700 401,955 * The Mosaic Co. 56 973 The Neiman Marcus Group, Inc. 13,700 894,747 # The Phoenix Companies, Inc. 60,400 736,880 * The Sports Authority, Inc. 8,103 231,017 The St. Joe Corp. 1,900 104,215 The St. Paul Travelers Companies, Inc. 464,300 16,937,664 The Topps Co., Inc. 8,700 86,739 * The Washtenaw Group, Inc. 300 477 * Theragenics Corp. 3,100 13,020 * Thermo Electron Corp. 48,545 1,468,486 * TheStreet.com, Inc. 6,700 29,145 * Third Wave Technologies, Inc. 16,800 135,408 * Thomas & Betts Corp. 73,600 2,328,704 Thomas Industries, Inc. 10,000 391,800 * Thoratec Corp. 49,800 498,000 * THQ, Inc. 12,838 275,503 * Three-Five Systems, Inc. 5,900 11,446 * TIBCO Software, Inc. 72,900 838,350 Tidewater, Inc. 39,200 1,330,056 * Tier Technologies, Inc. Class B 300 2,649 TierOne Corp. 10,300 255,543 * Time Warner Telecom, Inc. 11,400 43,206 * Time Warner, Inc. 966,600 17,118,486 Timken Co. 43,600 1,133,600 * Titan Corp. 12,100 194,931 Todd Shipyards Corp. 1,100 18,843 *# Toll Brothers, Inc. 34,400 1,767,472 * Tollgrade Communications, Inc. 4,400 47,036 Torchmark Corp. 79,000 4,337,890 * Toreador Resources Corp. 500 7,715 * Toys R Us, Inc. 147,400 2,850,716 Traffix, Inc. 18,100 118,555 * Trammell Crow Co. 32,400 554,040 * Trans World Entertainment Corp. 40,100 452,328 Transatlantic Holdings, Inc. 29,200 1,703,528 * Transkaryotic Therapies, Inc. 9,400 214,414 * TransMontaigne, Inc. 11,700 63,531 * Transport Corp. of America 500 3,680 *# Transpro, Inc. 8,100 49,289 * TRC Companies, Inc. 3,200 57,088 Tredegar Industries, Inc. 23,200 432,216 * Triad Guaranty, Inc. 5,600 336,000 * Triad Hospitals, Inc. 30,562 1,121,320 Triarc Companies, Inc. Class A 6,300 81,585 Tribune Co. 225,500 9,779,935 * Trident Microsystems, Inc. 4,800 74,880 Trinity Industries, Inc. 32,600 1,152,410 * TriPath Imaging, Inc. 19,800 142,164 * Triquint Semiconductor, Inc. 31,700 137,261 * Triumph Group, Inc. 5,600 227,136 * TriZetto Group, Inc. 29,900 211,692 * TTM Technologies, Inc. 12,400 128,712 * Tufco Technologies, Inc. 300 2,325 * Tweeter Home Entertainment Group, Inc. 200 1,282 * Tyler Technologies, Inc. 25,700 201,488 Tyson Foods, Inc. Class A 188,330 3,086,729 * U.S. Concrete, Inc. 11,700 85,059 * U.S. Xpress Enterprises, Inc. Class A 800 $ 20,800 UICI 45,600 1,523,040 * Ulticom, Inc. 21,900 393,105 * Ultratech, Inc. 5,500 94,765 UMB Financial Corp. 10,570 592,026 Umpqua Holdings Corp. 8,200 209,674 * Unifi, Inc. 2,600 9,672 Unifirst Corp. 5,600 154,784 Union Pacific Corp. 211,600 13,423,904 UnionBanCal Corp. 1,000 61,830 * Unisys Corp. 68,700 789,363 * Unit Corp. 15,400 610,148 United Auto Group, Inc. 28,000 798,560 United Community Financial Corp. 34,000 390,660 * United Online, Inc. 23,700 252,879 * United Rentals, Inc. 60,100 1,073,987 * United States Cellular Corp. 32,800 1,451,400 United States Steel Corp. 63,300 3,314,388 *# United Stationers, Inc. 10,400 497,952 *# United Therapeutics Corp. 7,700 338,877 # Unitrin, Inc. 41,800 1,991,352 Unity Bancorp, Inc. 1,543 18,593 * Universal American Financial Corp. 52,900 706,215 * Universal Compression Holdings, Inc. 10,800 402,840 Universal Corp. 13,000 632,840 Universal Forest Products, Inc. 16,700 720,772 * Universal Stainless & Alloy Products, Inc. 500 7,360 * Univision Communications, Inc. Class A 44,430 1,337,343 * Unova, Inc. 29,400 651,504 UnumProvident Corp. 174,000 2,709,180 * Urologix, Inc. 12,600 89,712 *# URS Corp. 12,600 378,504 * USA Truck, Inc. 2,100 26,019 USEC, Inc. 56,800 598,104 USF Corp. 14,900 550,853 * Vail Resorts, Inc. 10,900 247,975 Valero Energy Corp. 199,800 9,348,642 Valhi, Inc. 43,000 666,930 Valmont Industries, Inc. 2,900 72,384 * Valpey Fisher Corp. 100 340 * ValueClick, Inc. 26,600 343,140 * ValueVision Media, Inc. Class A 9,800 111,132 * Varco International, Inc. 4,500 133,830 * Vastera, Inc. 11,800 21,830 * Veeco Instruments, Inc. 16,900 327,691 *# VeriSign, Inc. 96,300 3,168,270 * Veritas DGC, Inc. 4,200 98,280 * VERITAS Software Corp. 1 22 * Verity, Inc. 7,400 101,454 Verizon Communications, Inc. 235,900 9,726,157 Vesta Insurance Group, Inc. 12,600 47,376 # Viacom, Inc. Class A 85,800 3,051,906 Viacom, Inc. Class B 1,187,200 41,195,840 Viad Corp. 8,100 194,319 * Viasat, Inc. 11,300 235,831 * Viasys Healthcare, Inc. 3,717 69,211 * Vicon Industries, Inc. 300 1,698 Vicor Corp. 16,500 179,355 # Video Display Corp. 600 8,190 Vintage Petroleum, Inc. 70,000 1,697,500 * Vishay Intertechnology, Inc. 78,711 1,149,968
89
SHARES VALUE+ --------------- --------------- Visteon Corp. 66,000 $ 558,360 * Vitesse Semiconductor, Inc. 49,800 162,348 * Volt Information Sciences, Inc. 15,600 475,800 *# Vyyo, Inc. 1,400 10,150 Wachovia Corp. 6,232 322,506 Walter Industries, Inc. 30,140 758,925 Washington Federal, Inc. 29,800 803,706 Washington Mutual, Inc. 433,500 17,647,785 * Waste Connections, Inc. 14,550 495,573 Waste Industries USA, Inc. 16,100 184,667 * WatchGuard Technologies, Inc. 15,700 64,370 * Water Pik Technologies, Inc. 6,100 104,920 Watsco, Inc. Class A 23,900 790,373 *# Watson Pharmaceuticals, Inc. 58,200 1,690,710 Watts Water Technologies, Inc. 9,300 284,859 Wausau-Mosinee Paper Corp. 29,200 524,140 Waypoint Financial Corp. 3,045 84,560 * WCI Communities, Inc. 6,600 169,092 *# WebMD Corp. 169,600 1,229,600 Webster Financial Corp. 20,100 1,006,005 Weis Markets, Inc. 9,800 376,320 Wellman, Inc. 16,200 166,698 Werner Enterprises, Inc. 43,332 974,970 Wesbanco, Inc. 5,600 177,016 Wesco Financial Corp. 1,110 427,628 * WESCO International, Inc. 900 25,308 * West Marine, Inc. 8,100 187,110 * Westaff, Inc. 3,700 11,285 * Westcoast Hospitality Corp. 900 4,563 Westcorp, Inc. 13,320 563,170 *# Wet Seal, Inc. Class A 1,700 2,822 Weyerhaeuser Co. 171,400 11,312,400 * WFS Financial, Inc. 9,100 423,423 * Whitehall Jewelers, Inc. 5,842 48,372 * Whiting Petroleum Corp. 166 5,651 Whitney Holding Corp. 5,850 269,919 * Wickes, Inc. 400 2 * Wild Oats Markets, Inc. 4,700 33,652 *# William Lyon Homes, Inc. 11,500 809,025 * Willis Lease Finance Corp. 1,200 10,680 Willow Grove Bancorp, Inc. 3,300 59,499 * Wilshire Enterprises, Inc. 600 3,618 * Wilson Greatbatch Technologies, Inc. 2,200 44,110 * Wind River Systems, Inc. 8,200 99,220 # Winn-Dixie Stores, Inc. 33,700 134,800 Wintrust Financial Corp. 800 47,872 * Wireless Facilities, Inc. 17,600 145,728 Wireless Telecom Group, Inc. 3,100 9,176 * Witness Systems, Inc. 4,100 61,459 *# WMS Industries, Inc. 9,100 270,634 * Wolverine Tube, Inc. 1,200 12,744 Woodhead Industries, Inc. 3,900 58,812 Woodward Governor Co. 4,800 349,680 * World Acceptance Corp. 3,200 82,528 *# WorldQuest Networks, Inc. 1,700 5,083 * Worldwide Restaurant Concepts, Inc. 12,900 42,183 Worthington Industries, Inc. 69,000 1,484,190 * Xanser Corp. 10,600 29,892 *# Xerox Corp. 158,800 2,432,816 * Xeta Corp. 1,600 4,752 *# XM Satellite Radio Holdings, Inc. 32,200 1,188,502 *# Yahoo!, Inc. 4,152 $ 156,198 Yardville National Bancorp 3,100 103,261 * Yellow Roadway Corp. 24,791 1,310,204 # York International Corp. 9,900 365,013 * Zapata Corp. 200 12,604 * Zhone Technologies, Inc. 600 1,464 *# Zoltek Companies, Inc. 16,800 154,560 * Zomax, Inc. 14,600 50,224 * Zoran Corp. 12,542 148,623 * Zygo Corp. 15,000 174,300 --------------- TOTAL COMMON STOCKS (Cost $1,204,393,328) 1,686,983,850 --------------- RIGHTS/WARRANTS -- (0.0%) * Chart Industries, Inc. Warrants 09/15/10 3 46 * Chiquita Brands International, Inc. Warrants 03/19/09 1,687 9,279 * Foster Wheelers, Ltd. Warrants 09/24/07 3,500 0 * Timco Aviation Services, Inc. Warrants 02/27/07 229 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $43,938) 9,325 --------------- FACE AMOUNT --------------- (000) BONDS -- (0.0%) * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 (Cost $0) $ 0 0 --------------- TEMPORARY CASH INVESTMENTS -- (9.7%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $173,211,000 U.S. Treasury Bills, maturities ranging from 02/17/05 to 05/12/05, valued at $171,735,769) to be repurchased at $168,373,451 (Cost $168,364,378)^ 168,364 168,364,378 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $13,597,000 FHLMC Notes 4.20%, 10/20/09, valued at $13,655,331) to be repurchased at $13,513,706 (Cost $13,513,000) 13,513 13,513,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $181,877,378) 181,877,378 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,386,314,644) $ 1,868,870,553 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 90 THE TAX-MANAGED U.S. EQUITY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2004
SHARES VALUE+ --------------- --------------- COMMON STOCKS -- (93.0%) * 1-800 CONTACTS, Inc. 600 $ 12,294 * 1-800-FLOWERS.COM, Inc. 1,266 10,508 1st Source Corp. 600 15,750 21st Century Insurance Group 3,200 41,536 * 3-D Systems Corp. 300 4,833 * 3Com Corp. 19,700 87,468 3M Co. 36,600 2,912,994 * 4Kids Entertainment, Inc. 700 14,301 * 7-Eleven, Inc. 5,300 125,080 *# 99 Cents Only Stores 2,800 41,776 * @Road, Inc. 2,000 12,060 * A.C. Moore Arts & Crafts, Inc. 995 28,646 # A.G. Edwards, Inc. 3,300 129,030 *# aaiPharma, Inc. 650 2,008 * AAR Corp. 1,100 15,037 Abbott Laboratories 74,500 3,126,020 Abercrombie & Fitch Co. 4,700 214,085 * Abgenix, Inc. 4,300 43,645 * Abiomed, Inc. 1,100 16,698 * Able Laboratories, Inc. 700 15,225 ABM Industries, Inc. 1,900 41,705 * ABX Air, Inc. 600 4,716 * Acacia Research-Acacia Technologies 110 500 * Acacia Research-CombiMatrix 61 205 * Accelrys, Inc. 800 5,008 *# Accredited Home Lenders Holding Co. 400 17,180 * Accredo Health, Inc. 2,350 63,614 * ACE Cash Express, Inc. 700 18,672 Aceto Corp. 1,000 17,000 * Aclara BioSciences, Inc. 200 836 * Acme Communications, Inc. 500 2,940 * Actel Corp. 1,200 20,592 Action Performance Companies, Inc. 500 5,395 * ActivCard Corp. 1,300 10,348 * Active Power, Inc. 800 3,640 * Activision, Inc. 7,400 116,328 * Actuant Corp. 1,200 56,424 * Actuate Corp. 1,800 4,266 Acxiom Corp. 4,500 113,805 * Adaptec, Inc. 3,900 30,420 * ADC Telecommunications, Inc. 31,800 74,730 * ADDvantage Technologies Group, Inc. 500 2,625 Adesa, Inc. 3,000 59,880 * Administaff, Inc. 1,200 17,880 # Adobe Systems, Inc. 12,400 750,944 * Adolor Corp. 1,800 24,894 Adtran, Inc. 3,370 75,522 *# Advance Auto Parts, Inc. 3,700 152,662 * Advanced Digital Information Corp. 2,600 23,868 * Advanced Energy Industries, Inc. 1,600 13,680 * Advanced Fibre Communications, Inc. 3,800 62,130 Advanced Marketing Services, Inc. 800 8,600 * Advanced Medical Optics, Inc. 1,722 71,601 * Advanced Micro Devices, Inc. 19,700 419,216 *# Advanced Neuromodulation Systems, Inc. 950 34,295 Advanta Corp. Class A 300 $ 6,714 Advanta Corp. Class B Non-Voting 500 11,940 * Advent Software, Inc. 1,600 32,016 Advo, Inc. 1,450 50,909 * AEP Industries, Inc. 300 3,282 * Aeroflex, Inc. 3,700 45,325 * Aeropostale, Inc. 2,600 74,100 * AES Corp. 35,300 432,072 * Aether Systems, Inc. 1,200 4,464 *# AFC Enterprises, Inc. 500 12,040 * Affiliated Computer Services, Inc. Class A 6,700 396,506 * Affiliated Managers Group, Inc. 2,150 136,267 * Affymetrix, Inc. 2,900 98,455 AFLAC, Inc. 34,100 1,282,842 * Aftermarket Technology Corp. 1,200 20,904 *# AGCO Corp. 5,300 115,487 * Agere Systems, Inc. Class A 511 700 * Agile Software Corp. 2,600 21,736 * Agilent Technologies, Inc. 23,000 526,470 Agilysys, Inc. 1,600 26,448 AGL Resources, Inc. 2,200 73,018 * Air Methods Corp. 500 3,635 Air Products & Chemicals, Inc. 11,200 641,200 Airgas, Inc. 4,000 106,320 * Airspan Networks, Inc. 900 4,941 *# Airtran Holdings, Inc. 4,000 47,280 * AK Steel Holding Corp. 5,800 74,878 *# Akamai Technologies, Inc. 44,500 576,275 *# Akorn, Inc. 100 416 * Aksys, Ltd. 700 4,627 Alabama National Bancorporation 700 44,261 * Alaska Air Group, Inc. 1,200 37,476 Albany International Corp. Class A 1,400 46,830 * Albany Molecular Research, Inc. 800 8,576 Albemarle Corp. 2,000 79,680 Alberto-Culver Co. Class B 4,850 224,555 # Albertson's, Inc. 15,000 379,500 Alcoa, Inc. 43,200 1,467,936 Alexander & Baldwin, Inc. 1,600 67,696 * Alexion Pharmaceuticals, Inc. 1,200 24,816 Alfa Corp. 2,400 36,360 * Align Technology, Inc. 2,300 24,311 * Alkermes, Inc. 3,000 41,370 * Allegheny Corp. 106 29,952 * Allegheny Energy, Inc. 9,100 174,174 Allegheny Technologies, Inc. 4,521 99,462 Allergan, Inc. 8,700 639,450 ALLETE, Inc. 1,000 36,400 * Alliance Data Systems Corp. 4,000 171,600 * Alliance Gaming Corp. 1,700 20,553 * Alliance Imaging, Inc. 1,900 17,860 * Alliance Semiconductor Corp. 1,200 4,200 Alliant Energy Corp. 3,700 100,936 *# Alliant Techsystems, Inc. 2,150 141,620 * Allied Defense Group, Inc. 300 6,144 * Allied Healthcare International, Inc. 100 538 * Allied Waste Industries, Inc. 16,200 147,258
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SHARES VALUE+ --------------- --------------- * Allmerica Financial Corp. 3,300 $ 107,415 * Allos Therapeutics, Inc. 400 840 * Alloy, Inc. 1,100 4,950 * Allscripts Healthcare Solutions, Inc. 1,800 17,730 Allstate Corp. 32,957 1,664,328 Alltel Corp. 14,200 804,998 Alpharma, Inc. Class A 1,400 23,254 * Altera Corp. 18,000 408,240 *# Altiris, Inc. 1,000 28,000 Altria Group, Inc. 58,000 3,334,420 * Amazon.com, Inc. 18,900 749,952 AMBAC Financial Group, Inc. 7,400 601,842 Ambassadors Group, Inc. 100 3,478 Ambassadors International, Inc. 100 1,374 * AMC Entertainment, Inc. 1,400 27,062 AMCOL International Corp. 1,100 22,220 Amcore Financial, Inc. 1,000 32,530 * Amedisys, Inc. 700 23,044 Amerada Hess Corp. 4,200 373,170 * Amerco, Inc. 100 4,115 # Ameren Corp. 6,000 290,520 * America Services Group, Inc. 1,050 26,302 * America West Holdings Corp. Class B 1,300 7,553 American Axle & Manufacturing Holdings, Inc. 3,500 102,060 # American Capital Strategies, Ltd. 800 25,552 American Eagle Outfitters, Inc. 3,900 162,903 American Electric Power Co., Inc. 14,300 488,631 American Express Co. 68,500 3,816,135 American Financial Group, Inc. 3,100 97,588 # American Greetings Corp. Class A 4,000 106,480 *# American Healthways, Inc. 1,600 53,360 American International Group, Inc. 195,100 12,359,585 # American Italian Pasta Co. 1,200 23,112 * American Medical Security Group, Inc. 600 19,398 * American Medical Systems Holdings, Inc. 1,600 61,056 American National Insurance Co. 500 50,825 American Pacific Corp. 100 835 *# American Pharmaceutical Partners, Inc. 3,400 101,082 * American Physicians Capital, Inc. 500 16,655 American Power Conversion Corp. 8,300 175,462 * American Retirement Corp. 600 4,770 * American Science & Engineering, Inc. 500 18,480 * American Standard Companies, Inc. 10,700 416,658 American States Water Co. 500 13,005 * American Superconductor Corp. 1,300 18,000 * American Tower Corp. 13,000 235,690 * American West Bancorporation 133 2,793 American Woodmark Corp. 800 32,184 * America's Car-Mart, Inc. 700 25,690 * AmeriCredit Corp. 10,100 211,494 *# AMERIGROUP Corp. 1,200 82,800 * AmeriServe Financial, Inc. 700 3,640 AmerisourceBergen Corp. 7,700 453,838 Ameristar Casinos, Inc. 1,200 48,300 * Ameritrade Holding Corp. 20,700 288,351 Ameron International Corp. 200 7,596 # AmerUs Group Co. 1,900 $ 82,783 Ametek, Inc. 4,500 147,060 * Amgen, Inc. 69,658 4,182,266 * Amkor Technology, Inc. 7,300 40,150 * AMN Healthcare Services, Inc. 1,700 27,200 * Amphenol Corp. 4,200 147,462 *# AMR Corp. 7,100 64,113 AmSouth Bancorporation 14,000 363,020 * Amsurg Corp. 1,650 42,421 * Amylin Pharmaceuticals, Inc. 4,400 89,672 Anadarko Petroleum Corp. 14,200 988,320 *# Anadigics, Inc. 100 337 Analog Devices, Inc. 19,900 735,305 Analogic Corp. 300 13,596 * Anaren, Inc. 700 9,404 Anchor Bancorp Wisconsin, Inc. 1,000 29,210 * Andrew Corp. 10,132 143,874 * Andrx Group 4,600 81,880 Anheuser-Busch Companies, Inc. 38,600 1,933,474 # Anixter International, Inc. 1,900 71,687 * AnnTaylor Stores Corp. 3,675 80,629 * Ansoft Corp. 500 9,010 * AnswerThink, Inc. 2,000 9,020 * Ansys, Inc. 1,300 39,897 * Anteon International Corp. 1,600 59,232 *# Anthem, Inc. 10,899 1,104,396 *# Antigenics, Inc. 2,100 19,782 # AON Corp. 12,400 261,888 * AP Pharma, Inc. 500 620 * APAC Customer Services, Inc. 1,000 1,700 Apache Corp. 21,598 1,167,588 * Aphton Corp. 1,200 3,960 Apogee Enterprises, Inc. 1,100 16,038 * Apogee Technology, Inc. 500 1,910 *# Apollo Group, Inc. Class A 8,350 665,495 * Apple Computer, Inc. 21,100 1,414,755 Applebees International, Inc. 4,600 118,220 Applera Corp. - Applied Biosystems Group 200 4,100 * Applica, Inc. 1,100 5,555 * Applied Extrusion Technologies, Inc. 100 17 * Applied Films Corp. 500 11,080 Applied Industrial Technologies, Inc. 500 20,825 * Applied Materials, Inc. 95,400 1,587,456 * Applied Micro Circuits Corp. 14,700 54,096 Applied Signal Technologies, Inc. 500 18,980 * Apria Healthcare Group, Inc. 2,400 73,608 Aptargroup, Inc. 2,400 126,120 Aqua America, Inc. 4,425 104,961 * aQuantive, Inc. 2,500 21,725 * Aquila, Inc. 10,800 37,800 ARAMARK Corp. 5,400 141,264 * Arch Capital Group, Ltd. 100 3,895 Arch Chemicals, Inc. 1,100 32,120 Arch Coal, Inc. 3,200 122,240 Archer-Daniels-Midland Co. 34,700 735,640 Arctic Cat, Inc. 600 16,026 * Arena Pharmaceuticals, Inc. 1,000 5,600 * ARGON ST, Inc. 500 12,930 * Argonaut Group, Inc. 1,400 27,832 * Argosy Gaming Corp. 1,500 69,840
