-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: keymaster@town.hall.org Originator-Key-Asymmetric: MFkwCgYEVQgBAQICAgADSwAwSAJBALeWW4xDV4i7+b6+UyPn5RtObb1cJ7VkACDq pKb9/DClgTKIm08lCfoilvi9Wl4SODbR1+1waHhiGmeZO8OdgLUCAwEAAQ== MIC-Info: RSA-MD5,RSA, bQ4lxmjsL3lMA78qWXUa85pzWtLCJiKWeyJl7rCZqu0xyJCdtBmy5J9ZLbLNixDq 8NP0P9JiwhQx0ViphJofhQ== 0000950116-95-000262.txt : 199506280000950116-95-000262.hdr.sgml : 19950628 ACCESSION NUMBER: 0000950116-95-000262 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19941130 FILED AS OF DATE: 19950626 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: DFA INVESTMENT DIMENSIONS GROUP INC CENTRAL INDEX KEY: 0000355437 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 363129984 STATE OF INCORPORATION: MD FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-03258 FILM NUMBER: 95549327 BUSINESS ADDRESS: STREET 1: 1299 OCEAN AVE STE 650 11TH FL CITY: SANTA MONICA STATE: CA ZIP: 90401 BUSINESS PHONE: 2133958005 MAIL ADDRESS: STREET 1: 1299 OCEAN AVE STREET 2: 11TH FLOOR CITY: SANTA MONICA STATE: CA ZIP: 90401 FORMER COMPANY: FORMER CONFORMED NAME: DFA SMALL CO FUND INC DATE OF NAME CHANGE: 19830621 N-30D 1 ================================================================================ DFA Investment Dimensions Group Inc. and The DFA Investment Trust Company ANNUAL REPORT Year Ended November 30, 1994 ================================================================================ DFA INVESTMENT DIMENSIONS GROUP INC. ANNUAL REPORT TABLE OF CONTENTS
Page ----------------- Performance Charts ..................................................................... 1-6 Schedules of Investments ............................................................... The U.S. 9-10 Small Company Portfolio ............................................. 7-23 The U.S. 6-10 Small Company Portfolio ............................................. 24 The U.S. Large Company Portfolio .................................................. 24 The U.S. Small Cap Value Portfolio ................................................ 24 The U.S. Large Cap Value Portfolio ................................................ 24 The DFA/AEW Real Estate Securities Portfolio ...................................... 25-26 The Japanese Small Company Portfolio .............................................. 27-32 The Pacific Rim Small Company Portfolio ........................................... 33-43 The United Kingdom Small Company Portfolio ........................................ 44-51 The Emerging Markets Portfolio .................................................... 51 The Continental Small Company Portfolio ........................................... 52-63 The Large Cap International Portfolio ............................................. 64-67 The DFA International High Book to Market Portfolio ............................... 68 The DFA One-Year Fixed Income Portfolio ........................................... 68 The DFA Five-Year Government Portfolio ............................................ 68 The DFA Global Fixed Income Portfolio ............................................. 69 The DFA Intermediate Government Fixed Income Portfolio ............................ 70 Statements of Assets and Liabilities ................................................... 71-73 Statements of Operations ............................................................... 74-79 Statements of Changes in Net Assets .................................................... 80-85 Financial Highlights ................................................................... 86-95 Notes to Financial Statements .......................................................... 96-102 Report of Independent Accountants ...................................................... 103
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. 2 THE DFA INVESTMENT TRUST COMPANY ANNUAL REPORT TABLE OF CONTENTS
Page ----------------- Performance Charts ..................................................................... 104-106 Schedules of Investments ............................................................... The U.S. 6-10 Small Company Series ................................................ 107-128 The U.S. Large Company Series ..................................................... 129-133 The U.S. Small Cap Value Series ................................................... 134-144 The U.S. Large Cap Value Series ................................................... 145-146 The DFA One-Year Fixed Income Series .............................................. 147-148 The DFA International Value Series ................................................ 149-155 The Emerging Markets Series ....................................................... 156-159 Statements of Assets and Liabilities ................................................... 160 Statements of Operations ............................................................... 161-162 Statements of Changes in Net Assets .................................................... 163-165 Financial Highlights ................................................................... 166-167 Notes to Financial Statements .......................................................... 168-170 Report of Independent Accountants ...................................................... 171
3 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== The U.S. 9-10 Small Company Portfolio Vs. 9-10 CRSP Index December 1984-November 1994 The following reflects the growth of a $10,000 investment. The U.S. 9-10 9-10 Small Company CRSP Portfolio Index ------------- ----- $10000 $10000 Dec-84 10150 10047 Jan-85 11225 11394 Feb-85 11530 11815 Mar-85 11283 11622 Apr-85 11087 11493 May-85 11393 11747 Jun-85 11514 11822 Jul-85 11813 12112 Aug-85 11728 12066 Sep-85 11090 11377 Oct-85 11380 11647 Nov-85 12085 12250 Dec-85 12653 12675 Jan-86 12795 13159 Feb-86 13715 13946 Mar-86 14369 14586 Apr-86 14461 14817 May-86 14982 15303 Jun-86 15021 15382 Jul-86 13954 14179 Aug-86 14258 14323 Sep-86 13461 13409 Oct-86 13927 13693 Nov-86 13884 13608 Dec-86 13520 13113 Jan-87 14795 14543 Feb-87 15992 15655 Mar-87 16365 16080 Apr-87 15852 15683 May-87 15791 15598 Jun-87 16211 15828 Jul-87 16801 16167 Aug-87 17283 16396 Sep-87 17143 16112 Oct-87 12139 11525 Nov-87 11657 10907 Dec-87 12263 11256 Jan-88 12945 12110 Feb-88 13929 12926 Mar-88 14497 13471 Apr-88 14800 13663 May-88 14535 13303 Jun-88 15425 14004 Jul-88 15386 13981 Aug-88 15008 13677 Sep-88 15348 13878 Oct-88 15159 13656 Nov-88 14497 13143 Dec-88 15068 13499 Jan-89 15677 14146 4 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== Feb-89 15807 14250 Mar-89 16373 14579 Apr-89 16830 14950 May-89 17439 15377 Jun-89 17090 15220 Jul-89 17786 15686 Aug-89 18003 16000 Sep-89 18003 16027 Oct-89 16915 14997 Nov-89 16829 14869 Dec-89 16604 14609 Jan-90 15335 13677 Feb-90 15622 13870 Mar-90 16197 14153 Apr-90 15766 13712 May-90 16650 14260 Jun-90 16890 14355 Jul-90 16245 13731 Aug-90 14140 11959 Sep-90 12967 10840 Oct-90 12226 10121 Nov-90 12776 10516 Dec-90 13024 10514 Jan-91 14119 11595 Feb-91 15690 13280 Mar-91 16757 14342 Apr-91 16814 14541 May-91 17376 14927 Jun-91 16533 14341 Jul-91 17206 14846 Aug-91 17655 15299 Sep-91 17712 15493 Oct-91 18273 15851 Nov-91 17769 15300 Dec-91 18837 15941 Jan-92 20961 18152 Feb-92 21909 19128 Mar-92 21363 18679 Apr-92 20502 17803 May-92 20474 17824 Jun-92 19411 16897 Jul-92 20129 17436 Aug-92 19670 16943 Sep-92 19928 17212 Oct-92 20444 17686 Nov-92 22254 19401 Dec-92 23235 20090 Jan-93 24497 21253 Feb-93 24056 20658 Mar-93 24751 21259 Apr-93 23994 20606 May-93 24814 21389 Jun-93 24720 21428 Jul-93 25130 21760 5 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== Aug-93 25982 22683 Sep-93 26803 23381 Oct-93 28066 24473 Nov-93 27574 23800 Dec-93 28109 24079 Jan-94 29846 25275 Feb-94 29778 25179 Mar-94 28450 23956 Apr-94 28620 23721 May-94 28586 23702 Jun-94 27837 23074 Jul-94 28349 23189 Aug-94 29305 24226 Sep-94 29612 24616 Oct-94 29953 24761 Nov-94 29000 23800 Annualized One Five Ten Total Return (%) Year Years Years - ------------------------------------------------------------------------------ 5.07 11.48 11.23 * Dimensional's objective is to capture premium returns and diversification benefits by investing in a broad cross-section of small companies on a market cap weighted basis. The 9-10 Strategy provides access to publicly traded U.S. small companies with market capitalization of approximately $150 million or less. * This portfolio's returns in fiscal 1994 reflected the performance of small companies in the U.S. Past performance is not predictive of future performance. CRSP 9-10 Index courtesy Center for Research in Security Prices, University of Chicago. - ------------------------------------------------------------------------------- 6 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== The U.S. 6-10 Small Company Portfolio Vs. CRSP 6-10 Index April 1992-November 1994 The following reflects the growth of a $10,000 investment. The U.S. 6-10 CRSP Small Company 6-10 Portfolio Index ------------- ----- $10000 $10000 Apr-92 9600 9600 May-92 9600 9700 Jun-92 9100 9300 Jul-92 9500 9600 Aug-92 9300 9400 Sep-92 9500 9600 Oct-92 9800 9900 Nov-92 10700 10700 Dec-92 11100 11100 Jan-93 11500 11500 Feb-93 11200 11200 Mar-93 11500 11600 Apr-93 11100 11200 May-93 11500 11700 Jun-93 11500 11800 Jul-93 11600 11900 Aug-93 12000 12500 Sep-93 12300 12800 Oct-93 12500 13200 Nov-93 12200 12800 Dec-93 12600 13200 Jan-94 13000 13700 Feb-94 12900 13600 Mar-94 12200 12800 Apr-94 12300 12800 May-94 12200 12700 Jun-94 11800 12400 Jul-94 12000 12600 Aug-94 12600 13300 Sep-94 12700 13300 Oct-94 12700 13300 Nov-94 12300 12800 Annualized From Total Return (%) One Year April 1992 - ------------------------------------------------------------------------------ 0.22 7.96 * The portfolio seeks to capture premium returns and diversification benefits by investing in the 6-10 Small Company Series of the DFA Investment Trust Company which in turn invests in a broad cross-section of U.S. small companies on a market cap weighted basis. * This portfolio's returns in fiscal 1994 reflected the performance of small companies in the U.S. Past performance is not predictive of future performance. CRSP 6-10 Index courtesy Center for Research in Security Prices, University of Chicago. - ------------------------------------------------------------------------------- 7 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== The U.S. Large Company Portfolio Vs. S&P 500 Index January 1991-November 1994 The following reflects the growth of a $10,000 investment. The U.S. S&P Large Company 500 Portfolio Index ------------- ----- $10000 $10000 Jan-91 10400 10400 Feb-91 11200 11200 Mar-91 11400 11500 Apr-91 11500 11500 May-91 12000 12000 Jun-91 11400 11400 Jul-91 11900 12000 Aug-91 12200 12200 Sep-91 12000 12000 Oct-91 12200 12200 Nov-91 11700 11700 Dec-91 13000 13100 Jan-92 12800 12800 Feb-92 12900 13000 Mar-92 12700 12700 Apr-92 13100 13100 May-92 13100 13200 Jun-92 12900 13000 Jul-92 13400 13500 Aug-92 13200 13200 Sep-92 13300 13400 Oct-92 13400 13400 Nov-92 13800 13900 Dec-92 14000 14100 Jan-93 14100 14200 Feb-93 14200 14400 Mar-93 14500 14700 Apr-93 14200 14300 May-93 14600 14700 Jun-93 14600 14700 Jul-93 14500 14700 Aug-93 15100 15200 Sep-93 15000 15100 Oct-93 15300 15400 Nov-93 15100 15300 Dec-93 15300 15500 Jan-94 15800 16000 Feb-94 15400 15500 Mar-94 14700 14900 Apr-94 14900 15100 May-94 15100 15300 Jun-94 14800 14900 Jul-94 15300 15400 Aug-94 15900 16100 Sep-94 15500 15700 Oct-94 15800 16000 Nov-94 15300 15400 Annualized One From Total Return (%) Year January 1991 - ------------------------------------------------------------------------------ 1.04 11.42 * The portfolio provides access to U.S. large companies by investing in the U.S. Large Company Series of the DFA Investment Trust Company which in turn invests primarily in the securities comprising the S&P 500 Index. * This portfolio's returns in fiscal 1994 were reflective of the performance of the S&P 500 Index. Past performance is not predictive of future performance. - ------------------------------------------------------------------------------ 8 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS ============================================================================== The U.S. Small Cap Value Portfolio Vs. Fama-French Small Cap Value Index March 1993-November 1994 The following reflects the growth of a $10,000 investment. The U.S. Fama-French Small Cap Small Cap Value Portfolio Value Index --------------- ----------- $10000 $10000 Mar-93 9900 10300 Apr-93 9700 10000 May-93 10000 10400 Jun-93 10000 10400 Jul-93 10300 10600 Aug-93 10600 10900 Sep-93 11000 11200 Oct-93 11300 11500 Nov-93 11100 11300 Dec-93 11400 11500 Jan-94 11900 12100 Feb-94 11900 12100 Mar-94 11500 11500 Apr-94 11600 11500 May-94 11600 11500 Jun-94 11400 11200 Jul-94 11600 11400 Aug-94 12000 11900 Sep-94 12000 11900 Oct-94 11800 11700 Nov-94 11400 11300 Annualized From Total Return (%) One Year March 1993 - ------------------------------------------------------------------------------- 2.19 7.67 * The portfolio seeks to capture return premiums associated with high book-to-market ratios by investing in the U.S. Small Cap Value Series of the DFA Investment Trust Company which in turn invests on a market cap weighted basis in companies that are approximately $500 million or less in market cap and have book-to-market ratios in the upper 30% of publicly traded companies. * This portfolio's returns in fiscal 1994 reflected the performance of small U.S. companies with high book-to-market ratios. Past performance is not predictive of future performance. Fama-French Small Cap Value Index courtesy Fama-French and CRSP, University of Chicago. - --------------------------------------------------------------------------- 9 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS ============================================================================== The U.S. Large Cap Value Portfolio Vs. Fama-French Large Cap Value Index March 1993-November 1994 The following reflects the growth of a $10,000 investment. The U.S. Fama-French Large Cap Value Large Cap Value Series Index --------------- --------------- $10000 $10000 Mar-93 10100 10300 Apr-93 10100 10200 May-93 10200 10300 Jun-93 10400 10500 Jul-93 10600 10700 Aug-93 10800 11000 Sep-93 10600 10900 Oct-93 10800 11000 Nov-93 10700 10900 Dec-93 10900 11200 Jan-94 11200 11400 Feb-94 10700 11000 Mar-94 10300 10500 Apr-94 10400 10600 May-94 10400 10500 Jun-94 10200 10300 Jul-94 10600 10800 Aug-94 10900 11100 Sep-94 10600 10700 Oct-94 10800 10900 Nov-94 10300 10600 Annualized From Total Return (%) One Year March 1993 - ------------------------------------------------------------------------------ -3.27 1.62 * The portfolio seeks to capture return premiums associated with high book-to-market ratios by investing in the U.S. Large Cap Value Series of the DFA Investment Trust Company which in turn invests on a market cap weighted basis in companies that are approximately $500 million or larger in market cap and have book-to-market ratios in the upper 30% of publicly traded companies. * This portfolio's returns in fiscal 1994 reflected the performance of large U.S. companies with high book-to-market ratios. Past performance is not predictive of future performance. Fama-French Large Cap Value Index courtesy Fama-French and CRSP, University of Chicago. - ----------------------------------------------------------------------------- 10 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS ============================================================================== The DFA/AEW Real Estate Securities Portfolio Vs. NAREIT Index February 1993-November 1994 The following reflects the growth of a $10,000 investment. The DFA/AEW Real Estate Securities NAREIT Portfolio Index ---------------------- ----- $10000 $10000 Feb-93 10048 10616 Mar-93 10395 11421 Apr-93 9971 10879 May-93 9981 10695 Jun-93 10280 11062 Jul-93 10550 11254 Aug-93 10936 11529 Sep-93 11429 12062 Oct-93 11274 11773 Nov-93 10713 11159 Dec-93 11134 11165 Jan-94 11380 11476 Feb-94 11321 11963 Mar-94 10700 11510 Apr-94 10670 11717 May-94 10612 11987 Jun-94 10346 11749 Jul-94 10376 11721 Aug-94 10554 11721 Sep-94 10210 11476 Oct-94 9786 11094 Nov-94 9500 10700 Annualized From Total Return (%) One Year February 1993 - ------------------------------------------------------------------------------ -11.76 -3.01 * This portfolio invests in equity REITS. The portfolio invests on a market capitalized weighted basis. * This portfolio's returns in fiscal 1994 reflected the performance of equity REITS and U.S. companies. Past performance is not predictive of future performance. - ------------------------------------------------------------------------------ 11 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS ============================================================================== The Japanese Small Company Portfolio Vs. Japanese Large Company Stocks February 1986-November 1994 The following reflects the growth of a $10,000 investment. The Japanese Japanese Small Company Large Company Portfolio Stocks ------------- ------------- $10000 $10000 Feb-86 10943 11039 Mar-86 11409 13200 Apr-86 12572 13775 May-86 12884 13742 Jun-86 14947 15253 Jul-86 15335 17190 Aug-86 14788 18730 Sep-86 13294 18423 Oct-86 12479 16085 Nov-86 13699 17354 Dec-86 13827 18445 Jan-87 14822 21242 Feb-87 15050 21563 Mar-87 16284 23984 Apr-87 17315 27692 May-87 19039 27642 Jun-87 19850 25597 Jul-87 20341 24678 Aug-87 23160 27691 Sep-87 23019 26780 Oct-87 22563 24795 Nov-87 23711 25817 Dec-87 25938 26168 Jan-88 26851 27469 Feb-88 28585 29636 Mar-88 30423 31770 Apr-88 32340 32094 May-88 34416 30678 Jun-88 33119 29599 Jul-88 31135 30794 Aug-88 30017 28599 Sep-88 30107 29991 Oct-88 31697 32169 Nov-88 35003 35321 Dec-88 34355 35417 Jan-89 36836 35353 Feb-89 37539 36145 Mar-89 37074 34891 Apr-89 39209 34898 May-89 38017 33111 Jun-89 36789 31402 Jul-89 40785 35585 Aug-89 39235 32952 Sep-89 44484 35282 Oct-89 43519 34343 Nov-89 45726 36091 Dec-89 47587 36185 Jan-90 46735 33858 Feb-90 45132 30401 Mar-90 38114 24561 Apr-90 34745 24795 May-90 41492 28333 Jun-90 41874 26961 Jul-90 43846 26689 Aug-90 37221 24004 Sep-90 31165 20092 Oct-90 40851 25090 Nov-90 32411 21959 Dec-90 31711 23092 Jan-91 30278 23762 Feb-91 37166 26587 Mar-91 36155 24904 Apr-91 37442 25723 May-91 36836 25520 Jun-91 34349 23683 Jul-91 34256 24467 Aug-91 30471 23099 Sep-91 34362 25118 Oct-91 36860 26344 Nov-91 32931 24363 Dec-91 33965 25130 12 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== Jan-92 32773 24004 Feb-92 31233 21983 Mar-92 27710 19604 Apr-92 24964 18405 May-92 28381 19905 Jun-92 25756 18085 Jul-92 23773 17847 Aug-92 27003 21030 Sep-92 26777 20517 Oct-92 25207 19594 Nov-92 25354 20105 Dec-92 25100 19824 Jan-93 24563 19705 Feb-93 25872 20566 Mar-93 30019 23466 Apr-93 35255 27544 May-93 39912 28329 Jun-93 37721 27941 Jul-93 39166 29830 Aug-93 39784 30486 Sep-93 37664 28929 Oct-93 34579 28853 Nov-93 27771 24113 Dec-93 28654 24790 Jan-94 34370 28965 Feb-94 36092 30202 Mar-94 36803 28927 Apr-94 38253 30073 May-94 38636 30773 Jun-94 41908 32352 Jul-94 40399 31181 Aug-94 39915 31399 Sep-94 38110 30577 Oct-94 39120 31491 Nov-94 36000 30000 Annualized One Five From Total Return (%) Year Years February 1986 - ------------------------------------------------------------------------------ 28.29 -4.87 15.60 * Dimensional's objective is to capture premium returns and diversification benefits by investing in a broad cross section of small companies on a market cap weighted basis. The Japanese Small Company Strategy provides access to publicly traded small companies listed on the lower half, of companies on the first section of Tokyo Stock Exchange. Currently, these companies have market capitalization of approximately $785 million or less. * This portfolio's returns in fiscal 1994 reflected the performance of small cap companies in Japan. Past performance is not predictive of future performance. Japanese Large Company Stocks courtesy Morgan Stanley Capital International Index. - ------------------------------------------------------------------------------ 13 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS ============================================================================== The Pacific Rim Small Company Portfolio Vs. Pacific Rim Large Company Stocks February 1993-November 1994 The following reflects the growth of a $10,000 investment. The Pacific Rim Pacific Rim Small Company Large Company Portfolio Stocks --------------- ------------- $10000 $10000 Feb-93 10580 10770 Mar-93 11125 10953 Apr-93 12215 11512 May-93 13218 11949 Jun-93 12848 11591 Jul-93 13082 11996 Aug-93 13422 12908 Sep-93 13967 13153 Oct-93 15777 15284 Nov-93 16128 14826 Dec-93 18749 17909 Jan-94 17716 17426 Feb-94 17904 16572 Mar-94 16013 14782 Apr-94 16427 15462 May-94 16436 15972 Jun-94 15983 15270 Jul-94 16435 16079 Aug-94 17390 17156 Sep-94 17981 16710 Oct-94 18139 16977 Nov-94 16800 15600 Annualized One From Total Return (%) Year February 1993 - ----------------------------------------------------------------------------- 2.70 32.78 * Dimensional's objective is to capture premium returns and diversification benefits by investing in a broad cross-section of small companies on a market cap weighted basis. The Pacific Rim Small Company Strategy provides access to publicly traded small companies listed on the major exchanges of Hong Kong, Singapore, Australia, Korea and Malaysia. Currently, these companies have market capitalization of approximately $573 million or less. * This portfolio's returns in fiscal 1994 reflected the performance of small cap companies in the Pacific Rim. Past performance is not predictive of future performance. Pacific Rim Large Company Stocks courtesy Morgan Stanley Capital International. - ------------------------------------------------------------------------------ 14 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS ============================================================================== The United Kingdom Small Company Portfolio Vs. United Kingdom Large Company Stocks April 1986-November 1994 The following reflects the growth of a $10,000 investment. The United Kingdom United Kingdom Small Company Large Company Portfolio Stocks ----------------- ---------------- $10000 $10000 Apr-86 10775 10550 May-86 10193 9759 Jun-86 10975 10569 Jul-86 10421 9723 Aug-86 10682 10336 Sep-86 10071 9457 Oct-86 10171 9684 Nov-86 10729 10023 Dec-86 11418 10635 Jan-87 12626 11762 Feb-87 14218 13126 Mar-87 15680 13901 Apr-87 16796 14735 May-87 17794 15530 Jun-87 19314 16245 Jul-87 20756 16700 Aug-87 20352 16396 Sep-87 21194 17255 Oct-87 17513 13466 Nov-87 15819 12891 Dec-87 17292 14568 Jan-88 17168 14393 Feb-88 17131 14220 Mar-88 18543 15166 Apr-88 19007 15671 May-88 19069 15323 Jun-88 18385 14929 Jul-88 18730 14999 Aug-88 17610 14044 Sep-88 17853 14697 Oct-88 19162 15710 Nov-88 19563 15994 Dec-88 18449 15589 Jan-89 19551 17228 Feb-89 20124 17002 Mar-89 20043 17045 Apr-89 20057 17336 May-89 18691 16214 Jun-89 18390 16221 Jul-89 20189 18596 Aug-89 18919 18069 Sep-89 19243 18129 Oct-89 16653 16416 Nov-89 16549 17241 Dec-89 17294 18729 Jan-90 18190 19065 Feb-90 17746 18512 Mar-90 16889 17968 Apr-90 15842 16810 May-90 17079 19112 Jun-90 18333 20260 Jul-90 19339 21235 Aug-90 17396 19889 Sep-90 15611 18101 Oct-90 16396 19513 Nov-90 16181 20289 Dec-90 16141 20307 Jan-91 15681 20872 Feb-91 17301 22494 Mar-91 17326 21207 Apr-91 17274 21190 May-91 16865 21035 Jun-91 15519 19424 Jul-91 16244 21578 Aug-91 16824 22077 Sep-91 18597 23092 Oct-91 18426 23353 15 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== Nov-91 18212 21611 Dec-91 18524 23444 Jan-92 18277 23303 Feb-92 18190 22886 Mar-92 17275 21346 Apr-92 19201 24278 May-92 20854 25691 Jun-92 20018 24885 Jul-92 18014 23730 Aug-92 17407 23692 Sep-92 16448 23415 Oct-92 14576 21537 Nov-92 14400 21804 Dec-92 15938 22748 Jan-93 16940 22432 Feb-93 16630 21965 Mar-93 17960 23527 Apr-93 19191 24306 May-93 19429 24479 Jun-93 19091 24043 Jul-93 18762 24014 Aug-93 20303 25690 Sep-93 20230 25413 Oct-93 20294 26315 Nov-93 19645 26231 Dec-93 20818 28311 Jan-94 23643 29854 Feb-94 23541 28483 Mar-94 22185 27085 Apr-94 22984 27911 May-94 22269 26688 Jun-94 21590 26857 Jul-94 22119 28403 Aug-94 22891 29775 Sep-94 22584 28266 Oct-94 23011 30021 Nov-94 22000 28900 Annualized One Five From Total Return (%) Year Years April 1986 - ------------------------------------------------------------------------------ 10.17 5.51 9.51 * Dimensional's objective is to capture premium returns and diversification benefits by investing in a broad cross-section of small companies on a market cap weighted basis. The United Kingdom Small Company Portfolio provides access to publicly traded small companies listed on the bottom half by market cap of companies traded on the London Stock Exchange. Currently, these companies have market capitalization of approximately $380 million or less. * This portfolio's returns in fiscal 1994 reflected the performance of small cap companies in the United Kingdom. Past performance is not predictive of future performance. United Kingdom Large Company Stocks courtesy Morgan Stanley Capital International. - ------------------------------------------------------------------------------- 16 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS ============================================================================== The Emerging Markets Portfolio Vs. MSCI Emerging Markets Free Equal Weighted Index May 1994-November 1994 The following reflects the growth of a $10,000 investment. The Emerging Markets MSCI Emerging Markets Portfolio Free Equal Weighted Index ------------------ ------------------------- $10000 $10000 May-94 10008 10320 Jun-94 10047 10018 Jul-94 10775 10635 Aug-94 11740 11942 Sep-94 11859 12066 Oct-94 11504 11832 Nov-94 11100 11200 Total From Return (%) May 1994 - ------------------------------------------------------------------------------ 11.31 * This portfolio provides access to non-U.S. large companies in "emerging market" countries, including Argentina, Brazil, Chile, Indonesia, Malaysia, Mexico, Portugal, Thailand and Turkey. Investment is based on market capitalization, with investments attempting to capture between 40% and 75% of the largest companies in each country. The portfolio attempts to have equal country-weighting. * This was a new portfolio in fiscal 1994. Its returns reflected the performance of an equally weighted emerging markets country portfolio. Past performance is not predictive of future performance. MSCI Emerging Markets Free Equal-Weighted Index created by equal-weighting the MSCI country returns for the nine countries that Dimensional is currently invested in. Courtesy of Morgan Stanley. - ------------------------------------------------------------------------------ 17 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS ============================================================================== The Continental Small Company Portfolio Vs. Continental Large Company Stocks May 1988-November 1994 The following reflects the growth of a $10,000 investment. The Continental Continental Small Company Large Company Portfolio Stocks --------------- ------------- $10000 $10000 May-88 9676 9891 Jun-88 9763 9952 Jul-88 9608 9930 Aug-88 9559 9633 Sep-88 10189 10196 Oct-88 11129 11235 Nov-88 11623 11390 Dec-88 11760 11620 Jan-89 11965 11514 Feb-89 12023 11502 Mar-89 12180 11599 Apr-89 12970 12032 May-89 12697 11562 Jun-89 13146 12274 Jul-89 14132 13493 Aug-89 14152 13425 Sep-89 15382 13843 Oct-89 14835 13173 Nov-89 15763 13928 Dec-89 17016 15485 Jan-90 16936 15373 Feb-90 16645 15041 Mar-90 17409 15610 Apr-90 17840 15502 May-90 18343 16277 Jun-90 18976 16653 Jul-90 20141 17356 Aug-90 17851 15218 Sep-90 15982 13183 Oct-90 16917 14333 Nov-90 16315 14106 Dec-90 16323 13849 Jan-91 15863 14288 Feb-91 16951 15607 Mar-91 15571 14424 Apr-91 15571 14306 May-91 15633 14948 Jun-91 14724 13706 Jul-91 15048 14254 Aug-91 15048 14451 Sep-91 15497 14815 Oct-91 15006 14557 Nov-91 14829 14463 Dec-91 15651 15532 Jan-92 15392 15636 Feb-92 15314 15858 Mar-92 15122 15531 Apr-92 15054 15781 May-92 15637 16688 Jun-92 15704 16605 Jul-92 15312 16042 Aug-92 15368 15991 Sep-92 14482 15751 Oct-92 13338 14759 Nov-92 12776 14640 Dec-92 12546 14802 Jan-93 12939 15068 Feb-93 12939 15595 18 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== Mar-93 13631 16204 Apr-93 14231 16495 May-93 14253 16726 Jun-93 13504 16442 Jul-93 13446 16573 Aug-93 14911 18214 Sep-93 14946 18251 Oct-93 15061 19054 Nov-93 14725 18368 Dec-93 15720 19764 Jan-94 16905 20851 Feb-94 17129 20288 Mar-94 17680 20166 Apr-94 18361 21073 May-94 18091 20294 Jun-94 17915 19949 Jul-94 18362 20986 Aug-94 18549 21385 Sep-94 18139 20615 Oct-94 18150 21357 Nov-94 17400 20600 Annualized One Five From Total Return (%) Year Years May 1988 - ------------------------------------------------------------------------------ 16.42 1.69 8.78 * Dimensional's objective is to capture premium returns and diversification benefits by investing in a broad cross-section of small companies on a market cap weighted basis. The Continental Small Company Strategy provides access to publicly traded small companies listed on the major exchanges of France, Germany, Italy, Switzerland, The Netherlands, Belgium and Spain. Currently, these companies have market capitalization of approximately $594 million or less. * This portfolio's