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SHARES VALUE+ --------------- --------------- * Ariad Pharmaceuticals, Inc. 2,100 $ 12,117 * Ariba, Inc. 2,241 36,976 Arkansas Best Corp. 1,100 47,432 * Armor Holdings, Inc. 1,600 69,072 *# Arotech Corp. 400 704 * Arqule, Inc. 800 4,432 * Array BioPharma, Inc. 1,200 10,032 * Arris Group, Inc. 3,300 18,777 * Arrow Electronics, Inc. 6,000 147,180 Arrow International, Inc. 2,200 66,528 * Artesyn Technologies, Inc. 1,500 14,280 * Arthrocare Corp. 1,000 30,270 * Artisan Components, Inc. 1,000 34,500 * Asbury Automotive Group, Inc. 3,000 41,640 * Ascential Software Corp. 1,225 16,746 Ashland, Inc. 2,900 171,535 * Ashworth, Inc. 600 5,430 * Ask Jeeves, Inc. 2,500 64,600 * Aspect Communications Corp. 2,300 24,955 * Aspect Medical Systems, Inc. 1,000 24,400 * Aspen Technology, Inc. 1,600 9,232 Associated Banc-Corp 4,914 163,292 * Astec Industries, Inc. 960 15,974 # Astoria Financial Corp. 3,200 132,800 * ASV, Inc. 800 33,544 * Asyst Technologies, Inc. 1,900 7,904 AT&T Corp. 24,200 442,860 * Atari, Inc. 3,900 8,853 *# AtheroGenics, Inc. 1,500 35,565 * Atmel Corp. 25,300 89,815 * ATMI, Inc. 1,700 39,134 # Atmos Energy Corp. 2,700 72,873 * ATP Oil & Gas Corp. 1,100 15,675 * Atwood Oceanics, Inc. 1,000 52,430 * Audiovox Corp. Class A 800 11,960 * August Technology Corp. 500 4,225 *# Authentidate Holding Corp. 1,000 6,940 * autobytel.com, Inc. 2,000 14,560 Autodesk, Inc. 6,600 431,706 Automatic Data Processing, Inc. 28,500 1,297,605 * AutoNation, Inc. 14,600 270,392 *# Autozone, Inc. 3,600 308,160 *# Avanex Corp. 6,000 18,600 * AVANIR Pharmaceuticals Class A 4,300 14,663 * Avant Immunotherapeutics, Inc. 700 1,295 * Avatar Holdings, Inc. 100 4,727 Avery Dennison Corp. 4,900 287,434 *# AVI BioPharma, Inc. 500 1,090 * Aviall, Inc. 1,700 38,658 * Avici Systems, Inc. 500 3,575 * Avid Technology, Inc. 1,500 85,605 * Avigen, Inc. 300 1,035 Avista Corp. 1,200 21,360 * Avnet, Inc. 6,200 114,080 * Avocent Corp. 2,600 98,618 # Avon Products, Inc. 24,800 930,992 AVX Corp. 8,100 101,979 * Axcelis Technologies, Inc. 4,900 35,770 * AXS-One, Inc. 100 284 * Aztar Corp. 1,200 40,584 # Baker Hughes, Inc. 16,700 740,311 Baldor Electric Co. 1,500 $ 41,370 Ball Corp. 6,200 277,326 *# Bally Total Fitness Holding Corp. 1,700 5,661 BancorpSouth, Inc. 3,300 82,038 Bandag, Inc. 200 9,974 Bank of America Corp. 148,252 6,859,620 Bank of Hawaii Corp. 2,200 106,810 Bank of New York Co., Inc. 31,300 1,030,083 # Banknorth Group, Inc. 7,500 269,775 * BankUnited Financial Corp. Class A 1,400 43,036 Banner Corp. 600 19,812 Banta Corp. 1,000 44,500 # Bard (C.R.), Inc. 6,000 359,460 * Barnes & Noble, Inc. 3,900 105,612 Barnes Group, Inc. 1,000 26,180 * Barr Laboratories, Inc. 6,525 254,801 * Barry (R.G.) Corp. 100 350 # Bausch & Lomb, Inc. 2,800 164,864 Baxter International, Inc. 29,100 921,015 Bay View Capital Corp. 320 5,504 * BayCorp Holdings, Ltd. 6 76 BB&T Corp. 21,678 920,231 * BE Aerospace, Inc. 1,400 14,836 * BEA Systems, Inc. 20,700 167,256 Bear Stearns Companies, Inc. 8,200 800,156 * BearingPoint, Inc. 11,000 95,700 * Beasley Broadcast Group, Inc. 200 3,510 # Beazer Homes USA, Inc. 700 86,800 Bebe Stores, Inc. 1,900 68,932 # Beckman Coulter, Inc. 3,000 196,380 Becton Dickinson & Co. 13,200 723,096 * Bed Bath and Beyond, Inc. 14,000 558,992 BEI Technologies, Inc. 700 20,545 Belden CDT, Inc. 1,600 37,104 * Bell Microproducts, Inc. 1,100 9,405 BellSouth Corp. 67,800 1,818,396 Belo Corp. Class A 4,500 113,490 Bemis Co., Inc. 5,200 144,768 * Benchmark Electronics, Inc. 2,200 77,110 * Bentley Pharmaceuticals, Inc. 1,000 8,820 Berkley (W.R.) Corp. 4,425 200,674 Berry Petroleum Corp. Class A 1,100 50,930 Best Buy Co., Inc. 17,700 997,926 * Beverly Enterprises, Inc. 5,400 46,818 *# Big Lots, Inc. 5,200 60,320 * BindView Development Corp. 600 2,130 * BioCryst Pharmaceuticals, Inc. 600 3,960 * Bioenvision, Inc. 500 5,150 * Biogen Idec, Inc. 18,455 1,082,939 # BioLase Technology, Inc. 1,000 9,040 * BioMarin Pharmaceutical, Inc. 2,100 11,193 # Biomet, Inc. 16,400 785,068 * Bio-Rad Laboratories, Inc. Class A 200 11,340 * Bio-Reference Laboratories, Inc. 500 8,210 * BioSante Pharmaceuticals, Inc. 500 5,035 *# Biosite, Inc. 700 38,983 * Biosource International, Inc. 100 658 * BioSphere Medical, Inc. 200 620 * Bioveris Corp. 600 3,708 * BISYS Group, Inc. 5,700 91,257 # BJ Services, Co. 8,800 445,896
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SHARES VALUE+ --------------- --------------- * BJ's Restaurants, Inc. 900 $ 13,464 *# BJ's Wholesale Club, Inc. 3,800 112,822 Black & Decker Corp. 4,400 369,996 Black Box Corp. 600 25,608 Black Hills Corp. 300 9,213 Blackrock, Inc. 1,000 74,560 Blair Corp. 200 7,000 # Blockbuster, Inc. Class A 2,400 20,352 * Blount International, Inc. 1,000 17,430 * Blue Coat Systems, Inc. 1,000 16,690 * Bluegreen Corp. 1,000 15,900 Blyth, Inc. 2,200 64,482 * BMC Software, Inc. 11,100 206,238 Bob Evans Farms, Inc. 1,500 37,875 * Boca Resorts, Inc. 1,900 45,486 Boeing Co. 41,500 2,223,155 * BOK Financial Corp. 3,729 181,975 * Bombay Co., Inc. 1,200 8,304 * Bone Care International, Inc. 1,100 25,652 *# Bookham, Inc. 180 965 # Borders Group, Inc. 4,300 97,954 BorgWarner, Inc. 4,100 205,246 * Borland Software Corp. 4,000 46,760 * Boston Beer Co., Inc. Class A 500 10,890 * Boston Communications Group, Inc. 600 5,340 Boston Private Financial Holdings, Inc. 1,100 29,799 * Boston Scientific Corp. 40,200 1,399,362 * Bottomline Technologies, Inc. 200 2,340 # Bowater, Inc. 2,100 85,071 Bowne & Co., Inc. 1,500 23,100 Boyd Gaming Corp. 4,200 154,392 * Boyds Collection, Ltd. 1,900 6,669 * Bradley Pharmaceuticals, Inc. 1,000 17,700 Brady Co. Class A 1,000 61,100 # Briggs & Stratton Corp. 2,200 86,284 * Brigham Exploration Co. 2,100 19,635 * Brightpoint, Inc. 1,350 25,798 * Brillian Corp. 125 385 * Brinker International, Inc. 4,500 153,585 Bristol-Myers Squibb Co. 61,200 1,438,200 *# Broadcom Corp. 11,300 367,476 *# BroadVision, Inc. 900 2,070 *# Brocade Communications Systems, Inc. 14,200 98,406 Brookline Bancorp, Inc. 1,400 22,680 * Brooks Automation, Inc. 1,724 26,463 * Brookstone, Inc. 1,125 20,587 * Brooktrout, Inc. 500 6,130 Brown & Brown, Inc. 3,700 150,035 Brown Shoe Company, Inc. 500 14,260 Brown-Forman Corp. Class B 3,000 144,060 * Bruker BioSciences Corp. 3,510 16,181 Brunswick Corp. 7,800 380,796 * Brush Engineered Materials, Inc. 1,100 21,450 * Buckeye Technologies, Inc. 2,000 24,780 Buckle, Inc. 300 9,240 Building Materials Holding Corp. 600 21,870 Burlington Coat Factory Warehouse Corp. 1,700 39,627 Burlington Northern Santa Fe Corp. 4,800 216,192 Burlington Resources, Inc. 21,800 $ 1,011,738 * Bush Industries, Inc. Class A 100 8 C&D Technologies, Inc. 1,300 22,529 * C-COR, Inc. 2,000 17,900 C. H. Robinson Worldwide, Inc. 4,300 231,125 * Cablevision Systems New York Group Class A 10,300 219,905 Cabot Corp. 2,800 105,420 * Cabot Microelectronics Corp. 1,100 40,645 Cabot Oil & Gas Corp. 1,800 87,084 * Cache, Inc. 765 12,630 * CACI International, Inc. Class A 1,500 93,195 * Cadence Design Systems, Inc 13,000 178,620 * Caesars Entertainment, Inc. 17,200 323,360 * Cal Dive International, Inc. 1,900 81,814 * CalAmp Corp. 400 3,828 Calgon Carbon Corp. 1,400 13,090 * California Coastal Communities, Inc. 100 2,229 * California Micro Devices Corp. 500 4,350 * California Pizza Kitchen, Inc. 1,000 25,050 California Water Service Group 600 20,982 * Caliper Life Sciences, Inc. 800 5,592 Callaway Golf Co. 2,500 29,400 * Callon Petroleum Co. 300 4,203 # Cal-Maine Foods, Inc. 1,000 13,228 *# Calpine Corp. 23,500 91,180 Cambrex Corp. 700 17,360 Campbell Soup Co. 18,700 533,511 * Candela Corp. 1,200 11,736 * Candie's, Inc. 700 3,262 * Cantel Medical Corp. 500 14,980 * Canyon Resources Corp. 500 605 Capital One Financial Corp. 14,900 1,170,842 * Capital Pacific Holdings, Inc. 100 397 * Capital Senior Living Corp. 500 2,595 Capitol Federal Financial 2,400 84,672 * Capstone Turbine Corp. 1,400 2,618 * Captaris, Inc. 500 2,455 * Caraustar Industries, Inc. 1,300 20,917 CARBO Ceramics, Inc. 1,100 85,470 * Cardiac Sciences, Inc. 2,400 5,088 Cardinal Health, Inc. 21,982 1,149,219 * CardioDynamics International Corp. 1,800 8,226 * Cardiotech International, Inc. 300 843 *# Career Education Corp. 4,400 171,160 * Caremark Rx, Inc. 25,298 904,656 Carlisle Companies, Inc. 1,600 95,696 * CarMax, Inc. 4,899 136,437 Carmike Cinemas, Inc. 900 33,696 Carpenter Technology Corp. 800 46,760 * Carrier Access Corp. 1,600 14,448 * Carrizo Oil & Gas, Inc. 100 967 Cascade Corp. 500 16,045 Cascade Natural Gas Corp. 500 10,690 * Casella Waste Systems, Inc. Class A 1,100 16,621 Casey's General Stores, Inc. 2,200 42,614 Cash America International, Inc. 1,600 41,040 * Casual Male Retail Group, Inc. 1,000 4,320 Catalina Marketing Corp. 2,300 64,630 * Catalyst Semiconductor, Inc. 500 2,980 * Catapult Communications Corp. 600 16,284
94
SHARES VALUE+ --------------- --------------- Catellus Development Corp. 5,694 $ 178,792 Caterpillar, Inc. 14,600 1,336,630 Cathay General Bancorp 2,852 110,429 Cato Corp. Class A 700 18,676 * Cavalier Homes, Inc. 600 3,318 * Cavco Industries, Inc. 150 6,045 CBRL Group, Inc. 2,800 114,156 * CCC Information Services Group, Inc. 400 8,360 CDI Corp. 600 11,592 CDW Corp. 4,000 262,880 * CEC Entertainment, Inc. 1,800 73,242 * Celadon Group, Inc. 500 10,700 Celeritek, Inc. 700 2,527 * Celestica, Inc. 175 2,656 * Celgene Corp. 7,900 216,618 * Cell Genesys, Inc. 1,600 11,744 * Cell Therapeutics, Inc. 1,200 8,976 * Cellegy Pharmaceuticals, Inc. 100 495 * CellStar Corp. 1,200 4,380 Cendant Corp. 59,176 1,341,520 * Centene Corp. 1,100 58,850 Center Financial Corp. 1,000 20,590 CenterPoint Energy, Inc. 8,000 89,280 # Centex Corp. 8,000 419,760 * Centillium Communications, Inc. 1,300 3,276 * Central European Distribution Corp. 750 19,717 * Central Garden & Pet Co. 900 34,830 Central Pacific Financial Corp. 1,100 36,773 Central Parking Corp. 1,000 15,180 Central Vermont Public Service Corp. 400 9,032 * Century Aluminum Co. 1,600 40,992 * Century Business Services, Inc. 3,100 13,330 * Cenuco, Inc. 100 728 * Cenveo, Inc. 1,300 4,147 * Cephalon, Inc. 2,600 123,578 * Cepheid, Inc. 1,800 16,578 * Ceradyne, Inc. 1,050 51,870 * Ceres Group, Inc. 1,000 5,000 * Ceridian Corp. 7,900 149,389 *# Cerner Corp. 1,900 100,168 * Cerus Corp. 300 783 * CEVA, Inc. 200 1,604 CH Energy Group, Inc. 500 23,235 * Chalone Wine Group, Ltd. 100 1,183 *# Champion Enterprises, Inc. 3,100 35,588 * Champps Entertainment, Inc. 500 3,970 * Charles and Colvard, Ltd. 300 2,862 * Charles River Laboratories International, Inc. 3,220 150,535 * Charlotte Russe Holding, Inc. 1,000 11,650 * Charming Shoppes, Inc. 4,500 42,075 *# Chart Industries, Inc. 2 94 *# Charter Communications, Inc. 6,000 12,960 * Chattem, Inc. 1,000 36,220 * Checkers Drive-In Restaurants, Inc. 300 3,714 * CheckFree Corp. 5,000 185,250 * Checkpoint Systems, Inc. 1,800 33,228 * Cheesecake Factory, Inc. 2,600 127,114 Chemed Corp. 600 37,224 Chemical Financial Corp. 1,025 42,947 *# Cheniere Energy, Inc. 1,000 56,860 Chesapeake Corp. 500 $ 13,495 Chesapeake Energy Corp. 13,800 248,400 ChevronTexaco Corp. 85,800 4,684,680 *# Chicos FAS, Inc. 4,200 162,120 * Chiquita Brands International, Inc. 1,600 31,648 * Chiron Corp. 9,400 306,158 # Chittenden Corp. 1,875 55,275 Choice Hotels International, Inc. 1,600 81,920 * ChoicePoint, Inc. 4,300 188,555 * Cholestech Corp. 200 1,600 * Chordiant Software, Inc. 2,900 5,945 Christopher & Banks Corp. 1,450 28,608 * Chromcraft Revington, Inc. 100 1,251 * Chronimed, Inc. 500 3,295 Chubb Corp. 8,300 632,543 Church & Dwight Co., Inc. 3,150 98,343 * Ciber, Inc. 2,400 22,392 * CIENA Corp. 21,100 53,805 CIGNA Corp. 6,700 469,134 * Cimarex Energy Co. 1,456 58,502 * Cincinnati Bell, Inc. 7,700 27,720 Cincinnati Financial Corp. 6,135 274,848 Cinergy Corp. 5,500 227,645 Cintas Corp. 9,200 411,424 * Ciphergen Biosystems, Inc. 600 1,932 CIRCOR International, Inc. 600 12,510 Circuit City Stores, Inc. 9,300 144,987 * Cirrus Logic, Inc. 4,300 25,499 * Cisco Sytems, Inc. 300,600 5,624,226 Citigroup, Inc. 193,516 8,659,841 Citizens Banking Corp. 1,600 56,160 Citizens Communications Co. 15,700 224,510 * Citizens, Inc. 1,556 10,042 * Citrix Systems, Inc. 8,000 188,880 City Holding Co. 600 22,152 City National Corp. 2,100 143,640 * CKE Restaurants, Inc. 2,400 30,024 Claire's Stores, Inc. 4,500 91,575 Clarcor, Inc. 1,500 78,780 * Clark, Inc. 900 14,985 * Clarus Corp. 100 867 * Clayton Williams Energy, Inc. 100 2,289 Clear Channel Communications, Inc. 34,535 1,163,139 Cleco Corp. 700 13,860 # Cleveland-Cliffs, Inc. 500 48,450 Clorox Co. 9,800 540,176 * Closure Medical Corp. 500 8,895 * CMGI, Inc. 4,400 6,732 * CMS Energy Corp. 7,700 78,540 * CNA Financial Corp. 15,600 407,316 * CNA Surety Corp. 1,900 24,814 *# CNET Networks, Inc. 5,300 49,396 CNF, Inc. 2,600 121,550 CNS, Inc. 600 7,242 * Coach, Inc. 9,600 478,464 Coachmen Industries, Inc. 500 8,035 Coca-Cola Co. 111,600 4,386,996 Coca-Cola Enterprises, Inc. 26,900 559,520 *# Coeur d'Alene Mines Corp. 8,600 39,474 Cognex Corp. 2,200 56,760 *# Cognizant Technology Solutions Corp. 6,245 238,122
95
SHARES VALUE+ --------------- --------------- * Coherent, Inc. 1,100 $ 31,779 Cohu, Inc. 800 13,408 * Coinstar, Inc. 1,200 31,224 * Coldwater Creek, Inc. 1,687 44,199 Colgate-Palmolive Co. 24,200 1,112,958 * Collagenex Pharmaceuticals, Inc. 500 2,850 * Collins & Aikman Corp. 3,800 13,490 Columbia Banking System, Inc. 855 21,708 * Columbia Sportswear Co. 2,200 125,180 * Columbus McKinnon Corp. 300 2,373 * Comcast Corp. Class A 94,524 2,839,501 * Comcast Corp. Special Class A Non-Voting 31,600 936,940 Comerica, Inc. 6,400 393,600 * Comfort Systems USA, Inc. 800 5,760 # Commerce Bancorp, Inc. 3,700 231,139 Commerce Bancshares, Inc. 3,004 146,928 Commerce Group, Inc. 1,400 83,146 Commercial Capital Bancorp, Inc. 1,449 34,573 Commercial Federal Corp. 1,000 29,130 Commercial Metals Co. 1,300 58,942 * Commonwealth Telephone Enterprises, Inc. 1,100 53,526 * CommScope, Inc. 2,700 52,164 Community Bank System, Inc. 1,100 30,470 * Community Health Systems, Inc. 5,800 160,370 # Compass Bancshares, Inc. 5,400 251,424 * Compex Technologies, Inc. 600 2,940 * CompuCredit Corp. 2,000 47,940 Computer Associates International, Inc. 31,900 973,907 * Computer Horizons Corp. 100 380 * Computer Network Technology Corp. 1,000 5,700 Computer Programs & Systems, Inc. 400 8,640 *# Computer Sciences Corp. 10,100 546,410 * Compuware Corp. 17,600 101,552 * Comstock Resources, Inc. 1,700 36,907 * Comtech Telecommunications Corp. 1,000 31,480 * Comverse Technology, Inc. 10,500 223,335 ConAgra, Inc. 15,800 427,390 * Conceptus, Inc. 1,000 8,930 * Concord Camera Corp. 1,600 4,224 * Concord Communications, Inc. 700 6,503 * Concur Technologies, Inc. 1,400 13,160 * Concurrent Computer Corp. 1,100 2,090 * Conexant Systems, Inc. 19,210 38,228 * Conmed Corp. 1,500 43,455 * Connetics Corp. 1,500 31,365 ConocoPhillips 31,206 2,839,434 CONSOL Energy, Inc. 4,300 183,610 Consolidated Edison, Inc. 8,900 390,265 * Consolidated Graphics, Inc. 700 33,110 *# Constellation Brands, Inc. 6,000 268,200 Constellation Energy Group 7,500 327,750 * Continental Airlines, Inc. 3,400 37,876 * Convera Corp. 700 3,262 * Convergys Corp. 6,800 101,116 * Cooper Cameron Corp. 3,700 193,103 Cooper Companies, Inc. 1,900 132,107 Cooper Tire & Rubber Co. 3,000 61,260 Coors (Adolph) Co. Class B 1,800 134,820 * Copart, Inc. 4,424 $ 95,558 * Corillian Corp. 800 4,648 * Corinthian Colleges, Inc. 3,400 59,245 * Corio, Inc. 600 996 *# Corixa Corp. 2,000 7,500 Corn Products International, Inc. 2,000 108,840 * Cornell Companies, Inc. 500 7,325 * Corning, Inc. 70,900 891,922 Corporate Executive Board Co. 2,200 147,576 * Corrections Corporation of America 1,800 71,100 Corus Bankshares, Inc. 1,044 50,811 * Cost Plus, Inc. 1,100 34,958 *# CoStar Group, Inc. 800 35,040 Costco Wholesale Corp. 24,200 1,176,120 Countrywide Financial Corp. 38,798 1,288,482 * Covance, Inc. 3,300 130,218 * Covansys Corp. 1,000 13,460 * Covenant Transport, Inc. Class A 600 11,532 * Coventry Health Care, Inc. 4,400 218,372 * COX Communications, Inc. 37,100 1,286,257 * Cox Radio, Inc. 2,200 34,980 Crane Co. 2,800 84,728 * Cray, Inc. 3,100 10,881 * Credence Systems Corp. 3,400 25,976 * Credit Acceptance Corp. 1,991 49,277 *# Cree, Inc. 3,500 125,230 * Criticare Systems, Inc. 100 266 Crompton Corp. 4,528 50,759 * Cross (A.T.) Co. Class A 100 476 * Cross Country Healthcare, Inc. 1,200 21,300 * Crown Castle International Corp. 12,800 216,064 * Crown Holdings, Inc. 8,200 104,960 * Crown Media Holdings, Inc. 3,200 28,352 * CryoLife, Inc. 500 3,560 * CSG Systems International, Inc. 2,500 45,425 * CSK Auto Corp. 1,700 26,078 CSS Industries, Inc. 150 4,819 CSX Corp. 9,400 358,422 CT Communications, Inc. 500 6,615 CTS Corp. 1,100 14,696 Cubic Corp. 1,200 30,600 * Cubist Pharmaceuticals, Inc. 1,100 13,200 Cullen Frost Bankers, Inc. 2,200 105,402 * Culp, Inc. 400 2,408 Cummins, Inc. 2,400 191,088 * Cumulus Media, Inc. Class A 2,600 39,728 * CUNO, Inc. 900 58,977 * CuraGen Corp. 2,500 15,075 * Curative Health Services, Inc. 800 4,568 * Curis, Inc. 800 3,240 Curtiss-Wright Corp. 200 11,920 * CV Therapeutics, Inc. 1,500 32,520 CVB Financial Corp. 1,887 51,289 CVS Corp. 21,600 979,992 * Cyberguard Corp. 400 2,468 * Cyberonics, Inc. 1,100 20,427 * Cyberoptics Corp. 500 7,030 * Cybersource Corp. 1,000 7,060 * Cymer, Inc. 1,600 48,672 * Cypress Bioscience, Inc. 1,300 15,145 * Cypress Semiconductor Corp. 5,100 50,235
96
SHARES VALUE+ --------------- --------------- Cytec Industries, Inc. 2,400 $ 116,664 * Cytogen Corp. 500 4,925 * Cytyc Corp. 5,300 142,252 D&K Healthcare Resources, Inc. 500 3,630 * Dade Behring Holdings, Inc. 800 42,952 * Daktronics, Inc. 1,200 31,104 Dana Corp. 7,000 114,450 Danaher Corp. 22,600 1,285,488 * Danielson Holding Corp. 600 4,902 Darden Restaurants, Inc. 8,450 230,347 * Darling International, Inc. 2,700 11,124 Datascope Corp. 1,300 52,117 * DaVita, Inc. 5,050 167,761 * Dean Foods Co. 9,750 308,782 Deb Shops, Inc. 500 12,325 *# Deckers Outdoor Corp. 100 4,352 Deere & Co. 10,400 745,992 * Del Laboratories, Inc. 115 3,939 * Del Monte Foods Co. 11,600 125,860 * Dell, Inc. 111,200 4,505,824 # Delphi Corp. 23,300 209,700 Delphi Financial Group, Inc. Class A 1,800 83,628 Delta & Pine Land Co. 1,800 48,060 *# Delta Air Lines, Inc. 4,500 31,365 Delta Financial Corp. 600 6,060 * Delta Petroleum Corp. 300 4,719 Deltic Timber Corp. 600 27,120 Deluxe Corp. 1,600 63,264 * Denbury Resources, Inc. 2,900 83,955 *# Dendreon Corp. 2,200 21,582 * Dendrite International, Inc. 1,800 30,726 Dentsply International, Inc. 4,450 234,114 * Department 56, Inc. 500 8,465 *# DepoMed, Inc. 1,203 5,606 Devon Energy Corp. 5,796 240,070 * DeVry, Inc. 3,000 50,580 *# DHB Industries, Inc. 1,900 35,340 Diagnostic Products Corp. 1,500 72,600 # Diamond Offshore Drilling, Inc. 6,700 250,982 * DiamondCluster International, Inc. 1,500 18,345 Diebold, Inc. 3,200 170,240 * Digene Corp. 900 21,765 * Digi International, Inc. 1,032 15,882 * Digimarc Corp. 1,000 9,210 *# Digital Angel Corp. 500 3,195 * Digital Generation Systems, Inc. 800 1,080 * Digital Impact, Inc. 300 351 * Digital Insight Corp. 1,600 26,120 * Digital River, Inc. 1,400 58,688 * Digitas, Inc. 3,200 26,272 Dillards, Inc. Class A 4,000 100,720 Dime Community Bancshares 1,250 22,937 DIMON, Inc. 300 1,953 * Dionex Corp. 1,000 57,390 * Discovery Partners International, Inc. 100 460 Disney (Walt) Co. 107,100 2,878,848 * Distributed Energy Systems Corp. 700 1,876 * Ditech Communications Corp. 1,600 25,216 * Diversa Corp. 1,900 16,093 * Dixie Group, Inc. 100 1,603 * DJ Orthopedics, Inc. 1,200 24,204 * DocuCorp International, Inc. 400 $ 3,572 Dollar General Corp. 16,500 325,875 * Dollar Thrifty Automotive Group, Inc. 1,100 29,579 * Dollar Tree Stores, Inc. 6,000 166,980 Dominion Resources, Inc. 12,300 805,281 Donaldson Co., Inc. 17,400 539,400 Donnelley (R.R.) & Sons Co. 9,100 315,770 * Dot Hill Systems Corp. 2,000 13,200 * DoubleClick, Inc. 5,000 37,500 * DOV Pharmaceutical, Inc. 1,000 18,510 Dover Corp. 9,700 392,365 Dover Motorsports, Inc. 200 972 Dow Chemical Co. 40,100 2,023,847 Dow Jones & Co., Inc. 2,900 123,975 Downey Financial Corp. 1,700 98,158 DPL, Inc. 4,600 110,308 * Drew Industries, Inc. 600 19,986 Dreyer's Grand Ice Cream Holdings, Inc. Class A 1,800 144,414 * Dril-Quip, Inc. 900 21,483 * DRS Technologies, Inc. 1,000 42,720 * drugstore.com, Inc. 2,200 7,150 * DSP Group, Inc. 1,100 24,398 * DST Systems, Inc. 4,200 204,750 DTE Energy Co. 5,200 228,176 * Ducommun, Inc. 300 7,605 Duke Energy Corp. 34,800 879,744 DuPont (E.I.) de Nemours & Co., Inc. 41,700 1,889,844 * DuPont Photomasks, Inc. 800 21,104 # Duquesne Light Holdings, Inc. 3,900 68,796 * Dura Automotive Systems, Inc. 800 7,280 * Duratek, Inc. 100 2,301 * Durect Corp. 1,200 2,688 * DUSA Pharmaceuticals, Inc. 600 7,962 * Dyax Corp. 1,400 11,102 * Dycom Industries, Inc. 2,333 67,984 *# Dynacq Healthcare, Inc. 500 2,700 * Dynamex, Inc. 500 10,060 * Dynamics Research Corp. 500 8,355 *# Dynegy, Inc. 16,800 94,920 * E*TRADE Financial Corp. 19,500 270,270 * E-Loan, Inc. 2,600 7,020 * E.piphany, Inc. 1,900 8,588 # Eagle Materials, Inc. 1,277 100,078 Eagle Materials, Inc. Class B 596 45,058 *# EarthLink, Inc. 8,200 88,888 East West Bancorp, Inc. 2,600 107,822 # Eastman Chemical Co. 2,900 157,702 Eastman Kodak Co. 14,300 467,753 Eaton Corp. 10,000 674,000 Eaton Vance Corp. 3,300 158,235 * eBay, Inc. 29,800 3,351,010 * Echelon Corp. 1,700 12,852 * EchoStar Communications Corp. Class A 9,000 295,110 Ecolab, Inc. 14,600 510,708 * eCollege.com 1,000 11,750 * Eden Bioscience Corp. 100 71 * Edge Petroleum Corp. 600 9,180 # Edison International 22,500 717,750 EDO Corp. 1,000 30,470
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SHARES VALUE+ --------------- --------------- * Education Management Corp. 3,400 $ 112,676 * eFunds Corp. 2,400 57,168 *# EGL, Inc. 2,100 70,854 # El Paso Corp. 27,200 283,968 * El Paso Electric Co. 2,600 46,670 Electro Rent Corp. 800 11,344 * Electro Scientific Industries, Inc. 700 13,594 *# Electronic Arts, Inc. 13,100 640,590 Electronic Data Systems Corp. 26,400 592,680 * Electronics Boutique Holdings Corp. 1,100 42,845 * Electronics for Imaging, Inc. 2,100 35,133 * Elizabeth Arden, Inc. 1,200 27,360 ElkCorp 1,300 38,480 * EMAK Worldwide, Inc. 100 986 * Embarcadero Technologies, Inc. 1,000 8,840 * Embrex, Inc. 500 6,625 * EMC Corp. 124,312 1,668,267 * EMCOR Group, Inc. 600 27,732 * EMCORE Corp. 250 665 Emerson Electric Co. 17,800 1,189,396 * Emerson Radio Corp. 1,400 4,340 * Emisphere Technologies, Inc. 700 2,147 * Emmis Communications Corp. Class A 2,300 42,527 Empire District Electric Co. 100 2,271 * EMS Technologies, Inc. 200 3,138 * Emulex Corp. 3,100 43,834 * Encore Acquisition Co. 1,700 59,857 * Encore Capital Grooup, Inc. 1,000 25,080 * Encore Medical Corp. 1,200 7,554 * Encore Wire Corp. 1,500 20,212 * Encysive Pharmaceuticals, Inc. 2,700 29,295 * Endeavour International Corp. 2,700 11,583 * Endocardial Solutions, Inc. 1,000 11,370 * Endologix, Inc. 1,100 7,106 Energen Corp. 2,500 144,650 * Energy Conversion Devices, Inc. 1,200 26,712 Energy East Corp. 4,400 110,748 * Energy Partners, Ltd. 1,800 34,866 EnergySouth, Inc. 98 2,821 * Enesco Group, Inc. 500 3,690 Engelhard Corp. 5,700 170,373 Engineered Support Systems, Inc. 1,350 74,250 Ennis, Inc. 500 9,925 * EnPro Industries, Inc. 1,000 28,740 ENSCO International, Inc. 10,291 322,211 * Entegris, Inc. 3,700 36,186 * Entercom Communications Corp. 1,800 64,836 Entergy Corp. 10,400 674,128 * Enterrasys Networks, Inc. 7,900 13,825 * Entravision Communications Corp. 2,600 21,320 *# Entremed, Inc. 300 717 * Entrust, Inc. 2,300 8,579 * Enzo Biochem, Inc. 1,606 30,915 EOG Resources, Inc. 7,900 593,053 * Eon Labs, Inc. 4,400 118,624 * Epicor Software Corp. 2,100 33,117 * EPIQ Systems, Inc. 1,100 16,489 * EPIX Pharmaceuticals, Inc. 1,100 19,360 # Equifax, Inc. 6,700 185,054 * Equinix, Inc. 1,100 42,768 Equitable Resources, Inc. 2,900 $ 172,550 * eResearch Technology, Inc. 2,250 33,165 Erie Indemnity Co. 2,700 140,886 * ESCO Technologies, Inc. 700 51,240 * eSpeed, Inc. 1,000 11,190 * ESS Technology, Inc. 1,500 10,575 Estee Lauder Companies, Inc. 7,400 322,936 * Esterline Technologies Corp. 1,000 35,600 Ethan Allen Interiors, Inc. 1,600 63,120 * Euronet Worldwide, Inc. 1,310 32,226 *# Evergreen Solar, Inc. 400 1,356 * Exact Sciences Corp. 500 1,730 * Exar Corp. 1,700 23,766 * Excel Technology, Inc. 600 15,600 * Exelixis, Inc. 3,000 26,910 Exelon Corp. 29,700 1,238,787 Expeditors International of Washington, Inc. 5,700 303,582 *# Express Scripts, Inc. 4,000 287,840 * ExpressJet Holdings, Inc. 2,200 25,652 * Extreme Networks, Inc. 5,700 38,931 Exxon Mobil Corp. 298,400 15,293,000 # F.N.B. Corp. 1,125 23,884 * F5 Networks, Inc. 1,600 68,880 Factset Research Systems, Inc. 1,700 87,805 # Fair Isaac Corp. 3,735 123,927 * Fairchild Corp. Class A 100 300 * Fairchild Semiconductor Corp. Class A 6,134 93,850 *# FalconStor Software, Inc. 2,000 15,660 Family Dollar Stores, Inc. 8,000 234,400 * Famous Dave's of America, Inc. 100 1,112 * Fargo Electronics 500 7,410 * Faro Technologies, Inc. 600 16,320 Fastenal Co. 3,900 238,524 FBL Financial Group, Inc. Class A 300 8,526 Fedders Corp. 400 1,200 # Federal Signal Corp. 2,100 36,120 Federated Department Stores, Inc. 8,600 471,280 FedEx Corp. 16,900 1,606,007 * FEI Co. 1,200 25,668 # Ferro Corp. 1,500 34,320 *# Fiberstars, Inc. 100 900 Fidelity Bankshares, Inc. 1,000 41,030 Fidelity National Financial, Inc. 7,066 303,061 Fifth Third Bancorp 22,200 1,117,992 * Filenet Corp. 1,900 50,939 * Financial Federal Corp. 1,000 38,460 * FindWhat.com 1,300 25,064 * Finisar Corp. 7,400 13,542 Finish Line, Inc. Class A 4,000 73,600 * First Acceptance Corp. 100 870 First American Corp. 3,800 125,210 * First Cash Financial Services, Inc. 750 19,530 First Charter Corp. 1,100 30,129 First Citizens BancShares, Inc. 100 13,606 First Commonwealth Financial Corp. 1,900 29,165 First Community Bancorp 500 21,010 First Community Bancshares, Inc. 400 14,248 * First Consulting Group, Inc. 600 3,282 First Data Corp. 41,115 1,689,415
98
SHARES VALUE+ --------------- --------------- First Financial Bancorp 1,400 $ 23,912 First Financial Holdings, Inc. 500 16,370 * First Health Group Corp. 5,700 101,574 First Horizon National Corp. 5,900 257,830 * First Horizon Pharmaceutical Corp. 1,800 35,208 First Indiana Corp. 400 9,268 First Merchants Corp. 100 2,695 First Midwest Bancorp, Inc. 2,000 75,080 First National Bankshares of Florida 437 11,227 First Niagara Financial Group, Inc. 1,858 26,830 First Republic Bank 700 35,973 First State Bancorporation 300 11,271 * FirstCity Financial Corp. 300 2,685 FirstEnergy Corp. 12,300 519,429 * FirstFed Financial Corp. 1,200 63,144 FirstMerit Corp. 3,000 82,110 * Fiserv, Inc. 10,200 392,802 * Fisher Scientific International, Inc. 5,648 319,338 Flagstar Bancorp, Inc. 1,800 39,222 * Flanders Corp. 1,200 11,976 * Fleetwood Enterprises, Inc. 2,600 35,230 *# Flir Systems, Inc. 1,600 90,160 Florida East Coast Industries, Inc. 1,800 76,770 Florida Rock Industries, Inc. 2,200 123,860 Flowers Foods, Inc. 1,875 57,244 * Flowserve Corp. 3,300 83,226 Flushing Financial Corp. 1,000 21,250 *# FLYi, Inc. 2,500 4,700 * FMC Corp. 2,400 118,920 * FMC Technologies, Inc. 3,291 108,109 Foot Locker, Inc. 7,800 202,644 # Ford Motor Co. 77,160 1,094,129 Forest City Enterprises, Inc. Class A 300 16,110 Forest City Enterprises, Inc. Class B 150 8,100 * Forest Laboratories, Inc. 16,700 650,799 * Forest Oil Corp. 3,300 112,299 * Forrester Research, Inc. 1,100 17,952 Fortune Brands, Inc. 6,000 470,880 * Forward Air Corp. 1,100 50,985 * Fossil, Inc. 3,450 93,322 * Foster (L.B.) Co. Class A 100 880 * Foundry Networks, Inc. 6,400 85,440 * Fox Entertainment Group, Inc. Class A 20,900 614,460 *# FPIC Insurance Group, Inc. 400 13,212 # FPL Group, Inc. 7,000 492,310 * Frankfort Tower Industries, Inc. 200 0 Franklin Resources, Inc. 17,400 1,141,962 # Fred's, Inc. 1,575 27,295 Freeport-McMoRan Copper & Gold, Inc. Class B 6,900 269,997 # Fremont General Corp. 3,800 90,440 * Friedmans, Inc. Class A 50 84 * Frontier Airlines, Inc. 1,300 15,249 Frontier Oil Corp. 1,300 34,645 * Frozen Food Express Industries, Inc. 200 2,360 * FSI International, Inc. 1,600 7,200 * FTI Consulting, Inc. 2,025 40,844 *# FuelCell Energy, Inc. 2,000 20,100 Fuller (H.B.) Co. 1,000 28,620 Fulton Financial Corp. 4,797 107,453 Furniture Brands International, Inc. 2,400 $ 58,296 G & K Services, Inc. Class A 1,200 49,296 Gabelli Asset Management, Inc. 300 14,520 Gallagher (Arthur J.) & Co. 3,200 98,080 * GameStop Corp. 1,200 25,308 * GameStop Corp. Class B 1,657 35,162 Gannett Co., Inc. 14,000 1,154,860 # Gap, Inc. 47,300 1,033,505 * Gardner Denver Machinery, Inc. 1,100 37,840 * Gartner Group, Inc. 4,200 49,980 * Gateway, Inc. 18,100 123,261 GATX Corp. 1,100 32,384 * Gaylord Entertainment Co. 1,637 57,688 * Gemstar-TV Guide International, Inc. 21,300 116,085 *# Genaissance Pharmaceuticals, Inc. 65 100 Gencorp, Inc. 2,100 35,301 * Gene Logic, Inc. 500 1,685 * Genecor International, Inc. 2,600 42,120 * Genelabs Technologies, Inc. 2,300 1,633 *# Genentech, Inc. 50,100 2,417,325 * General Cable Corp. 2,300 31,280 * General Communications, Inc. Class A 2,700 27,648 General Dynamics Corp. 10,000 1,083,600 General Electric Co. 464,300 16,417,648 General Mills, Inc. 16,800 764,232 # General Motors Corp. 17,400 671,466 * Genesco, Inc. 1,100 32,538 * Genesee & Wyoming, Inc. 1,250 34,462 * Genesis HealthCare Corp. 950 30,637 * Genesis Microchip, Inc. 1,000 16,310 * Genlyte Group, Inc. 800 64,136 * Genta, Inc. 200 260 # Gentex Corp. 3,400 109,888 # Genuine Parts Co. 7,200 312,552 * Genus, Inc. 600 1,044 * GenVec, Inc. 500 970 * Genzyme Corp. 11,100 621,711 Georgia Gulf Corp. 1,700 97,886 Georgia-Pacific Corp. 11,700 428,337 * Gerber Scientific, Inc. 300 2,355 *# Geron Corp. 1,800 12,510 * Getty Images, Inc. 3,000 174,750 Gevity HR, Inc. 1,200 21,252 * Giant Industries, Inc. 500 14,000 Gibraltar Industries, Inc. 150 3,614 * Gilead Sciences, Inc. 20,500 706,430 Gillette Co. 47,000 2,044,030 Glacier Bancorp, Inc. 925 32,014 Glatfelter (P.H.) Co. 1,100 15,763 * Glenayre Technologies, Inc. 500 915 * Global Imaging Systems, Inc. 1,100 41,162 *# Global Power Equipment Group, Inc. 2,300 19,987 * Glowpoint, Inc. 700 847 Gold Banc Corp. 1,200 17,952 # Golden West Financial Corp. 10,700 1,275,868 Goodrich (B.F.) Co. 5,300 168,275 * Goodrich Petroleum Corp. 800 12,920 *# Goodyear Tire & Rubber Co. 12,700 160,274 Goody's Family Clothing, Inc. 100 974 * GP Strategies Corp. 100 710
99
SHARES VALUE+ --------------- --------------- Graco, Inc. 3,425 $ 125,424 * Graftech International, Ltd. 2,500 23,850 Grainger (W.W.), Inc. 4,500 278,370 Granite Construction, Inc. 2,000 53,080 * Graphic Packaging Corp. 8,700 70,992 Gray Television, Inc. 1,300 19,500 Great American Financial Resources, Inc. 500 8,730 * Great Atlantic & Pacific Tea Co., Inc. 1,400 10,584 # Great Lakes Chemical Corp. 2,300 67,390 Great Plains Energy, Inc. 2,400 71,064 # Greater Bay Bancorp 2,100 61,005 * Green Mountain Coffee, Inc. 497 11,918 *# Grey Wolf, Inc. 9,600 52,800 * Griffon Corp. 1,600 40,128 * Group 1 Automotive, Inc. 1,100 32,461 * Grubb & Ellis Co. 100 450 * GSI Commerce, Inc. 1,700 25,721 * GTC Biotherapeutics, Inc. 700 1,071 Gtech Holdings, Inc. 5,200 125,580 * GTSI Corp. 300 3,042 * Guess, Inc. 2,000 29,000 Guidant Corp. 17,000 1,102,110 *# Guilford Pharmaceuticals, Inc. 1,100 6,204 * Guitar Center, Inc. 1,200 58,056 Gulf Island Fabrication, Inc. 700 14,889 * Gymboree Corp. 1,400 16,506 H&R Block, Inc. 7,700 367,290 * Haemonetics Corp. 1,300 45,370 * Hain Celestial Group, Inc. 1,200 23,316 Halliburton Co. 21,600 893,160 Hancock Fabrics, Inc. 500 4,980 Hancock Holding Co. 1,200 40,800 Handleman Co. 900 19,080 * Hanger Orthopedic Group, Inc. 1,200 9,360 * Hanover Compressor Co. 3,100 45,260 Harbor Florida Bancshares, Inc. 1,000 35,100 Harland (John H.) Co. 1,000 35,310 Harley-Davidson, Inc. 19,200 1,110,144 Harleysville Group, Inc. 200 4,808 Harleysville National Corp. 856 24,105 Harman International Industries, Inc. 4,600 565,110 * Harmonic, Inc. 2,800 21,756 # Harrahs Entertainment, Inc. 4,900 300,860 # Harris Corp. 3,400 225,046 * Harris Interactive, Inc. 2,500 16,600 Harsco Corp. 2,000 106,300 Harte-Hanks, Inc. 4,600 118,772 Hartford Financial Services Group, Inc. 13,300 851,200 * Harvard Bioscience, Inc. 1,100 4,367 * Harvest Natural Resources, Inc. 1,600 29,200 Hasbro, Inc. 9,900 188,397 # Hawaiian Electric Industries, Inc. 2,800 79,100 * Hawk Corp. 100 845 HCA, Inc. 31,194 1,229,667 HCC Insurance Holdings, Inc. 3,200 106,048 * Headwaters, Inc. 1,500 48,045 Health Management Associates, Inc. 13,300 293,797 * Health Net, Inc. 6,400 174,208 * HealthExtras, Inc. 1,700 27,149 * HealthTronics Surgical Services, Inc. 200 $ 1,494 Hearst-Argyle Television, Inc. 2,700 69,390 Heartland Express, Inc. 3,769 82,767 Heartland Financial USA, Inc. 500 11,035 * Hecla Mining Co. 4,000 27,160 Heico Corp. 400 8,560 Heico Corp. Class A 40 656 * Heidrick & Struggles International, Inc. 900 30,960 Heinz (H.J.) Co. 15,900 590,844 Helix Technology Corp. 1,000 15,070 Helmerich & Payne, Inc. 2,300 75,049 *# Hemispherx Biopharma, Inc. 500 785 Henry Jack & Associates, Inc. 4,400 84,832 *# Hercules, Inc. 5,400 80,460 * Herley Industries, Inc. 600 12,354 Herman Miller, Inc. 3,400 83,514 # Hershey Foods Corp. 8,900 461,020 * Hewitt Associates, Inc. Class A 720 21,708 Hewlett-Packard Co. 143,400 2,868,000 * Hexcel Corp. 1,000 15,250 * Hi-Tech Pharmacal, Inc. 500 8,175 * Hibbett Sporting Goods, Inc. 1,125 27,866 Hibernia Corp. 6,800 196,656 Hilb Rogal Hamilton Co. 1,700 58,973 Hillenbrand Indutries, Inc. 2,700 148,500 Hilton Hotels Corp. 21,100 435,926 * Hines Horticulture, Inc. 100 385 * HMS Holdings Corp. 500 3,510 Hollinger International, Inc. Class A 3,400 63,682 * Hollis-Eden Pharmaceuticals, Inc. 300 3,042 Holly Corp. 1,000 28,170 * Hollywood Entertainment Corp. 1,300 16,497 * Hollywood Media Corp. 600 2,694 * Hologic, Inc. 1,100 27,489 Home Depot, Inc. 111,700 4,663,475 * HomeStore, Inc. 3,700 9,620 Honeywell International, Inc. 40,000 1,413,200 Hooper Holmes, Inc. 2,600 13,650 Horace Mann Educators Corp. 900 17,100 Horizon Financial Corp. 100 2,051 *# Horizon Offshore, Inc. 300 105 Hormel Foods Corp. 6,800 208,148 Horton (D.R.), Inc. 11,317 398,472 * Hospira, Inc. 4,920 158,572 * Hot Topic, Inc. 1,925 31,512 * Houston Exploration Co. 1,500 89,850 * Hovnanian Enterprises, Inc. Class A 2,600 104,702 Hubbell, Inc. 2,200 106,920 Hudson City Bancorp, Inc. 8,400 337,512 * Hudson Highland Group, Inc. 210 5,735 Hudson River Bancorp, Inc. 1,000 20,250 Hudson United Bancorp 1,600 65,040 * Huffy Corp. 600 122 Hughes Supply, Inc. 3,600 118,368 * Human Genome Sciences, Inc. 7,500 82,500 * Humana, Inc. 10,800 268,056 Hunt (J.B.) Transport Services, Inc. 4,300 172,860 Huntington Bancshares, Inc. 9,600 232,896 *# Hutchinson Technology, Inc. 1,200 39,324 * Hydril Co. 800 37,528 * Hypercom Corp. 2,200 13,376
100
SHARES VALUE+ --------------- --------------- * Hyperion Solutions Corp. 2,000 $ 89,620 * I-Flow Corp. 1,100 22,583 *# IAC/InterActiveCorp 43,635 1,077,348 IBERIABANK Corp. 500 32,300 * Ibis Technology Corp. 500 1,270 * ICOS Corp. 2,900 70,035 * ICT Group, Inc. 500 4,275 *# ICU Medical, Inc. 550 13,723 IDACORP, Inc. 600 19,332 * Identix, Inc. 3,800 30,134 IDEX Corp. 2,450 98,000 * IDEXX Laboratories, Inc. 1,800 92,880 * IDT Corp. 900 13,203 * IDT Corp. Class B 100 1,537 * IDX Systems Corp. 1,400 49,168 * iGATE Capital Corp. 1,900 7,600 IHOP Corp. 800 33,896 * II-VI, Inc. 700 30,205 IKON Office Solutions, Inc. 6,300 71,064 * ILEX Oncology, Inc. 1,000 24,860 Illinois Tool Works, Inc. 14,800 1,394,604 * Illumina, Inc. 1,500 11,400 * Image Entertainment, Inc. 600 3,642 Imation Corp. 1,700 54,757 * ImClone Systems, Inc. 1,200 50,664 * IMCO Recycling, Inc. 500 8,080 *# Immersion Corp. 300 1,608 *# Immtech International, Inc. 500 7,005 * Immucor, Inc. 1,325 42,599 * ImmunoGen, Inc. 1,500 11,730 * Immunomedics, Inc. 1,500 4,215 * Impath, Inc. 1,000 4,500 * Impax Laboratoroes, Inc. 2,100 26,292 * IMPCO Technologies, Inc. 500 3,320 * Imperial Sugar Co. 100 1,959 * Implant Sciences Corp. 100 1,079 IMS Health, Inc. 11,100 250,527 * Incyte Corp. 3,188 32,741 Independence Community Bank Corp. 3,202 136,021 Independent Bank Corp. MA 600 20,736 Independent Bank Corp. MI 1,000 30,100 * Indevus Pharmaceuticals, Inc. 1,200 8,292 IndyMac Bancorp, Inc. 2,800 90,972 Infinity Property & Casualty Corp. 200 7,400 *# Infinity, Inc. 200 1,272 *# Infocrossing, Inc. 800 13,440 * InFocus Corp. 1,800 12,060 * Infonet Services Corp. 8,500 16,915 * Informatica Corp. 4,200 32,760 * Inforte Corp. 300 2,028 * InfoSpace, Inc. 1,700 75,310 * infoUSA, Inc. 2,500 27,525 * Ingram Micro, Inc. 8,000 153,920 * Innodata Isogen, Inc. 200 1,394 * Input/Output, Inc. 3,300 28,941 * Insight Communications Co., Inc. 2,100 17,787 * Insight Enterprises, Inc. 2,300 46,529 * Insituform Technologies, Inc. Class A 1,400 32,676 *# Insmed, Inc. 500 785 * Inspire Pharmaceuticals, Inc. 1,700 30,447 * Instinet Group, Inc. 16,900 101,231 * Insurance Auto Auctions, Inc. 500 $ 11,095 Integra Bank Corp. 600 13,728 *# Integra LifeSciences Holdings 1,400 47,586 * Integrated Circuit Systems, Inc. 3,400 80,376 * Integrated Device Technology, Inc. 4,100 46,535 * Integrated Electrical Services, Inc. 1,200 3,624 * Integrated Silicon Solution, Inc. 1,200 9,192 Intel Corp. 319,700 7,145,295 * Intellisync Corp. 600 1,080 Inter Parfums, Inc. 100 1,673 * Interactive Data Corp. 5,400 110,808 * Interdigital Communications Corp. 2,100 42,735 * Interface, Inc. Class A 2,400 23,760 * Intergraph Corp. 1,900 49,780 * Interland, Inc. 1,200 3,768 * Intermagnetics General Corp. 1,400 41,258 * InterMune, Inc. 1,100 13,651 International Business Machines Corp. 86,300 8,132,912 International Flavors & Fragrances, Inc. 4,300 174,150 International Game Technology 17,400 615,090 International Paper Co. 21,400 888,528 * International Rectifier Corp. 3,600 152,424 International Speedway Corp. Class A 1,700 83,113 * Internet Security Systems, Inc. 2,400 58,104 * Interpharm Holdings, Inc. 100 305 * Interpublic Group of Companies, Inc. 21,500 266,815 Intersil Corp. 7,000 112,700 Interstate Bakeries Corp. 1,000 5,775 Inter-Tel, Inc. 1,200 33,984 * Intervoice, Inc. 1,600 20,800 * Interwoven, Inc. 775 7,518 * Intevac, Inc. 100 705 * Intrado, Inc. 500 6,760 *# Introgen Therapeutics, Inc. 600 4,188 * Intuit, Inc. 9,400 393,296 * Intuitive Surgical, Inc. 1,800 64,674 Invacare Corp. 2,100 106,071 * Investment Technology Group, Inc. 1,650 27,654 # Investors Financial Services Corp. 4,500 197,280 *# Invision Technologies, Inc. 1,100 53,328 * Invitrogen Corp. 3,100 187,550 * Iomega Corp. 2,200 10,010 *# Ionics, Inc. 1,200 51,852 * IRIS International, Inc. 400 3,296 * Iron Mountain, Inc. 6,725 202,624 Irwin Financial Corp. 1,200 31,932 * Isis Pharmaceuticals, Inc. 2,100 9,912 * Isle of Capri Casinos, Inc. 1,300 31,889 *# Isolagen, Inc. 1,300 9,867 * Itron, Inc. 1,100 23,815 *# ITT Educational Services, Inc. 2,100 100,233 ITT Industries, Inc. 4,800 408,576 * IVAX Corp. 11,625 181,466 * iVillage, Inc. 2,800 13,286 * Ixia 2,700 38,070 * IXYS Corp. 1,600 14,864 * J & J Snack Foods Corp. 600 28,164 * J. Jill Group, Inc. 1,150 19,861