returns in fiscal 1994 reflected the performance of small companies in Continental Europe. Past performance is not predictive of future performance. Continental Large Company Stocks courtesy of Morgan Stanley Capital International. - ------------------------------------------------------------------------------ 19 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== The Large Cap International Portfolio Vs. EAFE Index August 1991-November 1994 The following reflects the growth of a $10,000 investment. The Large Cap International EAFE Portfolio Index ------------- ------ $10000 $10000 Aug-91 9900 9800 Sep-91 10300 10400 Oct-91 10600 10500 Nov-91 10300 10000 Dec-91 10900 10500 Jan-92 10500 10300 Feb-92 10100 9900 Mar-92 9400 9300 Apr-92 9400 9300 May-92 10000 10000 Jun-92 9500 9500 Jul-92 9400 9300 Aug-92 10100 9800 Sep-92 9900 9700 Oct-92 9300 9200 Nov-92 9400 9200 Dec-92 9500 9300 Jan-93 9400 9300 Feb-93 9600 9600 Mar-93 10400 10400 Apr-93 11100 11400 May-93 11300 11600 Jun-93 11100 11500 Jul-93 11500 11900 Aug-93 12100 12500 Sep-93 11800 12200 Oct-93 12100 12600 Nov-93 11200 11500 Dec-93 11900 12300 Jan-94 12700 13400 Feb-94 12400 13400 Mar-94 12000 12800 Apr-94 12400 13300 May-94 12300 13200 Jun-94 12500 13400 Jul-94 12700 13600 Aug-94 13000 13900 Sep-94 12500 13500 Oct-94 13000 13900 Nov-94 12400 13300 Annualized One From Total Return (%) Year August 1991 - ------------------------------------------------------------------------------ 10.74 6.66 * This portfolio provides access to non-U.S. large companies in Europe, Australia and the Far East (currently 8 countries). Investment will be based on market capitalization, with investments made in the largest 50% of companies in each country. Country weighting is designed to reflect each country's market capitalization relative to the overall index, adjusted to reflect cross-ownership. * This portfolio's returns in fiscal 1994 reflect the performance of its strategy. Past performance is not predictive of future performance. EAFE Index courtesy Morgan Stanley Capital International. - ------------------------------------------------------------------------------ 20 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== The DFA International High Book to Market Portfolio Vs. EAFE Index July 1993-November 1994 The following reflects the growth of a $10,000 investment. The DFA International High Book to Market EAFE Portfolio Index --------------------------------- ----- $10000 $10000 Jul-93 10400 10300 Aug-93 11000 10900 Sep-93 10800 10700 Oct-93 11000 11000 Nov-93 10300 10000 Dec-93 11100 10800 Jan-94 12000 11700 Feb-94 11900 11600 Mar-94 11600 11100 Apr-94 12000 11600 May-94 12100 11600 Jun-94 12200 11700 Jul-94 12400 11800 Aug-94 12600 12100 Sep-94 12200 11700 Oct-94 12700 12100 Nov-94 12000 11600 Annualized From Total Return (%) One Year July 1993 - ------------------------------------------------------------------------------- 16.71 13.80 * This portfolio invests in the International Value Series of the DFA Investment Trust Company which in turn invests in companies with market capitalization greater than $500 million, and whose book-to-market factor is in the upper 30% of such large publicly traded companies. Country weightings are designed to reflect each country's market capitalization relative to our country universe, adjusted to reflect cross-ownership. * This portfolio's returns in fiscal 1994 reflected the performance of large, high book-to-market companies. Past performance is not predictive of future performance. EAFE Index courtesy Morgan Stanley Capital International. - ------------------------------------------------------------------------------ 21 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== The DFA One-Year Fixed Income Portfolio Vs. One Month CD's December 1984-November 1994 The following reflects the growth of a $10,000 investment. The DFA One-Year Fixed Income One Month Portfolio CD's -------------------- ---------- $10000 $10000 Dec-84 10100 10100 Jan-85 10200 10100 Feb-85 10200 10200 Mar-85 10300 10300 Apr-85 10400 10400 May-85 10600 10400 Jun-85 10600 10500 Jul-85 10700 10600 Aug-85 10800 10600 Sep-85 10900 10700 Oct-85 10900 10800 Nov-85 11000 10800 Dec-85 11100 10900 Jan-86 11200 11000 Feb-86 11300 11000 Mar-86 11500 11100 Apr-86 11500 11200 May-86 11600 11200 Jun-86 11700 11300 Jul-86 11800 11400 Aug-86 11900 11400 Sep-86 11900 11500 Oct-86 12000 11500 Nov-86 12100 11600 Dec-86 12100 11700 Jan-87 12200 11700 Feb-87 12300 11800 Mar-87 12300 11800 Apr-87 12300 11900 May-87 12300 12000 Jun-87 12500 12000 Jul-87 12500 12100 Aug-87 12600 12200 Sep-87 12600 12200 Oct-87 12700 12300 Nov-87 12800 12400 Dec-87 12900 12400 Jan-88 13100 12500 Feb-88 13200 12600 Mar-88 13200 12600 Apr-88 13300 12700 May-88 13300 12800 Jun-88 13400 12800 Jul-88 13500 12900 Aug-88 13500 13000 Sep-88 13600 13100 Oct-88 13800 13200 Nov-88 13800 13200 Dec-88 13900 13300 Jan-89 14000 13400 Feb-89 14000 13500 Mar-89 14200 13600 Apr-89 14300 13700 May-89 14400 13800 Jun-89 14600 14000 Jul-89 14700 14100 Aug-89 14800 14200 Sep-89 14900 14300 Oct-89 15000 14400 Nov-89 15100 14500 Dec-89 15200 14600 Jan-90 15300 14700 Feb-90 15400 14800 Mar-90 15500 14800 Apr-90 15600 14900 May-90 15700 15000 Jun-90 15900 15100 Jul-90 16000 15200 Aug-90 16100 15300 Sep-90 16200 15400 Oct-90 16300 15500 Nov-90 16500 15600 Dec-90 16600 15700 22 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== Jan-91 16700 15800 Feb-91 16800 15900 Mar-91 16900 16000 Apr-91 17000 16100 May-91 17100 16200 Jun-91 17200 16200 Jul-91 17300 16300 Aug-91 17500 16400 Sep-91 17600 16500 Oct-91 17700 16600 Nov-91 17900 16600 Dec-91 18000 16700 Jan-92 18100 16700 Feb-92 18200 16800 Mar-92 18200 16800 Apr-92 18300 16900 May-92 18400 16900 Jun-92 18500 17000 Jul-92 18700 17000 Aug-92 18800 17100 Sep-92 18900 17100 Oct-92 18900 17200 Nov-92 18900 17200 Dec-92 19000 17300 Jan-93 19100 17300 Feb-93 19200 17300 Mar-93 19300 17400 Apr-93 19400 17400 May-93 19400 17400 Jun-93 19500 17500 Jul-93 19500 17500 Aug-93 19600 17600 Sep-93 19700 17600 Oct-93 19700 17600 Nov-93 19700 17700 Dec-93 19800 17700 Jan-94 19900 17800 Feb-94 19900 17800 Mar-94 19900 17800 Apr-94 19900 17900 May-94 19900 17900 Jun-94 20000 18000 Jul-94 20100 18000 Aug-94 20200 18100 Sep-94 20200 18200 Oct-94 20300 18200 Nov-94 20200 18300 Annualized One Five Ten Total Return (%) Year Year Year - ------------------------------------------------------------------------------- 2.48 6.02 7.31 * The portfolio maximizes expected returns by investing in the One-Year Fixed Income Series of the DFA Investment Trust Company which uses a strategy shifting maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies and identifies the optimal maturity range for the highest expected returns. Issues which meet maturity and quality level are further evaluated for business risk. Maturities are shifted if sufficient premiums can be documented. * This portfolio's returns in fiscal 1994 reflected the performance of its strategy. Past performance is not predictive of future performance. - ------------------------------------------------------------------------------ 23 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== The DFA Five-Year Government Portfolio Vs. Lehman Intermediate Government Index June 1987-November 1994 The following reflects the growth of a $10,000 investment. The DFA Lehman Five-Year Government Intermediate Government Portfolio Index ------------------- ----------------------- $10000 $10000 Jun-87 10100 10100 Jul-87 10100 10100 Aug-87 10100 10100 Sep-87 9900 10000 Oct-87 10300 10300 Nov-87 10300 10300 Dec-87 10400 10400 Jan-88 10800 10700 Feb-88 10900 10800 Mar-88 10800 10800 Apr-88 10800 10800 May-88 10700 10700 Jun-88 10900 10900 Jul-88 10800 10900 Aug-88 10800 10900 Sep-88 11000 11100 Oct-88 11200 11200 Nov-88 11100 11100 Dec-88 11100 11100 Jan-89 11200 11300 Feb-89 11200 11200 Mar-89 11300 11300 Apr-89 11400 11500 May-89 11500 11700 Jun-89 11700 12000 Jul-89 11800 12300 Aug-89 11800 12100 Sep-89 11900 12200 Oct-89 12000 12400 Nov-89 12100 12500 Dec-89 12200 12600 Jan-90 12200 12500 Feb-90 12300 12500 Mar-90 12300 12500 Apr-90 12400 12500 May-90 12600 12800 Jun-90 12700 12900 Jul-90 12800 13100 Aug-90 12700 13100 Sep-90 12900 13200 Oct-90 13100 13300 Nov-90 13300 13500 Dec-90 13500 13700 Jan-91 13600 13900 Feb-91 13700 14000 Mar-91 13700 14100 Apr-91 13900 14200 May-91 14000 14300 Jun-91 13900 14300 Jul-91 14100 14500 Aug-91 14400 14700 Sep-91 14700 15000 Oct-91 14900 15200 Nov-91 15100 15300 Dec-91 15400 15700 Jan-92 15300 15600 Feb-92 15300 15600 Mar-92 15200 15600 Apr-92 15400 15700 May-92 15600 16000 Jun-92 15900 16200 Jul-92 16300 16500 Aug-92 16500 16700 Sep-92 16700 16900 Oct-92 16500 16700 Nov-92 16300 16600 Dec-92 16600 16900 Jan-93 16900 17200 Feb-93 17200 17400 24 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== Mar-93 17200 17500 Apr-93 17400 17700 May-93 17300 17600 Jun-93 17600 17900 Jul-93 17600 17900 Aug-93 17900 18200 Sep-93 18000 18300 Oct-93 18000 18300 Nov-93 17900 18200 Dec-93 18000 18300 Jan-94 18200 18500 Feb-94 17800 18300 Mar-94 17500 18000 Apr-94 17400 17800 May-94 17400 17800 Jun-94 17400 17800 Jul-94 17600 18100 Aug-94 17700 18100 Sep-94 17500 18000 Oct-94 17500 18000 Nov-94 17300 17900 Annualized One Five From Total Return (%) Year Year June 1987 - ------------------------------------------------------------------------------ -3.13 7.46 7.61 * DFA Five-Year Government Portfolio maximizes expected returns by shifting maturities based on changes in the yield curve. Using current prices the strategy creates a matrix of expected returns from different buy and sell strategies and identifies the optimal maturity range for the highest expected returns. Maturities are shifted if sufficient premiums can be documented. Investments are made in U.S. governments securities with a maximum maturity of five years. * This portfolio's returns in fiscal 1994 reflected the performance of its strategy. Past performance is not predictive of future performance. Lehman Index courtesy Lehman Brothers. - ------------------------------------------------------------------------------- 25 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== The DFA Global Fixed Income Portfolio Vs. Salomon World Fixed Income Index December 1990-November 1994 The following reflects the growth of a $10,000 investment. The DFA Salomon Global Fixed Income World Fixed Income Portfolio Index ------------------- ------------------ $10000 $10000 Dec-90 10100 10100 Jan-91 10100 10300 Feb-91 10200 10400 Mar-91 10200 10400 Apr-91 10300 10500 May-91 10400 10500 Jun-91 10400 10500 Jul-91 10500 10600 Aug-91 10700 10800 Sep-91 10900 11000 Oct-91 11000 11100 Nov-91 11100 11200 Dec-91 11400 11500 Jan-92 11300 11400 Feb-92 11300 11500 Mar-92 11200 11400 Apr-92 11300 11400 May-92 11500 11600 Jun-92 11700 11700 Jul-92 11900 11900 Aug-92 12100 12000 Sep-92 12300 12100 Oct-92 12100 12200 Nov-92 12000 12200 Dec-92 12100 12300 Jan-93 12400 12500 Feb-93 12500 12800 Mar-93 12600 12800 Apr-93 12600 12800 May-93 12600 12800 Jun-93 12800 13100 Jul-93 12900 13200 Aug-93 13200 13500 Sep-93 13200 13600 Oct-93 13300 13700 Nov-93 13400 13700 Dec-93 13500 13900 Jan-94 13600 13900 Feb-94 13300 13600 Mar-94 13000 13400 Apr-94 12900 13300 May-94 12800 13300 Jun-94 12700 13200 Jul-94 12800 13300 Aug-94 12900 13200 Sep-94 12800 13200 Oct-94 12800 13200 Nov-94 13000 13300 Annualized One From Total Return (%) Year December 1990 - ------------------------------------------------------------------------------ -2.91 6.72 * The DFA Global Fixed Income Portfolio invests in U.S. and international government bonds, debt guaranteed by foreign governments, high quality corporate debt and debt of supranational issuers with maturities of 10 years or less. Eligible countries: United States, Canada, United Kingdom, Germany, Japan, France and Australia. The portfolio is diversified across countries. Using current prices the strategy creates a matrix of expected horizon returns from different buy and sell strategies and identifies the maturity range with the highest expected return. Maturities are shifted only if sufficient premiums warrant it. Country weighting is increased or reduced based on expected returns. The portfolio may be concentrated in the U.S. if international curves are inverted. * This portfolio's return in fiscal 1994 reflected the performance of its strategy. Past performance is not predictive of future performance. Salomon World Fixed Income Index courtesy Salomon Brothers. - ------------------------------------------------------------------------------ 26 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS =============================================================================== The DFA Intermediate Government Fixed Income Portfolio Vs. Lehman Intermediate Government Index November 1990-November 1994 The following reflects the growth of a $10,000 investment. The DFA Lehman Intermediate Government Fixed Income Intermediate Government Portfolio Index ------------------------------------ ------------------------ $10000 $10000 Nov-90 10300 10200 Dec-90 10400 10300 Jan-91 10600 10400 Feb-91 10600 10500 Mar-91 10700 10600 Apr-91 10800 10700 May-91 10900 10700 Jun-91 10800 10700 Jul-91 11000 10900 Aug-91 11200 11100 Sep-91 11500 11300 Oct-91 11600 11400 Nov-91 11800 11500 Dec-91 12200 11800 Jan-92 12000 11700 Feb-92 12000 11700 Mar-92 11900 11700 Apr-92 12000 11800 May-92 12200 12000 Jun-92 12500 12200 Jul-92 12900 12400 Aug-92 13000 12500 Sep-92 13300 12700 Oct-92 13000 12500 Nov-92 12900 12500 Dec-92 13100 12600 Jan-93 13500 12900 Feb-93 13800 13100 Mar-93 13900 13100 Apr-93 14000 13200 May-93 14000 13200 Jun-93 14300 13400 Jul-93 14300 13500 Aug-93 14700 13700 Sep-93 14800 13700 Oct-93 14800 13800 Nov-93 14600 13700 Dec-93 14700 13800 Jan-94 14900 13900 Feb-94 14500 13700 Mar-94 14200 13500 Apr-94 14000 13400 May-94 14000 13400 Jun-94 13900 13400 Jul-94 14200 13600 Aug-94 14200 13600 Sep-94 14000 13500 Oct-94 14000 13500 Nov-94 13900 13400 Annualized One From Total Return (%) Year November 1990 - ------------------------------------------------------------------------------ -4.72 8.43 * The strategy employs a buy and hold strategy investing in securities with a maturity of between five and fifteen years and maintaining an average weighted maturity of seven to ten years. The investment universe includes obligations of the U.S. Government, U.S. Government Agencies and AAA rated dollar denominated obligations of foreign securities or options on such contracts. Performance is expected to match or exceed the returns of the Lehman Intermediate Government Index without exceeding the volatility of that index. Portfolio turnover is estimated to be no more than 30%. * This portfolio's returns in fiscal 1994 reflected the performance of its strategy. Past performance is not predictive of future performance. Lehman Index courtesy Lehman Brothers. - ------------------------------------------------------------------------------ 27 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULE OF INVESTMENTS THE U.S 9-10 SMALL COMPANY PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ COMMON STOCKS - (98.2%) *A Plus Communications, Inc. ............................ 57,100 $ 720,888 *AAON, Inc. ............................................. 5,000 69,375 ABS Industries, Inc. ................................... 122,200 1,664,975 ACC Corp. .............................................. 14,500 235,625 *ACS Enterprises, Inc. .................................. 23,900 170,288 *AEL Industries, Inc. Class A ........................... 1,000 9,000 AEP Industries, Inc. ................................... 22,350 360,394 *ARI Holdings Corp. ..................................... 2,200 11,825 *ARI Network Services, Inc. ............................. 15,500 47,469 *ARK Restaurants Corp. .................................. 4,800 37,200 *AW Computer Systems, Inc. Class A ..................... 1,000 1,625 Aaron Rents, Inc. Class A .............................. 41,500 526,531 Aaron Rents, Inc. Class B .............................. 52,100 657,763 *Abaxis, Inc. ........................................... 1,000 3,938 Abington Savings Bank MA ............................... 18,400 239,200 *Accell International Corp. ............................. 97,293 249,313 *Acceptance Insurance Companies, Inc. ................... 55,420 796,663 *Access Health Marketing, Inc. .......................... 1,000 17,375 Aceto Corp. ............................................ 5,710 82,795 *Ackerley Communications, Inc. .......................... 21,500 142,438 *Acmat Corp. ............................................ 100 1,550 *Acme Electric Corp. .................................... 126,584 1,693,161 *Acme Metals, Inc. ...................................... 98,500 1,563,328 *Acme United Corp. ...................................... 69,033 198,470 Acme-Cleveland Corp. ................................... 42,100 457,838 *Action Industries, Inc. ................................ 47,100 82,425 *Adage, Inc. ............................................ 50,942 241,974 *Adams Resources & Energy, Inc. (New) ................... 74,150 667,350 *Advance Circuits, Inc. ................................. 189,012 2,339,084 *Advance Ross Corp. (New) ............................... 60,500 1,255,375 *Advanced Logic Research, Inc. .......................... 3,100 14,531 *Advanced Magnetics, Inc. ............................... 45,550 632,006 *Advanced Marketing Services, Inc. ...................... 31,500 196,875 *Advanced Polymer Systems, Inc. ......................... 71,000 321,719 *Advantage Bancorp, Inc. ................................ 1,000 28,375 *Advantage Health Corp. ................................. 49,100 1,436,175 *Advest Group, Inc. ..................................... 7,900 41,475 *Aequitron Medical, Inc. ................................ 55,700 219,319 *Aeroflex, Inc. ......................................... 97,252 376,852 *Aerovox, Inc. .......................................... 1,000 7,000 *Agouron Pharmaceuticals, Inc. .......................... 36,500 415,188 *Agridyne Technology, Inc. .............................. 63,900 95,850 *Aileen, Inc. ........................................... 104,200 182,350 *Air Methods Corp. (New) ................................ 5,000 10,000 *Airsensors, Inc. ....................................... 10,000 95,000 Airtran Corp. .......................................... 59,100 465,413 *Akorn, Inc. ............................................ 9,500 29,984 *Alamco, Inc. (New) ..................................... 45,260 282,875 *Alantec Corp. .......................................... 15,000 311,250 Alatenn Resources, Inc. ................................ 39,900 688,275 *Alba-Waldensian, Inc. .................................. 21,000 225,750 *Alexander Energy Co. ................................... 31,000 201,500 *Alfin, Inc. ............................................ 78,727 68,886 *Alkermes, Inc. ......................................... 136,000 459,000
28 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *All American Semiconductor, Inc. ....................... 1,000 $ 2,031 *All for a Dollar, Inc. ................................. 1,000 875 *Allegheny & Western Energy Corp. ....................... 49,400 534,138 *Allegiant Physician Services, Inc. ..................... 25,000 53,906 *Allerion, Inc. ......................................... 12,000 6,000 *Allied Holdings, Inc. .................................. 75,000 909,375 Allied Life Financial Corp. ............................ 20,000 285,000 *Allied Products Corp. .................................. 212,994 2,928,668 *Allied Research Corp. .................................. 41,040 225,720 *Allied Waste Industries, Inc. .......................... 42,500 191,250 *Allou Health & Beauty Care, Inc. Class A ............... 27,500 213,125 *Allstate Financial Corp. ............................... 1,500 9,234 *Alltrista Corp. ........................................ 6,374 125,090 *Aloette Cosmetics, Inc. ................................ 7,200 16,200 *Alpha Beta Technology, Inc. ............................ 108,000 1,215,000 *Alpha Industries, Inc. ................................. 86,700 552,713 *Alpha Microsystems, Inc. ............................... 48,600 60,750 *Alpha One Biomedicals, Inc. ............................ 60,700 51,216 *Alpharel, Inc. ......................................... 60,300 101,756 *Alpine Group, Inc. ..................................... 159,544 917,378 *Alpine Lace Brands, Inc. ............................... 28,500 108,656 *Alpnet, Inc. ........................................... 30,500 12,867 *Alta Gold Co. .......................................... 14,143 18,121 *Alteon, Inc. ........................................... 102,000 624,750 *Altron, Inc. ........................................... 38,650 801,988 *Ambar, Inc. ............................................ 1,000 6,250 *Ambers Stores, Inc. .................................... 1,000 1,750 *Amdura Corp. (New) ..................................... 5,702 9,979 *America Services Group, Inc. ........................... 29,000 168,563 American Biltrite, Inc. ................................ 97,800 2,475,563 *American City Business Journals, Inc. .................. 13,000 212,875 *American Claims Evaluation, Inc. ....................... 3,100 6,200 *American Consumer Products, Inc. ....................... 38,600 120,625 *American Dental Technologies, Inc. ..................... 1,000 750 American Ecology Corp. ................................. 62,800 463,150 *American Educational Products, Inc. .................... 21,000 49,875 American Federal Bank FSB Greenville, SC ............... 30,000 330,000 American Filtrona Corp. ................................ 20,200 550,450 *American Healthcorp, Inc. .............................. 53,400 293,700 *American Holdings, Inc. ................................ 169,100 274,788 *American Homepatient, Inc. ............................. 51,000 1,039,125 American Indemnity Financial Corp. ..................... 16,400 172,200 American List Corp. .................................... 21,615 383,666 *American Locker Group, Inc. ............................ 8,800 48,400 American Maize Products Co. Class A .................... 68,400 1,607,400 *American Medical Electronics, Inc. ..................... 102,100 657,269 *American Physicians Services Group, Inc. ............... 71,800 181,744 American Precision Industries, Inc. .................... 160,375 1,142,672
29 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ American Recreation Centers, Inc. ...................... 3,300 $ 19,800 *American Recreation Co. Holdings, Inc. ................. 75,200 582,800 *American Science & Engineering, Inc. ................... 75,000 421,875 *American Shared Hospital Services ..................... 14,800 6,475 American Software, Inc. Class A ........................ 6,000 22,125 American Studios, Inc. ................................. 80,000 295,000 *American Technical Ceramics Corp. ...................... 1,000 3,313 *American United Global, Inc. ........................... 1,000 3,656 *American White Cross, Inc. ............................. 67,000 217,750 *American Woodmark Corp. ................................ 9,029 45,145 Americana Bancorp, Inc. ................................ 13,650 203,044 Amerifed Financial Corp. ............................... 9,000 399,375 *Amerihost Properties, Inc. ............................. 15,000 60,938 *Ameriquest Technology, Inc. ............................ 72,775 218,325 *Ameriwood Industries International Corp. ............... 52,900 472,794 *Amfed Financial, Inc. .................................. 29,419 581,025 *Amistar Corp. .......................................... 65,100 130,200 *Ampal-American Israel Corp. Class A ................... 121,000 877,250 Ampco-Pittsburgh Corp. ................................. 40,100 280,700 Amplicon, Inc. ......................................... 29,000 551,000 Amre, Inc. ............................................. 124,500 684,750 *Amrep Corp. (New) ...................................... 166,510 1,165,570 Amresco, Inc. .......................................... 84,500 612,625 *Amserv, Inc. ........................................... 9,151 12,011 Amvestors Financial Corp. (New) ........................ 90,352 767,992 Amwest Insurance Group, Inc. ........................... 57,900 680,325 Analysis & Technology, Inc. ............................ 26,800 408,700 *Anaren Microwave, Inc. ................................. 69,400 216,875 *Andersen Group, Inc. ................................... 15,000 58,125 Andover Bancorp, Inc. DE ............................... 13,900 200,681 *Andover Togs, Inc. ..................................... 3,562 9,350 *Andrea Electronics Corp. ............................... 500 11,000 *Andros, Inc. ........................................... 68,300 1,101,338 *Anergen, Inc. .......................................... 1,000 3,000 Anthony Industries, Inc. ............................... 50,243 829,001 *Apertus Technologies, Inc. ............................. 268,800 2,654,400 *Appliance Recycling Centers of America, Inc. ........... 1,000 5,000 *Applied Extrusion Technologies, Inc. ................... 30,000 315,000 *Applied Magnetics Corp. ................................ 70,700 203,263 *Applied Signal Technologies, Inc. ...................... 75,000 314,063 *Arabian Shield Development Co. ......................... 66,200 115,850 *Arbor National Holdings, Inc. .......................... 46,300 668,456 *Arch Communications Group, Inc. ........................ 68,700 1,361,119 *Arch Petroleum, Inc. (New) ............................. 26,826 54,490 *Arizona Instrument Corp. ............................... 100 84 *Arlen Corp. ............................................ 280,300 5,474 *Armatron International, Inc. ........................... 68,500 55,656 *Arrhythmia Research Technology, Inc. ................... 75 206 *Arris Pharmaceutical Corp. ............................. 10,000 62,500 *Arrow Automotive Industries, Inc. ...................... 44,800 330,397 Arrow Financial Corp. .................................. 10,826 159,689 Artistic Greetings, Inc. ............................... 2,200 9,075 *Artra Group, Inc. ...................................... 65,200 260,800 *Arts Way Manufacturing Co., Inc. ....................... 100 788 *Ashworth, Inc. ......................................... 70,000 590,625 Aspen Bancshares, Inc. ................................. 1,250 15,938
30 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Aspen Imaging International, Inc. ...................... 53,900 $ 47,163 Associated Natural Gas Corp. ........................... 22 853 *Astec Industries, Inc. ................................. 98,100 1,287,563 Astro-Med, Inc. ........................................ 58,175 614,473 Astronics Corp. ........................................ 18,280 38,845 *Astrosystems, Inc. ..................................... 44,100 176,400 *Astrotech International Corp. (New) .................... 22,500 59,063 *Athey Products Corp. ................................... 24,277 166,904 *Atkinson (Guy F.) of California ........................ 13,900 144,213 *Atlanfed Bancorp, Inc. ................................. 5,000 74,375 *Atlantic American Corp. ................................ 112,825 211,547 *Atlantic Coast Airlines, Inc. .......................... 65,000 121,875 *Atlantic Gulf Communities Corp. ........................ 1,000 9,500 *Atlantic Tele-Network, Inc. ............................ 10,000 84,375 Atlantis Plastics, Inc. ................................ 2,100 12,600 *Atlas Corp. ............................................ 117,620 279,348 *Atrix Labs, Inc. ....................................... 1,000 5,500 *Atwood Oceanics, Inc. .................................. 22,000 287,375 *Audiovox Corp. Class A ................................. 7,200 51,300 *Aurora Electronics, Inc. ............................... 120,962 551,889 *Auspex Systems, Inc. ................................... 12,000 84,750 *Autocam Corp. .......................................... 33,575 449,066 Autoclave Engineers, Inc. .............................. 30,180 262,189 *Autofinance Group, Inc. ................................ 87,356 775,285 *Autoinfo, Inc. ......................................... 115,900 322,347 *Avondale Industries, Inc. .............................. 60,600 435,563 *Aydin Corp. ............................................ 56,350 633,938 Aztec Manufacturing Co. ................................ 55,826 240,750 BB&T Financial Corp. ................................... 1 17 BEI Electronics, Inc. .................................. 4,100 21,269 BGS Systems, Inc. ...................................... 6,400 178,400 BHA Group, Inc. Class A ................................ 63,828 805,829 *BI, Inc. (New) ......................................... 85,900 413,394 BMC Industries, Inc. MN ................................ 198,700 2,980,500 *BMJ Financial Corp. .................................... 56,750 624,250 *BOK Financial Corp. .................................... 3,054 65,279 *BPI Packaging Technologies, Inc. ....................... 8,200 36,644 BSB Bancorp, Inc. ...................................... 41,150 1,111,050 BT Financial Corp. ..................................... 10,996 313,386 *BTU International, Inc. ................................ 20,000 93,750 *Bachman Information Systems, Inc. ...................... 91,000 335,563 *Back Bay Restaurant Group, Inc. ........................ 22,800 202,350 Badger Meter, Inc. ..................................... 14,600 352,225 Badger Meter, Inc. ..................................... 20,300 489,738 *Bailey Corp. ........................................... 4,800 36,300 Bairnco Corp. .......................................... 104,700 458,063 *Baker (Michael) Corp. .................................. 83,700 334,800 *Baker (Michael) Corp. Class B .......................... 15,400 61,600 Balchem Corp. .......................................... 1,500 8,813 *Baldwin Piano & Organ Co. .............................. 37,900 492,700 *Baldwin Technology, Inc. Class A ....................... 25,000 120,313 *Bally Gaming International, Inc. ....................... 10,000 90,000 *Baltek Corp. ........................................... 21,562 159,020 BanCorp New Jersey, Inc. ............................... 1,000 31,000 *BancTexas Group, Inc. .................................. 73,187 73,187 *Bancinsurance Corp. .................................... 1,000 3,250 Bancorp Connecticut, Inc. .............................. 1,000 13,250 Bangor Hydro-Electric Co. .............................. 63,000 645,750 Bank of Granite Corp. .................................. 77 1,906 Bank of New Hampshire Corp. ............................ 23,300 466,000 BankAtlantic Bancorp, Inc. ............................. 4,600 65,550 *Banker's Note, Inc. .................................... 30,700 26,863 Bankers First Corp. .................................... 44,900 853,100
31 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Banner Aerospace, Inc. ................................. 33,100 $ 132,400 Barnwell Industries, Inc. .............................. 11,800 225,675 *Barra, Inc. ............................................ 75,400 574,925 *Barrett Business Services, Inc. ........................ 32,800 508,400 *Barrister Information Systems Corp. (New) .............. 7,866 3,933 *Barry (R.G.) Corp. ..................................... 116,266 2,121,855 *Barrys Jewelers, Inc. .................................. 192 1,200 *Base Ten Systems, Inc. Class A ......................... 1,000 7,688 *Basin Exploration, Inc. ................................ 43,000 443,438 *Bayou Steel Corp. Class A .............................. 9,100 30,144 *Beard Co. .............................................. 26,533 48,920 Beauticontrol Cosmetics, Inc. .......................... 1,000 14,500 Beeba's Creations, Inc. ................................ 20,780 75,328 *Bel Fuse, Inc. ......................................... 121,000 922,625 *Bell Industries, Inc. .................................. 57,803 1,271,666 *Belmac Corp. ........................................... 1,000 625 *Ben & Jerry's Homemade, Inc. Class A ................... 6,400 81,600 *Ben Franklin Retail Stores, Inc. ....................... 1,000 4,063 *Benchmark Electronics, Inc. ............................ 44,100 1,190,700 *Benihana National Corp. ................................ 9,100 59,719 *Benson Eyecare Corp. ................................... 1,047 7,067 Berkshire Gas Co. ...................................... 7,200 107,100 *Bestop, Inc. ........................................... 3,000 31,500 *Bettis Corp. ........................................... 81,850 240,434 *Big O Tires, Inc. ...................................... 1,000 16,063 Bindley Western Industries, Inc. ....................... 1,000 13,250 Binks Manufacturing Co. ................................ 61,300 1,187,688 *Bio Technology General Corp. ........................... 4,000 9,125 *Bio-Logic Systems Corp. ................................ 23,400 59,963 *Biocircuits Corp. ...................................... 101,000 94,688 *Biomagnetic Technologies, Inc. ......................... 11,400 12,113 *Biomatrix, Inc. ........................................ 85,000 393,125 *Biomedical Waste Systems, Inc. ......................... 62,000 98,813 *Biomerica, Inc. ........................................ 48,500 54,563 *Biopharmaceutics, Inc. ................................. 6,000 4,125 *Biospherics, Inc. ...................................... 18,300 109,800 *Biosurface Technology, Inc. ............................ 83,700 240,638 *Biosys, Inc. ........................................... 77,200 246,075 *Biotechnica International, Inc. ........................ 146,500 41,203 *Biowhittaker, Inc. ..................................... 30,000 217,500 *Bird Corp. ............................................. 55,800 470,813 *Bird Medical Technologies, Inc. ........................ 44,600 161,675 *Birtcher Medical Systems, Inc. ......................... 1,000 1,156 *Biscayne Apparel, Inc. ................................. 7,700 19,009 Blessings Corp. ........................................ 80,956 2,580,473 *Bloc Development Corp. ................................. 22,600 26,131 *Bobbie Brooks, Inc. (New) .............................. 300 394 *Bon-Ton Stores, Inc. ................................... 1,000 12,250 *Bonray Drilling Corp. .................................. 4,985 39,880 *Boole & Babbage, Inc. .................................. 33,300 836,663 *Borror Corp. ........................................... 5,300 23,188 Boston Acoustics, Inc. ................................. 30,000 536,250 Bowl America, Inc. Class A ............................. 28,080 466,830 *Bowmar Instrument Corp. ................................ 104,100 312,300 Braintree Savings Bank MA .............................. 14,800 173,900 Brandon Systems Corp. .................................. 4,687 80,265 *Branford Savings Bank CT ............................... 610 1,315 *Brauns Fashions Corp. .................................. 13,500 43,031 Brenco, Inc. ........................................... 142,500 1,718,906 *Brendle's, Inc. ........................................ 45,400 36,888 *Brewer (C.) Homes, Inc. Class A ........................ 24,000 234,000 *Brite Voice Systems, Inc. .............................. 69,000 1,280,813 *Broadcast International, Inc. .......................... 31,000 170,500
32 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Broadway & Seymour, Inc. ............................... 66,600 $1,323,675 *Brooke Group, Ltd. ..................................... 1,000 2,875 *Brookstone, Inc. ....................................... 7,800 108,225 *Brooktree Corp. ........................................ 1,000 8,750 *Brooktrout Technology, Inc. ............................ 39,000 448,500 *Brown & Sharpe Manufacturing Co. Class A ............... 108,000 621,000 *Brown (Tom), Inc. (New) ................................ 51,600 512,775 Bryn Mawr Bank Corp. ................................... 500 16,188 *Buffton Corp. .......................................... 15,800 25,675 *Builders Transport, Inc. ............................... 52,100 586,125 *Bull Run Corp. GA ...................................... 171,700 284,378 *Burr Brown Corp. ....................................... 80,700 1,160,063 *Business Records Corp. Holding Co. ..................... 107,400 3,678,450 *Butler International, Inc. ............................. 23,727 148,294 Butler Manufacturing Co. ............................... 10,400 351,000 *Buttrey Food & Drug Stores Co. ......................... 1,000 7,313 *C-COR Electronics, Inc. ................................ 45,800 2,312,900 CB Bancshares, Inc. HI ................................. 818 25,154 *CBL Medical, Inc. ...................................... 1,400 350 *CCA Industries, Inc. ................................... 1,000 3,875 *CE Software Holdings, Inc. ............................. 8,600 19,888 *CEM Corp. .............................................. 41,500 498,000 *CFI Industries, Inc. ................................... 19,600 88,200 CFSB Bancorp, Inc. ..................................... 1,000 18,500 CFX Corp. .............................................. 14,280 253,470 *CII Financial, Inc. .................................... 23,600 126,850 *CIS Technologies, Inc. DE .............................. 15,800 45,919 *CMI Corp. Class A ...................................... 359,099 2,154,594 CPAC, Inc. ............................................. 14,595 191,559 CRSS, Inc. ............................................. 1,000 11,000 *CSP, Inc. .............................................. 59,300 504,050 CTS Corp. .............................................. 20,000 580,000 *CU Bancorp ............................................. 20,140 146,015 CVB Financial Corp. .................................... 20,246 285,975 *CXR Corp. .............................................. 107,508 90,710 *Cablemaxx, Inc. ........................................ 40,000 207,500 *Cabot Medical Corp. .................................... 1,210 6,655 *Cache, Inc. ............................................ 81,375 498,422 *Caci International, Inc. Class A ....................... 1,000 10,313 Cadmus Communications Corp. ............................ 58,900 935,038 *Caere Corp. ............................................ 1,000 15,750 Cagle's, Inc. Class A .................................. 74,250 2,440,969 *Caire, Inc. ............................................ 669 6,690 *California Amplifier, Inc. ............................. 26,200 165,388 California Financial Holding Corp. ..................... 43,870 581,278 *California Micro Devices Corp. ......................... 36,300 226,875 California State Bank .................................. 10,000 100,000 *Calloways Nursery, Inc. ................................ 28,500 32,063 *Calprop Corp. .......................................... 61,478 42,266 *Cambex Corp. ........................................... 82,300 334,344 *Cambridge Neuroscience, Inc. ........................... 1,000 4,000 *Candela Laser Corp. .................................... 13,700 29,113 *Candies, Inc. .......................................... 5,200 8,125 *Cannon Express, Inc. Class A ........................... 3,250 41,031 *Cannon Express, Inc. Class B ........................... 3,250 42,250 *Canonie Environmental Services Corp. ................... 89,700 470,925 *Cantel Industries, Inc. Class B ........................ 26,000 123,500 *Canyon Resources Corp. ................................. 96,000 159,000 Cape Cod Bank & Trust Co. .............................. 13,900 350,975 *Capital Associates, Inc. ............................... 42,100 32,891 Capitol Bancorp, Ltd. .................................. 4,400 39,050 *Care Group, Inc. ....................................... 77,100 305,991
33 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *CareNetwork, Inc. ...................................... 1,000 $ 24,875 *Carlisle Plastics, Inc. Class A ........................ 11,000 45,375 *Carolco Pictures, Inc. ................................. 97,200 5,832 Carolina First Corp. ................................... 21,050 284,175 *Carolina Freight Corp. ................................. 28,550 267,656 *Carr-Gottstein Foods Co. ............................... 68,100 502,238 *Carrington Laboratories, Inc. .......................... 184,300 1,589,588 *Carver Corp. WA ........................................ 94,700 290,019 Cascade Natural Gas Corp. .............................. 33,900 478,838 Castle (A.M.) & Co. .................................... 210,605 2,737,865 *Catalina Lighting, Inc. ................................ 53,600 408,700 *Catalyst Semiconductor, Inc. ........................... 50,000 143,750 *Catalytica, Inc. ....................................... 5,000 17,500 *Catherines Stores Corp. ................................ 5,600 43,400 Cavalier Homes, Inc. ................................... 29,837 350,585 *Celgene Corp. .......................................... 227,800 1,601,719 *Cell Genesys, Inc. ..................................... 30,000 275,625 *Cellular Technical Services Co., Inc. .................. 8,700 128,325 *Celtrix Pharmaceuticals, Inc. .......................... 91,800 275,400 *Centennial Bancorp ..................................... 1,155 11,983 Center Banks, Inc. ..................................... 22,800 245,100 *Centerbank Waterbury, CT ............................... 111,200 1,112,000 Central & Southern Holding Co. ......................... 19,700 125,588 *Central Co-Operative Bank Somerville, MA ............... 1,000 10,375 Central Jersey Financial Corp. ......................... 150 2,663 Central Reserve Life Corp. ............................. 22,100 179,563 *Central Sprinkler Corp. ................................ 31,100 311,000 Century Bancorp Income Class A ......................... 1,000 6,500 *Ceradyne, Inc. ......................................... 115,100 323,719 *Cerberonics, Inc. Class A (New) ........................ 3,500 16,188 *Champion Parts, Inc. ................................... 91,200 324,900 *Chart House Enterprises, Inc. .......................... 48,500 503,188 *Chart Industries, Inc. ................................. 10,000 37,500 Charter Federal Savings Bank ........................... 6,340 60,230 Charter Power Systems, Inc. ............................ 35,800 622,025 *Chattem, Inc. .......................................... 1,000 5,250 *Chaus (Bernard), Inc. .................................. 53,600 281,400 *Check Technology Corp. ................................. 19,200 100,800 *Checkpoint System, Inc. ................................ 51,600 1,025,550 *Chemex Pharmaceuticals, Inc. (New) ..................... 74,500 50,055 *Chemfab Corp. .......................................... 81,800 1,083,850 *Chemical Leaman Corp. .................................. 1 2,600 *Chempower, Inc. ........................................ 8,600 34,938 *Cherry Corp. Class A ................................... 3,600 51,300 *Cherry Corp. Class B ................................... 9,900 143,550 Chesapeake Utilities Corp. ............................. 10,875 137,297 Chester Valley Bancorp ................................. 663 13,426 Chicago Rivet & Machine Co. ............................ 14,200 376,300 *Chicos Fas, Inc. ....................................... 49,600 325,500 *Children's Comprehensive Services, Inc. ................ 24,000 42,000 *Chips & Technologies, Inc. ............................. 600 4,200 Chittenden Corp. ....................................... 9,875 201,203 *Chock Full O' Nuts Corp. ............................... 181,694 1,090,164 *Choice Drug System, Inc. ............................... 1,000 4,031 *Cholestech Corp. ....................................... 71,000 137,563 *Christiana Companies, Inc. ............................. 16,600 529,125 *Chromcraft Revington, Inc. ............................. 56,000 1,169,000 *Chyron Corp. ........................................... 75,061 37,531 *Ciber, Inc. ............................................ 30,000 268,125 *Cimco, Inc. ............................................ 12,225 62,653 *Cincinnati Microwave, Inc. ............................. 103,700 466,650
34 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Ciprico, Inc. .......................................... 28,850 $ 138,841 *Circon Corp. ........................................... 1,000 12,000 *Circuit Systems, Inc. .................................. 2,500 12,500 *Citation Computer System, Inc. ......................... 10,000 69,375 *Citation Insurance Group ............................... 500 1,969 Citfed Bancorp, Inc. ................................... 21,000 580,125 *Civic Bancorp .......................................... 1,000 5,875 *Clark (Dick) Productions, Inc. ......................... 1,000 9,000 *Clean Harbors, Inc. .................................... 90,500 548,656 *Cliffs Drilling Co. .................................... 39,300 466,688 *Clothestime, Inc. ...................................... 51,300 205,200 Co-Operative Bank of Concord, MA ....................... 30,300 412,838 Coachmen Industries, Inc. .............................. 120,200 1,742,900 *Coast Distribution System .............................. 42,100 336,800 Coastal Bancorp, Inc. .................................. 29,400 477,750 *Cobra Electronic Corp. ................................. 135,100 261,756 *Coda Energy, Inc. ...................................... 173,300 1,158,944 *Code Alarm, Inc. ....................................... 42,900 455,813 *Cognitronics Corp. ..................................... 57,450 100,538 *Coherent Communications Systems Corp. .................. 63,400 958,925 *Coherent, Inc. ......................................... 76,800 1,113,600 *Coho Energy, Inc. ...................................... 19,000 95,000 Cohu, Inc. ............................................. 65,500 1,301,813 *Collins Industries, Inc. ............................... 186,325 349,359 Colonial Gas Co. ....................................... 5,150 99,138 *Columbia First Bank, A Federal Savings Bank ............ 26,200 972,675 *Columbia Laboratories, Inc. ............................ 149,000 698,438 *Comarco, Inc. .......................................... 47,200 407,100 *Comcoa, Inc. ........................................... 18,600 281,325 *Comdata Holding Corp. .................................. 93,800 938,000 *Comdial Corp. .......................................... 454,300 1,306,113 Commerce Bancorp, Inc. ................................. 8,875 157,531 *Communication Cable, Inc. .............................. 24,248 300,069 Communications Systems, Inc. ........................... 118,500 1,392,375 Community Bank System, Inc. ............................ 26,800 793,950 Community Bankshares, Inc. NH .......................... 1,700 22,738 Community First Bankshares, Inc. ....................... 15,000 206,250 *Community Health Computing Corp. ....................... 57,600 21,600 *Comnet Corp. ........................................... 30,300 318,150 *Comprehensive Care Corp. ............................... 420 2,783 *Comptek Research, Inc. ................................. 93,900 1,338,075 Computer Data Systems, Inc. ............................ 103,000 1,042,875 *Computer Horizons Corp. ................................ 59,425 883,947 *Computer Identics Corp. ................................ 23,800 38,675 Computer Language Research, Inc. ....................... 83,800 743,725 *Computer Network Technology Corp. ...................... 1,200 8,250 *Computer Products, Inc. ................................ 237,600 712,800 Computer Task Group, Inc. .............................. 53,300 426,400 *Computrac, Inc. ........................................ 73,400 91,750 *Comshare, Inc. ......................................... 42,100 510,463 *Comstock Resources, Inc. ............................... 1,000 3,094 *Comtech Telecommunications Corp. (New) ................. 1,000 3,313 *Concord Camera Corp. ................................... 5,800 13,413 *Concord Fabrics, Inc. Class A .......................... 45,500 381,063 *Concord Fabrics, Inc. Class B .......................... 45,700 379,881 *Concurrent Computer Corp. (New) ........................ 7,780 10,698 *Condor Services, Inc. .................................. 7,900 19,750 *Confertech International, Inc. ......................... 62,400 292,500
35 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Conmed Corp. ........................................... 16,700 $ 419,588 Connecticut Water Services, Inc. ....................... 42,350 995,225 *Consilium, Inc. ........................................ 48,500 315,250 *Consolidated Products, Inc. ............................ 43,900 449,975 Consumers Financial Corp. .............................. 26,000 65,000 *Continental Can, Inc. DE ............................... 4,100 91,738 Continental Homes Holding Corp. ........................ 70,100 955,113 *Continental Materials Corp. ............................ 7,900 91,838 *Control Data Systems, Inc. ............................. 48,000 288,000 *Convergent Solution, Inc. .............................. 5,200 9,263 *Convex Computer Corp. .................................. 12,000 73,500 Cooker Restaurant Corp. (New) .......................... 25,300 164,450 *Cooper Companies, Inc. ................................. 12,000 27,000 *Cooper Development Co. ................................. 6,800 17,850 *Corcom, Inc. ........................................... 63,400 210,013 Core Industries, Inc. .................................. 56,800 582,200 *Cornerstone Financial Corp. ............................ 19,500 121,875 *Cornerstone Natural Gas, Inc. .......................... 165,500 351,688 *Corrections Corp. of America ........................... 150,500 2,219,875 *Corvel Corp. ........................................... 1,000 23,750 *Cosmetic Centers, Inc. Class A ......................... 19,650 255,450 *Cosmetic Centers, Inc. Class B ......................... 20,050 258,144 *Cosmo Communications Corp. ............................. 17,600 19,800 *Country Wide Transport Services, Inc. .................. 26,000 120,250 Courier Corp. .......................................... 31,700 562,675 Craftmade International, Inc. .......................... 26,000 260,000 *Craig Corp. ............................................ 78,900 779,138 *Cree Research, Inc. .................................... 45,300 368,063 *Criticare Systems, Inc. ................................ 29,500 63,609 *Crop Genetics International Corp. ...................... 130,400 105,950 *Crosscomm Corp. ........................................ 10,000 94,375 *Crossman Communities, Inc. ............................. 60,000 397,500 *Crowley, Milner & Co. .................................. 12,200 70,150 *Crown Books Corp. ...................................... 11,900 199,325 *Crown Resources Corp. .................................. 62,000 271,250 *Crown-Andersen, Inc. ................................... 10,500 73,500 *Cruise America, Inc. ................................... 35,400 108,413 *Cryenco Sciences, Inc. Class A ......................... 30,900 127,463 *Cryomedical Sciences, Inc. ............................. 1,000 3,375 *Crystal Brands, Inc. ................................... 28,600 6,256 *Crystal Oil Co. (New) .................................. 5,000 140,625 Cubic Corp. ............................................ 2,000 35,000 *Culbro Corp. ........................................... 62,600 868,575 Culp, Inc. ............................................. 178,480 1,762,490 *Curative Technologies, Inc. ............................ 79,600 308,450 *Custom Chrome, Inc. .................................... 1,000 18,063 *Customedix Corp. (New) ................................. 3,350 9,213 *Cyberonics, Inc. ....................................... 6,000 20,250 *Cyberoptics Corp. ...................................... 16,000 135,000 *Cycare Systems, Inc. ................................... 129,400 1,520,450 *Cygnus Therapeutic System .............................. 1,000 6,250 *Cytel Corp. ............................................ 11,000 30,938 *Cytocare, Inc. ......................................... 28,200 153,338 *Cytotherapeutics, Inc. ................................. 97,700 476,288 *Cytrx Corp. ............................................ 90,000 174,375 *D&N Financial Corp. .................................... 27,800 206,763 *DBA Systems, Inc. ...................................... 20,800 161,200 *DDL Electronics, Inc. .................................. 171,500 257,250 *DEP Corp. Class A ...................................... 66,025 193,948 *DEP Corp. Class B ...................................... 66,025 206,328 *DH Technology, Inc. .................................... 31,900 729,713 *DI Industries, Inc. .................................... 157,700 147,844 *DIY Home Warehouse, Inc. ............................... 70,000 455,000 *DNA Plant Technology Corp. ............................. 54,000 170,438
36 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *DNX Corp. .............................................. 10,000 $ 47,500 *DRCA Medical Corp. ..................................... 43,400 111,213 *DS Bancor, Inc. ........................................ 44,348 1,025,548 *DSP Technology, Inc. ................................... 1,000 4,875 *DVI, Inc. .............................................. 66,100 677,525 *Daisy Systems, Inc. .................................... 317,500 0 *Daka International, Inc. ............................... 1,000 14,688 *Damark International, Inc. Class A ..................... 1,000 10,875 *Danielson Holding Corp. ................................ 153 1,071 *Danskin, Inc. .......................................... 10,000 37,500 *Data I/O Corp. ......................................... 42,900 185,006 *Data Measurement Corp. ................................. 500 2,594 *Data Race, Inc. ........................................ 3,600 15,750 *Data Research Association, Inc. ........................ 1,000 10,000 *Data Switch Corp. ...................................... 273,800 633,163 *Data Translation, Inc. ................................. 41,300 634,988 *Dataflex Corp. ......................................... 37,125 341,086 *Datakey, Inc. .......................................... 11,100 40,238 *Datametrics Corp. ...................................... 31,000 182,125 *Datapoint Corp. ........................................ 129,100 274,338 *Dataram Corp. .......................................... 3,300 22,688 *Dataware Technologies, Inc. ............................ 46,000 546,250 *Datron Systems, Inc. ................................... 23,200 263,900 *Datum, Inc. ............................................ 72,600 644,325 *Davis Water & Waste Industries, Inc. ................... 48,900 409,538 *Davox Corp. ............................................ 53,900 262,763 *Dawson Geophysical Co. ................................. 44,700 491,700 *Daxor Corp. ............................................ 47,500 279,063 *Day Runner, Inc. ....................................... 2,000 27,875 *De Tomaso Industries, Inc. ............................. 7,000 39,375 Deb Shops, Inc. ........................................ 35,700 189,656 Decorator Industries, Inc. ............................. 1,000 7,875 *Defiance, Inc. ......................................... 65,200 460,475 *Del Electronics Corp. .................................. 7,181 36,803 Del Laboratories, Inc. ................................. 46,384 1,635,036 *Delaware Ostego Corp. .................................. 918 9,639 *Delphi Information Systems, Inc. ....................... 7,000 4,813 Delta Natural Gas Co., Inc. ............................ 18,800 317,250 *Designatronics, Inc. ................................... 57,175 264,434 *Detection Systems, Inc. ................................ 44,124 358,508 *Detrex Corp. ........................................... 9,500 115,781 *Devcon International Corp. ............................. 18,900 158,288 *Devlieg-Bullard, Inc. .................................. 30,000 48,750 *Devon Group, Inc. (New) ................................ 1,000 25,250 *Diana Corp. ............................................ 80,432 542,916 *Dianon Systems, Inc. ................................... 16,700 65,756 *Digicon, Inc. .......................................... 41,000 58,938 *Digital Biometrics, Inc. ............................... 32,000 252,000 *Digital Sound Corp. .................................... 12,000 33,000 *Digital Systems International, Inc. .................... 96,900 1,168,856 *Dimark, Inc. ........................................... 23,860 357,900 *Dime Financial Corp. ................................... 20,100 160,800 *Diodes, Inc. ........................................... 31,400 164,850 *Diversified Communications Industries, Ltd. ............ 1,000 1,063 Dixie Yarns, Inc. ...................................... 42,319 298,878 *Dixon Ticonderoga Co. .................................. 26,550 228,994 Donegal Group, Inc. .................................... 12,500 151,563 Donnelly Corp. Class A ................................. 1,000 15,500 *Doskocil Companies, Inc. ............................... 65,551 458,857 *Dotronix, Inc. ......................................... 102,000 133,875 Douglas & Lomason Co. .................................. 37,550 572,638 *Drew Industries, Inc. (New) ............................ 27,800 243,250 *Drexler Technology Corp. ............................... 112,550 689,369