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SHARES VALUE+ --------------- --------------- J. M. Smucker Co. 2,476 $ 112,608 * j2 Global Communication, Inc. 1,100 38,335 * Jabil Circuit, Inc. 9,600 240,576 * Jack in the Box, Inc. 1,900 71,782 * Jacobs Engineering Group, Inc. 3,000 137,910 * Jacuzzi Brands, Inc. 3,900 36,426 * Jakks Pacific, Inc. 800 14,896 Janus Capital Group, Inc. 17,000 281,350 * Jarden Corp. 1,150 44,126 * JDA Software Group, Inc. 1,100 14,432 * JDS Uniphase Corp. 73,200 232,044 Jefferies Group, Inc. 3,000 121,860 Jefferson-Pilot Corp. 5,900 290,221 *# JetBlue Airways Corp. 4,500 108,045 JLG Industries, Inc. 2,700 46,980 * Jo-Ann Stores, Inc. 400 11,008 Johnson & Johnson 138,800 8,372,416 Johnson Controls, Inc. 9,500 583,300 * Johnson Outdoors, Inc. 100 2,023 Jones Apparel Group, Inc. 7,200 255,816 * Jones Lang LaSalle, Inc. 1,600 57,440 *# Jos. A. Bank Clothiers, Inc. 625 16,438 * Journal Register Co. 1,700 32,147 Joy Global, Inc. 2,600 105,794 JPMorgan Chase & Co. 133,352 5,020,703 *# Juniper Networks, Inc. 27,688 762,251 * Jupitermedia Corp. 1,400 23,478 K-Swiss, Inc. Class A 1,800 48,766 * K-V Pharmaceutical Co. Class A 1,550 29,140 * K2, Inc. 1,760 29,709 * Kadant, Inc. 600 12,150 Kaman Corp. Class A 500 6,000 * Kansas City Southern 3,100 52,731 Kaydon Corp. 1,500 48,720 # KB Home 2,400 210,936 * KCS Energy, Inc. 2,100 30,093 * Keane, Inc. 3,100 48,050 * Keith Companies, Inc. 300 5,115 Keithley Instruments, Inc. 600 11,352 Kellogg Co. 18,800 821,560 Kellwood Co. 700 24,367 Kelly Services, Inc. Class A 900 27,360 * Kemet Corp. 3,200 28,352 Kennametal, Inc. 2,000 102,600 * Kennedy-Wilson, Inc. 100 718 Kenneth Cole Productions, Inc. Class A 800 23,616 *# Kensey Nash Corp. 600 18,756 Kerr-McGee Corp. 6,195 385,515 * Key Energy Group, Inc. 8,400 105,168 KeyCorp 14,100 469,389 KeySpan Corp. 5,100 201,552 * Keystone Automotive Industries, Inc. 700 16,401 * Kforce, Inc. 1,800 21,564 *# KFX, Inc. 2,400 36,144 Kimball International, Inc. Class B 500 7,450 Kimberly-Clark Corp. 20,300 1,291,283 Kinder Morgan, Inc. 5,700 395,010 * Kindred Healthcare, Inc. 2,000 54,600 *# King Pharmaceuticals, Inc. 15,200 189,240 * Kirby Corp. 1,300 59,176 * KLA-Tencor Corp. 9,500 $ 428,070 *# Kmart Holding Corp. 4,600 473,018 * Knight Trading Group, Inc. 2,800 31,948 * Knight Transportation, Inc. 2,625 63,263 Knight-Ridder, Inc. 3,800 258,742 * Kohl's Corp. 15,900 733,944 * Komag, Inc. 1,000 16,750 * Kopin Corp. 3,400 13,804 * Korn/Ferry International 1,700 31,671 *# Kos Pharmaceuticals, Inc. 1,900 80,883 * Kosan Biosciences, Inc. 1,000 6,440 Kraft Foods, Inc. 23,700 810,540 *# Krispy Kreme Doughnuts, Inc. 2,700 27,189 Kronos Worldwide, Inc. 1,662 76,286 * Kronos, Inc. 1,450 73,283 * Kulicke & Soffa Industries, Inc. 2,400 17,952 * KVH Industries, Inc. 400 4,040 * Kyphon, Inc. 1,500 36,090 L-3 Communications Holdings, Inc. 5,800 431,636 * La Jolla Pharmceutical Co. 1,328 1,872 * La Quinta Corp. 9,000 72,450 La-Z-Boy, Inc. 1,600 24,560 * LaBarge, Inc. 500 6,000 * LabOne, Inc. 900 27,135 * Labor Ready, Inc. 1,800 28,584 * Laboratory Corp. of America Holdings 8,600 412,370 Laclede Group, Inc. 400 12,880 * Ladish Co., Inc. 700 7,721 LaFarge North America, Inc. 2,700 135,405 * Laidlaw International, Inc. 5,100 96,390 * Lam Research Corp. 6,600 171,666 * Lamar Advertising Co. 4,500 177,480 Lancaster Colony Corp. 1,600 69,888 Lance, Inc. 1,000 18,640 * Lancer Corp. 100 1,179 LandAmerica Financial Group, Inc. 1,100 58,740 Landauer, Inc. 500 23,190 * Landec Corp. 900 5,652 Landry's Restaurants, Inc. 1,100 32,505 * Landstar Systems, Inc. 1,400 98,714 * Lannet Co., Inc. 1,050 9,744 * LaserCard Corp. 500 4,970 * Laserscope 1,000 32,520 * Lattice Semiconductor Corp. 3,400 18,149 * Laureate Education, Inc. 2,400 94,536 * Lawson Software, Inc. 3,802 23,496 LCA-Vision, Inc. 700 22,960 * LCC International, Inc. Class A 500 2,545 Lear Corp. 4,500 261,000 * Learning Tree International, Inc. 600 7,878 * Leather Factory, Inc. 100 308 * LeCroy Corp. 500 10,705 Lee Enterprises, Inc. 2,000 95,360 Legg Mason, Inc. 5,850 398,619 Leggett & Platt, Inc. 8,800 262,680 Lehman Brothers Holdings, Inc. 13,895 1,164,123 # Lennar Corp. Class A 7,600 341,468 Lennar Corp. Class B 2,360 98,530 Lennox International, Inc. 2,300 41,377 * Leucadia National Corp. 3,700 231,990 *# Level 3 Communications, Inc. 27,800 95,910
102
SHARES VALUE+ --------------- --------------- Levitt Corp. Class A 800 $ 20,568 * Lexar Media, Inc. 2,700 21,303 * Lexicon Genetics, Inc. 2,900 20,387 *# Lexmark International, Inc. 5,400 458,460 Libbey, Inc. 600 12,582 Liberty Corp. 500 21,800 * Liberty Media Corp. Class A 168,825 1,743,962 *# Liberty Media Corp. Class B 1,900 21,470 * Liberty Media International, Inc. Class A 8,441 363,469 * Liberty Media International, Inc. Class B 95 4,342 * Lifecell Corp. 1,000 10,340 * Lifecore Biomedical, Inc. 500 5,105 Lifetime Hoan Corp. 500 6,795 *# Ligand Pharmaceuticals, Inc. Class B 2,900 32,480 * Lightbridge, Inc. 1,000 4,690 Lilly (Eli) & Co. 48,000 2,559,840 # Limited Brands, Inc. 21,860 534,258 * Lin TV Corp. 1,400 25,228 * Lincare Holdings, Inc. 4,672 180,292 Lincoln Electric Holdings, Inc. 1,900 68,191 Lincoln National Corp. 6,600 303,732 Lindsay Manufacturer Co. 1,000 28,140 Linear Technology Corp. 15,100 576,216 * Linens 'n Things, Inc. 1,800 44,712 * Lionbridge Technologies, Inc. 600 3,306 * Lipid Sciences, Inc. 600 2,772 Lithia Motors, Inc. Class A 500 12,690 * Littlefuse, Inc. 1,300 50,726 Liz Claiborne, Inc. 6,100 250,527 LNR Property Corp. 900 56,295 Lockheed Martin Corp. 20,000 1,216,800 * Lodgenet Entertainment Corp. 500 7,710 Loews Corp. 9,100 636,181 * LoJack Corp. 500 5,260 Lone Star Steakhouse & Saloon, Inc. 600 16,194 * Lone Star Technologies, Inc. 1,500 47,100 Longs Drug Stores Corp. 700 18,690 Longview Fibre Co. 2,700 46,926 * LookSmart, Ltd. 1,400 2,785 Louisiana-Pacific Corp. 5,800 141,926 Lowe's Companies, Inc. 40,400 2,235,332 LSI Industries, Inc. 625 6,213 * LSI Logic Corp. 19,900 105,271 * LTX Corp. 1,700 12,138 Lubrizol Corp. 2,600 89,830 * Luby's, Inc. 100 714 *# Lucent Technologies, Inc. 194,700 765,171 * Luminex Corp. 1,200 10,812 * Lydall, Inc. 500 5,590 # Lyondell Chemical Co. 6,700 188,002 * M&F Worldwide Corp. 500 6,525 M&T Bank Corp. 5,800 611,378 M/I Homes, Inc. 1,300 58,773 MacDermid, Inc. 1,600 58,912 * Macromedia, Inc. 3,500 99,855 * Macrovision Corp. 2,300 61,065 * Madden (Steven), Ltd. 600 11,316 MAF Bancorp, Inc. 1,000 45,900 * Magma Design Automation, Inc. 1,400 18,984 * Magna Entertainment Corp. 300 $ 1,800 * Magnetek, Inc. 700 4,627 * Magnum Hunter Resources, Inc. 3,600 48,240 Main Street Banks, Inc. 1,000 31,680 * MAIR Holdings, Inc. 300 2,760 * Management Network Group, Inc. 100 198 # Mandalay Resort Group 2,500 174,250 * Manhattan Associates, Inc. 1,300 31,590 Manor Care, Inc. 4,400 151,580 Manpower, Inc. 4,287 207,362 * Manugistic Group, Inc. 2,000 5,500 Manulife Financial Corp. 18,253 820,107 * MAPICS, Inc. 1,000 9,720 * Mapinfo Corp. 300 3,585 Marathon Oil Corp. 15,700 619,208 * MarineMax, Inc. 1,000 29,400 * Markel Corp. 900 289,800 * MarketWatch, Inc. 1,200 21,768 MarkWest Hydrocarbon, Inc. 121 2,125 Marriott International, Inc. Class A 13,900 790,215 Marsh & McLennan Companies, Inc. 20,100 574,659 Marshall & Ilsley Corp. 9,900 412,731 * Martek Biosciences Corp. 1,100 42,757 *# Martha Stewart Living Omnimedia, Inc. 800 18,896 Martin Marietta Materials, Inc. 2,300 115,575 * Marvel Enterprises, Inc. 5,500 101,365 Masco Corp. 19,100 673,657 # Massey Energy Co. 3,700 129,944 * Mastec, Inc. 2,100 17,619 * Material Sciences Corp. 800 13,376 * Matria Healthcare, Inc. 800 28,000 * Matrix Service Co. 1,000 7,450 * MatrixOne, Inc. 2,500 16,525 * Matrixx Initiatives, Inc. 500 6,845 Mattel, Inc. 27,200 515,440 Matthews International Corp. Class A 1,600 58,992 * Mattson Technology, Inc. 2,300 21,505 * Maui Land & Pineapple Co., Inc. 100 3,260 * Maverick Tube Corp. 2,200 69,740 # Maxim Integrated Products, Inc. 16,800 688,128 *# Maxim Pharmaceuticals, Inc. 900 2,619 * Maximus, Inc. 1,000 31,330 * Maxtor Corp. 10,200 38,964 * Maxwell Technologies, Inc. 500 5,370 * Maxygen, Inc. 1,300 13,117 May Department Stores Co. 8,800 247,456 # Maytag Corp. 2,300 46,230 MB Financial, Inc. 1,350 56,970 MBIA, Inc. 7,100 425,716 MBNA Corp. 56,150 1,491,344 MBT Financial Corp. 300 7,155 * McAfee, Inc. 7,400 213,860 McCormick & Co., Inc. 6,200 225,990 * McDATA Corp. 2,500 14,125 McDonald's Corp. 59,500 1,829,030 MCG Capital Corp. 500 8,500 McGrath Rentcorp 500 21,130 McGraw-Hill Companies, Inc. 9,500 833,435 McKesson Corp. 14,800 437,340 * McMoran Exploration Co. 600 9,414
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SHARES VALUE+ --------------- --------------- MDC Holdings, Inc. 1,618 $ 122,483 MDU Resources Group, Inc. 4,800 131,088 MeadWestavco Corp. 7,800 262,470 * Medarex, Inc. 3,500 38,150 * MedCath Corp. 500 10,860 * Medco Health Solutions, Inc. 14,931 563,197 Media General, Inc. Class A 900 55,980 * Mediacom Communications Corp. 4,200 21,924 * Medical Action Industries, Inc. 500 9,890 * Medical Staffing Network Holdings, Inc. 1,400 12,054 Medicis Pharmaceutical Corp. Class A 3,200 117,728 * Medimmune, Inc. 12,273 326,462 * MedQuist, Inc. 1,600 19,400 Medtronic, Inc. 65,300 3,137,665 Mellon Financial Corp. 16,300 476,286 * MEMC Electronic Materials, Inc. 10,000 106,300 * Memry Corp. 100 280 # Mentor Corp. 1,900 58,634 * Mentor Graphics Corp. 3,500 43,925 Mercantile Bankshares Corp. 3,400 175,100 Merck & Co., Inc. 79,100 2,216,382 * Mercury Computer Systems, Inc. 1,000 31,500 Mercury General Corp. 2,300 130,410 * Mercury Interactive Corp. 4,400 200,684 Meredith Corp. 2,200 115,984 *# Merge Technologies, Inc. 500 9,635 Meridian Bioscience, Inc. 100 1,655 * Meridian Resource Corp. 3,700 25,271 * Merit Medical Systems, Inc. 1,211 13,757 * Meritage Homes Corp. 700 65,520 * Merix Corp. 500 5,440 Merrill Lynch & Co., Inc. 47,000 2,618,370 * Mesa Air Group, Inc. 1,300 9,126 * Mestek, Inc. 100 1,812 * Metal Management, Inc. 300 7,884 * MetaSolv, Inc. 600 1,464 MetLife, Inc. 48,200 1,879,800 * Metris Companies, Inc. 2,700 31,266 * Metro-Goldwyn-Mayer, Inc. 13,000 153,920 * Metrologic Instruments, Inc. 1,000 20,430 MGE Energy, Inc. 500 17,230 * MGI Pharma, Inc. 3,400 91,766 MGIC Investment Corp. 7,000 476,000 * MGM MIRAGE 9,200 536,360 Michaels Stores, Inc. 6,300 172,179 * Micrel, Inc. 4,300 45,924 * Micro Linear Corp. 100 461 * Micro Therapeutics, Inc. 500 1,990 Microchip Technology, Inc. 9,450 266,301 * MicroFinancial, Inc. 400 1,564 * Micromuse, Inc. 2,400 12,619 * Micron Technology, Inc. 33,000 365,640 * Micros Systems, Inc. 1,100 80,707 * Microsemi Corp. 2,500 44,500 Microsoft Corp. 530,100 14,211,981 * MicroStrategy, Inc. 600 38,730 * Microtek Medical Holdings, Inc. 1,300 5,304 * Microtune, Inc. 400 2,392 *# Microvision, Inc. 500 3,805 * Midas, Inc. 1,000 19,310 Middleby Corp. 600 $ 34,452 Midland Co. 200 6,360 Mid-State Bancshares 1,000 29,840 *# Midway Games, Inc. 3,600 39,024 * Midwest Air Group, Inc. 500 1,500 Midwest Banc Holdings, Inc. 700 16,156 * Mikohn Gaming Corp. 600 4,890 * Milacron, Inc. 1,452 4,341 * Millennium Chemicals, Inc. 3,600 95,688 * Millennium Pharmaceuticals, Inc. 16,000 201,920 * Miller Industries, Inc. 100 1,101 * Millipore Corp. 2,500 121,800 * MIM Corp. 500 3,235 *# Mindspeed Technologies, Inc. 3,600 9,000 Mine Safety Appliances Co. 2,000 94,800 Minerals Technologies, Inc. 1,300 86,255 * MIPS Technologies, Inc. 1,900 16,625 * Mission Resources Corp. 1,700 10,557 * MKS Instruments, Inc. 2,100 35,679 * Mobile Mini, Inc. 700 21,203 * Mobility Electronics, Inc. 1,100 10,681 Modine Manufacturing Co. 1,500 48,225 * Modtech Holdings, Inc. 300 2,448 * Mohawk Industries, Inc. 4,154 364,306 * Moldflow Corp. 500 7,000 * Molecular Devices Corp. 700 14,721 Molex, Inc. 5,200 143,364 Monaco Coach Corp. 1,400 27,860 * Mondavi (Robert) Corp. Class A 400 22,520 MoneyGram International, Inc. 4,500 96,255 * Monolithic System Technology, Inc. 700 3,269 Monsanto Co. 13,135 604,473 * Monster Worldwide, Inc. 5,300 149,407 * Monterey Pasta Co. 500 1,600 * Moog, Inc. Class A 150 6,303 Morgan Stanley 47,500 2,410,625 Motorola, Inc. 111,800 2,153,268 Movado Group, Inc. 2,200 40,480 Movie Gallery, Inc. 1,350 23,531 * MPS Group, Inc. 4,100 46,166 * MRO Software, Inc. 1,100 14,135 * MRV Communications, Inc. 5,200 20,067 MSC Industrial Direct Co., Inc. Class A 2,200 78,364 * MSC.Software Corp. 900 8,559 * MTR Gaming Group, Inc. 1,200 12,072 MTS Systems Corp. 1,000 30,350 Mueller Industries, Inc. 1,600 49,168 *# Multimedia Games, Inc. 1,600 20,928 Murphy Oil Corp. 4,800 409,488 Myers Industries, Inc. 687 7,784 * Mykrolis Corp. 1,806 22,142 # Mylan Laboratories, Inc. 13,125 238,350 * Myriad Genetics, Inc. 1,500 28,860 * Nabi Biopharmaceuticals 3,000 43,200 NACCO Industries, Inc. Class A 300 32,847 *# Nanogen, Inc. 1,000 4,490 * Nanometrics, Inc. 500 8,135 * Nanophase Technologies Corp. 500 3,085 Nara Bancorp, Inc. 1,300 26,988 Nash Finch Co. 500 18,555
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SHARES VALUE+ --------------- --------------- * Nassda Corp. 500 $ 2,140 *# Nastech Pharmaceutical Co., Inc. 500 7,590 * NATCO Group, Inc. Class A 200 1,696 National Beverage Corp. 400 3,764 National City Corp. 25,151 932,599 National Fuel Gas Co. 2,500 70,500 National Healthcare Corp. 100 3,510 National Instruments Corp. 4,050 115,830 * National Medical Health Card Systems, Inc. 500 10,695 * National Patent Development Corp. 100 172 National Penn Bancshares, Inc. 1,175 33,840 * National RV Holdings, Inc. 300 2,919 * National Semiconductor Corp. 18,200 281,372 * National Western Life Insurance Co. Class A 100 16,219 * National-Oilwell, Inc. 5,600 202,720 Nationwide Financial Services, Inc. 2,100 78,918 Nature's Sunshine Products, Inc. 560 9,374 * Natus Medical, Inc. 100 720 # Nautilus Group, Inc. 1,400 30,506 * Navarre Corp. 1,100 18,733 * Navigant Consulting, Inc. 2,100 49,035 * Navigant International, Inc. 500 5,490 * Navigators Group, Inc. 400 11,300 * Navistar International Corp. 3,000 123,450 NBT Bancorp, Inc. 1,200 30,468 * NBTY, Inc. 3,700 96,422 * NCI Building Systems, Inc. 1,000 37,100 * NCO Group, Inc. 1,200 30,132 * NCR Corp. 5,200 310,596 NDCHealth Corp. 1,300 24,544 * NeighborCare, Inc. 1,900 53,371 * Neiman-Marcus Group, Inc. 400 24,420 * Nektar Therapeutics 4,400 82,214 Nelson (Thomas), Inc. 1,000 24,700 * Neoforma, Inc. 700 5,201 * NeoMagic Corp. 500 425 * Neopharm, Inc. 701 8,167 * Neose Technologies, Inc. 500 3,495 * Neoware Systems, Inc. 100 876 * Net2Phone, Inc. 1,300 4,459 *# Netflix, Inc. 2,100 23,898 * NetIQ Corp. 1,900 23,313 * Netopia, Inc. 500 1,525 * NetRatings, Inc. 1,700 34,000 * Netscout System, Inc. 1,000 7,570 * Network Appliance, Inc. 17,000 512,720 * Network Engines, Inc. 500 1,165 * Network Equipment Technologies, Inc. 1,000 9,510 * Neurocrine Biosciences, Inc. 2,000 92,000 * Neurogen Corp. 1,500 13,125 * Nevada Gold & Casinos, Inc. 500 5,490 * New Century Financial Corp. 1,700 107,542 New Jersey Resources Corp. 1,100 47,850 New York Community Bancorp Inc. 8,377 165,697 Newell Rubbermaid, Inc. 10,000 230,800 * Newfield Exploration Co. 3,600 226,260 * NewMarket Corp. 800 15,352 Newmont Mining Corp. 23,000 1,089,050 * Newpark Resources, Inc. 3,600 20,592 * Newport Corp. 1,400 $ 17,276 * Newtek Business Services, Inc. 900 3,695 * Nextel Communications, Inc. 55,000 1,565,300 * Nextel Partners, Inc. 9,200 166,428 * NIC, Inc. 2,800 12,866 # Nicor, Inc. 1,300 47,970 * NII Holdings, Inc. 3,300 142,758 NIKE, Inc. Class B 8,900 753,474 NiSource, Inc. 12,300 268,017 NL Industries, Inc. 1,600 36,144 * NMS Communications Corp. 1,700 10,860 Noble Energy, Inc. 3,600 229,644 Noble International, Ltd. 500 9,856 Nordson Corp. 1,500 57,090 Nordstrom, Inc. 6,600 288,750 Norfolk Southern Corp. 19,700 676,301 * Norstan, Inc. 200 766 * North American Scientific, Inc. 600 2,700 North Fork Bancorporation, Inc. 16,705 481,104 North Pittsburgh Systems, Inc. 600 15,054 Northeast Utilities, Inc. 3,900 71,097 Northern Trust Corp. 8,900 418,656 *# Northfield Laboratories, Inc. 900 16,830 Northrop Grumman Corp. 17,328 976,086 *# Northwest Airlines Corp. 2,000 20,480 Northwest Bancorp, Inc. 1,800 46,566 Northwest Natural Gas Co. 500 16,930 * NovaMed, Inc. 400 1,900 * Novatel Wireless, Inc. 1,100 23,166 *# Novavax, Inc. 600 2,052 * Novell, Inc. 20,000 122,000 * Novellus Systems, Inc. 7,663 206,441 * Noven Pharmaceuticals, Inc. 1,100 20,108 * Novoste Corp. 400 540 * NPS Pharmaceuticals, Inc. 1,700 30,447 * NS Group, Inc. 1,200 26,592 NSTAR 1,700 86,105 * NTN Communications, Inc. 700 1,932 * Nu Horizons Electronics Corp. 100 830 Nu Skin Enterprises, Inc. Class A 2,900 65,192 Nucor Corp. 7,300 386,170 NUI Corp. 500 6,850 * Nutraceutical International Corp. 500 8,015 * Nutri/System, Inc. 100 249 Nuveen Investments 1,000 35,700 * Nuvelo, Inc. 1,066 10,394 * Nvidia Corp. 8,000 153,040 * NVR, Inc. 400 276,360 * NYFIX, Inc. 1,000 6,390 * O'Charleys, Inc. 700 13,300 * O'Reilly Automotive, Inc. 2,938 127,921 Oakley, Inc. 3,200 38,880 *# OCA, Inc. 1,700 9,724 Occidental Petroleum Corp. 18,700 1,125,927 * Oceaneering International, Inc. 1,300 49,920 OceanFirst Financial Corp. 600 15,216 * Ocular Sciences, Inc. 1,200 57,977 * Ocwen Financial Corp. 3,255 30,369 * Odyssey Healthcare, Inc. 1,550 20,693 * Odyssey Marine Exploration, Inc. 100 270 # Odyssey Re Holdings Corp. 4,000 96,600
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SHARES VALUE+ --------------- --------------- * Office Depot, Inc. 16,250 $ 266,500 OfficeMax, Inc. 2,100 63,567 * Offshore Logistics, Inc. 1,400 53,060 OGE Energy Corp. 2,700 69,795 * Ohio Casualty Corp. 3,000 64,440 * Oil States International, Inc. 2,600 52,962 * Old Dominion Freight Line, Inc. 1,500 47,025 Old National Bancorp 2,700 70,146 Old Republic International Corp. 6,450 161,186 Olin Corp. 2,000 45,380 * Olympic Steel, Inc. 100 2,700 * OM Group, Inc. 1,500 46,110 * Omega Protein Corp. 700 5,887 * OMNI Energy Services Corp. 500 1,465 Omnicare, Inc. 6,500 210,665 * Omnicell, Inc. 1,200 12,900 Omnicom Group, Inc. 8,300 672,300 *# OmniVision Technologies, Inc. 2,400 42,816 * On Assignment, Inc. 200 1,044 * ON Semiconductor Corp. 7,300 26,645 # Oneok, Inc. 3,100 86,552 * Online Resources Corp. 400 2,820 * Onyx Pharmacueticals, Inc. 1,900 59,432 * ONYX Software Corp. 200 658 * Opent Technologies, Inc. 1,000 8,640 * Openwave Systems, Inc. 2,833 37,339 *# Opsware, Inc. 3,100 21,235 * Optical Communication Products, Inc. 1,400 3,052 Option Care, Inc. 1,100 18,942 * Oracle Corp. 231,150 2,926,359 * OraSure Technologies, Inc. 1,700 12,172 * Orbital Sciences Corp. 2,700 35,100 * Orchid Biosciences, Inc. 900 9,639 * Oregon Steel Mills, Inc. 1,500 26,970 * Orleans Homebuilders, Inc. 1,000 18,410 * Orthologic Corp. 1,100 6,303 * Oscient Pharmaceutical Corp. 2,700 8,802 OshKosh B'Gosh, Inc. Class A 500 10,250 Oshkosh Truck Corp. Class B 2,200 138,204 * OSI Pharmaceuticals, Inc. 2,300 109,434 * OSI Systems, Inc. 500 10,860 * Osteotech, Inc. 600 3,264 Otter Tail Corp. 200 5,386 # Outback Steakhouse, Inc. 3,500 151,550 * Overland Storage, Inc. 500 7,425 Overseas Shipholding Group, Inc. 1,900 124,811 *# Overstock.com, Inc. 1,000 71,260 Owens & Minor, Inc. 1,600 44,400 * Owens-Illinois, Inc. 9,500 198,740 # Oxford Industries, Inc. 900 36,720 * P.A.M. Transportation Services, Inc. 600 12,180 *# P.F. Chang's China Bistro, Inc. 1,200 67,488 Paccar, Inc. 8,400 656,040 Pacific Capital Bancorp 1,933 63,808 * Pacific Sunwear of California, Inc. 3,500 77,735 * PacifiCare Health Systems, Inc. 5,400 261,360 Packaging Corp. of America 6,300 144,900 Packaging Dynamics Corp. 140 2,003 * Packeteer, Inc. 1,600 20,800 * Pain Therapeutics, Inc. 1,400 10,542 * PainCare Holdings, Inc. 800 2,320 Pall Corp. 5,900 $ 159,831 * Palm Harbor Homes, Inc. 1,000 15,610 *# PalmOne, Inc. 2,400 84,096 * PalmSource, Inc. 809 12,815 * Palomar Medical Technologies, Inc. 800 18,024 *# Panera Bread Co. 1,300 51,922 * Pantry, Inc. 1,100 30,272 * Papa John's International, Inc. 800 28,456 *# Par Pharmaceutical Companies, Inc. 1,700 67,082 * Paradyne Networks Corp. 800 3,104 * Parallel Petroleum Corp. 1,200 6,684 * Parametric Technology Corp. 12,450 72,833 * Parexel International Corp. 1,300 26,819 Park Electrochemical Corp. 900 18,981 * Parker Drilling Co. 5,200 22,724 Parker Hannifin Corp. 5,700 426,360 *# Parkervision, Inc. 500 3,725 * Park-Ohio Holdings Corp. 100 2,248 * Parlux Fragrances, Inc. 100 1,793 Partners Trust Financial Group, Inc. 363 4,062 * Party City Corp. 700 8,953 * Pathmark Stores, Inc. 800 4,408 Patina Oil & Gas Corp. 3,500 116,200 * Patterson Companies, Inc. 6,700 273,762 Patterson-UTI Energy, Inc. 8,200 164,000 * Paxar Corp. 2,000 46,300 * Paxson Communications Corp. 500 580 Paychex, Inc. 17,700 586,932 * Payless ShoeSource, Inc. 2,400 28,032 * PC Connection, Inc. 1,200 8,436 * PC Mall, Inc. 300 7,290 * PC-Tel, Inc. 500 4,035 * PDF Solutions, Inc. 1,300 16,731 * PDI, Inc. 800 18,616 Peabody Energy Corp. 3,800 315,400 * PEC Solutions, Inc. 1,300 18,447 * Pediatrix Medical Group, Inc. 1,400 87,220 * Peet's Coffee & Tea, Inc. 1,000 25,280 *# Pegasus Communications Corp. 1,000 7,600 * Pegasus Solutions, Inc. 1,200 14,028 * Pegasystems, Inc. 1,200 8,712 * Pemstar, Inc. 300 459 * Penn National Gaming, Inc. 1,900 100,263 * Penn Treaty American Corp. 500 900 Penn Virginia Corp. 1,000 43,460 Penn-America Group, Inc. 500 7,405 Penney (J.C.) Co., Inc. 14,400 555,840 Pentair, Inc. 4,900 196,098 * Penwest Pharmaceuticals Co. 1,000 12,450 Peoples Bank CT 4,050 161,028 Peoples Energy Corp. 1,100 49,082 * Peoplesoft, Inc. 7,864 185,669 Pep Boys - Manny, Moe & Jack 2,600 40,950 Pepco Holdings, Inc. 4,200 89,628 PepsiAmericas, Inc. 10,100 213,211 PepsiCo, Inc. 77,700 3,878,007 *# Performance Food Group Co. 2,400 62,976 * Performance Technologies, Inc. 500 3,565 * Pericom Semiconductor Corp. 900 7,902 * Perini Corp. 1,000 14,950 PerkinElmer, Inc. 5,800 123,714