37 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Driver-Harris Co. ...................................... 27,000 $ 141,750 *Drug Emporium, Inc. .................................... 1,000 4,875 *Ducommun, Inc. ......................................... 52,100 236,078 *Duplex Products, Inc. .................................. 13,500 118,125 *Dura Pharmaceuticals, Inc. ............................. 1,000 12,750 *Durakon Industries, Inc. ............................... 54,500 953,750 *Duramed Pharmaceuticals, Inc. .......................... 53,000 655,875 *Dycom Industries, Inc. ................................. 100,700 276,925 Dyersburg Corp. ........................................ 1,000 6,000 Dynamics Corp. of America .............................. 86,300 1,574,975 *Dynamics Research Corp. ................................ 53,984 158,578 *Dynasty Classics Corp. ................................. 10,000 500 *E-Z-Em, Inc. Class A ................................... 37,000 180,375 *E-Z-Em, Inc. Class B ................................... 45,120 197,400 *EA Engineering Science & Technology, Inc. .............. 77,175 578,813 *ECC International Corp. ................................ 139,750 1,414,969 *ECI International, Inc. ................................ 20,000 12,500 *EFI Electronics Corp. .................................. 91,400 148,525 *EIP Microwave, Inc. (New) .............................. 3,140 7,850 *ELXSI Corp. ............................................ 1,000 5,375 EMC Insurance Group, Inc. .............................. 20,300 203,000 *EP Technologies, Inc. .................................. 45,000 421,875 *ERO, Inc. .............................................. 20,000 175,000 *ESCO Electronics Corp. Trust Receipts .................. 100,000 787,500 *ESSEF Corp. ............................................ 48,700 712,238 *EXX, Inc. Class A ...................................... 300 8,175 *EXX, Inc. Class B ...................................... 100 2,663 Eagle Financial Corp. .................................. 550 10,725 *Eagle Food Centers, Inc. ............................... 79,300 158,600 *Earth Technology Corp. ................................. 5,400 50,288 *Easel Corp. ............................................ 60,000 180,000 *Eastco Industrial Safety Corp. ......................... 83 117 Eastern Bancorp, Inc. .................................. 6,800 118,150 Eastern Co. ............................................ 56,500 748,625 *Eastern Environment Services, Inc. ..................... 1,000 1,125 *Eastex Energy, Inc. .................................... 4,300 9,675 *Ecogen, Inc. ........................................... 36,000 105,750 *Ecogen, Inc. (Private Placement) ....................... 140,000 370,125 *Ecoscience Corp. ....................................... 83,200 213,200 *Edison Control Corp. ................................... 7,000 28,875 *Edisto Resources Corp. (New) ........................... 90,000 652,500 *Editek, Inc. ........................................... 136 536 Edo Corp. .............................................. 56,500 190,688 *Education Alternatives, Inc. ........................... 25,800 503,100 *Ekco Group, Inc. ....................................... 8,300 54,988 *El Chico Restaurants, Inc. ............................. 83,200 811,200 Elco Industries, Inc. .................................. 49,900 848,300 Eldorado Bancorp CA .................................... 12,434 124,340 *Electric & Gas Technology, Inc. ........................ 48,500 95,484 *Electro Rent Corp. ..................................... 137,750 2,324,531 *Electro Scientific Industries, Inc. .................... 77,000 1,501,500 Electro Sensors, Inc. .................................. 2,300 8,338 *Electro-Catheter Corp. ................................. 30,300 37,875 *Electromagnetic Sciences, Inc. ......................... 163,699 1,892,770 *Electronic Associates, Inc. ............................ 63,600 405,450 Electronic Tele Communications, Inc. Class A ........... 15,500 69,750 *Elek-Tek, Inc. ......................................... 40,000 365,000 *Eljer Industries, Inc. ................................. 6,400 42,400 *Elsinore Corp. (New) ................................... 51,720 77,580 *Embrex, Inc. ........................................... 123,200 770,000 *Emcon .................................................. 66,450 299,025
38 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Emisphere Technologies, Inc. ........................... 2,500 $ 7,188 *Empi, Inc. ............................................. 7,700 72,188 *Employee Benefit Plans, Inc. ........................... 1,000 10,000 *Emulex Corp. ........................................... 53,800 605,250 *Encore Computer Corp. .................................. 363,100 1,355,952 *Energy Biosystems Corp. ................................ 74,000 499,500 *Energy Conversion Devices, Inc. ........................ 61,400 652,375 Energynorth, Inc. ...................................... 32,526 536,679 *Engineered Support Systems, Inc. ....................... 22,000 88,000 *Engineering Measurements Co. CO ........................ 28,400 95,850 Engle Homes, Inc. ...................................... 9,000 68,625 *Ensys Environmental Products, Inc. ..................... 48,000 180,000 *Envirogen, Inc. ........................................ 5,300 8,613 *Environmental Elements Corp. ........................... 47,800 167,300 *Environmental Power Corp. .............................. 221,100 124,369 *Environmental Tectonics Corp. .......................... 3,300 11,138 *Enviroq Corp. .......................................... 5,040 15,435 *Envirosource, Inc. ..................................... 370,700 1,343,788 *Enzon, Inc. ............................................ 75,000 161,719 *Equinox Systems, Inc. .................................. 10,000 62,500 *Equitex, Inc. .......................................... 1,000 2,094 *Equity Oil Co. ......................................... 134,100 636,975 *Escagenetics Corp. ..................................... 45,800 62,975 *Escalade, Inc. ......................................... 108,398 514,891 Eskimo Pie Corp. ....................................... 27,000 465,750 Espey Manufacturing & Electronics Corp. ................ 21,000 275,625 *Essex Corp. ............................................ 1,000 2,000 *Esterline Technologies Corp. ........................... 32,400 376,650 *Evans & Sutherland Computer Corp. ...................... 12,000 169,500 *Evans, Inc. ............................................ 107,900 296,725 *Everest & Jennings International, Ltd. ................. 4,700 3,231 Evergreen Bancorp, Inc. DE ............................. 2,000 28,500 *Evergreen Healthcare, Inc. ............................. 4,080 39,780 *Evergreen Media Corp. Class A .......................... 45,000 798,750 *Evergreen Resources, Inc. .............................. 1,000 6,625 *Excalibur Technologies Corp. ........................... 6,000 40,500 *Excel Technology, Inc. ................................. 26,222 126,193 *Executive Telecard, Ltd. ............................... 13,124 62,339 *Executone Information Systems, Inc. .................... 21,900 71,859 *Exide Electronics Group, Inc. .......................... 39,700 655,050 *Express America Holdings Corp. ......................... 25,000 101,563 *F & M Distributors, Inc. ............................... 5,000 8,438 *FDP Corp. .............................................. 56,200 365,300 *FFO Financial Group, Inc. .............................. 6,000 14,625 *FPA Corp. .............................................. 101,400 126,750 *FRP Properties, Inc. ................................... 31,700 546,825 *FSI International, Inc. ................................ 12,500 353,125 *Failure Group, Inc. .................................... 98,000 441,000 *Fairchild Corp. Class A ................................ 125,800 408,850 *Falcon Oil & Gas Co., Inc. ............................. 500 359 Falcon Products, Inc. .................................. 23,900 268,875 Family Bancorp ......................................... 1,400 23,975 *Family Steak Houses of Florida, Inc. ................... 6,900 2,156 Fansteel, Inc. ......................................... 97,500 633,750 *Farah, Inc. ............................................ 72,800 591,500 *Farr Co. ............................................... 25,450 170,197 *Farragut Mortgage, Inc. ................................ 39 1 *Fastcomm Communications Corp. .......................... 1,000 3,313
39 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Fedders Corp. .......................................... 113,300 $ 722,288 *Fedders Corp. Class A .................................. 56,650 311,575 Federal Screw Works .................................... 21,600 426,600 *Ferrofluidics Corp. .................................... 36,700 178,913 *Fibreboard Corp. ....................................... 1,000 28,625 *Fibronics International, Inc. .......................... 148,200 105,963 *Fifty-Off Stores, Inc. ................................. 1,000 4,375 *Financial Benefit Group, Inc. Class A .............................................. 55,200 144,900 *Financial Federal Corp. ................................ 49,000 869,750 *Finish Line, Inc. Class A .............................. 1,000 7,500 First Central Financial Corp. .......................... 98,600 640,900 *First Citizens Financial Corp. ......................... 2,232 31,248 *First Commercial Bancorp, Inc. ......................... 17,700 16,594 First Essex Bancorp .................................... 31,700 233,788 First Federal Capital Corp. ............................ 22,000 324,500 First Federal Savings & Loan Association of East Hartford, CT ......................................... 24,100 367,525 First Financial Holdings, Inc. ......................... 39,700 555,800 First Indiana Corp. .................................... 61,634 916,806 First Liberty Financial Corp. .......................... 6,500 85,313 First Northern Savings Bank S.A. Green Bay, WI ......... 12,600 165,375 *First Republic Bancorp, Inc. ........................... 216,149 2,269,565 First State Financial Services, Inc. ................... 300 2,100 *First Team Sports, Inc. ................................ 3,300 52,800 Firstfed Bancshares, Inc. .............................. 19,100 331,863 *Fischer Imaging Corp. .................................. 1,000 6,000 *Flanigan's Enterprises, Inc. ........................... 10,300 30,900 Flexsteel Industries, Inc. ............................. 52,550 597,756 *Florida Gaming Corp. ................................... 15,550 46,650 Florida Public Utilities Co. ........................... 4,500 73,125 *Flow International Corp. ............................... 158,200 1,018,413 *Fonar Corp. ............................................ 171,950 394,948 *Foodarama Supermarkets, Inc. ........................... 22,000 250,250 Foothill Independent Bancorp ........................... 1,050 8,925 *Forest Oil Corp. ....................................... 224,968 562,420 *Forschner Group, Inc. .................................. 57,300 691,181 *Forstmann & Co., Inc. .................................. 24,200 136,125 *Fortune Petroleum Corp. (New) .......................... 4,707 12,944 *Foster (L.B.) Co. Class A .............................. 206,600 697,275 *Fountain Powerboat Industries, Inc. .................... 5,600 30,100 *Fourth Shift Corp. ..................................... 20,000 70,000 *Framingham Savings Bank MA ............................. 48,000 144,000 *Franklin Electric Publishers, Inc. ..................... 4,000 77,000 Frederick's of Hollywood, Inc. Class A ................. 31,639 130,511 Frederick's of Hollywood, Inc. Class B ................. 84,878 360,732 Freds, Inc. Class A .................................... 20,000 187,500 *Frequency Electronics, Inc. ............................ 57,600 259,200 *Fresenius USA, Inc. .................................... 5,350 43,469 *Fresh Choice, Inc. ..................................... 25,000 321,875 *Fretter, Inc. (New) .................................... 38,148 112,060 *Freymiller Trucking, Inc. .............................. 44,100 107,494 Friedman Industries, Inc. .............................. 117,011 438,791 Frisch's Restaurants, Inc. ............................. 59,698 604,443 Frontier Adjusters of America, Inc. .................... 1,000 2,750 *Fruehauf Trailer Corp. ................................. 85,200 394,050 *Funco, Inc. ............................................ 48,200 698,900 Furon Co. .............................................. 4,600 89,700 *Future Healthcare, Inc. ................................ 7,000 145,250 *Future Now, Inc. ....................................... 46,600 372,800 *G-III Apparel Group, Ltd. .............................. 28,560 46,410
40 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ GBC Bancorp ............................................ 46,700 $ 572,075 *GBC Technologies, Inc. ................................. 40,000 302,500 *GMIS, Inc. ............................................. 47,500 914,375 *GNI Group, Inc. ........................................ 76,800 345,600 *GRC International, Inc. ................................ 131,600 1,924,650 *GTS Duratek, Inc. ...................................... 500 1,688 *GZA Geoenvironmental Technologies, Inc. ................ 14,700 62,475 *Galileo Electro-Optics Corp. ........................... 69,300 277,200 *Galoob (Lewis) Toys, Inc. DE ........................... 166,000 1,037,500 Galveston-Houston Co. .................................. 163,700 266,013 Gamma Biologicals, Inc. ................................ 46,000 198,375 *Gander Mountain, Inc. .................................. 41,290 732,898 *Gantos, Inc. ........................................... 25,200 49,613 *Garnet Resources Corp. ................................. 73,900 277,125 Gateway Bancorp, Inc. .................................. 139 1,512 *Gateway Industries, Inc. ............................... 11,120 38,920 *Gehl Co. ............................................... 1,600 10,400 *Gelman Sciences, Inc. .................................. 124,175 1,738,450 *Gencor Industries, Inc. ................................ 5,000 55,000 *Genelabs Technologies, Inc. ............................ 26,000 52,000 *General Automation, Inc. CA ............................ 4,500 2,250 *General Computer Corp. ................................. 13,300 88,113 General Host Corp. ..................................... 12,000 61,500 General Housewares Corp. ............................... 39,600 633,600 *General Kinetics, Inc. ................................. 61,000 34,313 General Magnaplate Corp. ............................... 4,200 18,638 General Microwave Corp. ................................ 8,600 69,875 General Parametrics Corp. .............................. 106,906 173,722 General Physics Corp. .................................. 63,700 175,175 *Genesco, Inc. .......................................... 12,000 22,500 *Genetic Therapy, Inc. .................................. 129,200 952,850 *Genicom Corp. .......................................... 109,900 219,800 *Genisco Technology Corp. ............................... 7,060 3,530 *Genlyte Group, Inc. .................................... 60,700 246,594 *Genome Therapeutics Corp. .............................. 121,600 262,200 Genovese Drug Stores, Inc. Class A .................... 87,827 889,248 *Genrad, Inc. ........................................... 79,600 348,250 *Genta, Inc. ............................................ 5,000 35,625 *Genus, Inc. ............................................ 69,100 453,469 Geodynamics Corp. ...................................... 33,400 254,675 *Georgia-Bonded Fibres, Inc. ............................ 2,200 13,200 *Geriatric & Medical Companies, Inc. .................... 214,513 610,021 *Gerrity Oil and Gas Corp. .............................. 10,000 52,500 *Giant Group, Ltd. ...................................... 92,500 693,750 *Giant Industries, Inc. ................................. 33,900 279,675 *Gibraltar Packaging Group, Inc. ........................ 1,000 7,250 Gibson (C.R.) Co. ...................................... 84,260 610,885 *Giga-Tronics, Inc. ..................................... 60,000 352,500 Gilbert Associates, Inc. Class A ....................... 5,000 69,688 *Gish Biomedical, Inc. .................................. 74,750 448,500 Glacier Bancorp, Inc. .................................. 5,445 92,905 Gleason Corp. .......................................... 116,700 1,706,738 *Glycomed, Inc. ......................................... 50,100 181,613 *Go Video, Inc. ......................................... 86,400 232,200 *Golden Oil Co. DE ...................................... 1,369 1,968 Golden Poultry Co., Inc. ............................... 32,400 200,475 *Goldfield Corp. ........................................ 338,400 126,900 *Goldwyn (Samuel) Co. (New) ............................. 41,855 272,058 GoodMark Foods, Inc. ................................... 220,400 3,361,100 *Gottschalks, Inc. ...................................... 43,800 361,350 *Government Technology Services, Inc. ................... 1,000 12,875
41 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Gradco Systems, Inc. ................................... 151,411 $ 558,328 *Graham Corp. ........................................... 3,300 35,681 *Graham-Field Health Products, Inc. ..................... 42,000 136,500 Granite State Bankshares, Inc. ......................... 500 5,781 *Grant Geophysical, Inc. ................................ 26,500 67,078 Graphic Industries, Inc. ............................... 1,000 10,000 *Great American Recreation, Inc. (New) .................. 5,000 1,016 Great Bay Bankshares, Inc. ............................. 1,600 30,200 *Great Country Bank of Ansonia, CT ...................... 7,600 18,525 *Great Lakes Bancorp, A Federal Savings Bank ............ 49,513 1,216,163 Great Southern Bancorp, Inc. ........................... 1,800 31,275 *Greater New York Savings Bank NY ....................... 144,200 1,207,675 Green (A.P.) Industries, Inc. .......................... 61,550 1,177,144 *Greenman Brothers, Inc. ................................ 115,100 690,600 Greiner Engineering, Inc. .............................. 104,941 1,311,763 *Greyhound Lines, Inc. .................................. 20,000 43,750 *Griffin Technology, Inc. ............................... 5,500 42,625 *Grist Mill & Co. ....................................... 60,450 668,728 *Grossmans, Inc. ........................................ 1,000 2,656 *Ground Round Restaurants, Inc. ......................... 84,650 571,388 *Groundwater Technology, Inc. ........................... 1,000 13,500 *Group 1 Software, Inc. ................................. 31,400 306,150 Grovebank for Savings .................................. 3,500 76,563 *Grubb & Ellis Co. (New) ................................ 39,552 79,104 *Guardian Bancorp Los Angeles, CA ....................... 7,787 4,380 Guardsman Products, Inc. ............................... 130,885 1,521,538 *Guest Supply, Inc. ..................................... 71,400 1,155,788 *Gulfmark International, Inc. ........................... 24,800 424,700 *Gull Laboratories, Inc. (New) .......................... 2,500 10,938 *Gundle Environmental Systems, Inc. ..................... 101,500 532,875 *HEI, Inc. .............................................. 100 444 *HPSC, Inc. ............................................. 106,000 377,625 *Hadco Corp. ............................................ 126,700 1,108,625 *Hadson Corp. (New) ..................................... 26,367 59,326 Halifax Corp. .......................................... 4,700 32,313 *Hallwood Group, Inc. ................................... 41,550 88,294 *Halsey Drug Co., Inc. .................................. 41,000 92,250 *Hamburger Hamlet Restaurants, Inc. ..................... 30,700 157,338 *Hampton Industries, Inc. ............................... 139,782 751,328 *Hampton Resources Corp. ................................ 644 3,864 *Handex Environmental Recovery, Inc. .................... 35,000 255,938 *Hanger Orthopedic Group, Inc. .......................... 39,200 117,600 *Harding Associates, Inc. ............................... 71,400 490,875 *Harlyn Products, Inc. .................................. 42,581 178,308 Harmon Industries, Inc. (New) .......................... 54,300 960,431 *Harolds Stores, Inc. ................................... 30,786 338,646 *Harris & Harris Group, Inc. ............................ 31,600 171,825 *Harry's Farmers Market, Inc. Class A .................. 8,900 93,450 *Harvey Group, Inc. ..................................... 500 188 Hastings Manufacturing Co. ............................. 10,100 227,250 Hathaway Corp. ......................................... 34,580 110,224 *Hauser Chemical Research, Inc. ......................... 1,000 6,063 Haverty Furniture Company, Inc. Class A ................ 13,550 182,925 Hawkins Chemical, Inc. ................................. 33,783 228,035
42 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Hawthorne Financial Corp. .............................. 12,800 $ 69,600 *He-Ro Group, Ltd. ...................................... 1,000 1,375 Health Images, Inc. .................................... 1,000 6,250 *Health Professionals, Inc. ............................. 49,229 27,691 *Health Risk Management, Inc. ........................... 21,000 141,750 *Health-Chem Corp. ...................................... 174,500 458,063 Health-Mor, Inc. ....................................... 84,200 1,326,150 *Healthcare Services Group, Inc. ........................ 78,800 911,125 *Healthdyne, Inc. ....................................... 1,000 8,625 *Healthwatch, Inc. ...................................... 6,750 7,594 *Hector Communications Corp. ............................ 21,300 143,775 Heico Corp. ............................................ 60,650 583,756 *Hein-Werner Corp. ...................................... 33,608 168,040 *Heist (C.H.) Corp. ..................................... 10,600 75,525 *Helian Health Group, Inc. .............................. 8,100 47,081 *Helionetics, Inc. (New) ................................ 15,510 25,204 Helix Technology Corp. ................................. 112,600 1,703,075 Henry Jack & Associates, Inc. .......................... 25,666 256,660 *Herley Industries, Inc. ................................ 11,500 40,969 *Hi-Lo Automotive, Inc. ................................. 101,600 1,041,400 *Hi-Shear Industries, Inc. .............................. 100,075 487,866 *Hi-Tech Pharmacal, Inc. ................................ 1,500 8,156 *Hibernia Savings Bank .................................. 500 7,750 *High Plains Corp. ...................................... 16,632 186,071 Hingham Institution for Savings MA ..................... 1,900 17,813 *Hitox Corp. ............................................ 24,700 58,663 Hogan Systems, Inc. .................................... 143,700 880,163 *Holiday RV Superstores, Inc. ........................... 5,500 8,766 *Hologic, Inc. .......................................... 50,300 669,619 *Holopak Technologies, Inc. ............................. 32,000 296,000 *Holson Burnes Group, Inc. .............................. 10,000 65,625 Home Federal Bancorp ................................... 14,800 321,900 Home Federal Financial Corp. ........................... 6,891 105,088 Home Port Bancorp, Inc. ................................ 600 7,800 *Home State Holdings, Inc. .............................. 60,000 765,000 *Homeowners Group, Inc. ................................. 115,600 65,025 *Hometown Bancorp., Inc. ................................ 200 2,050 *Hondo Oil and Gas Co. .................................. 24,500 321,563 Hooper Holmes, Inc. .................................... 60,800 380,000 Horizon Bank Bellingham, WA ............................ 23,573 279,929 *Hospital Staffing Services, Inc. ....................... 34,200 55,575 *Hosposable Products, Inc. .............................. 500 4,000 *House of Fabrics, Inc. ................................. 116,000 116,000 Howell Corp. ........................................... 108,200 1,406,600 Howell Industries, Inc. ................................ 25,000 684,375 *Howtek, Inc. ........................................... 36,100 351,975 *Hudson General Corp. ................................... 25,300 441,169 *Huffman Koos, Inc. ..................................... 28,600 243,100 Hughes Supply, Inc. .................................... 57,950 1,028,613 *Hurco Companies, Inc. .................................. 46,900 187,600 *Hycor Biomedical, Inc. ................................. 62,616 262,205 *Hyde Athletic Industries, Inc. Class A ................ 70,700 366,756 *Hyde Athletic Industries, Inc. Class B ................ 65,500 347,969 *Hydron Technologies, Inc. .............................. 82,500 420,234 *ICN Pharmaceuticals, Inc. .............................. 20,094 449,603 *ICO, Inc. .............................................. 43,980 217,151 *ICU Medical, Inc. ...................................... 1,000 14,250 *IFR Systems, Inc. ...................................... 62,935 597,883 *IG Laboratories, Inc. .................................. 89,700 313,950 *IGI, Inc. .............................................. 65,500 884,250 *II-VI, Inc. ............................................ 3,400 24,225 *ILC Technology, Inc. ................................... 54,600 505,050
43 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *IMP, Inc. .............................................. 256,600 $ 457,069 *IPL Systems, Inc. Class A .............................. 8,500 23,906 *Ibah, Inc. ............................................. 1,000 2,813 *Icot Corp. ............................................. 267,700 267,700 *Identix, Inc. .......................................... 8,500 24,438 *Ikos Systems, Inc. ..................................... 6,500 15,234 *Illinois Superconductor Corp. .......................... 5,000 34,375 *Image Entertainment, Inc. (New) ........................ 103,400 743,188 *Image Industries, Inc. ................................. 58,000 670,625 *Imatron, Inc. .......................................... 83,600 84,906 *Imclone Systems, Inc. .................................. 12,000 17,625 *Imclone Systems, Inc. (Private Placement) .............. 131,000 173,166 *Immucor, Inc. .......................................... 1,000 6,000 *Immulogic Pharmaceutical Corp. ......................... 10,000 76,250 *Immune Response Corp. DE ............................... 25,000 187,500 *Immunogen, Inc. ........................................ 40,000 160,000 *Impact Systems, Inc. ................................... 232,600 407,050 *Imperial Credit Industries, Inc. ....................... 55,000 467,500 *In Home Health, Inc. ................................... 1,000 2,313 *Inco Homes Corp. ....................................... 20,000 25,000 *Incstar Corp. .......................................... 1,000 2,125 Independence Holding Co. (New) ......................... 4,739 14,513 Independent Bank Corp. MA .............................. 101,000 536,563 Independent Bank East .................................. 2,250 54,281 Independent Bankshares, Inc. ........................... 590 4,868 Indiana Federal Corp. .................................. 16,449 252,903 Industrial Acoustics Co., Inc. ......................... 900 14,288 *Industrial Funding Corp. Class A ....................... 1,000 1,719 *Industrial Training Corp. .............................. 2,000 15,625 *Infodata Systems, Inc. ................................. 1,833 12,373 *Information International, Inc. ........................ 27,500 216,563 *Infrasonics, Inc. ...................................... 108,000 391,500 *Inmac Corp. ............................................ 108,100 547,256 Innovex, Inc. .......................................... 68,000 969,000 Insituform East, Inc. .................................. 12,100 34,031 Insteel Industries, Inc. ............................... 40,462 298,407 Instituform Mid America, Inc. Class A ................. 20,000 193,750 Instron Corp. .......................................... 118,200 1,374,075 *Integrated Systems, Inc. ............................... 85,600 1,358,900 *Integrated Waste Services, Inc. ........................ 9,900 27,225 *Intellicall, Inc. ...................................... 151,607 587,477 *Intellicorp, Inc. ...................................... 188,300 517,825 *Intelogic Trace, Inc. .................................. 25,500 6,375 *Inter-Tel, Inc. ........................................ 56,200 389,888 *Interactive Network, Inc. .............................. 5,000 14,844 Intercargo Corp. ....................................... 10,600 91,425 Intercontinental Bank .................................. 1,000 19,000 Interface Systems, Inc. ................................ 29,800 255,163 *Interferon Sciences, Inc. .............................. 30,000 45,000 *Interferon Sciences, Inc. (Private Placement) .......... 180,000 243,000 *Interlake Corp. ........................................ 172,300 279,988 *Interleaf, Inc. ........................................ 1,000 4,125 *Intermagnetics General Corp. ........................... 148,087 2,165,772 *Intermedia Communications of Florida, Inc. ............. 18,000 216,000 Intermetrics, Inc. ..................................... 28,700 143,500 *International Power Machines Corp. ..................... 42,800 123,050 International Recovery Co. ............................. 13,400 209,375 *International Remote Imaging Systems, Inc. ............. 2,000 11,000
44 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ International Research & Development Corp. ............. 48,000 $ 100,500 International Shipholding Corp. ........................ 3,000 63,000 *International Technology Corp. ......................... 184,000 575,000 *International Totalizator Systems ...................... 68,500 239,750 *Interphase Corp. ....................................... 30,600 361,463 *Interpoint Corp. WA .................................... 24,000 211,500 *Interpore International ................................ 50,000 368,750 *Intersystems, Inc. ..................................... 52,700 62,581 *Intertan, Inc. ......................................... 43,900 345,713 Intertrans Corp. ....................................... 109,600 1,438,500 *Intervisual Books, Inc. Class A ........................ 1,000 2,500 Investors Bank Corp. (Minnetonka, MN) .................. 9,200 205,850 *Investors Insurance Group, Inc. ........................ 42,700 82,731 Investors Title Co. .................................... 2,800 20,650 *Iomega Corp. ........................................... 224,000 749,000 Isco, Inc. ............................................. 101,341 912,069 *Isis Pharmaceuticals, Inc. ............................. 180,000 900,000 *Ithaca Bancorp, Inc. ................................... 5,800 110,200 *Iwerks Entertainment, Inc. ............................. 424 2,544 *J & J Snack Foods Corp. ................................ 40,000 482,500 *JB's Restaurants, Inc. ................................. 108,400 474,250 *JG Industries, Inc. .................................... 29,500 51,625 JLG Industries, Inc. ................................... 68,900 2,781,838 *Jabil Circuit, Inc. .................................... 60,000 285,000 Jaclyn, Inc. ........................................... 55,427 332,562 *Jaco Electronics, Inc. ................................. 350 2,363 *Jacobs Jay, Inc. ....................................... 45,500 81,047 Jacobson Stores, Inc. .................................. 64,800 814,050 *Jamesway Corp. ......................................... 63,650 23,869 *Jan Bell Marketing, Inc. ............................... 12,000 59,250 *Jefferson Savings Bancorp, Inc. ........................ 40,000 630,000 *Jennifer Convertibles, Inc. ............................ 41,000 307,500 *Jetronic Industries, Inc. .............................. 57,569 32,383 Johnston Industries, Inc. .............................. 207,687 2,128,792 Jones Medical Industries, Inc. ......................... 83,820 670,560 *Joule, Inc. ............................................ 42,100 84,200 *Just Toys, Inc. ........................................ 28,300 95,513 *K-Tron International, Inc. ............................. 63,400 713,250 *K-V Pharmaceutical Co. Class A ......................... 22,250 152,969 *K-V Pharmaceutical Co. Class B ......................... 18,800 129,250 *KLLM Transport Services, Inc. .......................... 88,900 1,389,063 Kahler Realty Corp. .................................... 1,000 9,500 *Kaiser Resources, Inc. ................................. 76,500 573,750 *Kaneb Services, Inc. ................................... 1,000 2,250 Kasler Holding Co. ..................................... 139,300 609,438 *Kaufman (H.W.) Financial Group, Inc. ................... 24,300 106,313 *Kelley Oil Corp. ....................................... 67,000 301,500 Kenan Transport Co. .................................... 200 3,650 *Kent Financial Services, Inc. (New) .................... 14,278 78,529 *Kenwin Shops, Inc. ..................................... 500 1,703 *Keptel, Inc. ........................................... 46,300 810,250 *Kerr Group, Inc. ....................................... 82,200 688,425 *Ketema, Inc. ........................................... 13,200 194,700 *Kevlin Corp. ........................................... 500 1,172 *Kewaunee Scientific Corp. .............................. 44,800 120,400 *Key Energy Group, Inc. ................................. 2,114 10,570 *Key Technology, Inc. ................................... 27,000 172,125 *Key Tronic Corp. ....................................... 139,100 1,477,938 *Keystone Consolidated Industries, Inc. ................. 56,650 828,506 *Killearn Properties, Inc. .............................. 17,000 71,188
45 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Kimmins Environmental Service Corp. .................... 1,000 $ 1,500 *Kinark Corp. ........................................... 70,800 238,950 *Kings Road Entertainments, Inc. ........................ 53,000 33,125 *Kirschner Medical Corp. ................................ 61,466 641,551 *Kit Manufacturing Co. .................................. 32,900 374,238 *Kleer-Vu Industries, Inc. (New) ........................ 20,073 193,203 *Kleinert's, Inc. ....................................... 5,000 85,625 Knape & Vogt Manufacturing Co. ......................... 64,599 1,275,830 *Knogo Corp. ............................................ 72,800 1,365,000 *Koss Corp. ............................................. 52,000 591,500 *Krug International Corp. ............................... 21,465 105,985 *Krystal Co. ............................................ 54,600 573,300 Kuhlman Corp. .......................................... 138,876 1,683,872 *Kulicke & Soffa Industries, Inc. ....................... 18,000 364,500 Kysor Industrial Corp. ................................. 27,200 595,000 LCS Industries, Inc. ................................... 2,800 22,050 *LDB Corp. .............................................. 21,260 156,793 LDI Corp. .............................................. 500 2,375 LSB Bancshares, Inc. NC ................................ 258 5,031 LSB Industries, Inc. ................................... 64,900 381,288 LSI Industries, Inc. ................................... 95,602 1,027,722 *LTX Corp. .............................................. 50,400 220,500 *LVI Group, Inc. (New) .................................. 11,680 8,030 *LXE, Inc. .............................................. 1,000 14,500 *LaBarge, Inc. .......................................... 228,750 314,531 *LaCrosse Footwear, Inc. ................................ 13,300 151,288 *Laclede Steel Co. ...................................... 25,450 257,681 Lakeland First Financial Corp. ......................... 5,241 96,959 *Lakeland Industries, Inc. .............................. 3,200 12,400 *Lamson & Sessions Co. .................................. 143,800 808,875 *Lancer Corp. ........................................... 29,400 529,200 *Lancit Media Productions, Ltd. ......................... 60,900 864,019 Landauer, Inc. ......................................... 87,000 1,479,000 *Larizza Industries, Inc. ............................... 12,800 59,200 *Laser Pacific Media Corp. .............................. 10,000 6,563 *Laser Precision Corp. .................................. 77,650 618,773 *Lasermaster Technologies, Inc. ......................... 83,300 1,140,169 *Laserscope ............................................. 66,600 299,700 *Lawrence Savings Bank MA ............................... 7,700 25,506 Lawyers Title Corp. .................................... 7,000 78,750 *Layne, Inc. ............................................ 1,000 6,938 *Lazare Kaplan International, Inc. ...................... 71,300 686,263 *Learning Co. ........................................... 36,000 819,000 *Lectec Corp. ........................................... 13,080 122,625 *Lee Pharmaceuticals, Inc. .............................. 97,000 66,688 *Leisure Concepts, Inc. ................................. 19,900 79,600 Lesco, Inc. ............................................ 87,100 1,262,950 *Leslie Building Products, Inc. ......................... 27,800 47,260 *Leslie's Poolmart ...................................... 1,050 13,650 Lexington Savings Bank MA .............................. 3,600 54,900 *Lidak Pharmaceuticals Class A .......................... 4,000 8,250 *Life Quest Medical, Inc. ............................... 1,000 2,688 *Lifecore Biomedical, Inc. .............................. 30,000 123,750 *Lifeline Systems, Inc. ................................. 18,700 109,863 Lincoln Savings Bank ................................... 1,000 57,000 *Lindal Cedar Homes, Inc. ............................... 40,777 142,720 Lindberg Corp. ......................................... 78,200 527,850 *Littlefield, Adams & Co. ............................... 16,500 101,063 *Liuski International, Inc. ............................. 1,000 4,813 *Live Entertainment, Inc. ............................... 10,000 6,850 *Lodgenet Entertainment Corp. ........................... 62,000 503,750 *Logic Devices, Inc. .................................... 49,300 137,116 *Lomak Petroleum, Inc. .................................. 1,000 6,688 *Lone Star Casino Corp. ................................. 57,375 64,547
46 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Longhorn Steaks, Inc. .................................. 44,500 $ 389,375 *Lori Corp. ............................................. 25,300 98,038 *Lumex, Inc. ............................................ 81,300 1,036,575 *Lunar Corp. ............................................ 1,000 19,000 *Lund International Holdings, Inc. ...................... 700 12,250 *Luria & Son, Inc. ...................................... 120,197 871,428 *Lynch Corp. ............................................ 29,600 873,200 *M-Wave, Inc. ........................................... 1,000 14,875 *M/A/R/C, Inc. .......................................... 13,838 164,326 MAF Bancorp, Inc. ...................................... 1,000 18,625 *MDT Corp. .............................................. 63,900 403,369 *MFRI, Inc. ............................................. 400 2,300 *MGI Pharma, Inc. ....................................... 137,700 1,015,538 *MHI Group, Inc. (New) .................................. 35,304 260,367 *MLX Corp. .............................................. 23,145 98,366 MMI Medical, Inc. ...................................... 13,640 54,560 *MRS Technology, Inc. ................................... 20,000 95,000 MTS Systems Corp. ...................................... 50 1,119 Maine Public Service Co. ............................... 32,700 731,663 *Mallon Resources Corp. ................................. 7,100 19,969 *Manatron, Inc. ......................................... 115 403 Marble Financial Corp. ................................. 1,000 10,813 *Marcam Corp. ........................................... 15,500 153,063 *Marietta Corp. ......................................... 71,200 591,850 *Mark VII, Inc. ......................................... 47,800 495,925 *Marlton Technologies, Inc. ............................. 90,100 98,547 *Marquest Medical Products, Inc. ........................ 78,700 63,944 *Marsam Pharmaceuticals, Inc. ........................... 34,000 399,500 Marsh Supermarkets, Inc. Class A ....................... 1,000 10,750 *Marten Transport, Ltd. ................................. 91,200 1,755,600 *Martin Lawrence Limited Editions, Inc. ................. 110,200 55,100 Maryland Federal Bancorp ............................... 1,500 35,250 Massbank Corp. Reading, MA ............................. 2,850 61,988 *Mastec, Inc. ........................................... 58,000 456,750 *Matec Corp. DE ......................................... 76,300 305,200 *Mathsoft, Inc. ......................................... 25,000 73,438 *Matlack Systems, Inc. .................................. 65,850 625,575 *Matrix Service Co. ..................................... 51,000 350,625 *Matthews Studio Equipment Group ........................ 1,000 2,563 *Maverick Tube Corp. .................................... 42,700 392,306 *Max & Ermas Restaurants, Inc. .......................... 1,416 9,735 *Maxco, Inc. ............................................ 3,200 27,000 *Maxicare Health Plans, Inc. (New) ...................... 27,000 423,563 *Maxwell Laboratories, Inc. ............................. 29,246 230,312 *Maxxim Medical, Inc. ................................... 87,400 1,037,875 *Maynard Oil Co. ........................................ 101,800 515,363 *Mays (J.W.), Inc. ...................................... 2,100 15,488 *McAfee Associates, Inc. ................................ 15,000 218,438 *McClain Industries, Inc. ............................... 68,300 793,988 *McFarland Energy, Inc. ................................. 52,000 331,500 *Mechanical Technology, Inc. ............................ 36,700 13,763 *Medalist Industries, Inc. .............................. 36,400 204,750 *Medalliance, Inc. ...................................... 25,000 47,656 *Medar, Inc. ............................................ 105,500 1,411,063 *Medarex, Inc. .......................................... 1,000 3,125 *Medchem Products, Inc. ................................. 56,000 308,000 Medex, Inc. ............................................ 26,000 412,750 Medford Savings Bank MA (New) .......................... 31,800 445,200 *Media Logic, Inc. ...................................... 1,000 2,375 *Medical Action Industries, Inc. ........................ 33,300 40,584 *Medical Diagnostics, Inc. .............................. 2,800 12,250 *Medical Graphics Corp. ................................. 12,700 73,025 *Medical Technology System, Inc. ........................ 1,000 6,688
47 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Medicore, Inc. ......................................... 17,600 $ 46,200 Medicus Systems Corp. .................................. 40,100 571,425 *Medimmune, Inc. ........................................ 80,000 350,000 Mediq, Inc. ............................................ 58,200 210,975 *Megacards, Inc. ........................................ 333 624 *Melamine Chemicals, Inc. ............................... 103,100 1,056,775 *Mem Co., Inc. .......................................... 53,300 233,188 *Members Service Corp. .................................. 1 1 *Mental Health Management, Inc. ......................... 7,275 23,644 Merchants Group, Inc. .................................. 3,800 53,675 *Mercury Air Group, Inc. ................................ 500 3,688 Meridian Diagnostics, Inc. ............................. 57,236 407,807 Meridian Insurance Group, Inc. ......................... 6,800 71,400 *Merit Medical Systems, Inc. ............................ 2,200 11,000 Merrimac Industries, Inc. .............................. 12,332 99,427 *Mestek, Inc. ........................................... 118,750 1,150,391 *Met-Coil Systems Corp. ................................. 27,500 85,938 Met-Pro Corp. .......................................... 67,407 1,120,641 *Metalclad Corp. ........................................ 34,500 125,063 *Metatec Corp. Class A .................................. 1,200 12,600 Metro Bancshares, Inc. ................................. 4,100 93,788 Metrobank .............................................. 5,900 103,250 *Metrocall, Inc. ........................................ 40,000 725,000 *Miami Subs Corp. ....................................... 7,500 16,641 *Michael Anthony Jewelers, Inc. ......................... 32,300 213,988 Mickelberry Communications, Inc. ....................... 101,300 322,894 *Micro Bio-Medics, Inc. ................................. 1,000 9,688 *Micro Healthsystems, Inc. .............................. 9,800 34,913 *Microcom, Inc. ......................................... 124,600 1,246,000 *Microdyne Corp. ........................................ 10,000 83,125 *Microfluidics International Corp. ...................... 1,300 5,525 *Micrografx, Inc. ....................................... 1,000 5,750 *Microlog Corp. ......................................... 26,000 17,875 *Micronics Computers, Inc. .............................. 1,000 4,750 *Micropolis Corp. ....................................... 85,000 754,375 *Microsemi Corp. ........................................ 135,875 645,406 *Microtest, Inc. ........................................ 5,900 105,463 *Microtouch Systems, Inc. ............................... 2,000 80,500 *Microwave Filter Co., Inc. ............................. 5,347 6,015 Mid-Atlantic Realty Trust .............................. 3,366 26,087 *MidAmerican Waste System, Inc. ......................... 12,000 81,000 MidSouth Insurance Co. ................................. 53,235 485,769 Midconn Bank Kensington, CT ............................ 45,200 604,550 *Middleby Corp. ......................................... 65,200 301,550 Middlesex Water Co. .................................... 7,000 126,000 Midland Co. ............................................ 10,700 418,638 *Miller Building Systems, Inc. .......................... 72,800 254,800 *Miltope Group, Inc. .................................... 91,000 415,188 *Milwaukee Insurance Group, Inc. ........................ 9,200 85,100 Minntech Corp. ......................................... 7,031 98,427 *Mission West Properties, Inc. .......................... 22,000 145,750 *Mitek Surgical Products, Inc. .......................... 11,000 231,000 Mobile Gas Service Corp. ............................... 34,100 707,575 *Mobley Environmental Services, Inc. Class A ............ 1,000 1,750 Modern Controls, Inc. .................................. 56,650 421,334 *Molecular Dynamics, Inc. ............................... 18,100 118,781 Monarch Machine Tool Co. ............................... 53,900 491,838 *Moore Medical Corp. .................................... 44,600 579,800 *Moore Products Co. ..................................... 19,900 320,888 *Morgan Products, Ltd. .................................. 65,300 399,963 *Morgan's Foods, Inc. ................................... 13,000 18,688 *Morningstar Group, Inc. ................................ 10,000 70,000 Moscom Corp. ........................................... 14,400 120,600 *Moto Photo, Inc. ....................................... 6,100 15,250
48 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Motor Club of America .................................. 20,500 $ 58,938 *Motts Holdings, Inc. ................................... 38,775 159,947 *Movie Star, Inc. ....................................... 415,417 493,308 Mueller (Paul) Co. ..................................... 26,700 837,713 *Multi Color Corp. ...................................... 5,300 39,088 *Munsingwear, Inc. (New) ................................ 2,145 14,747 Myers (L.E.) Co. Group ................................. 29,400 341,775 *Mylex Corp. ............................................ 11,600 101,500 *NAI Technologies, Inc. ................................. 82,813 238,087 *NBI, Inc. (New) ........................................ 3,085 1,157 *NCI Building Systems, Inc. ............................. 1,000 17,750 NFS Financial Corp. .................................... 4,100 86,100 *NMR of America, Inc. ................................... 27,200 122,400 *NS Group, Inc. ......................................... 10,100 49,238 NSC Corp. .............................................. 79,800 259,350 *Nabors Industries, Inc. DE ............................. 69,280 502,280 *Nahama Weagant Energy Co. (New) ........................ 11,000 1,719 *Namic USA Corp. ........................................ 1,000 18,500 *Nantucket Industries, Inc. ............................. 58,535 336,576 *Napco Security Systems, Inc. ........................... 70,000 210,000 *Natec Resources, Inc. .................................. 35,400 5,531 *National Convenience Stores, Inc. ...................... 49,800 354,825 *National Enterprises, Inc. ............................. 168,000 7,219 National Gas & Oil Co. ................................. 84,705 1,323,516 *National Home Health Care Corp. ........................ 13,700 31,681 *National Media Corp. ................................... 1,000 5,750 *National Mercantile Bancorp. ........................... 2,300 7,619 *National Patent Development Corp. ...................... 3,800 7,363 National Security Group, Inc. .......................... 10,500 181,125 *National Standard Co. .................................. 107,900 1,105,975 National Technical Systems, Inc. ....................... 47,184 163,670 *National Techteam, Inc. ................................ 64,800 332,100 *Nationwide Cellular Service, Inc. ...................... 172,800 2,894,400 *Natural Alternatives International, Inc. ............... 47,000 235,000 *Natural Wonders, Inc. .................................. 1,000 4,750 Natures Sunshine Products, Inc. ........................ 3,760 53,110 Nelson (Thomas), Inc. Class B .......................... 3,195 67,894 *Neoprobe Corp. ......................................... 83,000 163,406 *Neorx Corp. ............................................ 111,700 656,238 *Nestor, Inc. ........................................... 21,400 37,343 *Network Computing Devices, Inc. ........................ 61,000 270,688 *Network Equipment Technologies, Inc. ................... 1,000 20,750 *Neurogen Corp. ......................................... 1,000 6,625 *New Brunswick Scientific Co., Inc. ..................... 32,500 176,719 *New Image Industries, Inc. ............................. 43,763 224,285 *New Jersey Steel Corp. ................................. 8,000 127,500 *New Mexico & Arizona Land Co. .......................... 24,829 226,565 *New World Power Corp. .................................. 35,000 245,000 New York Bancorp, Inc. ................................. 1,330 24,938 Newcor, Inc. ........................................... 82,025 671,580 Newmil Bancorp, Inc. ................................... 44,200 193,375 *Newpark Resources, Inc. ................................ 60,796 1,383,109 Newport Corp. .......................................... 140,700 1,002,488 *Nichols Research Corp. ................................. 42,467 520,217 Noland Co. ............................................. 500 10,313 *Nord Resources Corp. ................................... 25,700 144,563 *Norstan, Inc. .......................................... 45,200 853,150 *Nortek, Inc. ........................................... 28,600 307,450 *North American Biologicals, Inc. ....................... 6,000 42,000 *North American Recycling System, Inc. .................. 31,000 54,250
49 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ North Side Savings Bank NY ............................. 13,560 $ 252,555 *North Star Universal, Inc. ............................. 15,000 80,625 *Northcorp Realty Advisors, Inc. ........................ 104,700 87,948 *Northeast Federal Corp. ................................ 30,215 249,274 Northland Cranberries, Inc. Class A ................... 1,000 12,563 *Northwest Teleproductions, Inc. ........................ 15,800 41,475 Norwich Financial Corp. ................................ 23,800 238,000 *Novametrix Medical Systems, Inc. ....................... 79,700 393,519 *Novitron Internarional, Inc. ........................... 750 4,500 *Nu Horizons Electronics Corp. .......................... 65,054 540,761 *Nuclear Metals, Inc. ................................... 71,300 1,033,850 *Nuclear Support Services, Inc. ......................... 8,600 32,788 *Nutramax Products, Inc. ................................ 35,000 332,500 *Nuvision, Inc. ......................................... 43,700 163,875 *Nview Corp. ............................................ 1,000 8,125 *Nycor, Inc. (New) ...................................... 43,885 105,598 *Nycor, Inc. Class A (New) .............................. 57,625 136,859 *Nycor, Inc. Class B (New) .............................. 29,140 70,118 *O Charleys, Inc. ....................................... 2,850 30,994 *O.I. Corp. ............................................. 13,800 63,825 *OCG Technology, Inc. ................................... 7,000 2,406 *OEC Medical Systems, Inc. .............................. 9,900 61,875 *OESI Power Corp. ....................................... 1,000 1,000 *Oak Hill Sportswear Corp. .............................. 21,600 99,900 Oglebay Norton Co. ..................................... 25,000 756,250 Ohio Art Co. ........................................... 500 14,500 *Olympus Capital Corp. .................................. 5,500 80,438 *Oncogene Science, Inc. ................................. 1,000 2,688 *Oncor, Inc. ............................................ 40,000 180,000 *Oneita Industries, Inc. ................................ 68,520 702,330 *Opta Food Ingredients, Inc. ............................ 1,000 5,313 Optical Coating Laboratory, Inc. ....................... 35,826 219,434 *Optical Data Systems, Inc. ............................. 1,000 24,875 *Option Care, Inc. ...................................... 1,000 2,688 *Opto Mechanik, Inc. .................................... 63,800 21,931 *Orange Co., Inc. (New) FL .............................. 91,747 481,672 *Orbit International Corp. .............................. 127,600 342,925 *Orchard Supply Hardware Stores Corp. ................... 35,000 332,500 *Oregon Metallurgical Corp. ............................. 1,000 6,500 *Organogenesis, Inc. .................................... 1,000 15,000 Oriole Homes Corp. Convertible Class A ................. 66,500 448,875 *Orthomet, Inc. ......................................... 19,100 206,519 *Osborn Communications Corp. ............................ 79,800 513,713 Oshkosh Truck Corp. Class B ............................ 900 9,731 *Oshman's Sporting Goods, Inc. .......................... 129,500 1,003,625 *Osmonics, Inc. ......................................... 135,711 1,866,026 *Osteotech, Inc. ........................................ 25,000 104,688 *Outlook Group Corp. .................................... 1,000 12,250 *Oxis International, Inc. ............................... 89,800 230,113 *PHP Healthcare Corp. ................................... 11,800 137,175 *PLM International, Inc. ................................ 22,900 62,975 *PSC, Inc. .............................................. 7,300 69,350 *Pacific Rim Holding Corp. .............................. 500 1,219 Pacific Scientific Co. ................................. 71,800 2,773,275 Paco Pharmaceutical Services, Inc. ..................... 30,000 270,000 *Pages, Inc. ............................................ 31,000 145,313 *Palfed, Inc. ........................................... 16,650 125,916 *Panaco, Inc. ........................................... 6,900 25,875 Pancho's Mexican Buffet, Inc. .......................... 46,300 370,400 *Par Technology Corp. ................................... 86,200 560,300 *Parallan Computer, Inc. ................................ 61,600 306,075
50 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Park Electrochemical Corp. ............................. 55,950 $1,734,450 *Park-Ohio Industries, Inc. ............................. 156,300 2,051,438 Parkvale Financial Corp. ............................... 28,343 623,546 *Parlex Corp. ........................................... 19,900 273,625 *Patrick Industries, Inc. ............................... 49,050 423,056 *Patrick Petroleum Co. .................................. 258,200 322,750 *Patten Corp. ........................................... 66,984 234,444 *Paul Harris Stores, Inc. (New) ......................... 35,675 115,944 *Pay-Fone Systems, Inc. ................................. 500 2,063 *Peer Review Analysis, Inc. ............................. 1,000 2,781 Peerless Manufacturing Co. ............................. 9,250 111,000 *Peerless Tube Co. ...................................... 60,202 33,864 Penn Engineering & Manufacturing Corp. ................. 33,600 1,390,200 *Penn Treaty American Corp. ............................. 29,600 451,400 Penobscot Shoe Co. ..................................... 32,000 152,000 Penril Datacomm Networks, Inc. ......................... 89,033 200,324 *Pentech International, Inc. ............................ 1,000 4,563 *Peoples Savings Bank of Brockton, MA ................... 3,100 16,856 Peoples Savings Financial Corp. ........................ 6,000 103,500 *Peoples Telephone Co., Inc. ............................ 26,400 107,250 *Perceptronics, Inc. .................................... 36,600 8,967 *Performance Food Group Co. ............................. 10,000 116,250 *Perfumania, Inc. ....................................... 42,000 139,125 *Perini Corp. ........................................... 40,600 411,075 *Perry Drug Stores, Inc. ................................ 120,900 906,750 *Peters (J.M.) Co., Inc. ................................ 25,000 75,000 *Pharmaceutical Resources, Inc. ......................... 20 218 *Pharmacy Management Services, Inc. ..................... 9,500 161,500 *Pharmchem Laboratories, Inc. ........................... 37,600 101,050 *Pharmos Corp. (Private Placement) ...................... 120,000 138,375 *Phoenix Laser Systems, Inc. (New) ...................... 1,000 1,000 Phoenix Resource Companies, Inc. ....................... 3,400 136,425 *Phoenix Technologies, Ltd. ............................. 1,000 7,125 *Photo Control Corp. .................................... 1,000 6,500 *Photronics, Inc. ....................................... 23,600 628,350 *Physicians Insurance Co. of Ohio Class A ............... 1,000 5,313 Piccadilly Cafeterias, Inc. ............................ 30,000 240,000 *Pico Products, Inc. .................................... 68,500 179,813 Piedmont Bankgroup, Inc. ............................... 1,250 25,781 Pioneer Financial Services, Inc. ....................... 42,100 410,475 Pitt-Des Moines, Inc. .................................. 29,600 1,006,400 *Plexus Corp. ........................................... 1,200 11,850 *Polk Audio, Inc. ....................................... 5,000 51,875 *Polymedica Industries, Inc. ............................ 16,050 69,216 *Porta Systems Corp. .................................... 59,500 342,125 *Portage Industries Corp. DE ............................ 1,000 2,500 *Portec, Inc. ........................................... 99,037 1,250,347 Portsmouth Bank Shares, Inc. ........................... 9,831 117,972 *Possis Medical, Inc. ................................... 97,800 580,688 *Poughkeepsie Savings Bank FSB NY ....................... 9,900 42,694 *Powell Industries, Inc. ................................ 5,800 32,625 *Prairie Oil Royalties Co. .............................. 90,800 839,900 Pratt & Lambert United, Inc. ........................... 133,400 2,617,975 *Pre-Paid Legal Services, Inc. .......................... 178,375 356,750 *Precision Standard, Inc. ............................... 1,000 2,000 *Presidio Oil Co. Class A ............................... 95,500 35,813 *Presley Companies Class A .............................. 8,900 22,250