106
SHARES VALUE+ --------------- --------------- * Perot Systems Corp. 5,900 $ 94,459 Perrigo Co. 3,300 59,532 * Perry Ellis International, Inc. 600 11,454 * Per-Se Technologies, Inc. 1,000 13,790 * Petco Animal Supplies, Inc. 2,700 97,632 * PetMed Express, Inc. 300 1,950 * Petrocorp, Inc. Escrow Shares 100 6 * Petroleum Development Corp. 1,100 45,232 PETsMART, Inc. 7,700 263,879 PFF Bancorp, Inc. 840 37,968 Pfizer, Inc. 350,780 9,741,161 * PG&E Corp. 29,900 994,474 * Pharmaceutical Products Development Service, Inc. 2,800 117,908 * Pharmacopia Drug Discovery, Inc. 400 2,312 * Pharmacyclics, Inc. 500 5,210 Phelps Dodge Corp. 6,100 592,493 * Philadelphia Consolidated Holding Corp. 1,400 95,550 Phillips-Van Heusen Corp. 1,300 35,490 * Phoenix Technologies, Ltd. 500 4,055 * Photon Dynamics, Inc. 1,100 24,255 * Photronics, Inc. 1,500 28,260 * Pico Holdings, Inc. 100 2,061 # Piedmont Natural Gas Co. 2,100 49,371 Pier 1 Imports, Inc. 3,700 67,488 Pilgrim's Pride Corp. 3,800 127,300 * Pinnacle Financial Partners, Inc. 100 2,433 * Pinnacle Systems, Inc. 2,600 13,572 # Pinnacle West Capital Corp. 2,700 119,340 Pioneer Natural Resources Co. 9,007 317,046 * Piper Jaffray Companies, Inc. 604 27,790 Pitney Bowes, Inc. 8,900 389,553 *# Pixar, Inc. 2,982 270,378 * Pixelworks, Inc. 1,000 11,250 * Plains Exploration & Production Co. 3,274 91,770 * Planar Systems, Inc. 700 7,462 Plantronics, Inc. 2,600 107,094 * PLATO Learning, Inc. 600 4,194 * Playboy Enterprises, Inc. Class B 1,500 18,150 * Playtex Products, Inc. 2,600 19,500 * Plexus Corp. 1,700 23,375 * Plug Power, Inc. 3,100 18,321 * PLX Technology, Inc. 1,200 10,812 * PMC-Sierra, Inc. 7,100 78,384 PMI Group, Inc. 6,300 259,434 PNC Financial Services Group, Inc. 9,600 522,240 PNM Resources, Inc. 2,150 54,696 Pogo Producing Co. 4,200 212,100 # Polaris Industries, Inc. 2,200 144,980 Polo Ralph Lauren Corp. 3,100 122,109 * Polycom, Inc. 5,300 121,052 PolyMedica Corp. 1,400 49,770 * Pomeroy IT Solutions, Inc. 100 1,366 Pope & Talbot, Inc. 500 8,400 * Portal Software, Inc. 1,200 4,140 * Portfolio Recovery Associates, Inc. 400 15,000 * Possis Medical, Inc. 600 6,924 Potlatch Corp. 1,300 65,936 * Powell Industries, Inc. 600 9,702 * Power Intergrations, Inc. 1,500 29,595 * Power-One, Inc. 3,500 $ 32,165 * Powerwave Technologies, Inc. 3,900 31,543 * Pozen, Inc. 1,000 6,940 PPG Industries, Inc. 7,300 492,531 PPL Corp. 7,800 405,210 * PRAECIS Pharmaceuticals, Inc. 2,300 4,853 Praxair, Inc. 15,700 704,930 Precision Castparts Corp. 3,954 256,377 Premcor, Inc. 4,800 213,840 *# Pre-Paid Legal Services, Inc. 700 23,975 Presidential Life Corp. 700 11,697 * Presstek, Inc. 1,500 16,020 * PRG-Schultz International, Inc. 2,700 14,580 * Price Communications Corp. 2,205 39,933 *# Priceline.com, Inc. 1,700 40,579 * Pride International, Inc. 8,400 164,304 * PRIMEDIA, Inc. 8,500 27,200 * Primus Telecommunications Group, Inc. 1,200 3,636 Principal Financial Group, Inc. 17,000 640,560 * Priority Healthcare Corp. 1,700 35,530 * ProAssurance Corp. 1,900 74,195 Procter & Gamble Co. 117,100 6,262,508 * Progenics Pharmaceuticals, Inc. 700 10,465 Progress Energy, Inc. 8,900 390,799 * Progress Software Corp. 1,600 36,320 Progressive Corp. 14,700 1,337,553 * ProQuest Co. 1,300 35,165 Prosperity Bancshares, Inc. 900 25,524 * Protection One, Inc. 1,700 442 Protective Life Corp. 2,900 121,365 * Protein Design Labs, Inc. 5,100 92,412 Provident Bankshares Corp. 1,186 43,574 * Providian Financial Corp. 19,600 314,580 * Province Healthcare Co. 2,100 47,124 Prudential Financial, Inc. 29,600 1,448,920 * PSS World Medical, Inc. 2,900 36,291 * Psychiatric Solutions, Inc. 1,000 32,550 * PTEK Holdings, Inc. 3,400 35,802 # Public Service Enterprise Group, Inc. 8,600 378,314 Puget Energy, Inc. 3,000 70,500 Pulitzer, Inc. 300 19,083 Pulte Homes, Inc. 7,800 431,028 * PW Eagle, Inc. 100 395 QAD, Inc. 1,700 14,008 * QLogic Corp. 4,500 154,755 * QLT, Inc. 1,000 16,050 Quaker Chemical Corp. 500 12,100 Quaker Fabric Corp. 400 2,300 Qualcomm, Inc. 84,700 3,525,214 * Quality Systems, Inc. 600 36,846 Quanex Corp. 700 41,300 * Quanta Services, Inc. 4,765 36,738 * Quantum Fuel Systems Technologies Worldwide, Inc. 800 4,968 # Quest Diagnostics, Inc. 5,600 525,000 * Quest Software, Inc. 4,800 74,304 Questar Corp. 4,200 213,402 * Quidel Corp. 1,100 7,095 * Quigley Corp. 500 4,040 * Quiksilver, Inc. 3,200 94,880
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SHARES VALUE+ --------------- --------------- * Quinton Cardiology Systems, Inc. 500 $ 5,125 Quixote Corp. 500 10,480 * Quovadx, Inc. 500 955 * Qwest Communications International, Inc. 79,200 316,800 * R.H. Donnelley Corp. 1,600 87,520 Radian Group, Inc. 6,700 343,375 * Radiant Systems, Inc. 500 3,120 * Radio One, Inc. 1,200 16,656 * Radiologix, Inc. 400 1,500 RadioShack Corp. 7,700 243,089 * RadiSys Corp. 760 10,708 * RailAmerica, Inc. 1,200 15,360 Ralcorp Holdings, Inc. 1,600 65,920 * Rambus, Inc. 4,700 108,617 * Ramtron International Corp. 300 1,104 # Range Resources Corp. 3,600 74,664 * Rare Hospitality International, Inc. 2,100 62,916 Raven Industries, Inc. 648 13,913 Raymond James Financial, Inc. 3,650 107,967 * Rayovac Corp. 1,600 47,488 Raytech Corp. 1,000 1,850 Raytheon Co. 20,800 839,072 * RC2 Corp. 1,200 37,548 * RCN Corp. 300 22 Reader's Digest Association, Inc. 4,922 70,385 * RealNetworks, Inc. 7,500 47,250 Rebublic Services, Inc. 7,300 229,877 * Red Hat, Inc. 7,600 110,048 # Reebok International, Ltd. 3,200 124,416 Regal-Beloit Corp. 600 16,926 * Regeneration Technologies, Inc. 1,000 9,300 * Regeneron Pharmaceuticals, Inc. 2,100 19,362 * Regent Communications, Inc. 1,600 9,136 Regions Financial Corp. 32,459 1,135,740 Regis Corp. 2,500 111,625 * RehabCare Group, Inc. 1,000 26,320 # Reinsurance Group of America, Inc. 3,000 139,260 Reliance Steel & Aluminum Co. 1,600 63,856 * Reliant Energy, Inc. 18,899 224,520 # Reliv International, Inc. 500 4,085 * Remec, Inc. 1,600 9,648 * Remington Oil & Gas Corp. 1,400 40,530 Renaissance Learning, Inc. 1,500 28,890 * Renal Care Group, Inc. 3,750 124,875 * Rent-A-Center, Inc. 3,950 100,686 * Rentrak Corp. 500 4,900 * Rent-Way, Inc. 1,000 8,480 * Repligen Corp. 2,600 6,292 Republic Bancorp, Inc. 2,549 39,621 * Res-Care, Inc. 500 7,500 * ResMed, Inc. 1,800 90,108 Resource America, Inc. 700 20,601 * Resources Connection, Inc. 1,000 45,360 *# Respironics, Inc. 1,925 106,607 * Restoration Hardware, Inc. 1,100 5,599 * Retail Ventures, Inc. 200 1,466 * Retek, Inc. 2,000 12,200 * Revlon, Inc. 8,800 18,568 * Rewards Network, Inc. 600 3,780 * Rex Stores Corp. 500 8,800 Reynolds & Reynolds Co. 2,500 $ 59,325 Reynolds American, Inc. 6,800 514,284 * RF Micro Devices, Inc. 7,600 52,896 Richardson Electronics, Ltd. 400 4,460 Riggs National Corp. 800 16,096 *# Rita Medical Systems, Inc. 252 774 * Rite Aid Corp. 21,600 79,272 * Riverstone Networks, Inc. 1,800 1,935 RLI Corp. 1,100 45,815 Robbins & Myers, Inc. 700 16,898 Robert Half International, Inc. 8,600 232,458 Rock-Tenn Co. Class A 800 12,912 Rockwell Automation, Inc. 8,600 406,780 Rockwell Collins, Inc. 8,600 342,796 * Rofin-Sinar Technologies, Inc. 1,000 39,000 * Rogers Corp. 900 42,705 Rohm & Haas Co. 10,500 462,945 Rollins, Inc. 2,100 51,555 Roper Industries, Inc. 2,000 123,100 # Ross Stores, Inc. 6,800 182,920 * Rowan Companies, Inc. 6,000 155,400 Royal Gold, Inc. 800 14,176 RPC, Inc. 200 5,450 RPM International, Inc. 5,100 94,299 * RSA Security, Inc. 2,900 61,335 * RTI International Metals, Inc. 1,300 28,015 * Rubio's Restaurants, Inc. 100 1,328 # Ruby Tuesday, Inc. 3,500 96,425 Ruddick Corp. 1,800 39,258 * Rudolph Technologies, Inc. 1,000 16,000 Russ Berrie & Co., Inc. 500 11,370 Russell Corp. 900 16,506 * Ryan's Restaurant Group, Inc. 1,550 23,669 Ryder System, Inc. 2,900 155,556 Ryerson Tull, Inc. 900 14,562 # Ryland Group, Inc. 1,700 172,295 S&T Bancorp, Inc. 1,100 40,381 * S1 Corp. 3,400 31,858 Sabre Holdings Corp. 6,800 156,944 Safeco Corp. 5,500 266,585 * Safeguard Scientifics, Inc. 4,000 8,040 * SafeNet, Inc. 687 24,498 * Safeway, Inc. 24,400 470,432 * Saga Communications, Inc. Class A 925 15,716 Saks, Inc. 7,300 101,543 * Salem Communications Corp. 1,400 34,384 *# Salton, Inc. 700 4,277 * San Filippo (John B.) & Son, Inc. 500 11,100 Sanders Morris Harris Group, Inc. 218 3,325 Sanderson Farms, Inc. 950 35,388 * Sandisk Corp. 8,700 196,446 Sandy Spring Bancorp, Inc. 400 14,528 * Sangamo BioSciences, Inc. 500 2,335 * Sanmina-SCI Corp. 26,100 230,463 * Sapient Corp. 5,000 39,550 Sara Lee Corp. 35,800 840,584 * Savient Pharmaceuticals, Inc. 2,700 5,940 * SBA Communications Corp. 1,900 18,240 SBC Communications, Inc. 104,900 2,640,333 * SBS Technologies, Inc. 500 6,530 SCANA Corp. 3,500 134,120
108
SHARES VALUE+ --------------- --------------- * ScanSoft, Inc. 4,130 $ 15,075 * ScanSource, Inc. 600 38,820 Schawk, Inc. 100 1,698 * Schein (Henry), Inc. 2,400 156,432 Schering-Plough Corp. 75,300 1,344,105 Schnitzer Steel Industries, Inc. Class A 800 30,184 * Scholastic Corp. 2,600 85,644 Schulman (A.), Inc. 500 10,725 Schwab (Charles) Corp. 61,800 666,204 Schweitzer-Maudoit International, Inc. 500 17,280 * Sciclone Pharmaceuticals, Inc. 1,400 5,712 * Scientific Games Corp. 4,100 97,990 Scientific-Atlanta, Inc. 7,900 233,998 * SCM Microsystems, Inc. 500 1,705 *# Scotts Co. Class A 2,000 137,100 SCP Pool Corp. 2,850 89,861 Scripps (E.W.) Co. 6,800 317,832 * SCS Transportation, Inc. 450 9,518 Seaboard Corp. 100 75,000 * Seachange International, Inc. 1,400 23,912 Seacoast Banking Corp. of Florida 600 13,212 * SEACOR Holdings, Inc. 700 38,850 * Sealed Air Corp. 4,200 215,922 # Sears, Roebuck & Co. 8,700 452,661 * Seattle Genetics, Inc. 1,800 12,294 * Secure Computing Corp. 1,000 10,420 * SeeBeyond Technology Corp. 3,300 10,428 SEI Investments Co. 4,700 183,817 * Select Comfort Corp. 1,700 33,133 Select Medical Corp. 4,600 80,270 * Selectica, Inc. 700 2,695 Selective Insurance Group, Inc. 600 26,874 SEMCO Energy, Inc. 100 484 * Semitool, Inc. 1,200 10,752 Sempra Energy 10,400 384,592 * Semtech Corp. 3,600 73,692 * SEMX Corp. 100 13 Sensient Technologies Corp. 1,900 43,795 * Sepracor, Inc. 3,900 173,589 * Sequa Corp. Class A 100 5,970 * Sequa Corp. Class B 100 6,025 * Sequenom, Inc. 100 89 * Serena Software, Inc. 2,200 45,870 * Serologicals Corp. 1,300 30,342 * Service Corp. International 16,700 117,902 * SFBC International, Inc. 750 29,123 * Sharper Image Corp. 968 18,547 * Shaw Group, Inc. 1,500 22,095 Sherwin-Williams Co. 6,800 303,280 * Shiloh Industries, Inc. 600 7,788 * Shoe Carnival, Inc. 500 6,520 * ShopKo Stores, Inc. 1,200 21,456 *# Shuffle Master, Inc. 1,050 48,332 * Siebel Systems, Inc. 25,000 252,000 * Siebert Financial Corp. 100 310 * Sierra Health Services, Inc. 1,300 72,319 *# Sierra Pacific Resources 5,400 55,350 * Sigma Designs, Inc. 500 4,515 Sigma-Aldrich Corp. 3,300 197,109 Silgan Holdings, Inc. 1,100 59,730 *# Silicon Graphics, Inc. 3,900 $ 6,279 * Silicon Image, Inc. 3,300 55,440 * Silicon Laboratories, Inc. 2,400 72,336 * Silicon Storage Technology, Inc. 4,900 34,104 *# Silicon Valley Bancshares 2,000 83,960 * Siliconix, Inc. 1,200 44,388 Simmons First National Corp. Class A 589 17,081 * SimpleTech, Inc. 2,327 11,565 Simpson Manufacturing Co., Inc. 3,200 107,520 Sinclair Broadcast Group, Inc. Class A 1,500 10,815 * Sipex Corp. 1,000 5,500 * Sirenza Microdevices, Inc. 800 4,064 *# Sirna Therapeutics, Inc. 900 2,781 * Sitel Corp. 2,900 6,438 * Six Flags, Inc. 3,600 17,496 * Skechers U.S.A., Inc. Class A 900 10,449 Sky Financial Group, Inc. 4,300 124,528 Skywest, Inc. 1,200 22,836 * Skyworks Solutions, Inc. 7,900 78,447 * SL Industries, Inc. 100 1,391 SLM Corp. 20,300 1,038,751 * SM&A 200 1,614 * Smart & Final Food, Inc. 1,400 20,272 Smith (A.O.) Corp. 500 15,025 *# Smith International, Inc. 5,800 351,306 * Smithfield Foods, Inc. 6,600 191,730 * Smurfit-Stone Container Corp. 18,500 332,260 Snap-On, Inc. 2,100 66,381 * Sola International, Inc. 1,500 32,400 * Solectron Corp. 52,100 325,625 Sonic Automotive, Inc. 1,200 29,796 * Sonic Corp. 2,725 79,488 * Sonic Innovations, Inc. 500 2,035 * Sonic Solutions, Inc. 1,100 21,230 * SonicWALL, Inc. 2,300 14,145 # Sonoco Products Co. 500 14,220 * SonoSite, Inc. 1,500 44,775 * Sonus Networks, Inc. 3,200 21,152 * Sonus Pharmaceuticals, Inc. 100 306 * Sotheby's Holdings, Inc. Class A 1,900 29,792 Sound Federal Bancorp, Inc. 100 1,520 * Source Interlink Companies, Inc. 1,000 13,050 * SOURCECORP, Inc. 500 8,315 South Financial Group, Inc. 2,701 85,581 South Jersey Industries, Inc. 100 5,141 Southern Co. 26,600 872,214 * Southern Union Co. 4,845 118,818 Southwest Airlines Co. 50,300 791,219 Southwest Bancorporation of Texas, Inc. 4,400 107,624 Southwest Gas Corp. 300 7,620 Southwest Water Co. 700 9,527 * Southwestern Energy Co. 2,100 115,290 Sovereign Bancorp, Inc. 18,000 393,300 * Spanish Broadcasting System, Inc. 1,700 18,173 Spartan Motors, Inc. 100 1,188 Spartech Corp. 1,300 36,335 * Specialty Laboratories, Inc. 1,000 10,980 SpectraLink Corp. 500 7,325 * Spectranetics Corp. 500 2,430
109
SHARES VALUE+ --------------- --------------- Speedway Motorsports, Inc. 2,100 $ 77,154 * Spherion Corp. 2,300 18,124 *# Spherix, Inc. 300 879 * Spinnaker Exploration Co. 1,900 68,913 * Sportsman's Guide, Inc. 500 12,140 Sprint Corp. 61,450 1,401,675 * SPSS, Inc. 600 9,594 SPX Corp. 3,700 152,107 * SR Telecom, Inc. 10 30 * SRA International, Inc. 900 52,236 * SRS Labs, Inc. 600 3,900 SS&C Technologies, Inc. 1,100 24,629 * St. Jude Medical, Inc. 17,600 671,264 St. Mary Land & Exploration Co. 5,200 223,548 * Staar Surgical Co. 600 3,558 * Stage Stores, Inc. 100 4,099 * Stamps.com, Inc. 950 14,697 StanCorp Financial Group, Inc. 2,200 173,910 * Standard Management Corp. 100 360 * Standard Microsystems Corp. 700 17,206 Standard Motor Products, Inc. 300 4,677 Standard Pacific Corp. 2,400 134,424 Standex International Corp. 500 13,925 Stanley Furniture, Inc. 100 4,600 Staples, Inc. 25,800 823,278 *# Star Scientific, Inc. 2,400 15,816 * Starbucks Corp. 17,800 1,001,428 StarTek, Inc. 600 17,256 Starwood Hotels & Resorts Worldwide, Inc. 9,500 496,755 State Auto Financial Corp. 2,100 56,280 State Street Corp. 16,100 717,416 Station Casinos, Inc. 3,200 182,528 *# STATS ChipPAC, Ltd. 1,392 7,811 * Steak n Shake Co. 1,300 24,206 Steel Dynamics, Inc. 2,600 105,378 Steel Technologies, Inc. 500 14,640 Steelcase, Inc. Class A 2,200 29,260 * Stein Mart, Inc. 2,000 33,260 * Steinway Musical Instruments, Inc. 200 5,654 * Stellent, Inc. 600 4,710 * Stericycle, Inc. 2,200 91,938 * Steris Corp. 3,800 86,944 Sterling Bancorp 500 16,085 Sterling Bancshares, Inc. 1,900 27,702 * Sterling Financial Corp. 1,078 43,066 Stewart & Stevenson Services, Inc. 800 16,000 * Stewart Enterprises, Inc. 3,700 27,454 Stewart Information Services Corp. 900 39,285 * Stifel Financial Corp. 200 4,810 * Stillwater Mining Co. 4,300 50,998 * Stone Energy Corp. 1,600 76,768 * Stoneridge, Inc. 1,300 19,773 * Storage Technology Corp. 6,000 174,840 * Stratasys, Inc. 500 16,150 * Strategic Diagnostics, Inc. 200 506 * Stratex Networks, Inc. 3,600 7,416 # Strayer Education, Inc. 1,100 118,228 Stride Rite Corp. 1,100 12,111 Stryker Corp. 21,400 941,386 Student Loan Corp. 900 158,769 Sturm Ruger & Co., Inc. 500 $ 4,540 * Sun Bancorp, Inc. 925 22,986 * Sun Microsystems, Inc. 173,000 960,150 * Suncoast Naturals, Inc. 21 4 * Sungard Data Systems, Inc. 13,800 365,838 Sunoco, Inc. 3,800 313,728 * Sunrise Senior Living, Inc. 1,000 42,950 SunTrust Banks, Inc. 14,617 1,042,192 * Superconductor Technologies, Inc. 1,000 840 *# SuperGen, Inc. 1,600 11,552 * Superior Energy Services, Inc. 3,900 57,252 # Superior Industries International, Inc. 1,300 36,725 * Supertex, Inc. 600 13,050 Supervalu, Inc. 5,600 176,904 * SupportSoft, Inc. 1,600 8,128 Supreme Industries, Inc. 110 673 SureWest Communications 500 14,235 *# SurModics, Inc. 1,000 30,100 Susquehanna Bancshares, Inc. 1,000 26,000 * Swift Energy Corp. 1,400 42,476 * Swift Transportation Co., Inc. 4,000 77,960 SWS Group, Inc. 200 4,222 * Sybase, Inc. 6,000 103,380 * Sybron Dental Specialties, Inc. 1,800 61,812 * Sycamore Networks, Inc. 12,500 46,875 * Sykes Enterprises, Inc. 1,400 9,450 * Symantec Corp. 14,000 893,340 Symbol Technologies, Inc. 13,900 210,724 * Symmetricom, Inc. 2,200 23,760 * Symyx Technologies 1,300 40,989 *# Synaptics, Inc. 1,100 42,240 * Synopsys, Inc. 8,196 144,495 * Synovis Life Technologies, Inc. 500 5,925 Synovus Financial Corp. 12,600 340,200 * Synplicity, Inc. 500 2,810 Syntel, Inc. 1,700 33,286 * Syntroleum Corp. 2,000 13,860 Sypris Solutions, Inc. 800 13,016 Sysco Corp. 28,400 986,900 T. Rowe Price Group, Inc. 6,200 366,792 * Tag-It Pacific, Inc. 100 450 * Take-Two Interactive Software, Inc. 2,300 80,385 Talbots, Inc. 2,600 74,412 * TALK America Holdings, Inc. 500 3,160 TALX Corp. 1,000 29,400 * Tanox, Inc. 2,000 27,700 Target Corp. 49,600 2,540,512 * Tarrant Apparel Group 100 186 * TBC Corp. 1,300 34,671 TCF Financial Corp. 6,000 185,460 * Tech Data Corp. 3,000 136,170 * Techne Corp. 2,033 75,526 Technical Olympic USA, Inc. 400 9,780 * Technitrol, Inc. 1,700 29,325 # TECO Energy, Inc. 5,900 88,264 Tecumseh Products Co. Class A 300 13,737 * Tejon Ranch Co. 100 3,955 * Tekelec 3,000 70,230 Tektronix, Inc. 4,545 142,577 *# TeleCommunication Systems, Inc. 600 1,824 * Teledyne Technologies, Inc. 1,500 44,550
110