51 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Price Communications Corp. ............................. 4,806 $ 33,041 *Pride Petroleum Services, Inc. ......................... 138,800 711,350 Prime Bancorp, Inc. .................................... 12,375 202,641 *Prime Medical Services, Inc. ........................... 74,500 265,406 Primesource Corp. ...................................... 21,843 229,352 *Printronix, Inc. ....................................... 69,800 2,006,750 *Procyte Corp. .......................................... 22,600 66,034 *Progress Financial Corp. ............................... 1,000 4,250 Progressive Bank, Inc. ................................. 29,100 607,463 *Progroup, Inc. ......................................... 33,700 210,625 *Proler International Corp. ............................. 44,900 314,300 *Pronet, Inc. ........................................... 35,100 491,400 *Proteon, Inc. .......................................... 1,000 6,000 *Protocol Systems, Inc. ................................. 68,800 619,200 Providence Energy Corp. ................................ 61,950 952,481 Provident Bankshares Corp. ............................. 53,700 1,120,988 *Psicor, Inc. ........................................... 44,400 405,150 *Publicker Industries, Inc. ............................. 208,400 364,700 *Publisher Equipment Corp. .............................. 4,700 3,231 Pulaski Furniture Corp. ................................ 13,000 240,500 *Pulse Engineering, Inc. ................................ 5,000 28,125 *Pure Tech International, Inc. (Private Placement) ...... 140,000 700,875 *Purepac, Inc. .......................................... 10,000 145,000 Putnam Trust Co. Greenwich, CT ......................... 1,000 26,250 *Q Logic Corp. .......................................... 53,800 359,788 *Q-Med, Inc. ............................................ 48,300 72,450 *QMS, Inc. .............................................. 67,000 594,625 *Quality Systems, Inc. .................................. 20,500 64,063 *Quantum Restaurant Group, Inc. ......................... 53,000 549,875 *Quarterdeck Office Systems, Inc. ....................... 3,000 6,563 *Quest Medical, Inc. .................................... 104,799 471,596 *Quickresponse Services, Inc. ........................... 10,000 143,750 *Quidel Corp. ........................................... 75,500 212,344 *Quiksilver, Inc. ....................................... 33,400 540,663 Quincy Savings Bank MA ................................. 18,400 466,900 Quixote Corp. .......................................... 43,900 685,938 *R & B, Inc. ............................................ 54,200 359,075 *RB & W Corp. ........................................... 97,100 740,388 *RPC Energy Services, Inc. .............................. 73,100 511,700 RS Financial Corp. ..................................... 18,000 387,000 *RTI, Inc. .............................................. 47,125 26,508 *Radius, Inc. ........................................... 350 3,281 *Rag Shops, Inc. ........................................ 2,000 4,750 *Ragan (Brad), Inc. ..................................... 40,900 1,349,700 *Railroad Financial Corp. ............................... 858 7,937 *Rainbow Technologies, Inc. ............................. 600 7,275 *Rally's Hamburgers, Inc. ............................... 15,000 52,500 *Ramsay Health Care, Inc. (New) ......................... 6,166 45,474 Raritan Bancorp, Inc. DE ............................... 750 13,125 *Rasterops .............................................. 8,200 24,600 *Rational Software Corp. ................................ 82,600 175,525 Raven Industries, Inc. ................................. 99,150 1,896,244 *Raymond Corp. .......................................... 87,985 1,539,738 *Raytech Corp. DE ....................................... 80,300 381,425 Re Capital Corp. ....................................... 29,100 363,750 *Readicare, Inc. ........................................ 182,800 251,350 *Reading Co. Class A .................................... 11,000 124,438 *Recoton Corp. .......................................... 95,316 1,691,859 *Reeds Jewelers, Inc. ................................... 10,450 84,906 Refac Technology Development Corp. ..................... 76,350 543,994 *Reflectone, Inc. ....................................... 2,500 20,000 *Regeneron Pharmaceuticals, Inc. ........................ 1,000 4,125 *Regis Corp. ............................................ 1,000 14,625
52 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Rehabilicare, Inc. ..................................... 1,000 $ 2,563 *Rehability Corp. ....................................... 6,000 43,875 *Reliability, Inc. ...................................... 85,000 191,250 *Relife, Inc. Class A ................................... 56,500 1,306,563 *Reno Air, Inc. ......................................... 6,300 29,531 *Rentrak Corp. .......................................... 4,000 29,750 *Repligen Corp. ......................................... 54,000 162,000 *Republic Automotive Parts, Inc. ........................ 39,200 558,600 Republic Bancorp, Inc. ................................. 29,978 329,761 Republic Gypsum Co. .................................... 171,640 1,566,215 Republic Savings Financial Corp. ....................... 132 487 *Republic Waste Industries, Inc. ........................ 1,000 3,813 *Research Industries Corp. .............................. 1,000 13,188 Research, Inc. ......................................... 20,200 138,875 *Resource Recycling Technologies, Inc. .................. 43,687 218,435 *Response Technologies, Inc. ............................ 1,000 1,938 *Retix, Inc. ............................................ 35,000 166,250 *Revell Monogram, Inc. .................................. 34,500 211,313 *Rex Stores Corp. ....................................... 59,600 1,005,750 *Rexhall Industries, Inc. ............................... 10,000 63,750 *Rexon, Inc. ............................................ 96,600 489,038 *Rexworks, Inc. ......................................... 6,000 26,250 *Rheometrics, Inc. ...................................... 110 165 *Rhodes, Inc. ........................................... 35,000 345,625 *Ribi Immunichem Research, Inc. ......................... 45,200 186,450 *Richton International Corp. ............................ 1,500 5,813 *Riddell Sports, Inc. ................................... 6,982 16,582 *Right Management Consultants, Inc. ..................... 3,000 69,000 *Right Start, Inc. ...................................... 1,000 3,875 *Ringer Corp. ........................................... 76,600 122,081 *Riser Foods, Inc. Class A .............................. 106,700 746,900 *River Oaks Furniture, Inc. ............................. 34,000 480,250 *Riverside Group, Inc. .................................. 1,300 8,288 *Riverside National Bank CA ............................. 19,300 142,338 *Roadmaster Industries, Inc. ............................ 51,000 207,188 Roanoke Electric Steel Corp. ........................... 11,300 177,975 Robbins & Myers, Inc. .................................. 32,100 561,750 *Robec, Inc. ............................................ 99,200 170,500 *Robertson-Ceco Corp. ................................... 5,157 18,694 Robinson Nugent, Inc. .................................. 53,900 454,781 *Rogers Corp. ........................................... 64,400 2,696,750 *Ropak Corp. ............................................ 14,501 148,631 *Ross Systems, Inc. ..................................... 20,000 107,500 *Rotech Medical Corp. ................................... 40,000 1,140,000 *Rottlund, Inc. ......................................... 1,000 6,250 Rowe Furniture Corp. ................................... 30,375 273,375 *Royal Appliance Manufacturing Co. ...................... 140,000 542,500 *Royal Gold, Inc. ....................................... 114,700 917,600 *Royal International Optical, Inc. ...................... 14,098 8,811 *Rule Industries, Inc. .................................. 28,100 388,131 *Rymer Foods, Inc. ...................................... 65,133 227,966 S I Handling, Inc. ..................................... 1,000 8,500 *S&K Famous Brands, Inc. ................................ 25,200 204,750 *SBE, Inc. .............................................. 1,000 10,125 *SBM Industries, Inc. ................................... 500 6,000 *SCS/COMPUTE, Inc. ...................................... 47,300 112,338 *SGI International ...................................... 10,500 6,563 SJW Corp. .............................................. 16,600 581,000 SKI, Ltd. .............................................. 125 2,000 SL Industries, Inc. .................................... 183,585 826,133 *STV Engineers, Inc. .................................... 17,500 91,875 *Safeguard Health Enterprises, Inc. ..................... 94,600 880,963
53 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Safeguard Scientifics, Inc. ............................ 190,200 $3,257,175 *Safetytek Corp. ........................................ 1,000 8,500 *Saga Communications, Inc. Class A ..................... 3,600 54,000 *Sahara Gaming Corp. .................................... 9,250 37,000 Saint Ives Laboratories Corp. .......................... 41,800 357,913 Saint Joseph Light & Power Co. ......................... 26,250 698,906 *Salant Corp. DE ........................................ 77,500 387,500 Salem Corp. ............................................ 40,442 621,796 *Salick Health Care, Inc. ............................... 35,800 895,000 *Salton/Maxim Housewares, Inc. .......................... 3,000 9,563 *Sam & Libby, Inc. ...................................... 1,000 1,219 San Filippo (John B.) & Son, Inc. ...................... 41,000 292,125 *San Francisco Co. Class A .............................. 1,090 7,903 Sands Regent Casino Hotel .............................. 25,110 178,909 Sandwich Co-Operative Bank MA .......................... 7,900 109,613 Sandy Corp. ............................................ 4,000 24,500 *Santa Monica Bank CA ................................... 1,000 8,250 *Sarnia Corp. ........................................... 48,700 12,175 *Satellite Technology Management, Inc. .................. 3,700 38,850 *Scan-Optics, Inc. ...................................... 158,000 1,027,000 *Scanforms, Inc. ........................................ 100 206 *Schieb (Earl), Inc. .................................... 94,400 542,800 Schult Homes Corp. ..................................... 35,800 389,325 Schultz Sav-O Stores, Inc. ............................. 19,800 393,525 *Schwitzer, Inc. ........................................ 96,100 780,813 *Sciclone Pharmaceuticals, Inc. ......................... 25,000 159,375 *Science Dynamics Corp. ................................. 28,300 32,722 *Scientific Software-Intercomp, Inc. .................... 80,000 450,000 Scope Industries, Inc. ................................. 34,800 839,550 *Score Board, Inc. ...................................... 88,400 370,175 Scotsman Industries, Inc. .............................. 6,100 105,225 *Seacor Holdings, Inc. .................................. 5,000 106,875 *Seattle Filmworks, Inc. ................................ 29,800 528,950 Seaway Food Town, Inc. ................................. 8,000 80,000 *Security Capital Corp. ................................. 45 13 *Security Capital Corp. Class A ......................... 90,155 14,087 *Seeq Technology, Inc. DE ............................... 168,600 155,428 *Seibels (Bruce) Group, Inc. ............................ 1,000 2,875 *Seitel, Inc. ........................................... 123,662 2,859,684 Selas Corp. of America ................................. 12,600 122,850 *Selfix, Inc. ........................................... 24,400 118,950 *Semtech Corp. .......................................... 6,000 15,750 *Sepracor, Inc. ......................................... 32,000 130,000 *Serv-Tech, Inc. ........................................ 43,600 294,300 *Servotronics, Inc. ..................................... 21,667 94,793 *Seven Oaks International, Inc. ......................... 150,950 55,852 *Shared Technologies, Inc. .............................. 50,000 225,000 *Sharper Image Corp. .................................... 63,300 427,275 Shelby Williams Industries, Inc. ....................... 35,100 302,738 *Sheldahl, Inc. ......................................... 84,650 1,163,938 Shelter Components, Inc. ............................... 40,387 444,257 *Shoe Carnival, Inc. .................................... 30,000 157,500 *Showscan Corp. ......................................... 42,500 260,313 *Shuffle Master, Inc. ................................... 1,000 11,375 *Sierra Semiconductor Corp. ............................. 1,000 14,813 *Sierra Tucson Companies, Inc. .......................... 500 1,500 *Sifco Industries, Inc. ................................. 49,475 160,794 *Sigma Designs, Inc. .................................... 53,400 363,788 *Signal Apparel Co., Inc. Class A ....................... 62,100 357,075 *Signal Technology Corp. ................................ 35,000 113,750 *Silicon Valley Bancshares .............................. 40,000 490,000 *Siliconix, Inc. (New) .................................. 28,200 324,300 *Skolniks, Inc. (New) ................................... 23 32
54 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Sloane's Supermarkets, Inc. ............................ 46,490 $ 249,884 *Sodak Gaming, Inc. ..................................... 42,000 577,500 *Softech, Inc. .......................................... 85,600 556,400 *Softkey International, Inc. ............................ 47,730 960,566 *Softnet Systems, Inc. .................................. 13,700 99,325 *Softnet Systems, Inc. (Private Placement) .............. 20,000 130,500 *Software Publishing Corp. .............................. 71,000 390,500 *Software Spectrum, Inc. ................................ 15,700 257,088 *Solitron Devices, Inc. DE .............................. 7,400 7,631 *Somanetics Corp. ....................................... 1,000 984 *Somatix Therapies Corp. ................................ 76,775 268,713 *Somatogen, Inc. ........................................ 1,000 7,313 *Somerset Savings Bank (New) ............................ 440 474 *Sound Advice, Inc. ..................................... 65,000 385,938 *Southern Electronics Corp. ............................. 1,000 6,000 *Southern Energy Homes, Inc. ............................ 52,600 644,350 *Southern Union Co. ..................................... 134,015 2,395,518 *Southwall Technologies, Inc. ........................... 74,600 219,138 Southwest National Corp. ............................... 6,000 153,750 Southwest Water Co. .................................... 3,500 32,813 *Spaghetti Warehouse, Inc. .............................. 48,000 270,000 Span-American Medical System, Inc. ..................... 50,500 252,500 *Spartech Corp. (New) ................................... 15,305 84,178 *Sparton Corp. .......................................... 90,400 452,000 *Spec's Music, Inc. ..................................... 89,566 503,809 *Special Devices, Inc. .................................. 13,000 222,625 *Specialty Chemical Resources, Inc. ..................... 37,800 122,850 *Spectran Corp. ......................................... 51,000 277,313 *Spectranetics Corp. .................................... 802 1,103 *Spectrum Control, Inc. ................................. 68,800 146,200 *Speizman Industries, Inc. .............................. 21,600 89,100 *Spire Corp. ............................................ 56,200 151,038 Sport Supply Group, Inc. ............................... 1,250 12,969 *Sportstown, Inc. ....................................... 3,900 4,631 *Square Industries, Inc. ................................ 100 263 *Staar Surgical Co. (New) ............................... 4,175 43,838 *Stac Electronics ....................................... 10,000 53,750 *Stacey's Buffet, Inc. .................................. 142,600 178,250 *Staff Builders, Inc. ................................... 118,100 381,980 Stage II Apparel Corp. ................................. 8,000 32,000 *Standard Brands Paint Co. .............................. 23,100 14,438 *Stanford Telecommunications, Inc. ...................... 48,950 868,863 *Staodyn, Inc. .......................................... 3,200 4,800 *Star Technologies, Inc. ................................ 433,400 142,209 Starret Housing Corp. .................................. 125,800 872,738 *State of the Art, Inc. ................................. 21,000 145,688 *Steel of West Virginia, Inc. ........................... 42,300 401,850 Sterling Bancorp ....................................... 150,400 1,015,200 *Sterling Electronics Corp. ............................. 50,300 572,163 *Stevens Graphics Corp. Class A ......................... 47,800 322,650 Stewart Information Services Corp. ..................... 21,750 320,813 *Stokely USA, Inc. ...................................... 92,200 829,800 *Strober Organization, Inc. ............................. 29,100 100,031 *Stuart Entertainment, Inc. ............................. 1,000 4,563 *Stuarts Department Stores, Inc. ........................ 21,300 4,992 *Styles On Video, Inc. .................................. 1,500 10,688 *Suave Shoe Corp. ....................................... 37,200 95,325 *Sudbury, Inc. (New) .................................... 164 1,015 Suffolk Bancorp ........................................ 100 2,775 *Sulcus Computer Corp. .................................. 1,200 3,150 *Summagraphics Corp. .................................... 19,600 166,600
55 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Summit Bancorp, Inc. WA ................................ 33,560 $ 646,028 *Sun City Industries, Inc. .............................. 150 900 *Sun Coast Plastics, Inc. (New) ......................... 22,800 353,400 *Sun Sportswear, Inc. ................................... 55,700 250,650 *Sunair Electronics, Inc. ............................... 49,200 95,325 *Sunbelt Nursery Group, Inc. ............................ 6,800 15,725 *Sundance Homes, Inc. ................................... 50,000 125,000 *Sunrise Bancorp CA ..................................... 5,341 8,679 *Sunrise Technologies, Inc. ............................. 10,000 20,625 *Sunshine-Junior Stores, Inc. ........................... 34,900 340,275 *Sunstates Corp. DE ..................................... 18,399 119,594 Super Food Services, Inc. .............................. 25,000 278,125 *Super Rite Corp. ....................................... 1,000 11,250 *Supercuts, Inc. ........................................ 1,000 9,500 Superior Surgical Manufacturing Co., Inc. .............. 90,100 1,216,350 *Supertex, Inc. ......................................... 280,300 1,751,875 *Suprema Specialties, Inc. .............................. 1,000 3,188 *Supreme Industries, Inc. ............................... 54,609 307,176 *Surgical Laser Technologies, Inc. ...................... 12,500 35,938 *Surgical Technologies, Inc. ............................ 1,000 4,031 *Survival Technology, Inc. .............................. 17,900 158,863 *Swank, Inc. ............................................ 88,100 104,619 *Swift Energy Corp. ..................................... 56,320 563,200 *Swing-n-Slide Corp. .................................... 60,000 510,000 *Symix Systems, Inc. .................................... 1,000 8,000 *Symmetricom, Inc. ...................................... 60,000 753,750 Synalloy Corp. DE ...................................... 59,439 1,062,472 *Synbiotics Corp. ....................................... 18,500 40,469 *Synercom Technology, Inc. .............................. 105,400 540,175 *Syntellect, Inc. ....................................... 84,100 546,650 *Syntro Corp. ........................................... 9,400 19,388 *Systemed, Inc. ......................................... 142,364 952,059 *Systems & Computer Technology Corp. .................... 95,900 1,834,088 *T Cell Sciences, Inc. .................................. 68,800 172,000 *TCC Industries, Inc. ................................... 72,000 144,000 *TCI International, Inc. ................................ 32,060 132,248 *TII Industries, Inc. ................................... 16,020 94,118 *TII Industries, Inc. Class B ........................... 13,440 78,960 *TRC Companies, Inc. .................................... 75,700 671,838 *TRM Copy Centers Corp. ................................. 61,000 293,563 *TSF Communications Corp. ............................... 500 2,875 TSI, Inc. MN ........................................... 37,800 283,500 *TSR, Inc. .............................................. 25,500 172,125 Tab Products Co. DE .................................... 71,350 588,638 *Talley Industries, Inc. ................................ 89,700 773,663 *Tandy Brand Accessories, Inc. .......................... 55,977 797,672 *Tandy Crafts, Inc. ..................................... 140,300 1,683,600 *Tanknology Environmental, Inc. ......................... 1,000 2,594 Tasty Baking Co. ....................................... 31,700 423,988 *Team, Inc. ............................................. 61,100 175,663 *Tech-Sym Corp. ......................................... 67,300 1,472,188 Tech/O ps Sevcon, Inc. ................................. 56,800 788,100 Technalysis Corp. ...................................... 13,500 145,125 *Technical Communications Corp. ......................... 7,300 54,750 Technitrol, Inc. ....................................... 150,300 2,198,138 *Technology Solutions Corp. ............................. 1,000 7,875 *Tejas Power Corp. ...................................... 53,000 450,500 *Tekelec ................................................ 62,200 1,508,350 *Teknekron Communication System, Inc. ................... 1,000 9,625 *Telco Systems, Inc. .................................... 47,100 788,925 *Telebit Corp. .......................................... 111,200 528,200
56 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Telephone USA Communications, Inc. ..................... 550 $ 8,800 *Televideo Systems, Inc. ................................ 349,000 103,609 *Telios Pharmaceuticals, Inc. ........................... 145,000 77,031 *Temtex Industries, Inc. ................................ 34,100 338,869 *Terex Corp. (New) ...................................... 1,000 7,250 *Tetra Technologies, Inc. ............................... 119,500 1,127,781 *Texfi Industries, Inc. ................................. 142,400 373,800 *Thackeray Corp. ........................................ 123,700 494,800 *Theragenics Corp. ...................................... 1,000 2,563 *Thermo Power Corp. ..................................... 60,100 533,388 *Thermo Voltek Corp. .................................... 80,300 612,288 Thomas Industries, Inc. ................................ 50,000 668,750 Thomaston Mills, Inc. .................................. 700 10,063 *Thor Energy Resources, Inc. ............................ 45,400 17,025 Thorn Apple Valley, Inc. ............................... 62,100 1,754,325 Three D Department Stores, Inc. Class A ................ 32,500 39,609 Three D Department Stores, Inc. Class B ................ 57,300 78,788 *Tigera Group, Inc. ..................................... 56,000 30,625 Timberline Software Corp. .............................. 9,700 95,788 *Tipperary Corp. ........................................ 5,500 15,125 *Titan Corp. ............................................ 234,600 1,290,300 *Todays Man, Inc. ....................................... 8,600 134,375 Todd-AO Corp. Class A .................................. 11,000 56,375 *Todhunter International, Inc. (Private Placement) ...... 48,000 661,500 *Tofutti Brands, Inc. ................................... 45,600 48,450 *Tokheim Corp. .......................................... 50,000 418,750 *Tokos Medical Corp. .................................... 86,000 569,750 *Tops Appliance City, Inc. .............................. 1,000 6,875 *Toreador Royalty Corp. ................................. 29,700 96,525 *Torotel, Inc. .......................................... 55,335 72,627 Tower Air, Inc. ........................................ 15,000 127,500 *Town & Country Corp. Class A ........................... 96,800 90,750 *Tracor, Inc. ........................................... 35,700 446,250 *Trak Auto Corp. ........................................ 92,000 1,483,500 *TransNet Corp. ......................................... 29,200 59,313 *Transamerica Waste Industries, Inc. .................... 12,000 10,500 *Transmation, Inc. ...................................... 1,000 4,375 Transport Financial Bancorp, Inc. ...................... 1,000 13,625 *Transport Industries, Inc. ............................. 1,000 1,375 *Transport Leasing International, Inc. .................. 3,000 10,406 Transport Lux Corp. .................................... 15,491 131,674 Transtechnology Corp. .................................. 99,100 1,139,650 Tranzonic Companies Class A ............................ 54,800 986,400 Tranzonic Companies Class B ............................ 30,350 504,569 *Travel Ports of America, Inc. .......................... 10,200 23,588 Treadco, Inc. .......................................... 41,900 665,163 *Tremont Corp. DE ....................................... 21,900 238,163 *Tri-Lite, Inc. ......................................... 109 245 *Triad Systems Corp. .................................... 111,100 562,444 *Triangle Corp. ......................................... 56,422 211,583 *Tricare, Inc. .......................................... 500 1,000 *Trico Products Corp. ................................... 5,000 420,000 *Triconex Corp. ......................................... 26,000 456,625 *Tridex Corp. ........................................... 39,300 221,063 *Trimark Holdings, Inc. ................................. 5,100 38,250 *Trimedyne, Inc. ........................................ 34,200 143,213 *Trinzic Corp. .......................................... 165,550 858,791 *Trion, Inc. ............................................ 67,550 375,747 *Tristar Corp. .......................................... 1,000 5,500