SHARES VALUE+ --------------- --------------- Teleflex, Inc. 1,900 $ 95,950 * Teleglobe International Holdings, Ltd. 50 172 Telephone & Data Systems, Inc. 2,500 193,750 * TeleTech Holdings, Inc. 3,400 33,218 * Telik, Inc. 2,000 38,220 * Tellabs, Inc. 22,200 189,810 * Telular Corp. 400 2,548 Temple-Inland, Inc. 2,500 148,975 * Tenet Healthcare Corp. 20,900 226,765 Tennant Co. 500 20,000 * Tenneco Automotive, Inc. 2,100 32,550 * Teradyne, Inc. 9,600 163,776 * Terayon Communication Systems, Inc. 1,800 3,582 * Terex Corp. 2,600 119,184 *# Terra Industries, Inc. 3,800 31,160 * Tesoro Petroleum Corp. 3,400 112,608 * Tetra Tech, Inc. 2,700 41,148 * TETRA Technologies, Inc. 1,150 34,960 Texas Genco Holdings, Inc. 3,260 152,731 Texas Industries, Inc. 700 42,000 # Texas Instruments, Inc. 85,500 2,067,390 Texas Regional Banchshares, Inc. Class A 2,425 86,233 Textron, Inc. 6,400 464,768 * The Banc Corp. 500 3,930 The Brink's Co. 3,500 135,135 * The Children's Place Retail Stores, Inc. 1,200 37,992 The Colonial BancGroup, Inc. 5,800 123,134 * The Dress Barn, Inc. 1,300 22,321 * The Geo Group, Inc. 700 16,135 The Goldman Sachs Group, Inc. 24,200 2,535,192 * The Kroger Co. 38,800 627,784 * The Lamson & Sessions Co. 1,500 13,575 The Manitowoc Co., Inc. 1,200 44,820 The Marcus Corp. 500 11,425 The McClatchey Co. 1,100 77,110 * The Medicines Co. 2,100 52,374 * The Mens Warehouse, Inc. 1,800 56,970 * The Mosaic Co. 2,900 50,402 The Neiman Marcus Group, Inc. 1,500 97,965 * The New Dun & Bradstreet Corp. 3,400 201,824 The New York Times Co. Class A 7,100 291,100 The Phoenix Companies, Inc. 1,600 19,520 * The Sports Authority, Inc. 896 25,545 The St. Joe Corp. 3,600 197,460 The St. Paul Travelers Companies, Inc. 30,507 1,112,895 # The Stanley Works 3,300 154,308 The TJX Companies, Inc. 25,500 600,270 The Topps Co., Inc. 1,800 17,946 * Theragenics Corp. 700 2,940 * Therma-Wave, Inc. 600 1,920 * Thermo Electron Corp. 8,800 266,200 * TheStreet.com, Inc. 510 2,219 * Third Wave Technologies, Inc. 1,700 13,702 * Thomas & Betts Corp. 3,100 98,084 Thomas Industries, Inc. 800 31,344 Thor Industries, Inc. 3,400 113,560 * Thoratec Corp. 2,400 24,000 * THQ, Inc. 1,900 40,774 * Three-Five Systems, Inc. 500 $ 970 * TIBCO Software, Inc. 11,400 131,100 Tidewater, Inc. 2,000 67,860 * Tier Technologies, Inc. Class B 500 4,415 TierOne Corp. 600 14,886 # Tiffany & Co. 7,000 214,200 * Timberland Co. Class A 1,800 113,994 * Time Warner Telecom, Inc. 2,100 7,959 * Time Warner, Inc. 250,000 4,427,500 Timken Co. 3,800 98,800 * Titan Corp. 3,900 62,829 * Titan Pharmaceuticals, Inc. 400 1,000 *# TiVo, Inc. 3,200 15,072 Todd Shipyards Corp. 100 1,713 *# Toll Brothers, Inc. 3,600 184,968 * Tollgrade Communications, Inc. 800 8,552 * Too, Inc. 1,500 38,100 Tootsie Roll Industries, Inc. 1,979 61,448 Torchmark Corp. 5,700 312,987 # Toro Co. 1,300 94,250 * Total Entertainment Restaurant Corp. 300 3,012 Total System Services, Inc. 9,800 253,330 *# Tower Automotive, Inc. 2,400 4,320 * Toys R Us, Inc. 11,400 220,476 * Tractor Supply Co. 2,000 63,440 * Tradestation Group, Inc. 1,800 13,356 Traffix, Inc. 100 655 * Trammell Crow Co. 1,700 29,070 * Trans World Entertainment Corp. 1,230 13,874 * Transaction Systems Architects, Inc. 1,700 34,884 Transatlantic Holdings, Inc. 4,250 247,945 * Transkaryotic Therapies, Inc. 1,600 36,496 *# Transmeta Corp. 5,000 8,450 * TransMontaigne, Inc. 1,500 8,145 * Transwitch Corp. 900 1,098 * TRC Companies, Inc. 800 14,272 Tredegar Industries, Inc. 1,100 20,493 * Trex Co., Inc. 700 32,865 * Triad Guaranty, Inc. 700 42,000 * Triad Hospitals, Inc. 5,300 194,457 Triarc Companies, Inc. Class A 1,000 12,950 Triarc Companies, Inc. Class B 2,000 25,500 Tribune Co. 17,700 767,649 * Trico Marine Services, Inc. 100 35 * Trident Microsystems, Inc. 1,000 15,600 * Trimble Navigation, Ltd. 2,495 78,767 * Trimeris, Inc. 800 9,928 Trinity Industries, Inc. 2,400 84,840 * TriPath Imaging, Inc. 1,300 9,334 * Tripath Technology, Inc. 900 765 * Triquint Semiconductor, Inc. 4,400 19,052 * Triton PCS Holdings, Inc. 1,100 2,750 * Triumph Group, Inc. 800 32,448 * TriZetto Group, Inc. 2,000 14,160 *# Tropical Sportswear International Corp. 100 141 TrustCo Bank Corp. NY 2,000 28,200 Trustmark Corp. 2,500 77,000 * TTM Technologies, Inc. 2,000 20,760 * Tuesday Morning Corp. 1,900 63,631 * Tumbleweed Communications Corp. 1,100 3,850
111
SHARES VALUE+ --------------- --------------- Tupperware Corp. 1,800 $ 33,696 * Tut Systems, Inc. 500 1,975 * Tweeter Home Entertainment Group, Inc. 700 4,487 TXU Corp. 16,800 1,055,376 * Tyler Technologies, Inc. 2,000 15,680 Tyson Foods, Inc. Class A 12,000 196,680 U.S. Bancorp 70,100 2,077,063 * U.S. Concrete, Inc. 1,000 7,270 * U.S. Physical Therapy, Inc. 600 9,300 * UbiquiTel, Inc. 3,600 23,400 # UCBH Holdings, Inc. 2,400 108,816 UGI Corp. 1,850 75,073 UICI 2,400 80,160 UIL Holdings Corp. 100 5,346 * Ulticom, Inc. 1,900 34,105 *# Ultimate Electronics, Inc. 500 1,530 * Ultimate Software Group, Inc. 900 11,493 * Ultratech, Inc. 1,400 24,122 UMB Financial Corp. 500 28,005 Umpqua Holdings Corp. 1,845 47,177 * Unifi, Inc. 1,300 4,836 Unifirst Corp. 300 8,292 Union Pacific Corp. 11,600 735,904 UnionBanCal Corp. 6,600 408,078 # Unisource Energy Corp. 500 12,195 * Unisys Corp. 18,300 210,267 * Unit Corp. 2,400 95,088 United Auto Group, Inc. 2,300 65,596 United Bankshares, Inc. 1,700 65,059 United Community Banks, Inc. 1,550 44,423 United Community Financial Corp. 400 4,596 * United Defense Industries, Inc. 2,500 113,250 United Industrial Corp. 600 23,400 * United Natural Foods, Inc. 1,900 53,447 * United Online, Inc. 2,650 28,276 United Parcel Service, Inc. 27,500 2,314,125 * United Rentals, Inc. 4,700 83,989 * United States Cellular Corp. 3,000 132,750 United States Steel Corp. 6,000 314,160 *# United Stationers, Inc. 1,800 86,184 * United Surgical Partners International, Inc. 1,700 67,099 United Technologies Corp. 24,900 2,429,742 * United Therapeutics Corp. 1,100 48,411 * UnitedGlobalCom, Inc. 21,300 177,429 UnitedHealth Group, Inc. 46,782 3,875,889 Unitrin, Inc. 2,000 95,280 * Universal American Financial Corp. 2,700 36,045 * Universal Compression Holdings, Inc. 1,200 44,760 Universal Corp. 1,000 48,680 * Universal Display Corp. 1,000 9,750 * Universal Electronics, Inc. 600 10,950 Universal Forest Products, Inc. 1,100 47,476 Universal Health Services, Inc. 3,100 141,112 * Univision Communications, Inc. Class A 12,005 361,351 Unocal Corp. 12,800 589,312 * Unova, Inc. 3,200 70,912 UnumProvident Corp. 10,500 163,485 * UQM Technologies, Inc. 500 1,055 * Urban Outfitters, Inc. 3,900 $ 165,750 * Urologix, Inc. 200 1,424 * URS Corp. 1,600 48,064 * USA Mobility, Inc. 600 21,816 * USANA Health Services, Inc. 900 26,739 USEC, Inc. 500 5,265 USF Corp. 1,100 40,667 UST, Inc. 4,500 198,135 * VA Software Corp. 800 1,976 * Vail Resorts, Inc. 1,000 22,750 *# Valassis Communications, Inc. 2,300 78,085 Valeant Pharmaceuticals International 4,100 99,261 Valero Energy Corp. 13,000 608,270 Valhi, Inc. 5,700 88,407 Valley National Bancorp 3,368 94,203 Valmont Industries, Inc. 1,000 24,960 Valspar Corp. 2,700 130,194 * ValueClick, Inc. 3,700 47,730 * ValueVision Media, Inc. Class A 1,500 17,010 * Varco International, Inc. 5,900 175,466 * Varian Medical Systems, Inc. 6,800 286,144 * Varian Semiconductor Equipment Associates, Inc. 1,700 60,384 * Varian, Inc. 1,500 56,175 *# Vascular Solutions, Inc. 500 5,180 * Vastera, Inc. 1,200 2,220 * Vaxgen, Inc. 1,000 15,680 * VCA Antech, Inc. 3,700 68,672 # Vector Group, Ltd. 100 1,640 Vectren Corp. 2,300 60,214 * Veeco Instruments, Inc. 1,500 29,085 * Ventana Medical Systems, Inc. 800 47,800 * VeriSign, Inc. 13,200 434,280 * Veritas DGC, Inc. 1,800 42,120 * VERITAS Software Corp. 22,900 501,510 * Verity, Inc. 1,300 17,823 Verizon Communications, Inc. 103,900 4,283,797 * Vermont Pure Holdings, Ltd. 100 178 * Vertex Pharmaceuticals, Inc. 3,200 33,984 *# Vertrue, Inc. 500 17,350 Vesta Insurance Group, Inc. 600 2,256 VF Corp. 5,300 286,147 # Viacom, Inc. Class A 7,300 259,661 Viacom, Inc. Class B 78,700 2,730,890 Viad Corp. 750 17,993 * Viasat, Inc. 1,300 27,131 * Viasys Healthcare, Inc. 262 4,878 * Vical, Inc. 400 1,720 Vicor Corp. 1,500 16,305 * Vicuron Pharmaceuticals, Inc. 2,700 47,493 * Viewpoint Corp. 100 262 * Vignette Corp. 7,200 9,144 * Viisage Technology, Inc. 2,100 16,947 Vintage Petroleum, Inc. 3,000 72,750 * Virage Logic Corp. 1,000 15,030 * Virbac Corp. 100 352 *# ViroPharma, Inc. 500 1,415 * Vishay Intertechnology, Inc. 6,900 100,809 Visteon Corp. 4,400 37,224 * VISX, Inc. 2,100 54,306
112
SHARES VALUE+ --------------- --------------- *# Vital Images, Inc. 200 $ 3,238 Vital Signs, Inc. 700 26,187 * VitalWorks, Inc. 900 3,627 * Vitesse Semiconductor, Inc. 8,200 26,732 * Vitria Technology, Inc. 600 2,076 * Vivus, Inc. 1,000 5,880 * Volt Information Sciences, Inc. 500 15,250 Vulcan Materials Co. 4,600 238,510 * W-H Energy Services, Inc. 1,400 32,004 * Wabash National Corp. 1,100 27,357 Wabtec Corp. 2,900 59,653 Wachovia Corp. 55,092 2,851,011 Waddell & Reed Financial, Inc. 42,500 964,750 Walgreen Co. 53,200 2,031,176 Wal-Mart Stores, Inc. 214,700 11,177,282 Walter Industries, Inc. 1,700 42,806 *# Warnaco Group, Inc. 2,200 43,714 Washington Federal, Inc. 2,975 80,236 * Washington Group International, Inc. 200 7,800 Washington Mutual, Inc. 32,400 1,319,004 Washington Post Co. 100 93,800 Washington Trust Bancorp, Inc. 500 14,710 * Waste Connections, Inc. 2,600 88,556 Waste Management, Inc. 34,100 1,016,521 * WatchGuard Technologies, Inc. 1,200 4,920 *# Waters Corp. 5,600 261,296 Watsco, Inc. Class A 1,200 39,684 * Watson Pharmaceuticals, Inc. 6,700 194,635 Watson Wyatt & Co., Holdings 1,400 37,324 Watts Water Technologies, Inc. 1,200 36,756 Wausau-Mosinee Paper Corp. 2,000 35,900 Waypoint Financial Corp. 525 14,579 * WCI Communities, Inc. 2,500 64,050 WD-40 Co. 700 20,447 * Webco Industries, Inc. 100 750 * WebEx Communications, Inc. 1,900 45,106 *# WebMD Corp. 17,200 124,700 * webMethods, Inc. 2,300 14,122 * Websense, Inc. 1,000 48,060 Webster Financial Corp. 2,300 115,115 *# Weight Watchers International, Inc. 4,800 190,320 Weis Markets, Inc. 300 11,520 * WellChoice, Inc. 4,200 205,758 Wellman, Inc. 600 6,174 * Wellpoint Health Networks, Inc. 9,746 1,219,225 Wells Fargo & Co. 68,000 4,200,360 Wendy's International, Inc. 5,600 199,752 Werner Enterprises, Inc. 3,741 84,173 Wesbanco, Inc. 732 23,139 Wesco Financial Corp. 100 38,525 * WESCO International, Inc. 1,900 53,428 West Bancorporation 100 1,734 West Coast Bancorp 600 15,786 * West Corp. 3,800 131,632 * West Marine, Inc. 1,200 27,720 West Pharmaceutical Services, Inc. 1,100 25,718 * Westaff, Inc. 100 305 Westamerica Bancorporation 1,400 81,424 Westar Energy, Inc. 2,700 59,805 Westcorp, Inc. 2,600 109,928 * Westell Technologies, Inc. 2,300 15,065 * Western Digital Corp. 10,300 $ 100,631 Western Gas Resources, Inc. 3,800 117,800 * Western Wireless Corp. 4,700 126,900 Westwood Holdings Group, Inc. 125 2,385 * Westwood One, Inc. 5,000 112,100 *# Wet Seal, Inc. Class A 1,250 2,075 Weyerhaeuser Co. 10,600 699,600 * WFS Financial, Inc. 2,700 125,631 WGL Holdings, Inc. 700 21,224 Whirlpool Corp. 2,900 187,195 * White Electronics Designs Corp. 500 3,350 * Whitehall Jewelers, Inc. 458 3,792 * Whiting Petroleum Corp. 18 613 Whitney Holding Corp. 1,700 78,438 Whole Foods Market, Inc. 3,400 308,618 * Wild Oats Markets, Inc. 1,500 10,740 Wiley (John) & Sons, Inc. Class A 2,600 85,930 * William Lyon Homes, Inc. 500 35,175 Williams Companies, Inc. 32,800 546,776 * Williams-Sonoma, Inc. 5,500 201,355 Wilmington Trust Corp. 2,400 86,760 * Wilshire Enterprises, Inc. 100 603 * Wilson Greatbatch Technologies, Inc. 1,000 20,050 * Wilsons The Leather Experts, Inc. 1,100 5,500 * Wind River Systems, Inc. 3,500 42,350 # Winn-Dixie Stores, Inc. 2,100 8,400 # Winnebago Industries, Inc. 2,200 83,446 Wintrust Financial Corp. 1,150 68,816 * Wireless Facilities, Inc. 2,900 24,012 Wireless Telecom Group, Inc. 500 1,480 Wisconsin Energy Corp. 4,900 163,023 * Witness Systems, Inc. 1,000 14,990 *# WMS Industries, Inc. 1,500 44,610 * Wolverine Tube, Inc. 500 5,310 Wolverine World Wide, Inc. 2,000 59,900 Woodhead Industries, Inc. 100 1,508 Woodward Governor Co. 700 50,995 * World Acceptance Corp. 1,100 28,369 World Fuel Services Corp. 600 24,720 World Wrestling Federation Entertainment, Inc. 700 8,400 * Worldwide Restaurant Concepts, Inc. 700 2,289 Worthington Industries, Inc. 3,700 79,587 WPS Resources Corp. 1,100 53,185 * Wright Medical Group, Inc. 1,700 44,965 Wrigley (Wm.) Jr. Co. 9,600 660,480 Wyeth 62,700 2,499,849 X-Rite, Inc. 1,000 14,910 Xcel Energy, Inc. 10,300 186,018 *# Xerox Corp. 40,600 621,992 Xilinx, Inc. 17,300 540,106 *# XM Satellite Radio Holdings, Inc. 10,100 372,791 XTO Energy, Inc. 16,000 581,600 *# Yahoo!, Inc. 61,300 2,306,106 * Yankee Candle Co., Inc. 2,300 70,058 * Yellow Roadway Corp. 2,697 142,536 York International Corp. 1,400 51,618 * Young Broadcasting, Inc. Class A 700 6,832 Yum! Brands, Inc. 14,800 671,920 * Zebra Technologies Corp. Class A 3,350 168,438 * Zhone Technologies, Inc. 1,800 4,392
113
SHARES VALUE+ --------------- --------------- * Zila, Inc. 1,500 $ 6,675 * Zimmer Holdings, Inc. 11,300 922,080 Zions Bancorporation 3,900 259,350 * Zix Corp. 1,000 4,580 * Zoll Medical Corp. 700 23,751 *# Zoltek Companies, Inc. 700 6,440 * Zomax, Inc. 700 2,408 * Zoran Corp. 1,405 16,649 * Zygo Corp. 500 5,810 * Zymogenetics, Inc. 2,400 54,576 --------------- TOTAL COMMON STOCKS (Cost $517,434,860) 612,087,681 --------------- RIGHTS/WARRANTS -- (0.0%) * Chart Industries, Inc. Warrants 09/15/10 2 31 * Magnum Hunter Resources, Inc. Warrants 03/21/05 200 122 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 153 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (7.0%) Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%, 12/01/04 (Collateralized by $42,455,000 U.S. Treasury Bills, 02/17/05, valued at $42,255,462) to be repurchased at $41,428,797 (Cost $41,426,565)^ $ 41,427 41,426,565 Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04 (Collateralized by $4,795,000 FHLMC Notes 4.20%, 10/20/09, valued at $4,815,571) to be repurchased at $4,765,249 (Cost $4,765,000) 4,765 4,765,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $46,191,565) 46,191,565 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $563,626,425) $ 658,279,399 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 114 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
THE TAX-MANAGED THE TAX-MANAGED U.S. MARKETWIDE U.S. EQUITY VALUE SERIES SERIES --------------- --------------- ASSETS: Investments at Value (including $161,949 and $39,633, of securities on loan, respectively) $ 1,868,871 $ 658,279 Cash 1 1 Receivables: Investment Securities Sold 418 67 Dividends and Interest 3,007 2,454 Securities Lending 16 6 Fund Shares Sold 1,038 567 Prepaid Expenses and Other Assets 1 -- --------------- --------------- Total Assets 1,873,352 661,374 --------------- --------------- LIABILITIES: Payables: Upon Return of Securities Loaned 168,364 41,426 Investment Securities Purchased 1,990 937 Due to Advisor 276 25 Accrued Expenses and Other Liabilities 109 36 --------------- --------------- Total Liabilities 170,739 42,424 --------------- --------------- NET ASSETS $ 1,702,613 $ 618,950 =============== =============== Investments at Cost $ 1,386,315 $ 563,626 =============== ===============
See accompanying Notes to Financial Statements. 115 STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2004 (AMOUNTS IN THOUSANDS)
THE TAX-MANAGED THE TAX-MANAGED U.S. MARKETWIDE U.S. EQUITY VALUE SERIES SERIES --------------- --------------- INVESTMENT INCOME Dividends $ 18,671 $ 7,673 Interest 216 79 Income from Securities Lending 150 44 --------------- --------------- Total Investment Income 19,037 7,796 --------------- --------------- EXPENSES Investment Advisory Services 2,738 240 Accounting & Transfer Agent Fees 409 144 Custodian Fees 127 45 Legal Fees 9 3 Audit Fees 20 7 Shareholders' Reports 27 9 Trustees' Fees and Expenses 12 6 Other 26 9 --------------- --------------- Total Expenses 3,368 463 --------------- --------------- NET INVESTMENT INCOME (LOSS) 15,669 7,333 --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Net Realized Gain (Loss) on Investment Securities Sold 1,597 206 Change in Unrealized Appreciation (Depreciation) of Investment Securities 241,813 47,213 --------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 243,410 47,419 --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 259,079 $ 54,752 =============== ===============
See accompanying Notes to Financial Statements. 116 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE TAX-MANAGED THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES U.S. EQUITY SERIES ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 15,669 $ 4,897 $ 7,333 $ 2,534 Net Realized Gain (Loss) on Investment Securities Sold 1,597 (22,174) 206 (12,492) Change in Unrealized Appreciation (Depreciation) of Investment Securities 241,813 204,201 47,213 58,134 ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 259,079 186,924 54,752 48,176 ------------ ------------ ------------ ------------ Transactions in Interest: Contributions 386,040 290,723 226,792 122,466 Withdrawals (27,739) (66,772) (11,352) (20,131) ------------ ------------ ------------ ------------ Net Increase (Decrease) From Transactions in Interest 358,301 223,951 215,440 102,335 ------------ ------------ ------------ ------------ Total Increase (Decrease) 617,380 410,875 270,192 150,511 NET ASSETS Beginning of Period 1,085,233 674,358 348,758 198,247 ------------ ------------ ------------ ------------ End of Period $ 1,702,613 $ 1,085,233 $ 618,950 $ 348,758 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 117 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES ------------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A N/A N/A N/A N/A ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions N/A N/A N/A N/A N/A - ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A N/A N/A N/A N/A =============================================================================================================================== Total Return 20.49% 22.88% (20.25)% 8.30% 3.07% - ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,702,613 $ 1,085,233 $ 674,358 $ 690,795 $ 314,021 Ratio of Expenses to Average Net Assets 0.25% 0.25% 0.25% 0.25% 0.26% Ratio of Net Investment Income to Average Net Assets 1.14% 0.61% 0.61% 1.17% 1.98% Portfolio Turnover Rate 5% 6% 15% 11% 39% - ------------------------------------------------------------------------------------------------------------------------------- THE TAX-MANAGED U.S. EQUITY SERIES --------------------------------------------------------- YEAR YEAR YEAR SEPT. 25, ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 - ---------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A N/A N/A N/A ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- ----------- ----------- ----------- ----------- Total from Investment Operations -- -- -- -- - ---------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- Net Realized Gains -- -- -- -- ----------- ----------- ----------- ----------- Total Distributions N/A N/A N/A N/A - ---------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A N/A N/A N/A ================================================================================================================ Total Return 12.20% 18.49% (20.12)% 15.72%# - ---------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 618,950 $ 348,758 $ 198,247 $ 81,548 Ratio of Expenses to Average Net Assets 0.10% 0.10% 0.12% 0.20%* Ratio of Net Investment Income to Average Net Assets 1.52% 1.02% 0.63% 0.62%* Portfolio Turnover Rate 5% 13% 11% 4%* - ----------------------------------------------------------------------------------------------------------------
* Annualized # Non-annualized N/A Not applicable as The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series are organized as partnerships and do not have a unitized value. See accompanying Notes to Financial Statements. 118 DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. The Trust currently consists of twenty-one series, of which The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (the "Series" or "Portfolios") are presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operation during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series 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. Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values the securities at the mean between the quoted bid and asked prices. 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, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. 2. REPURCHASE AGREEMENTS: The Series may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty 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. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on November 30, 2004. 3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Trustees' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust are allocated using methods approved by the Board of Trustees, generally based on average net assets. 119 C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Series. For the year ended November 30, 2004, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: The Tax-Managed U.S. Marketwide Value Series 0.20 of 1% The Tax-Managed U.S. Equity Series 0.05 of 1%
Certain officers of the Series are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At November 30, 2004, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The Tax-Managed U.S. Marketwide Value Series $ 22,407 The Tax-Managed U.S. Equity Series 7,804
E. PURCHASES AND SALES OF SECURITIES: For the year ended November 30, 2004, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
OTHER INVESTMENT SECURITIES --------------------------- PURCHASES SALES ------------ ------------ The Tax-Managed U.S. Marketwide Value Series $ 449,277 $ 70,293 The Tax-Managed U.S. Equity Series 243,447 22,307
There were no purchases or sales of U.S. Government securities during the year ended November 30, 2004. F. FEDERAL INCOME TAXES: No provision for federal income taxes is required since the Series' are treated as partnerships for federal income tax purposes. Any interest, dividends and gains or loses have been deemed to have been "passed through" to their Feeder Funds. At November 30, 2004, the total cost of securities and net realized gains or losses on securities sold for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Series, at November 30, 2004 were as follows (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------------- -------------- -------------- -------------- The Tax-Managed U.S. Marketwide Value Series $ 1,387,042 $ 520,366 $ (38,537) $ 481,829 The Tax-Managed U.S. Equity Series 564,052 108,966 (14,739) 94,227
G. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each Series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line are charged interest at the then current federal funds rate plus 1%. Each Series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. 120 The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 28, 2005. There were no borrowings under the discretionary line of credit by the Series' during the year ended November 30, 2004. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each Series is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2005. There were no borrowings by the Series under the line of credit during the year ended November 30, 2004. H. SECURITIES LENDING: As of November 30, 2004, some of the Series had securities on loan to brokers/dealers, for which each Series held cash collateral. Each Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% 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 PNCBank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. The cash collateral received by the Series from securities on loan is invested along with cash collateral from the other Series' in repurchase agreements collateralized by U.S. government securities. These investments are accounted for separately for each Series. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. I. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 121 REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Series") at November 30, 2004, the results of each of their operations, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 14, 2005 122 FUND MANAGEMENT TRUSTEES/DIRECTORS Each Board of Trustees/Directors of The DFA Investment Trust Company Inc. ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund Inc. ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Fund's policies and for overseeing the management of the Fund. The Trustees/Directors of the Funds, including all of the disinterested Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has two standing committees, an Audit Committee and a Portfolio Performance and Service Review Committee (the "Performance Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board of Trustee's/Directors. The Audit Committee recommends the appointment of each Fund's independent registered certified public accountanting firm and also acts as a liaison between the Fund's independent registered certified public accountanting firm and the full Board. There were four Audit Committee meetings held during the fiscal year ended November 30, 2004. The Performance Committee is comprised of Messrs. Constantinides and Ibbotson, Ms. Smith, John R. Gould, Myron S. Scholes and Robert C. Merton. Each member of the Fund's Performance Committee is a disinterested Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were three Performance Committee meetings held during the fiscal year ended November 30, 2004. Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director's experience as a Trustee/Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience. The statements of additional information (together, "SAI") of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors Inc. by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401. Prospectuses are also available at www.dfafunds.com.
NAME,AGE,POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD - ----------------------------- ------------------------ ----------------------- ----------------------------------------------- DISINTERESTED TRUSTEES/DIRECTORS George M.Constantinides DFAITC -- since 1993 75 portfolios in 4 Leo Melamed Professor of Finance, Graduate Director of DFAIDG, DIG DFAIDG -- since 1983 investment companies School of Business, University of Chicago. and DEM. DIG -- since 1993 Trustee of DFAITC. DEM -- since 1993 1101 E. 58th Street Chicago, IL 60637 Date of Birth: 9/22/47 John P. Gould Director of DFAITC -- since 1993 75 portfolios in 4 Steven G. Rothmeier Distinguished Service DFAIDG, DIG and DEM. DFAIDG -- since 1986 investment companies Professor of Economics, Graduate School of Trustee of DFAITC. DIG -- since 1993 DEM Business, University of Chicago. Senior 1101 E. 58th Street -- since 1993 Vice-President, Lexecon Inc. (economics, law, Chicago, IL 60637 strategy and finance consulting). Formerly, Date of Birth:1/19/39 President, Cardean University (division of UNext.com). Member of the Boards of Milwaukee Mutual Insurance Company and UNext.com. Formerly, Trustee, First Prairie Funds (registered investment company). Trustee, Harbor Fund (registered investment company) (13 Portfolios).
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NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD - ------------------------------------------------------------------------------------------------------------------------------------ Roger G. Ibbotson DFAITC - since 1993 75 portfolios in 4 Professor in Practice of Finance, Yale School Director of DFAIDG, DIG DFAIDG - since 1981 investment companies of Management. Director, BIRR Portfolio and DEM. DIG - since 1993 Analysis, Inc. (software products). Chairman, Trustee of DFAITC. DEM - since 1993 Ibbotson Associates, Inc., Chicago, IL Yale School of Management (software, data, publishing and P.O. Box 208200 consulting). Partner, Zebra Capital New Haven, CT Management, LLC (hedge fund manager). 06520-8200 Formerly, Director, Hospital Fund, Date of Birth: 5/27/43 Inc. (investment management services). Robert C. Merton DFA ITC - since 2003 75 portfolios in 4 John and Natty McArthur University Professor, Director of DFAIDG, DIG DFA IDG - since 2003 investment companies Graduate School of Business Administration, and DEM. DFA DIG - since 2003 Harvard University (since 1998). George Fisher Trustee of DFAITC. DEM - since 2003 Baker Professor of Business Administration, Harvard Business School Graduate School of Business Administration, 397 Morgan Hall Harvard University (1988-1998), Co-founder, Soldiers Field Chief Science Officer, Integrated Finance Boston, MA 02163 Limited (since 2002). Director, MF Risk, Date of Birth: 7/31/44 Inc. (risk managemetnt software) (since 2001). Director, Peninsula Banking Group (bank) (since 2003). Director, Community First Financial Group (bank holding company) (since 2003). Formerly, Co-Founder and Principal, Long-Term Capital Management. Director, Vical Incorporated (biopharamceutical product development). Myron S. Scholes DFAITC - since 1993 75 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Stanford University. Managing Partner, Oak and DEM. DIG - since 1993 Hill Capital Management (private equity Trustee of DFAITC. DEM - since 1993 firm). Chairman, Oak Hill Platinum Partners Oak Hill Capital (hedge fund). Director, Chicago Mercantile Management, Inc. Exchange. Consultant, Arbor Investors. 2775 Sand Hill Rd. Formerly, Director, Smith Breeden Family of Suite 220 Funds. Director, American Century Fund Menlo Park, CA 94025 Complex (registered investment companies) (38 Date of Birth: 7/01/41 Portfolios); and Director, Chicago Mercantile Exchange Holdings Inc.. Abbie J. Smith DFAITC - since 2000 75 portfolios in 4 Boris and Irene Stern Professor of Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Accounting, Graduate School of Business, and DEM. DIG - since 2000 University of Chicago, Formerly, Marvin Bower Trustee of DFAITC. DEM - since 2000 Fellow, Harvard Business School (9/01 to Graduate School of Business 8/02). Director, HON Industries Inc. (office University of Chicago furniture) and Director, Ryder System Inc. 1101 East 58th Street, (transportation). Chicago, IL 60637 Date of Birth: 4/30/53 INTERESTED TRUSTEES/DIRECTORS** David G. Booth DFAITC - since 1993 75 portfolios in 4 Chairman, Director, Chief Executive Officer, Chairman, Director, Chief DFAIDG - since 1981 investment companies Chief Investment Officer and President of Executive Officer, Chief DIG - since 1992 Dimensional Fund Advisors Inc., DFA Investment Officer and DEM - since 1993 Securities Inc., DFAIDG, DIG and DEM. President of DFAIDG, DIG Chairman, Trustee, Chief Executive Officer, and DEM. Chairman, Chief Investment Officer and President of Trustee, Chief Executive DFAITC. Director of Dimensional Fund Advisors Officer, Chief Investment Ltd. and formerly Chief Investment Officer. Officer and President of Director, Chief Investment Officer and DFAITC. President of DFA Australia Ltd. Formerly, 1299 Ocean Avenue Director of Dimensional Funds PLC. Chairman, Santa Monica, CA 90401 Director, Chief Executive Officer and Chief Date of Birth: 12/02/46 Investment Officer of Dimensional Fund Advisors Canada Inc. (All Chief Investment Officer positions held starting 1/1/2003 except for Dimensional Fund Advisors Canada Inc., which was from 6/17/2003.) Limited Partner, Oak Hill Partners. Director, University of Chicago Business School. Formerly, Director, SA Funds (registered investment company). Formerly Director, Assante Corporation (investment management) (until 2002).
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NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD - ------------------------------------------------------------------------------------------------------------------------------------ Rex A. Sinquefield* DFAITC -- since 1993 75 portfolios in 4 Chairman and Director (and prior to 1/1/2003, Chairman and Director of DFAIDG -- since 1981 investment companies Chief Investment Officer) of Dimensional Fund DFAIDG, DIG and DEM. DIG -- since 1992 Advisors Inc., DFA Securities Inc., DFAIDG, Trustee and Chairman of DEM -- since 1993 DIG and DEM. Chairman, Trustee (and prior to DFAITC. 1/1/2003, Chief Investment Officer) of 1299 Ocean Avenue DFAITC. Director and formerly President of Santa Monica, CA 90401 Dimensional Fund Advisors Ltd. Director (and Date of Birth: 9/07/44 prior to 1/1/2003, Chief Investment Officer) of DFA Australia Ltd. Director of Dimensional Funds PLC and Dimensional Fund Advisors Canada Inc. Trustee, St. Louis University. Life Trustee and Member of Investment Committee, DePaul University. Director, The German St. Vincent Orphan Home. Member of Investment Committee, Archdiocese of St. Louis.
(1) Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. (2) Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. ** Interested Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors Inc. OFFICERS The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401, unless otherwise indicated.
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------- OFFICERS Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Formerly, Vice President Vice President of DFA Australia Limited and Date of Birth: 11/7/55 Dimensional Fund Advisors Ltd. Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the Vice President and Assistant DFA Entities, DFA Australia Limited, Dimensional Secretary Fund Advisors Ltd., and since June 2003, Date of Birth: 1/24/67 Dimensional Fund Advisors Canada Inc. Prior to April 2001, legal counsel for Dimensional (since March 2000). Associate, Jones, Day, Reavis & Pogue from October 1991 to February 2000. Stephen A. Clark Since 2004 Vice President of all the DFA Entities. April 2001 Vice President to April 2004, Portfolio Manager of Date of Birth: 8/20/72 Dimensional. Formerly, Graduate Student at the University of Chicago (Septempter 2000 to March 2001);and Associate of US Bancorp Piper Jaffrey (September 1999 to Spetember 2000). Truman A. Clark Since 1996 Vice President of all the DFA Entities. Formerly, Vice President Vice President of DFA Australia Limited and Date of Birth: 4/8/41 Dimensional Fund Advisors Ltd. Christopher S. Crossan Since 2004 Vice President of all the DFA Entities. Formerly, Vice President Senior Compliance Officer, INVESCO Institutional, Date of Birth: 12/21/65 Inc. and its affiliates (August 2000 to January 2004); Brach Chief, Investment Company and Invesment Advisor Inspections, Securities and Exchange Commission (April 1994 to August 2000).
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TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------- James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice President Vice President of DFA Australia Limited and Date of Birth: 11/29/56 Dimensional Fund Advisors Ltd. Formerly at Kansas State University, Arthur Andersen & Co., and Phillips Petroleum Co. Robert T. Deere Since 1994 Vice President of all the DFA Entities and DFA Vice President Australia Limited. Formerly, Vice President of Date of Birth: 10/8/57 Dimensional Fund Advisors Ltd. Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Formerly, Vice President Vice President of DFA Australia Limited. Prior to Date of Birth: 3/18/70 April 2001, marketing supervisor and marketing coordinator for Dimensional. Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the Vice President and Assistant DFA Entities and DFA Australia Limited. Formerly, Secretary Vice President of Dimensional Fund Advisors Ltd. Date of Birth: 8/5/65 Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities. Formerly, Vice President Vice President of DFA Australia Limited and Date of Birth: 1/21/61 Dimensional Fund Advisors Ltd. Robert M. Fezekas Since 2001 Vice President of all the DFA Entities. Prior to Vice President December 2001, Portfolio Manager of Dimensional. Date of Birth: 10/28/70 Damon S. Fisher Since 2004 Vice President of all DFA Entities. Prior to Vice President April 2004, institutional client service Date of Birth: 8/2/68 representative of Dimensional. Gretchen A. Flicker Since 2004 Vice President of all DFA Entities. Prior to Vice President April 2004, institutional client service Date of Birth: 6/9/71 representative of Dimensional. Glenn S. Freed Since 2001 Vice President of all the DFA Entities. Formerly, Vice President Professor and Associate Dean of the Leventhal Date of Birth: 11/24/61 School of Accounting (September 1998 to August 2001) and Academic Director Master of Business Taxation Program (June 1996 to August 2001) at the University of Southern California Marshall School of Business. Henry F. Gray Since 2000 Vice President of all the DFA Entities. Formerly, Vice President Vice President of DFA Australia Limited. Prior to Date of Birth: 9/22/67 July 2000, Portfolio Manager. Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer Vice President, Controller and of all the DFA Entities, DFA Australia Limited, Assistant Treasurer and Dimensional Fund Advisors Ltd. Formerly, Date of Birth: 1/22/61 Assistant Secretary of Dimensional Fund Advisors Ltd.. Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to Vice President April 2004, Assistant Controller of Dimensional. Date of Birth: 11/29/1967 Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to Vice President April 2004, counsel of Dimensional. Formerly, an Date of Birth: 11/8/73 Associate at Gibson, Dunn & Crutcher LLP (September 1997 to August 2001). Patrick Keating Since 2003 Vice President of all the DFA Entities and Vice President Dimensional Fund Advisors Canada Inc. Formerly, Date of Birth: 12/21/54 Director, President and Chief Executive Officer, Assante Asset Management, Inc. (October 2000 to December 2002); Director, Assante Capital Management (October 2000 to December 2002); President and Chief Executive Officer, Assante Capital Management (October 2000 to April 2001); Executive Vice President, Assante Corporation (May 2001 to December 2002); Director, Assante Asset Management Ltd. (September 1997 to December 2002); President and Chief Executive Officer, Assante Asset Management Ltd. (September 1998 to May 2001); Executive Vice President, Loring Ward (financial services company) (January 1996 to September 1998).