57 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Triton Group, Ltd. ..................................... 1,568 $ 2,450 *Tuboscope Vetco International, Inc. .................... 110,000 790,625 *Tucker Drilling Co., Inc. .............................. 30,000 180,000 *Tuesday Morning Corp. .................................. 36,000 247,500 *Turn Technology, Inc. .................................. 22 2 *Turner Corp. ........................................... 86,400 691,200 Tuscarora Plastics, Inc. ............................... 1,000 17,375 Twin Disc, Inc. ........................................ 65,600 1,328,400 *Tyler Corp. ............................................ 7,800 28,275 U.S. Bancorp, Inc. ..................................... 2,525 54,294 *UDC Homes, Inc. ........................................ 1,000 1,750 *URS Corp. (New) ........................................ 92,251 472,786 *US 1 Industries, Inc. .................................. 164,200 133,413 *USMX, Inc. ............................................. 1,000 2,438 *Ultra Pacific, Inc. .................................... 10,000 65,625 Unico American Corp. ................................... 121,200 507,525 Uniforce Temporary Personnel, Inc. ..................... 92,200 1,071,825 *Unigene Laboratories, Inc. ............................. 9,400 26,144 *Unimed, Inc. ........................................... 26,300 80,544 *Union Corp. DE ......................................... 20,000 280,000 *Union Switch & Signal, Inc. ............................ 37,000 573,500 *Unionfed Financial Corp. ............................... 7,085 3,543 *Uniphase Corp. ......................................... 42,000 609,000 *Unit Corp. ............................................. 141,700 442,813 *United American Healthcare Corp. ....................... 6,250 153,125 *United Capital Corp. ................................... 50,754 450,442 United Financial Corp. ................................. 2,000 26,000 *United Foods, Inc. Class A ............................. 27,900 59,288 *United Foods, Inc. Class B ............................. 141,900 301,538 *United Gaming, Inc. .................................... 113,300 608,988 *United Guardian, Inc. .................................. 47,720 83,510 United Industrial Corp. ................................ 97,100 473,363 *United Inns, Inc. ...................................... 60,200 1,467,375 *United States Banknote Corp. ........................... 8,000 18,000 *United States Capital Group, Inc. ...................... 15,775 53,241 *United States Energy Corp. ............................. 8,470 34,409 *United States Facilities Corp. ......................... 54,100 541,000 *United States Gold Trust Corp. (New) ................... 100 44 *United States Homecare Corp. ........................... 1,000 2,250 *United States Intec, Inc. .............................. 41,500 233,438 *United States Lime & Minerals, Inc. .................... 14,300 84,013 *United States Paging Corp. ............................. 1,000 7,125 *Unitel Video, Inc. ..................................... 51,200 300,800 Unitil Corp. ........................................... 38,252 688,536 Unitog Co. ............................................. 2,550 46,219 *Univax Biologics, Inc. ................................. 15,000 86,250 *Universal Holding Corp. ................................ 500 1,281 *Universal International, Inc. .......................... 1,000 2,250 *Universal Security Instruments, Inc. ................... 44,000 60,500 *University Genetics Co. Class A ........................ 76,100 0 *University Patents, Inc. ............................... 107,400 751,800 *Uno Restaurant Corp. ................................... 182,493 2,303,974 Upper Peninsula Energy Corp. ........................... 20,400 316,200 *Uranuim Resources, Inc. (New) .......................... 1,000 5,438 *Uromed Corp. ........................................... 38,000 182,875 *Utah Medical, Inc. ..................................... 1,000 8,250 *Utilx Corp. ............................................ 144,800 515,850 *V Band Systems, Inc. ................................... 1,000 4,125 *V Mark Software, Inc. .................................. 5,000 68,750 *VTEL Corp. ............................................. 1,000 7,125
58 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Valence Technology, Inc. ............................... 160,000 $445,000 *Vallen Corp. ........................................... 36,400 425,425 Valley Forge Corp. ..................................... 500 8,938 Valley Resources, Inc. ................................. 34,887 440,448 Vallicorp Holdings, Inc. ............................... 1,000 14,000 *Value-Added Communications, Inc. ....................... 1,000 1,625 *Valuevision International, Inc. Class A ................ 12,000 57,000 *Vans, Inc. ............................................. 5,500 33,344 *Varitronic Systems, Inc. ............................... 24,100 213,888 Varlen Corp. ........................................... 7,462 178,155 *Vectra Technologies, Inc. .............................. 34,500 107,813 Venturian Corp. ........................................ 21,900 147,825 Vermont Financial Services Corp. ....................... 15,013 304,013 *Vermont Research Corp. ................................. 44,500 55,625 Versa Technologies, Inc. ............................... 60,550 802,288 *Versar, Inc. ........................................... 45,600 133,950 *Vertex Communications Corp. ............................ 43,300 584,550 *Vestar, Inc. ........................................... 5,000 22,813 *Veterinary Centers of America, Inc. .................... 2,100 18,244 *Vicon Industries, Inc. ................................. 54,250 105,109 *Video Display Corp. .................................... 41,750 109,594 *Video Lottery Technologies, Inc. ....................... 5,000 46,875 *Vie de France Corp. .................................... 211,800 781,013 *Viral Testing Systems Corp. ............................ 114,750 8,965 Virco Manufacturing Corp. .............................. 57,296 537,150 Virginia Beach Federal Financial Corp. ................. 87,950 560,681 Virginia First Financial Corp. ......................... 4,935 66,006 *Vista Resources, Inc. .................................. 40,500 855,563 *Visx, Inc. DE .......................................... 43,000 483,750 Vital Signs, Inc. ...................................... 20,000 220,000 *Vitesse Semiconductor, Inc. ............................ 1,000 4,688 *Vitronics Corp. ........................................ 64,800 93,150 *Volt Information Sciences, Inc. ........................ 500 13,813 *Volunteer Capital Corp. (New) .......................... 121,100 847,700 Vulcan International Corp. ............................. 40,951 788,307 *WSFS Financial Corp. ................................... 12,200 44,225 *WSMP, Inc. ............................................. 1,900 13,063 *WTD Industries, Inc. ................................... 93,640 193,133 Wackenhut Corp. Class A ................................ 39,897 533,622 Wackenhut Corp. Class B Non- Voting .................... 36,897 424,316 *Wahlco Environmental System, Inc. ...................... 13,000 29,250 *Walker Interactive Systems, Inc. ....................... 11,000 68,750 *Wall Street Deli, Inc. ................................. 11,400 121,125 Walshire Assurance Co. ................................. 803 8,083 Warner Insurance Services, Inc. ........................ 85,845 236,074 *Warrantech Corp. ....................................... 13,000 74,344 *Warren Bancorp, Inc. ................................... 101,400 811,200 Washington Homes, Inc. (New) ........................... 11,000 42,625 Washington Mutual Savings Bank of Seattle .............. 646 11,103 Washington Savings Bank FSB Waldorf, MD ................ 27,712 107,384 *Washington Scientific Industries, Inc. ................. 61,100 229,125 *Waters Instruments, Inc. ............................... 500 938 Watsco, Inc. Class B ................................... 15,255 243,127 Waverly, Inc. .......................................... 31,100 627,831 *Waxman Industries, Inc. ................................ 30,950 42,556 *Waxman Industries, Inc. Class B ........................ 9,750 13,406
59 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Webster Financial Corp. ................................ 9,570 $ 179,438 *Wedco Technology, Inc. ................................. 86,246 867,850 *Wegener Corp. .......................................... 5,500 11,516 *Weitek Corp. ........................................... 85,300 271,894 *Weldotron Corp. ........................................ 23,000 38,813 Wellco Enterprises, Inc. ............................... 4,100 68,931 *Wells-Gardner Electronics Corp. ........................ 79,500 238,500 *Wellstead Industries, Inc. ............................. 1,100 5,775 *Wendt-Bristol Health Services Corp. .................... 63,900 31,950 *Westbridge Capital Corp. ............................... 9,500 74,813 *Westerbeke Corp. ....................................... 20,000 39,375 Western Bank Coos Bay, OR .............................. 2,140 26,750 *Western Beef, Inc. ..................................... 40,186 293,860 *Western Micro Technology, Inc. ......................... 37,500 304,688 *Westmoreland Coal Co. .................................. 47,800 250,950 *Weston (Roy F.), Inc. Class A .......................... 1,000 5,688 *Westport Bancorp, Inc. ................................. 2,250 7,031 *Whitehall Corp. ........................................ 98,600 1,848,750 *Whittaker Corp. ........................................ 30,000 487,500 *Wholesome & Hearty Foods, Inc. ......................... 5,900 74,488 *Wichita River Holding Corp. ............................ 7,095 6,208 *Willcox & Gibbs, Inc. .................................. 12,200 77,775 Wilshire Oil Co. of Texas .............................. 233,511 1,605,388 *Winston Resources, Inc. ................................ 1,000 1,875 Wolf (Howard B.), Inc. ................................. 500 3,438 Wolohan Lumber Co. ..................................... 47,700 727,425 Woodhead Industries, Inc. .............................. 117,700 1,736,075 *World Acceptance Corp. ................................. 58,000 1,276,000 *Worldcorp, Inc. ........................................ 113,500 908,000 *Worldtex, Inc. ......................................... 141,800 620,375 *Worth Corp. ............................................ 8,800 20,625 *Wyman-Gordon Co. ....................................... 38,500 216,563 Wynns International, Inc. .............................. 115,875 2,752,031 *Xicor, Inc. ............................................ 22,000 52,938 *Xoma Corp. ............................................. 12,000 40,500 *Xscribe Corp. .......................................... 4,200 10,500 *Xylogics, Inc. ......................................... 55,400 2,188,300 *Xytronyx, Inc. ......................................... 28,200 105,750 *Yes Clothing Co. ....................................... 21,500 38,969 *York Research Corp. .................................... 16,400 73,800 *Younkers, Inc. ......................................... 25,000 434,375 *Zaring Homes, Inc. ..................................... 10,000 57,500 *Zemex Corp. ............................................ 34,953 332,057 *Zeos International, Ltd. ............................... 1,000 7,125 Ziegler Co., Inc. ...................................... 500 8,063 *Zing Technologies, Inc. ................................ 100 300 *Zitel Corp. ............................................ 63,100 496,913 *Zoll Medical Corp. ..................................... 2,400 33,300 *Zycad Corp. ............................................ 211,600 324,013
60 THE U.S 9-10 SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Zygo Corp. ............................................. 9,500 $ 71,250 *Zynaxis, Inc. .......................................... 51,000 63,750 ------------------ TOTAL COMMON STOCKS (Cost $592,730,334) ..................................... 653,808,332 ------------------ PREFERRED STOCKS -- (0.0%) Alfin, Inc. Cumulative Redeemable ...................... 24 0 HUBCO, Inc. Cumulative Convertible Redeemable Series A . 14 298 *Pharmaceutical Resources, Inc. Convertible Class A ..... 32 360 ------------------ TOTAL PREFERRED STOCKS (Cost $582) ............................................. 658 ------------------ RIGHTS/WARRANTS -- (0.0%) *Buell Industries, Inc. Contingent Payment Rights ......... 59,800 0 *FFO Financial Group, Inc. Rights ......................... 1,200 0 *Greater New York Savings Bank Warrants 12/27/94 .......... 8,704 0 *Grubb & Ellis Co. Rights ................................. 39,552 0 *Patlex Corp. Contingent Payment Rights ................... 66,540 0 *Peoples Savings Bank Brockton, MA Warrants 12/18/96 ...... 845 0 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ............................................... 0 ------------------ Face Amount -------- (000) BONDS -- (0.0%) MacNeal Schwendler Corp. Convertible Subordinated Debentures 7.875%, 08/18/04 (Cost $127,320) .................... $ 127 111,405 ------------- TEMPORARY CASH INVESTMENTS -- (1.8%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $11,803,000) 11,803 11,803,000 ------------- TOTAL INVESTMENTS - (100.0%) (Cost $604,661,236) .................... $665,723,395 =============
- ------ +See Note B to Financial Statements. *Non-Income Producing Securities See accompanying Notes to Financial Statements 61 SCHEDULES OF INVESTMENTS THE U.S. 6-10 SMALL COMPANY PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ----------- ------------- Investment in The U.S. 6-10 Small Company Series of The DFA Investment Trust Company .......................................................... 11,756,783 $112,184,507 ------------- Total Investments (100%) (Cost $96,065,132) ........................ $112,184,507 ============
THE U.S. LARGE COMPANY PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ----------- ------------- Investment in The U.S. Large Company Series of The DFA Investment Trust Company ................................................................ 4,814,004 $48,656,861 ------------- Total Investments (100%) (Cost $42,598,708) ........................ $48,656,861 =============
THE U.S. SMALL CAP VALUE PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ------------ -------------- Investment in The U.S. Small Cap Value Series of The DFA Investment Trust Company ......................................................... 30,881,386 $344,218,464 -------------- Total Investments (100%) (Cost $345,657,390) ...................... $344,218,464 ==============
THE U.S. LARGE CAP VALUE PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ------------ ------------- Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company ......................................................... 19,923,848 $ 197,563,458 ------------- Total Investments (100%) (Cost $206,176,588) ...................... $ 197,563,458 =============
- ------ + See Note B to Financial Statements. See accompanying Notes to Financial Statements 62 SCHEDULE OF INVESTMENTS THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ COMMON STOCKS - (96.3%) AMLI Residential Properties Trust ...................... 10,300 $ 189,263 Agree Realty Corp. ..................................... 2,300 36,800 America First Real Estate Investment Trust, Inc. ....... 2,200 34,925 *American Industrial Properties ......................... 8,100 13,163 *American Realty Trust, Inc. ............................ 2,800 32,375 Apartment Investment & Management Co. Class A .......... 8,600 146,200 Arbor Property Trust ................................... 10,700 84,263 Associated Estates Realty Corp. ........................ 12,400 235,600 Avalon Properties, Inc. ................................ 25,400 463,550 BRE Properties, Inc. ................................... 9,800 303,800 Bay Apartment Communities, Inc. ........................ 10,300 185,400 Beacon Properties Corp. ................................ 9,400 169,200 Bedford Property Investors, Inc. ....................... 5,400 29,025 Berkshire Realty Co. ................................... 22,800 205,200 Boddie-Noell Restaurant Properties, Inc. ............... 2,600 36,075 Bradley Real Estate, Inc. .............................. 7,750 109,469 Burnham Pacific Properties, Inc. ....................... 14,200 197,025 CBL & Associates Properties, Inc. ...................... 18,400 324,300 California Real Estate Investment Trust ................ 8,200 14,350 Camden Property Trust .................................. 12,300 269,063 Carr Realty Corp. ...................................... 11,600 205,900 Centerpoint Properties Corp. ........................... 4,800 87,000 Chateau Properties, Inc. ............................... 5,100 95,625 Chelsea GCA Realty, Inc. ............................... 9,800 230,300 Chicago Dock & Canal Trust III ......................... 6,500 75,550 Clevetrust Realty Investors ............................ 2,800 9,100 Colonial Properties Trust .............................. 10,000 210,000 Columbus Realty Trust .................................. 10,000 178,750 Commercial Net Lease Realty, Inc. ...................... 6,800 84,150 Copley Properties, Inc. ................................ 3,200 31,200 Cousins Properties, Inc. ............................... 25,000 400,000 Crescent Real Estate Equities, Inc. .................... 12,700 322,263 Crown American Realty Trust ............................ 24,400 305,000 Debartolo Realty Corp. ................................. 43,700 617,263 Developers Diversified Realty Corp. .................... 14,400 394,200 Duke Realty Investments, Inc. .......................... 14,400 360,000 *EQK Realty Investors ................................... 8,300 16,600 Eastgroup Properties ................................... 3,700 63,825 Equity Residential Properties Corp. .................... 28,000 759,500 Essex Property Trust ................................... 7,300 124,100 Excel Realty Trust, Inc. ............................... 9,800 166,600 Factory Stores America, Inc. ........................... 10,600 218,625 Federal Realty Investment Trust ........................ 48,300 1,014,300 *First Industrial Realty Trust, Inc. .................... 16,900 304,200 First Union Real Estate Equity & Mortgage Investments .. 16,200 109,350 *Forest City Enterprises, Inc. Class B .................. 3,300 103,125 Gables Residential Trust ............................... 10,000 196,250 General Growth Properties .............................. 20,400 423,300 Glimcher Realty Trust .................................. 16,500 317,625
63 THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *HMG Courtland Properties, Inc. ......................... 1,000 $ 8,875 HRE Properties, Inc. ................................... 4,700 65,800 Haagen (Alexander) Properties, Inc. .................... 10,500 154,875 Highwood Properties, Inc. .............................. 8,000 151,000 Holly Residential Properties, Inc. ..................... 7,100 97,625 Home Properties of New York, Inc. ...................... 4,800 90,600 Horizon Outlet Centers, Inc. ........................... 9,200 204,700 IRT Property Co. ....................................... 37,800 359,100 Irvine Apartment Communities, Inc. ..................... 27,200 431,800 JDN Realty Corp. ....................................... 6,700 138,188 JP Realty, Inc. ........................................ 11,900 223,125 Kimco Realty Corp. ..................................... 18,000 623,250 *Koger Equity, Inc. ..................................... 15,800 108,625 Kranzco Realty Trust, Inc. ............................. 9,200 167,900 *Landsing Pacific Fund .................................. 4,000 14,000 Lexington Corp. Properties, Inc. ....................... 8,300 76,775 Liberty Property Trust ................................. 19,000 334,875 MGI Properties ......................................... 10,300 144,200 Macerich Co. ........................................... 12,900 254,775 Manufactured Home Communities, Inc. .................... 18,300 311,100 Mark Centers Trust ..................................... 15,000 196,875 McArthur/Glen Realty Corp. ............................. 17,200 240,800 Merry Land & Investment Co., Inc. ...................... 25,100 467,488 Mid-America Apartment Communities, Inc. ................ 9,500 232,750 Mid-America Realty Investments, Inc. ................... 7,400 53,650 Mid-Atlantic Realty Trust .............................. 5,600 43,400 *Mills Corp. ............................................ 15,200 283,100 Monmouth Real Estate Investment Corp. Class A .......... 2,400 12,900 National Golf Properties, Inc. ......................... 9,500 172,188 National Income Realty Trust ........................... 2,299 27,301 New Plan Realty Trust .................................. 65,100 1,293,863 Oasis Residential, Inc. ................................ 13,900 274,525 One Liberty Properties, Inc. ........................... 1,200 12,750 Oriole Homes Corp. Class B ............................. 2,100 13,913 PS Business Parks, Inc. Class A ........................ 400 5,900 *Pacific Gateway Properties, Inc. ....................... 3,400 12,113 Pacific Gulf Properties, Inc. .......................... 5,000 71,875 Paragon Group, Inc. .................................... 15,600 282,750 Parkway Co. ............................................ 1,500 20,625 Partners Preferred Yield II, Inc. Class A .............. 2,900 37,700 Partners Preferred Yield III, Inc. Class A ............. 1,300 19,175 Partners Preferred Yield, Inc. Class A ................. 3,200 40,800 Pennsylvania Real Estate Investment Trust .............. 7,700 140,525 Post Properties, Inc. .................................. 15,400 444,675 Presidential Realty Corp. (New) Class B ................ 2,700 21,600 Price Real Estate Investment Trust, Inc. Class B ....... 7,300 204,856 Prime Retail, Inc. ..................................... 10,500 136,500 Property Capital Trust ................................. 8,100 49,613
64 THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Shares Value+ -------- ------------ Property Trust of America ................................. 68,200 $ 1,108,250 Public Storage Properties VI, Inc. Class A ............... 2,400 57,300 Public Storage Properties VII, Inc. Class A................ 3,400 54,400 Public Storage Properties IX, Inc. Class A ................ 1,700 29,325 Public Storage Properties X, Inc. Class A ................ 1,700 29,963 Public Storage Properties XI, Inc. Class A ............... 1,700 27,200 Public Storage Properties XII, Inc. Class A ............... 1,700 26,563 Public Storage Properties XIV, Inc. Class A ............... 2,100 33,338 Public Storage Properties XV, Inc. Class A . ............. 2,100 34,125 Public Storage Properties XVI, Inc. Class A ............... 3,000 41,813 Public Storage Properties XVII, Inc. Class A .............. 3,000 45,375 Public Storage Properties XVIII, Inc. Class A ............. 3,100 45,725 Public Storage Properties XIX, Inc. Class A ............... 2,900 35,163 Public Storage Properties XX, Inc. Class A ............... 900 11,925 ROC Communities, Inc. ..................................... 10,400 201,500 Real Estate Investment Trust CA ........................... 8,300 132,800 Regency Realty Corp. ...................................... 5,700 87,638 Saul Centers, Inc. ........................................ 10,600 153,700 Security Capital Industrial Trust ......................... 18,700 289,850 Shurgard Storage Centers, Inc. Class A .................... 15,100 285,013 Simon Property Group, Inc. ................................ 43,495 1,027,569 Sizeler Properties Investors, Inc. ........................ 8,000 90,000 Smith (Charles E.) Residential Realty, Inc. ............... 8,100 193,388 South West Property Trust, Inc. ........................... 13,800 155,250 Spieker Properties, Inc. .................................. 18,300 361,425 Storage Equities, Inc. .................................... 21,300 287,550 Storage USA, Inc. ......................................... 10,000 251,875 Summit Properties, Inc. ................................... 11,100 183,150 Sun Communities, Inc. ..................................... 9,500 200,688 Tanger Factory Outlet Centers, Inc. ....................... 7,000 154,875 Town & Country Trust ...................................... 13,900 180,700 Trinet Corporate Realty Trust, Inc. ....................... 8,300 212,688 Tucker Properties Corp. ................................... 10,000 125,000 United Dominion Realty Trust, Inc. ........................ 73,100 959,438 Urban Shopping Centers, Inc. .............................. 12,300 239,850 Vornado Realty Trust ...................................... 19,400 611,100 Walden Residential Properties, Inc. ....................... 7,700 137,638 Washington Real Estate Investment Trust ................... 40,400 646,400 Weeks Corp. ............................................... 8,400 159,600 Weingarten Realty Investors ............................... 23,700 782,100 Wellsford Residential Property Trust ...................... 8,200 153,750 Western Investment Real Estate Trust ...................... 15,000 183,750 ------------------ TOTAL COMMON STOCKS (Cost $32,387,007) ...................................... 29,306,895 ------------------
Face Amount -------- (000) TEMPORARY CASH INVESTMENTS - (3.7%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $1,130,000) ........................................ $1,130 1,130,000 ------------- TOTAL INVESTMENTS - (100.0%) (Cost $33,517,007) ........... $30,436,895 =============
- ------ +See Note B to Financial Statements. *Non-Income Producing Securities. See accompanying Notes to Financial Statements 65 SCHEDULE OF INVESTMENTS THE JAPANESE SMALL COMPANY PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ COMMON STOCKS -- (93.4%) *ASK Corp., Yokohama ................................... 52,000 $ 270,916 Achilles Corp. ........................................ 181,000 770,875 Aica Kogyo Co., Ltd. .................................. 82,000 555,792 Aichi Corp. ........................................... 44,000 467,375 #Aichi Machine Industry Co., Ltd. ...................... 101,000 662,094 Aichi Tokei Denki Co., Ltd. ........................... 53,000 310,976 #Aida Engineering, Ltd. ................................ 104,000 925,847 *Akai Electric Co., Ltd. ............................... 86,000 327,992 #Akebono Brake Industry Co., Ltd. ...................... 100,000 618,108 #Alpine Electronics, Inc. .............................. 51,000 1,031,866 Amada Metrecs Co., Ltd. ............................... 13,000 219,626 #Amada Sonoike Co., Ltd. ............................... 101,000 882,792 *Amada Wasino Co., Ltd. ................................ 97,000 480,830 Ando Corp. ............................................ 98,000 555,185 Aomori Bank, Ltd. ..................................... 85,000 494,436 Arai-Gumi, Ltd. ....................................... 36,600 499,848 Araya Industrial Co., Ltd. ............................ 55,000 236,469 #Asahi Denka Kogyo KK .................................. 82,000 639,575 Asahi Kogyosha Co., Ltd. .............................. 40,000 291,351 *Asahi Optical Co., Ltd. ............................... 137,000 651,391 #Asahi Organic Chemicals Industry Co., Ltd. ........... 115,000 965,604 #Asahi Tec Corp. ....................................... 67,000 640,516 Asanuma Corp. ......................................... 96,000 503,065 *Ashimori Industry Co., Ltd. ........................... 67,000 441,244 Asics Corp. ........................................... 246,000 923,278 Bando Chemical Industries, Ltd. ....................... 141,000 731,745 Bank of Ikeda, Ltd. ................................... 7,100 507,810 Bank of Iwate, Ltd. ................................... 14,900 836,571 Bank of Okinawa, Ltd. ................................. 11,900 619,980 *Bank of Osaka, Ltd. ................................... 148,000 594,396 Bank of Saga, Ltd. .................................... 75,000 557,663 Bank of the Ryukyus, Ltd. ............................. 12,600 681,942 Bunka Shutter Co., Ltd. ............................... 86,000 657,724 #CKD Corp. ............................................. 68,000 687,911 CMK Corp. ............................................. 59,000 1,038,543 Cabin Co., Ltd. ....................................... 53,000 432,150 Calpis Food Industry Co., Ltd. ........................ 90,000 786,646 #Calsonic Corp. ........................................ 135,000 1,102,124 *Central Finance Co., Ltd. ............................. 136,000 588,852 *Central Glass Co., Ltd. ............................... 255,000 1,060,243 *Chichibu Onoda Cement Corp. ........................... 115,500 662,504 Chino Corp. ........................................... 54,000 356,176 *Chisan Tokan Co., Ltd. ................................ 51,000 196,055 *#Chori Co., Ltd. ....................................... 109,000 417,916 *#Chuetsu Pulp and Paper Co., Ltd. ..................... 134,000 756,419 Chugai Ro Co., Ltd. ................................... 60,000 291,351 #Chugoku Marine Paints, Ltd. ........................... 91,000 487,911 Chugokukogyo Co., Ltd. ................................ 38,000 165,301 Chukyo Coca-Cola Bottling Co., Ltd. .................. 54,000 589,985 Chukyo Sogo Bank, Ltd. ................................ 159,000 1,027,830 Chuo Paperboard Co., Ltd. ............................. 48,000 193,263 Chuo Spring Co., Ltd., Nagoya ......................... 72,000 478,543 *#Clarion Co., Ltd. ..................................... 178,000 857,137 Cleanup Corp. ......................................... 56,000 855,438 *Co-Op Chemical Co., Ltd. .............................. 64,000 249,267 *Copal Co., Ltd. ....................................... 60,000 288,923