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TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------- Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From Vice President April 2001 to April 2004, Portfolio Manager for Date of Birth: 11/7/71 Dimensional. Formerly, a trader at Lincoln Capital Fixed Income Management (formerly Lincoln Capital Management Company). Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to Vice President April 2004, Portfolio Manager for Dimensional Fund Date of Birth: 12/12/69 Advisors Inc. Formerly, Graduate Student at Harvard University (August 1998 to June 2000). David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Vice President Client Service Manager of Dimensional. Formerly, Date of Birth: 2/9/60 Director of Research, Wurts and Associates (investment consulting firm) (December 2000 to June 2002); and President, Kobe Investment Research (August 1999 to November 2000). Catherine L. Newell Vice President Vice President and Secretary of all the DFA Vice President and Secretary since 1997 Entities. Vice President and Assistant Secretary Date of Birth: 5/7/64 and Secretary of DFA Australia Limited (since February 2002, since 2000 April 1997 and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada Inc. (since June 2003). Director, Dimensional Funds plc (since January 2002). Formerly, Assistant Secretary of all DFA Entities and Dimensional Fund Advisors Ltd. David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Vice President Australia Limited and Dimensional Fund Advisors Date of Birth: 10/26/61 Ltd.. Edwardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Vice President Research Associate for Dimensional (June 2000 to Date of Birth: 1/28/67 April 2002). Formerly, Research Scientist (August 1998 to June 2000), California Institute of Technology. Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Vice President, Chief Financial Officer Treasurer of all the DFA Entities, DFA Australia and Treasurer Limited and Dimensional Fund Advisors Ltd., and Date of Birth: 10/12/55 since June 2003, Dimensional Fund Advisors Canada Inc. Director, Dimensional Fund Advisors Ltd. (since February 2002) and Dimensional Funds, plc (January 2002). David E. Schneider Since 2001 Vice President of all the DFA Entities. Prior to Vice President 2001, Regional Director of Dimensional. Santa Monica, CA Date of Birth: 1/26/46 John C. Siciliano Since 2001 Vice President of all the DFA Entities. Director Vice President of Dimensional Fund Advisors Ltd. Formerly, Vice Santa Monica, CA President of DFA Australia Limited. Formerly, Date of Birth: 8/24/54 Director of Dimensional Funds plc. Formerly, Managing Principal, Payden & Rygel Investment Counsel (April 1998 to December 2000). Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities Executive Vice President and DFA Australia Limited. Vice President Santa Monica, CA (formerly, Executive Vice President) of Date of Birth: 12/2/46 Dimensional Fund Advisors Ltd. (since January 2003) and Dimensional Fund Advisor Canada Inc. (since June 2003). Grady M. Smith Since 2004 Vice President of all the DFA Entities. Prior to Vice President April 2004, Portfolio Manager of Dimensional. Date of Birth: 5/26/56 Formerly, Principal of William M. Mercer, Incorporated (July 1995 to June 2001). Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to Vice President July 2000, Portfolio Manager of Dimensional. Santa Monica, CA Formerly, Vice President of DFA Australia Date of Birth: 6/8/63 Limited. Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to Vice President April 2004, institutional client service Date of Birth: 11/10/47 representative of Dimensional.
127
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------- Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Vice President Dimensional Fund Advisors Canada Inc. (since Date of Birth: 3/25/73 June 2003). Prior to April 2002, Regional Director of Dimensional. Formerly, Vice President and General Manager of Assante Global Advisors (July 2000 to April 2002); Vice President of Assante Asset Management Inc. (March 2000 to July 2000); and Private Client Manager at Loring Ward Investment Counsel Ltd. (June 1997 to February 2002). Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Vice President Australia Limited, Dimensional Fund Advisors Ltd., Santa Monica, CA and since June 2003, Dimensional Fund Advisors Date of Birth: 3/10/66 Canada Inc. Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to Vice President April 2004, institutional client service Date of Birth: 8/7/58 representative of Dimensional. Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Formerly, Vice President Vice President of Dimensional Fund Advisors Ltd. Santa Monica, CA Date of Birth: 3/1/51 Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to Vice President 2001, Director of Financial Advisors Services of Santa Monica, CA Dimensional. Director of Dimensional Fund Advisors Date of Birth: 3/3/45 Ltd. (since October 2003) and President of Dimensional Fund Advisors Canada Inc. (since June 2003).
(1) Each officer holds office for an indefinite term at the pleasure of the Boards of Trustee/Directors and until his or her successor is elected and qualified. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. 128 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1, 2003 and ending June 30, 2004. 129 ITEM 2. CODE OF ETHICS. The Registrant has adopted, as of the end of the period covered by this Form N-CSR (the "Report"), a code of ethics that applies to the Registrant's principal executive officer and principal financial officer (the "Code of Business Ethics"). The Registrant has not made any substantive amendments to the Code of Business Ethics during the period covered by this Report. The Registrant also has not granted any waiver from any provisions of the Code of Business Ethics during the period covered by this Report. A copy of the Code of Business Ethics is filed as an exhibit to this Report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's Board of Trustees has determined that Abbie J. Smith possesses the technical attributes to qualify as an "audit committee financial expert" serving on the Registrant's Audit Committee and has designated Ms. Smith as the "audit committee financial expert." Ms. Smith earned a Ph.D. in Accounting, and has taught Accounting at the graduate level since 1980. Ms. Smith's education and career have provided her with an understanding of generally accepted accounting principles and financial statements; the ability to assess the general application of such principles in connection with the accounting for estimates, accruals and reserves; and experience preparing, analyzing and evaluating financial statements that present a breadth and level of complexity of issues that can reasonably be expected to be raised by the Registrant's financial statements. In addition, Ms. Smith has served on the boards of directors and audit committees of entities other than the Registrant. Ms. Smith is independent under the standards set forth in Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees Fiscal Year Ended November 30, 2004: $ 293,653 Fiscal Year Ended November 30, 2003: $ 262,768
(b) Audit-Related Fees Fees for Registrant- Fiscal Year Ended November 30, 2004: $ 32,560 Fiscal Year Ended November 30, 2003: $ 31,820
Audited-Related Fees included, for the fiscal year ended November 30, 2004, fees for services related to limited procedures performed in connection with the production of the Registrant's semi-annual financial statements, and, for fiscal year ended November 30, 2003, fees for services related to limited procedures performed in connection with the production of the Registrant's semi-annual financial statements and for consents issued in connection with post-effective amendments to the Registrant's registration statement. There were no Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above. (c) Tax Fees Fees for Registrant - Fiscal Year Ended November 30, 2004: $ 12,800 Fiscal Year Ended November 30, 2003: $ 11,840
In the fiscal years ended November 30, 2004 and November 30, 2003, Tax Fees included services in connection with the Registrant's excise tax calculations and review of the Registrant's tax returns. There were no Tax Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above. (d) All Other Fees Fees for Registrant - Fiscal Year Ended November 30, 2004: $ 0 Fiscal Year Ended November 30, 2003: $ 0
There were no "All Other Fees" required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above. (e)(1) Audit Committee's Pre-Approval Policies and Procedures Pre-Approval Policies and Procedures as adopted by the Audit Committees of DFA Investment Dimensions Group Inc. Dimensional Emerging Markets Value Fund Inc. Dimensional Investment Group Inc. The DFA Investment Trust Company (together, the "Funds") The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules") adopted by the U.S. Securities and Exchange Commission (the "SEC") require that the Funds' Audit Committees (together, the "Committee") pre-approve all audit services and non-audit services provided to the Funds by their independent auditors (the "Auditor"). The Act and the Rules also require that the Committee pre-approve all non-audit services provided by the Auditor to Dimensional Fund Advisors, Inc. ("Dimensional"), the Funds' investment advisor, and to affiliates of Dimensional that provide ongoing services to the Funds (with Dimensional, together the "Service Affiliates") if the services directly impact the Funds' operations and financial reporting. The following policies and procedures govern the ways in which the Committee will pre-approve audit and various types of non-audit services that the Auditor provides to the Funds and to Service Affiliates. These policies and procedures do not apply in the case of audit services that the Auditor provides to Service Affiliates, nor do they apply to services that an audit firm other than the Auditor provides to such entities. These policies and procedures comply with the requirements for pre-approval, but also provide a mechanism by which management of the Funds may request and secure pre-approval of audit and non-audit services in an orderly manner with minimal disruption to normal business operations. Pre-approval of non-audit services may be achieved through a combination of the procedures described in Sections C and D below. A. General 1. The Committee must pre-approve all audit services and non-audit services that the Auditor provides to the Funds. 2. The Committee must pre-approve any engagement of the Auditor to provide non-audit services to any Service Affiliate during the period of the Auditor's engagement to provide audit services to the Funds, if the non-audit services to the Service Affiliate directly impact the Funds' operations and financial reporting. B. Pre-Approval of Audit Services to the Funds 1. The Committee shall approve the engagement of an auditor to certify the Funds' financial statements for each fiscal year (the "Engagement"). The approval of the Engagement shall not be delegated to a Designated Member (as that term is defined in Section D below). In approving the Engagement, the Committee shall obtain, review and consider sufficient information concerning the proposed Auditor to enable the Committee to make a reasonable evaluation of the Auditor's qualifications and independence. The Committee also shall consider the Auditor's proposed fees for the Engagement, in light of the scope and nature of the audit services that the Funds will receive. 2. The Committee shall report to the Boards of Directors/Trustees of the Funds (together, the "Board") regarding its approval of the Engagement and of the proposed fees for the Engagement, and the basis for such approval. 3. Unless otherwise in accordance with applicable law, the Engagement, in any event, shall require that the Auditor be selected by the vote, cast in person, of a majority of the members of the Board who are not "interested persons" of the Funds (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940) (the "Independent Directors"). C. Pre-Approval of Non-Audit Services to the Funds and to Service Affiliates--by Types of Services 1. The Committee may pre-approve types of non-audit services to the Funds and their Service Affiliates pursuant to this Section C. 2. Annually, at such time as the Committee considers the Engagement of the Auditor, management of the Funds, in consultation with the Auditor, shall provide to the Committee, for its consideration and action, the following: (a) a list of those types of non-audit services, if any, that the Funds may request from the Auditor during the fiscal year; and (b) a list of those types of non-audit services directly impacting the Funds' operations and financial reporting that Service Affiliates may request from the Auditor during the fiscal year. 3. The lists submitted to the Committee shall describe the types of non-audit services in reasonable detail and shall include an estimated budget (or budgeted range) of fees, where possible, and such other information as the Committee may request. 4. The Committee's pre-approval of the types of non-audit services submitted pursuant to this Section C shall constitute authorization for management of the Funds to utilize the Auditor for the types of non-audit services so pre-approved, if needed or desired during the fiscal year. 5. A list of the types of non-audit services pre-approved by the Committee pursuant to this Section C will be distributed to management of the Service Affiliates and the appropriate partners of the Auditor. Periodically, the Auditor will discuss with the Committee those non-audit services that have been or are being provided pursuant to this Section C. D. Pre-Approval of Non-Audit Services to the Funds and to Service Affiliates--Project-by-Project Basis 1. The Committee also may pre-approve non-audit services on a project-by-project basis pursuant to this Section D. 2. Management of the Funds, in consultation with the Auditor, may submit either to the Committee or to the Designated Member, as provided in this Section D, for their consideration and action, a pre-approval request identifying one or more non-audit service projects. The request so submitted shall describe the project(s) in reasonable detail and shall include an estimated budget (or budgeted range) of fees and such other information as the Committee or the Designated Member, as appropriate, shall request. 3. The Committee, from time to time, shall designate one or more of its members who are Independent Directors (each a "Designated Member") to consider, on the Committee's behalf, any non-audit services, whether to the Funds or to any Service Affiliate, that have not been pre-approved by the Committee. The Designated Member also shall review, on the Committee's behalf, any proposed material change in the nature or extent of any non-audit services previously approved. The Funds' management, in consultation with the Auditor, shall explain why such non-audit services or material change in non-audit services are necessary and appropriate and the anticipated costs thereof. 4. The Designated Member will review the requested non-audit services or proposed material change in such services and will either: (a) pre-approve, pre-approve subject to conditions, or disapprove any such requested services, or any proposed material change in services, whether to the Funds or to a Service Affiliate; or (b) refer such matter to the Committee for its consideration and action. In considering any requested non-audit services or proposed material change in such services, the Designated Member's authority shall be limited to approving non-audit services or proposed material changes that do not exceed $10,000 in value. 5. The Designated Member's pre-approval (or pre-approval subject to conditions) of the requested non-audit services or proposed material change in services pursuant to this Section D shall constitute authorization for the management of the Funds or the Service Affiliate, as the case may be, to utilize the Auditor for the non-audit services so pre-approved. Any action by the Designated Member in approving a requested non-audit service shall be presented for ratification by the Committee not later than at its next scheduled meeting. If the Designated Member does not approve the Auditor providing the requested non-audit service, the matter may be presented to the full Committee for its consideration and action. E. Amendment; Annual Review 1. The Committee may amend these procedures from time to time. 2. These procedures shall be reviewed annually by the Committee. F. Recordkeeping 1. The Funds shall maintain a written record of all decisions made by the Committee or by a Designated Member pursuant to these procedures, together with appropriate supporting materials. 2. In connection with the approval of any non-audit service pursuant to the de minimis exception provided in the Rules, a record shall be made indicating that each of the conditions for this exception, as set forth in the Rules, has been satisfied. 3. A copy of these Procedures (and of any amendments to these Procedures) shall be maintained and preserved permanently in an easily accessible place. The written records referred to in paragraphs 1 and 2 of this Section F shall be maintained and preserved for six years from the end of the fiscal year in which the actions recorded were taken, for at least the first two years in an easily accessible location. (e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the Registrant's Audit Committee but not pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) The percentage of hours expended on the principal accountant's engagement to audit the Registrant's financial statements for the fiscal year ended November 30, 2004 that were attributed to work performed by persons other than the principal accountant's full time, permanent employees was NOT greater than 50%. (g) Aggregate Non-Audit Fees Fiscal Year Ended November 30, 2004: $ 205,660 Fiscal Year Ended November 30, 2003: $ 189,660
(h) The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant's investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This item is not applicable to the Registrant because it is not a listed issuer. ITEM 6. SCHEDULE OF INVESTMENTS. Please see schedule of investments contained in the reports to stockholders included under Item 1 of this Report. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. None. ITEM 10. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this Report, the Registrant's Principal Executive Officer and Principal Financial Officer believe that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effectively designed to ensure that information required to be disclosed by the Registrant in the Report is recorded, processed, summarized and reported by the filing date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the Registrant's officers that are making certifications in the Report, as appropriate, to allow timely decisions regarding required disclosure. The Registrant's management, including the Principal Executive Officer and the Principal Financial Officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant's second fiscal quarter of the period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 11. EXHIBITS. (a) Code of Ethics is filed herewith. (b) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. (c) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. The DFA Investment Trust Company By: /s/David G. Booth ------------------------------ David G. Booth Chairman, Trustee, President, Chief Executive Officer and Chief Investment Officer Date: February 7, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/David G. Booth ------------------------------ David G. Booth Principal Executive Officer The DFA Investment Trust Company Date: February 7, 2005 By: /s/ Michael T. Scardina ------------------------------ Michael T. Scardina Principal Financial Officer The DFA Investment Trust Company Date: February 7, 2005 EX-99.CODEOFETHICS 2 a2150019zex-99_codeofethics.txt EX-99.CODE OF ETHICS Exhibit 99.Code of Ethics EFFECTIVE DATE: OCTOBER 5, 2004 CONFIDENTIAL AND PROPRIETARY CODE OF BUSINESS ETHICS FOR PRINCIPAL EXECUTIVE AND FINANCIAL OFFICERS DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL EMERGING MARKETS VALUE FUND INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY I. COVERED OFFICERS AND PURPOSES OF THE CODE The Boards of Directors/Trustees (together, the "Boards") of DFA Investment Dimensions Group Inc., Dimensional Emerging Markets Value Fund Inc., Dimensional Investment Group Inc. and The DFA Investment Trust Company (each a "Fund," and together, the "Funds") have adopted this Code of Business Ethics for Principal Executive and Financial Officers (the "Code"). The Code applies to the Funds' principal executive officers and principal financial officers (together, the "Covered Officers"), and is adopted to promote: - honest and ethical conduct, including the ethical handling of conflicts of interest; - full, fair, accurate, timely and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission (the "SEC"), and in other public communications made by the Funds; - compliance with applicable laws and governmental rules and regulations; - the prompt internal reporting of violations of the Code to the appropriate person(s) identified in the Code; and - accountability for adherence to the Code. II. COVERED OFFICERS SHOULD "ADHERE TO A HIGH STANDARD OF BUSINESS ETHICS" Each Covered Officer owes a duty to the Funds to adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual, as well as apparent, conflicts of interests. Each Covered Officer shall: - observe all laws and governmental rules and regulations, accounting standards and Fund policies; - adhere to a high standard of business ethics; and - place the interests of the Funds before the Covered Officer's own personal interests. All activities of Covered Officers should be guided by and adhere to these fiduciary standards. [DIMENSIONAL LOGO] III. COVERED OFFICERS SHOULD HANDLE ETHICALLY CONFLICTS OF INTEREST GUIDING PRINCIPLES. A "conflict of interest" occurs when a Covered Officer's private interests interfere with the interests of, or his service to, the Funds. A conflict of interest can arise when a Covered Officer takes actions or has interests that may make it difficult to perform his Fund work objectively and effectively. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his positions with the Funds. In addition, the Funds must be sensitive to situations that create apparent, if not actual, conflicts of interest. Service to the Funds should not be subordinated to personal gain and advantage. Certain conflicts of interest covered by this Code arise out of the relationships between Covered Officers and the Funds that already are subject to conflict of interest provisions in the Investment Company Act of 1940, as amended (the "1940 Act"), and the Investment Advisers Act of 1940, as amended (the "Advisers Act"). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Funds because of the Covered Officers' status as "affiliated persons" of the Funds. The compliance programs and procedures of the Funds and Dimensional Fund Advisors Inc., the Funds' investment advisor and administrator (the "Advisor"), are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace those compliance programs and procedures. Covered Officers must in all cases comply with applicable statutes and regulations. Although typically not presenting an opportunity for improper personal benefit, conflicts of interest arise from, or as a result of, the contractual relationships between the Funds and the Advisor, of which the Covered Officers are also officers or employees. As a result, it is recognized by the Boards that, subject to the Advisor's fiduciary duties to the Funds, the Covered Officers will, in the normal course of their duties (whether formally for the Funds or for the Advisor, or for both), be involved in establishing policies and implementing decisions that will have different effects on the Advisor and the Funds. The Boards recognize that the participation of the Covered Officers in such activities is inherent in the contractual relationships between the Funds and the Advisor, and is consistent with the expectation of the Boards of the performance by the Covered Officers of their duties as officers of the Funds. Such participation, if addressed in conformity with the provisions of the 1940 Act and the Advisers Act, will be deemed to have been handled ethically. In addition, it is recognized by the Boards that the Covered Officers may also be officers or employees of one or more other investment companies advised by the Advisor and covered by this or other Codes. Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the 1940 Act and the Advisers Act. In reading the following examples of conflicts of interest under the Code, the Covered Officers should keep in mind that such a list cannot be exhaustive by covering every possible scenario. It follows that the overarching principle--that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fund--should be the guiding principle in all circumstances. Each Covered Officer must: - avoid conflicts of interest whenever possible; - handle any actual or apparent conflict of interest ethically; - not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Funds whereby the Covered Officer would benefit personally to the detriment of the Funds; 2 - not cause the Funds to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than for the benefit of the Funds; - not use material, non-public knowledge of portfolio transactions made or contemplated for the Funds to profit personally, or to cause others to profit, by the market effect of such transactions; and - as described in more detail below, discuss any material transaction or relationship, which could reasonably be expected to give rise to a conflict of interest, with Rex A. Sinquefield, the Funds' Co-Chairman (the "Designated Ethics Officer"). In the event Mr. Sinquefield is not available, the Chairman of the Audit Committee may take action required hereunder of the Designated Ethics Officer. There are some conflict of interest situations that should always be discussed with the Designated Ethics Officer, if material. Examples of these situations include: - any outside business activity that detracts from an individual's ability to devote appropriate time and attention to his responsibilities with the Funds; - service as a director on the board of any public or private company; - the receipt of any non-nominal gifts; - the receipt of any entertainment from any company with which the Funds have current or prospective business dealings, unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety; - being in the position of supervising, reviewing or having any influence on the job evaluation, pay or benefit of any immediate family member; - any ownership interest in, or any consulting or employment relationship with, any of the Funds' service providers, other than the Advisor and DFA Securities Inc. ("DFAS"), or any affiliated person thereof; and - a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer's employment, such as compensation or equity ownership. IV. DISCLOSURE Each Covered Officer is required to be familiar and comply with the Funds' disclosure controls and procedures so that the Funds' subject reports and documents filed with the SEC comply in all material respects with the applicable federal securities laws and SEC rules. In addition, each Covered Officer having direct or supervisory authority regarding these SEC filings or the Funds' other public communications should, to the extent appropriate within his area of responsibility, consult with other Fund officers and employees and take other appropriate steps regarding these disclosures with the goal of making full, fair, accurate, timely and understandable disclosure. Each Covered Officer: 3 - must familiarize himself with the disclosure requirements applicable to the Funds as well as the business and financial operations of the Funds; and - must not knowingly misrepresent, or intentionally cause others to misrepresent, facts about the Funds to others, whether within or outside the Funds, including to the Funds' directors/trustees and auditors, and to governmental regulators and self-regulatory organizations. V. COMPLIANCE It is the Funds' policy to comply with all applicable laws and governmental rules and regulations. It is the responsibility of each Covered Officer to adhere to the standards and restrictions imposed by those laws, rules and regulations, including those relating to affiliated transactions, accounting and auditing matters. VI. REPORTING AND ACCOUNTABILITY Each Covered Officer must: - upon adoption of the Code, affirm in writing to the Designated Ethics Officer that he has received, read, and understands the Code; - annually thereafter affirm to the Designated Ethics Officer that he has received, read and understands the Code and has complied with the requirements of the Code; - not retaliate against any employee or Covered Officer for reports of potential violations that are made in good faith; and - notify the Designated Ethics Officer promptly if the Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code. The Designated Ethics Officer is responsible for applying the provisions of the Code to specific situations in which questions arise under the Code, and the Designated Ethics Officer has the authority to interpret this Code in any particular situation. The Designated Ethics Officer is authorized (and encouraged) to consult, as appropriate, with the Audit Committee of the Funds, the members of the Boards who are not "interested persons" (together, the "Independent Directors"), and counsel to the Funds and the Independent Directors. The Funds will comply with the following procedures in investigating and enforcing this Code: - the Designated Ethics Officer will take all appropriate action to investigate any violations and potential violations reported to him; - violations and potential violations will be reported to the Audit Committee after such investigation; - if the Audit Committee determines that a violation of this Code has occurred, the Audit Committee will consider appropriate action, which may include the review of, and necessary modifications to, applicable policies and procedures; notification to appropriate personnel of the Advisor or the Advisor's board of directors; or recommending the dismissal of the Covered Officer; 4 - appropriate disciplinary or preventive action may include a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities; - the Audit Committee will report to the Boards any action (whether disciplinary, preventive or otherwise) taken to address violations of this Code; - the Audit Committee will be responsible for granting waivers and determining sanctions, as appropriate; and - any changes to or waivers of this Code will, to the extent required, be disclosed on Form N-CSR as provided by SEC rules. VII. OTHER POLICIES AND PROCEDURES The code of ethics under Rule 17j-1 under the 1940 Act, adopted by the Funds, the Advisor and the affiliated companies of the Advisor, and the Advisor's policies and procedures set forth in the STATEMENT OF POLICY OF EMPLOYEE TRADING are separate requirements applying to the Covered Officers and others, and are not part of this Code. VIII. AMENDMENTS This Code may not be amended except in written form, which is specifically approved or ratified by a majority vote of the Boards, including a majority of the Independent Directors. IX. CONFIDENTIALITY All reports and records prepared or maintained pursuant to this Code shall be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the members of the Boards and their counsel, the Funds, and the Advisor. X. INTERNAL USE The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion. Date: June 26, 2003 5 EXHIBIT A PERSONS COVERED BY THIS CODE OF BUSINESS ETHICS David G. Booth (Principal Executive Officer of the Funds) Michael T. Scardina (Principal Financial Officer of the Funds) A-1 EX-99.CERT 3 a2150019zex-99_cert.txt EXHIBIT 99.CERT Exhibit 99.CERT CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David G. Booth, certify that: 1. I have reviewed this report on Form N-CSR of The DFA Investment Trust Company (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officers and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal controls over financial reporting. Date: February 7, 2005 By: /s/ David G. Booth -------------------------------- David G. Booth Principal Executive Officer The DFA Investment Trust Company CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, Michael T. Scardina, certify that: 1. I have reviewed this report on Form N-CSR of The DFA Investment Trust Company; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officers and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal controls over financial reporting. Date: February 7, 2005 By: /s/ Michael T. Scardina -------------------------------- Michael T. Scardina Principal Financial Officer The DFA Investment Trust Company EX-99.906CERT 4 a2150019zex-99_906cert.txt EXHIBIT 99.906CERT Exhibit 99.906 CERT CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 David G. Booth, Principal Executive Officer, and Michael T. Scardina, Principal Accounting Officer, of The DFA Investment Trust Company, a Delaware statutory trust (the "Registrant"), each certify that: 1. The Registrant's periodic report on Form N-CSR for the period ended November 30, 2004 (the "Report") fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as amended, as applicable; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. By: /s/ David G. Booth -------------------------------- David G. Booth Principal Executive Officer The DFA Investment Trust Company Date: February 7, 2005 By: /s/ Michael T. Scardina -------------------------------- Michael T. Scardina Principal Accounting Officer The DFA Investment Trust Company Date: February 7, 2005 -----END PRIVACY-ENHANCED MESSAGE-----