66 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ *D'urban, Inc. ......................................... 89,000 $ 341,234 Dai Nippon Construction ............................... 63,000 423,824 Dai Nippon Toryo, Ltd. ................................ 144,000 581,244 Dai-Ichi Hotel, Ltd., Tokyo ........................... 41,000 352,554 *Dai-Ichi Katei Denki Co., Ltd. ........................ 73,000 370,723 Dai-Ichi Kogyo Seiyaku Co., Ltd. ...................... 39,000 248,164 *Dai-Ichi Securities Co., Ltd. ......................... 174,000 741,062 Daido Concrete Co., Ltd. .............................. 24,000 122,367 #Daido Hoxan, Inc. ..................................... 70,000 424,178 #Daido Kogyo Co., Ltd. ................................. 51,000 283,247 Daido Steel Sheet Corp. ............................... 53,000 225,190 Daidoh, Ltd. .......................................... 43,000 352,352 Daiei OMC, Inc. ....................................... 125,000 858,624 #Daihen Corp. .......................................... 159,000 805,857 Daiho Corp. ........................................... 70,000 552,352 Daiichi Cement Co., Ltd. .............................. 25,000 134,041 *#Daiichi Chuo Kisen Kaisha ............................. 208,000 719,636 Daiichi Jitsugyo Co., Ltd. ............................ 64,000 401,416 Daimei Telecom Engineering Corp. ..................... 37,000 437,936 Dainichi-Seika Colour & Chemi cals Manufacturing Co., Ltd. ................................................. 103,000 774,193 #Daio Paper Corp. ...................................... 82,000 1,045,220 Daisan Sogo Bank, Ltd. ................................ 166,000 1,031,098 Daiso Co., Ltd. ....................................... 46,000 222,438 #Daisue Construction Co., Ltd. ......................... 140,000 563,682 Daito Kogyo Co., Ltd. ................................. 51,000 227,011 *#Daito Woolen Spinning & Weaving Co., Ltd., Tokyo ..... 33,000 211,320 *Daiwa Danchi Co., Ltd. ................................ 134,000 664,239 #Daiwa Seiko, Inc. ..................................... 107,000 649,469 *Daiwa Spinning Co., Ltd. .............................. 174,000 492,868 Dantani Corp. ......................................... 51,000 288,407 Danto Corp. ........................................... 28,000 351,239 Denki Kogyo Co., Ltd. ................................. 80,000 833,586 Descente, Ltd. ........................................ 88,000 535,033 Diamond Lease Co., Ltd. ............................... 33,000 550,835 *Dijet Industrial Co., Ltd. ............................ 27,000 124,279 Dynic Corp. ........................................... 43,000 224,026 Ehime Bank, Ltd. ...................................... 154,000 886,454 *Enshu, Ltd. ........................................... 53,000 190,875 *FDK Corp. ............................................. 73,000 555,346 First Baking Co., Ltd. ................................ 55,000 334,396 France Bed Co., Ltd. .................................. 126,000 943,247 Fudo Construction Co., Ltd. ........................... 138,000 752,473 #Fuji-Tec Co., Ltd. .................................... 75,900 883,005 Fuji Car Manufacturing Co., Ltd. ...................... 26,000 118,361 Fuji Denki Reiki Co., Ltd. ............................ 51,000 768,741 Fuji Express Co., Ltd. ................................ 135,000 674,659 *#Fuji Kosan Co., Ltd. .................................. 97,000 354,244 #Fuji Oil Co., Ltd. .................................... 101,000 869,509 #Fuji Spinning Co., Ltd., Tokyo ........................ 124,000 615,923 *Fujii & Co., Ltd. ..................................... 32,000 137,582 #Fujiko Co., Ltd. ...................................... 48,000 213,657 Fujirebio, Inc. ....................................... 49,000 479,342 *#Fujitsu General, Ltd. ................................. 115,000 930,703 Fujiya Co., Ltd. ...................................... 145,000 758,371 #Fukuda Corp. .......................................... 52,000 662,822 Fukutoku Bank, Ltd. ................................... 177,000 601,639 *#Furukawa Battery Co., Ltd. ............................ 37,000 209,611
67 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ *Futaba Industrial Co., Ltd. ........................... 21,000 $435,508 *Ga-jo-en Kanko K.K. ................................... 37,000 67,749 *Gakken Co., Ltd. ...................................... 117,000 878,240 #Gastec Service, Inc. .................................. 34,000 259,686 *Godo Shusei Co., Ltd. ................................. 57,000 289,469 *Graphtec Corp. ........................................ 33,000 302,124 Gun-Ei Chemical Industry Co., Ltd. ................... 126,000 627,132 Gunze Sangyo, Inc., Tokyo ............................. 72,000 369,287 #Hakone Tozan Railway Co., Ltd. ........................ 46,000 241,517 Hakuyosha Co., Ltd. ................................... 44,000 294,224 Hanshin Sogo Bank, Ltd. ............................... 67,000 308,397 #Harima Chemicals, Inc. ................................ 29,000 283,106 *Hayashikane Sangyo Co., Ltd. .......................... 96,000 280,668 Higashi-Nippon Bank, Ltd. ............................. 19,000 148,002 Hisaka Works, Ltd. .................................... 38,000 534,345 Hisamitsu Pharmaceutical Co., Inc. ................... 52,000 399,798 #Hitachi Electric, Ltd. ................................ 65,000 960,040 Hitachi Plant Engineering & Construction Co., Ltd. ... 135,000 928,680 Hitachi Sales Corp. ................................... 135,000 901,366 *#Hitachi Seiki Co., Ltd. ............................... 113,000 652,736 Hochiki Corp. ......................................... 32,000 378,756 *Hodogaya Chemical Co., Ltd. ........................... 74,000 223,834 *Hohsui Corp. .......................................... 41,000 138,118 Hokkai Can Co., Ltd., Tokyo ........................... 76,000 711,179 #Hokkaido Gas Co., Ltd. ................................ 65,000 323,520 Hokko Chemical Industry Co., Ltd. .................... 34,000 206,373 *#Hoko Fishing Co., Ltd. ................................ 64,000 220,132 #Hokuetsu Paper Mills, Ltd. ............................ 77,000 658,220 *#Hokuriku Electric Industry Co., Ltd. ................. 89,000 442,974 #Hokuriku Seiyaku Co., Ltd. ............................ 56,000 946,080 #Honen Corp. ........................................... 98,000 551,219 Horiba, Ltd. .......................................... 35,000 577,137 #Howa Machinery Co., Ltd. .............................. 140,000 539,605 #Ibiden Co., Ltd. ...................................... 124,000 959,636 #Ichida and Co., Ltd. .................................. 61,000 364,087 Ichikawa Co., Ltd. .................................... 39,000 185,432 Ichiken Co., Ltd. ..................................... 40,000 623,166 #Ichikoh Industries, Ltd. .............................. 109,000 485,180 Ihara Chemical Industry Co., Ltd. ..................... 60,000 472,231 *Iino Kaiun Kaisha, Ltd. ............................... 127,000 855,660 Ikegai Corp. .......................................... 69,000 254,780 Ikegami Tsushinki Co., Ltd. ........................... 67,000 630,349 Inabata and Co., Ltd., Osaka .......................... 63,000 499,666 Inageya Co., Ltd. ..................................... 10,000 176,024 *Ines Corp. ............................................ 56,000 628,832 Intec, Inc. ........................................... 32,000 459,686 *Inui Steamship Co., Ltd. .............................. 25,000 99,899 *#Iseki & Co., Ltd. ..................................... 210,000 786,039 Ishii Iron Works Co., Ltd. ............................ 43,000 220,981 Ishikawa Seisakusho, Ltd. ............................. 55,000 227,011 Ishizuka Glass Co., Ltd. .............................. 39,000 295,114 Itochu Fuel Corp. ..................................... 66,000 658,998 Itoki Crebio Corp. .................................... 46,000 465,352 Iwasaki Electric Co., Ltd. ............................ 72,000 399,879 Iwata Air Compressor Manufacturing Co., Ltd. ......... 55,000 273,192 *Iwatsu Electric Co., Ltd. ............................. 112,000 592,575 Izutsuya Co., Ltd. .................................... 90,000 435,205 #JDC Corp. ............................................. 203,000 922,074
68 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ *#Janome Sewing Machine Co., Ltd. ...................... 170,000 $515,933 Japan Aircraft Manufacturing Co., Ltd. ............... 56,000 397,127 *#Japan Aviation Electronics Industry, Ltd. ............ 106,000 754,922 *Japan Carlit Co., Ltd. ................................ 22,000 163,581 *Japan Coated Paper Manufacturing Co., Ltd. ........... 100,000 451,189 *#Japan Metals & Chemicals Co., Ltd. ................... 156,000 800,121 Japan Oil Transportation Co., Ltd. ................... 34,000 236,985 Japan Paper Industry Co., Ltd. ........................ 71,000 368,467 Japan Pulp and Paper Co., Ltd. ........................ 161,000 977,238 Japan Transcity Corp. ................................. 67,000 413,455 Japan Vilene Co., Ltd. ................................ 81,000 562,944 Japan Wool Textile Co., Ltd. .......................... 54,000 622,762 *#Jeol, Ltd. ............................................ 74,000 541,244 Joban Kosan Co., Ltd. ................................. 81,000 417,906 Joshin Denki Co., Ltd. ................................ 64,000 815,781 *Jujiya Co., Ltd. ...................................... 89,000 366,444 #Juken Sangyo Co., Ltd. ................................ 56,000 651,492 Juki Corp. ............................................ 116,000 456,490 Kagawa Sogo Bank, Ltd. ................................ 61,000 660,293 #Kagome Co., Ltd. ...................................... 65,000 756,196 Kakuei Corp. .......................................... 77,000 282,762 #Kamei Corp. ........................................... 43,000 535,053 Kanaden Corp. ......................................... 39,000 327,466 Kanagawa Chuo Kotsu Co., Ltd. ......................... 65,000 473,445 *Kanematsu-NNK Corp. ................................... 43,000 187,051 *Kansai Kisen Kaisha ................................... 145,000 387,253 #Kansei Corp. .......................................... 54,000 508,042 Kanto Auto Works, Ltd., Yokosuka ..................... 78,000 534,203 Kanto Bank, Ltd. ...................................... 10,200 372,504 *#Kanto Denka Kogyo Co., Ltd. ........................... 63,000 305,918 Kanto Natural Gas Development Co., Ltd. .............. 68,000 550,329 *#Kanto Special Steel Works, Ltd. ....................... 58,000 230,005 Kasho Co., Ltd., Tokyo ................................ 36,000 364,188 #Kasumi Co., Ltd. ...................................... 62,000 551,947 Katakura Industries Co., Ltd. ......................... 39,000 465,554 Kato Works Co., Ltd. .................................. 65,000 422,155 #Katsumura Construction Co., Ltd. ..................... 29,600 171,282 Kawada Industries, Inc. ............................... 60,000 637,329 Kawai Musical Instruments Manufacturing Co., Ltd. .... 79,000 337,258 Kawashima Textile Manufacturers, Ltd. ................ 99,000 423,642 *Kawasho Corp. ......................................... 138,000 632,413 Keihin Co., Ltd. ...................................... 78,000 418,998 Keiyo Co., Ltd. ....................................... 51,000 737,785 #Kimura Chemical Plants Co., Ltd. ..................... 21,000 101,760 #Kinki Nippon Tourist Co., Ltd. ........................ 77,000 751,694 Kinki Sharyo Co., Ltd., Nagaokakyo ................... 70,000 357,613 #Kinmon Manufacturing Co., Ltd. ........................ 36,000 209,408 Kinseki, Ltd. ......................................... 36,000 630,046 *#Kinsho Mataichi Corp. ................................. 36,000 222,883 *Kinugawa Rubber Industrial Co., Ltd. ................. 68,000 275,164 *#Kioritz Corp. ......................................... 68,000 251,088
69 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ Kita-Nippon Bank, Ltd. ................................ 6,900 $ 378,331 Kitagawa Iron Works Co., Ltd. ......................... 94,000 423,166 Kitano Construction Corp. ............................. 88,000 672,129 Kitz Corp. ............................................ 155,000 788,720 #Koa Corp. ............................................. 47,000 708,447 Koa Oil Co., Ltd. ..................................... 65,000 462,266 Koatsu Gas Kogyo Co., Ltd. ............................ 63,000 376,662 *#Kobe Kiito Co., Ltd. .................................. 45,000 194,385 Kokusai Kogyo Co., Ltd. ............................... 41,000 423,065 Komai Tekko, Inc. ..................................... 36,000 304,461 Komatsu Construction Co., Ltd. ........................ 21,000 107,284 Komatsu Forklift Co., Ltd. ............................ 101,000 820,465 #Komatsu Seiren Co., Ltd. .............................. 27,000 374,203 Komatsu Zenoah Co., Ltd. .............................. 59,000 321,710 #Konami Co., Ltd. ...................................... 38,200 823,126 Kosei Securities Co., Ltd. ............................ 107,000 586,687 *Krosaki Corp. ......................................... 67,000 272,473 #Kumiai Chemical Industry Co., Ltd., Tokyo ............ 97,000 570,126 Kurabo Industries, Ltd. ............................... 66,000 277,754 #Kyodo Printing Co., Ltd. .............................. 67,000 725,240 Kyodo Shiryo Co., Ltd. ................................ 119,000 482,742 Kyoei Tanker Co., Ltd. ................................ 40,000 162,671 *#Kyokuyo Co., Ltd. ..................................... 117,000 443,854 #Kyosan Electric Manufacturing Co., Ltd. .............. 70,000 552,352 *Kyotaru Co., Ltd. ..................................... 53,000 403,197 #Kyowa Exeo Corp. ...................................... 55,200 586,343 #Kyowa Leather Cloth Co., Ltd. ......................... 25,000 341,426 Kyushu Bank, Ltd. ..................................... 108,000 524,431 Life Corp. ............................................ 61,000 442,458 #Lintec Corp. .......................................... 45,000 755,690 #Magara Construction Co., Ltd. ......................... 49,000 406,474 *Makino Milling Machine Co., Ltd. ...................... 108,000 962,549 Maruei Department Store Co., Ltd. .................... 55,000 339,403 *Maruman Securities Co., Ltd. .......................... 80,000 454,831 Marusan Securities Co., Ltd. .......................... 88,000 827,921 Maruyama Manufacturing Co., Inc. ..................... 58,000 299,241 #Maruzen Co., Ltd. ..................................... 116,000 763,945 #Maruzen Showa Unyu Co., Ltd. .......................... 116,000 628,993 Matsui Construction Co., Ltd. ......................... 29,000 251,421 Matsuo Bridge Co., Ltd. ............................... 30,000 224,583 Matsuya Co., Ltd. ..................................... 61,000 394,942 *#Meiji Shipping Co., Ltd. .............................. 41,000 228,123 Meisei Industrial Co., Ltd. ........................... 29,000 288,973 Meito Sangyo Co., Ltd. ................................ 28,000 376,732 *#Meiwa Trading Co., Ltd. ............................... 48,000 203,945 Mercian Corp. ......................................... 65,000 432,018 Michinoku Bank, Ltd. .................................. 77,000 597,461 Mikuni Coca-Cola Bottling Co., Ltd. .................. 70,000 948,912 #Misawa Resort Co., Ltd. ............................... 23,000 237,329 #Mitsuba Electric Manufacturing Co., Ltd. ............. 38,000 453,617 Mitsubishi Chemical Machinery Manufacturing Co. ...... 91,000 1,012,645 Mitsubishi Pencil Co., Ltd. ........................... 39,000 394,537 #Mitsubishi Plastics, Inc. ............................. 39,000 179,514 *#Mitsubishi Shindoh Co., Ltd. .......................... 60,000 321,700 *Mitsubishi Steel Manufacturing Co., Ltd. ............. 165,000 794,537 Mitsuboshi Belting, Ltd. .............................. 119,000 787,314 Mitsui Construction Co., Ltd. ......................... 239,000 945,362
70 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ Mitsui High-Tec, Inc. ................................. 35,000 $ 973,698 Mitsui Matsushima Co., Ltd. ........................... 74,000 320,405 *Mitsui Mining Co., Ltd. ............................... 174,000 862,519 Mitsui Sugar Co., Ltd. ................................ 93,000 423,369 #Mitsumi Electric Co., Ltd. ............................ 59,000 793,829 Mitsuuroko Co., Ltd. .................................. 78,000 662,822 #Miyaji Iron Works Co. Ltd. ............................ 72,000 404,249 *Miyakoshi Corp. ....................................... 18,000 52,807 Miyazaki Bank, Ltd. ................................... 124,000 900,678 Miyoshi Oil & Fat Co., Ltd. ........................... 96,000 482,671 Miyuki Woolen Textile Co., Ltd. ....................... 33,000 248,710 Morita Fire Pump Manufacturing Co., Ltd. ............. 35,000 246,788 Morozoff, Ltd., Osaka ................................. 39,000 207,132 Mory Industries, Inc. ................................. 49,000 394,082 Mutoh Industries, Ltd. ................................ 49,000 431,259 Mutow Co., Ltd. ....................................... 31,000 291,027 Nabco, Ltd. ........................................... 95,000 490,137 *Nachi Fujikoshi Corp. ................................. 202,000 827,618 Nagatanien Co., Ltd. .................................. 44,000 433,991 Naigai Co., Ltd. ...................................... 90,000 572,686 #Nakabayashi Co., Ltd. ................................. 35,000 300,253 Nakamuraya Co., Ltd. .................................. 66,000 415,296 #Nakano Corp. .......................................... 56,000 345,008 #Nakayama Steel Works Co. .............................. 134,000 1,015,336 Neturen Co., Ltd., Tokyo .............................. 45,000 332,322 #Nichia Steel Works, Ltd. .............................. 29,000 291,907 Nichias Corp. ......................................... 145,000 707,031 Nichiban Co., Ltd. .................................... 46,000 274,557 *Nichiboshin, Ltd. ..................................... 93,000 171,229 Nichicon Corp. ........................................ 30,000 430,956 Nichiei Construction Co., Ltd. ........................ 70,000 743,551 *Nichimo Co., Ltd. ..................................... 43,000 191,401 *Nichimo Corp. ......................................... 69,000 315,508 #Nichireki Co., Ltd. ................................... 35,000 364,694 *#Nichiro Corp. ......................................... 189,000 692,140 Nifco, Inc. ........................................... 62,000 922,003 *Nihon Kentetsu Co., Ltd. .............................. 23,000 191,725 #Nihon Kohden Corp. .................................... 50,000 536,166 Nihon Matai Co., Ltd. ................................. 37,000 288,214 Nihon Nohyaku Co., Ltd. ............................... 74,000 641,558 #Nihon Nosan Kogyo K.K. ................................ 150,000 638,847 Nihon Parkerizing Co., Ltd. ........................... 74,000 486,596 Nihon Spindle Manufacturing Co., Ltd. ................ 43,000 170,956 Niigata Chuo Bank, Ltd. ............................... 107,000 411,330 *Nikkatsu Corp. ........................................ 191,000 15,458 #Nikken Chemicals Co., Ltd. ............................ 83,000 758,209 Nikkiso Co., Ltd. ..................................... 84,000 690,015 Nikko Co., Ltd., Akashi ............................... 52,000 502,377 Nippon Beet Sugar Manufactur ing Co., Ltd. ............ 176,000 797,653 *Nippon Carbide Industries Co., Inc., Tokyo ........... 75,000 341,426 *#Nippon Carbon Co., Ltd. ............................... 132,000 496,753 *Nippon Chemi-Con Corp. ................................ 142,000 848,983 Nippon Chemical Industrial Co., Ltd. ................. 84,000 603,338 Nippon Chemiphar Co., Ltd. ............................ 42,000 348,407 *Nippon Columbia Co., Ltd. ............................. 81,000 550,653 #Nippon Concrete Industries Co., Ltd. ................. 50,000 328,781 Nippon Conlux Co., Ltd. ............................... 49,000 421,345 #Nippon Conveyor Co., Ltd. ............................. 33,000 191,958 Nippon Denko Co., Ltd. ................................ 130,000 531,310
71 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ Nippon Densetsu Kogyo Co., Ltd. ...................... 33,000 $ 417,299 *#Nippon Electric Industry Co., Ltd. ................... 44,000 211,431 Nippon Felt Co., Ltd. ................................. 20,000 118,361 Nippon Flour Mills Co., Ltd. .......................... 131,000 689,125 #Nippon Formula Feed Manufacturing Co., Ltd. .......... 80,000 392,514 #Nippon Gas Co., Ltd. .................................. 49,000 400,526 *Nippon Housing Loan Co., Ltd. ......................... 62,000 117,916 Nippon Hume Pipe Co., Ltd. ............................ 33,000 198,634 *Nippon Kasei Chemical Co., Ltd. ....................... 90,000 314,112 Nippon Kinzoku Co., Ltd. .............................. 75,000 386,191 Nippon Koei Co., Ltd., Tokyo .......................... 96,000 1,048,862 *Nippon Koshuha Steel Co., Ltd. ........................ 97,000 348,356 *Nippon Lace Co., Ltd. ................................. 20,000 74,254 #Nippon Metal Industry Co., Ltd. ....................... 187,000 817,238 Nippon Pipe Manufacturing Co., Ltd. .................. 29,000 176,024 #Nippon Piston Ring Co., Ltd. .......................... 88,000 471,826 Nippon Shinyaku Co., Ltd. ............................. 42,000 582,094 #Nippon Signal Co., Ltd. ............................... 69,000 725,948 *#Nippon Soda Co., Ltd. ................................. 98,000 594,841 *Nippon Steel Chemical Co., Ltd. ....................... 220,000 883,561 #Nippon Synthetic Chemical Industry Co., Ltd. ......... 101,000 556,854 Nippon Thompson Co., Ltd. ............................. 83,000 566,768 Nippon Trust Bank, Ltd. ............................... 38,000 154,922 Nippon Valqua Industries, Ltd. ........................ 98,000 424,320 *#Nippon Yakin Kogyo Co., Ltd. .......................... 158,000 885,503 *Nippon Yusoki Co., Ltd. ............................... 39,000 201,214 #Nissan Construction Co., Ltd. ......................... 98,000 531,391 Nissan Shatai Co., Ltd. ............................... 124,000 768,963 Nissha Printing Co., Ltd. ............................. 5,000 98,634 Nisshin Electric Co., Ltd. ............................ 124,000 935,802 Nissin Corp. .......................................... 113,000 571,573 Nittetsu Mining Co., Ltd. ............................. 96,000 896,388 *Nitto Boseki Co., Ltd. ................................ 284,000 807,324 Nitto Chemical Industry Co., Ltd. ..................... 88,000 391,705 #Nitto Flour Milling Co., Ltd. ......................... 43,000 317,552 *Nitto Seiko Co., Ltd. ................................. 25,000 115,579 *Nitto Seimo Co., Ltd. ................................. 25,000 111,280 Nittoc Construction Co., Ltd. ......................... 48,000 500,152 #Noritz Corp. .......................................... 40,000 760,749 North Pacific Bank, Ltd. .............................. 160,000 825,493 *#Nozaki and Co., Ltd. .................................. 48,000 206,373 O-M, Ltd. ............................................. 28,000 112,453 *#OKK Corp. ............................................. 78,000 304,583 OSG Manufacturing Co., Ltd. ........................... 111,000 757,967 Obayashi Road Corporation Co., Ltd. .................. 52,000 489,226 Odakyu Construction Co., Ltd. ......................... 23,000 179,393 #Odakyu Real Estate Co., Ltd. .......................... 49,000 239,919 *#Ohkura Electric Co., Ltd. ............................. 28,000 234,820 Oita Bank, Ltd. ....................................... 113,490 1,019,516 Okabe Co., Ltd. ....................................... 32,000 257,360 Okamura Corp. ......................................... 47,000 406,050 Oki Electric Cable Co., Ltd. .......................... 41,000 207,385 *Okuma Corp. ........................................... 78,000 728,316 *Okuma and Howa Machinery, Ltd. ....................... 55,000 233,131 Okura Industrial Co., Ltd. ............................ 74,000 603,379 *Okura and Co., Ltd. ................................... 112,000 478,139 *Ono Sokki Co., Ltd. ................................... 34,000 270,005 #Optec Dai-Ichi Denko Co., Ltd. ........................ 111,000 663,642
72 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ #Organo Corp. .......................................... 66,000 $ 694,385 Origin Electric Co., Ltd. ............................. 38,000 217,198 Osaka Oxygen Industries, Ltd. ......................... 56,000 212,443 Osaki Electric Co., Ltd. .............................. 42,000 336,935 Pacific Industrial Co., Ltd. .......................... 61,000 370,258 *#Pacific Metals Co., Ltd. .............................. 205,000 997,521 #Parco Co., Ltd. ....................................... 47,000 527,769 Pasco Corp. ........................................... 110,000 578,655 Pilot Corp. ........................................... 27,000 158,422 #Pokka Corp. ........................................... 35,000 467,375 *#Press Kogyo Co., Ltd. ................................. 114,000 589,317 #Prima Meat Packers, Ltd. .............................. 179,000 737,006 #Rasa Industries, Ltd. ................................. 71,000 436,702 Renown Look, Inc. ..................................... 39,000 329,439 Rheon Automatic Machinery Co., Ltd. .................. 32,000 437,026 #Rhythm Watch Co., Ltd. ................................ 166,000 616,308 #Riken Corp. ........................................... 111,000 643,429 #Riken Vinyl Industry Co., Ltd. ........................ 80,000 720,283 Rohto Pharmaceutical Co., Ltd. ........................ 50,000 427,921 Royal Co., Ltd. ....................................... 47,000 675,164 Ryobi, Ltd. ........................................... 147,000 858,058 Ryoden Trading Co., Ltd. .............................. 58,000 480,546 Ryoyo Electro Corp. ................................... 37,000 954,476 #SMK Corp. ............................................. 95,000 627,567 SS Pharmaceutical Co., Ltd., Tokyo ................... 68,000 543,450 #SXL Corp. ............................................. 95,000 953,364 Saeki Kensetsu Kogyo Co., Ltd. ........................ 58,000 254,648 Sagami Co., Ltd. ...................................... 47,000 319,039 #Sakai Chemical Industry Co., Ltd. .................... 120,000 801,214 Sakai Heavy Industries, Ltd. .......................... 49,000 322,205 #Sakai Ovex Co., Ltd. .................................. 67,000 420,233 Sakata Inx Corp. ...................................... 63,000 420,637 Sakurada Co., Ltd. .................................... 32,000 198,118 #San-Ai Oil Co., Ltd. .................................. 88,000 685,483 Sanden Corp. .......................................... 165,000 1,089,985 Sankei Building Co., Ltd. ............................. 63,000 513,687 Sanken Electric Co., Ltd. ............................. 100,000 930,703 Sanko Metal Industrial Co., Ltd., Tokyo .............. 44,000 263,510 *Sankyo Seiki Manufacturing Co., Ltd. ................. 99,000 696,055 #Sankyo Seiko Co., Ltd. ................................ 67,000 599,848 *#Sansui Electric Co., Ltd. ............................. 23,000 66,080 Sanyo Industries, Ltd., Tokyo ......................... 39,000 278,149 Sanyo Shokai, Ltd. .................................... 156,000 883,763 #Sanyo Special Steel Co., Ltd. ......................... 204,000 932,807 Sasaki Glass Co., Ltd. ................................ 49,000 206,707 Sasebo Heavy Industries Co., Ltd., Tokyo ............. 193,000 720,455 Sata Construction Co., Ltd., Gumma ................... 48,000 286,495 Sato Shoji Corp. ...................................... 24,000 191,806 *Sawafugji Electric Co., Ltd. .......................... 22,000 124,856 #Seika Corp. ........................................... 111,000 678,240 Seikitokyu Industries Co., Ltd. ....................... 68,000 372,848 #Seiren Co., Ltd. ...................................... 66,000 621,608 Seiyo Food Systems, Inc. .............................. 69,000 767,830 #Sekisui Jushi Co., Ltd. ............................... 56,000 793,121 Sekisui Plastics Co., Ltd. ............................ 117,000 711,351 Senko Co., Ltd. ....................................... 61,000 383,217 *Settsu Corp. .......................................... 251,000 1,028,376
73 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ #Shibaura Engineering Works Co., Ltd. ................. 37,000 $ 254,527 #Shibusawa Warehouse Co., Ltd. ......................... 91,000 627,840 Shibuya Kogyo Co., Ltd. ............................... 35,000 393,020 *Shikibo, Ltd. ......................................... 121,000 318,260 Shikoku Chemicals Corp. ............................... 71,000 362,721 Shimitzu Bank, Ltd. ................................... 10,700 833,485 #Shimura Kako Co., Ltd. ................................ 46,000 250,359 Shin-Etsu Polymer Co., Ltd. ........................... 94,000 538,230 #Shin-Kobe Electric Machinery Co., Ltd. ............... 58,000 416,591 #Shinagawa Fuel Co., Ltd. .............................. 95,000 916,844 Shinagawa Refractories Co., Ltd. ...................... 75,000 569,044 #Shindengen Electric Manufactur ing Co., Ltd. .......... 85,000 773,900 *#Shinko Electric Co., Ltd. ............................. 168,000 744,401 #Shinko Shoji Co., Ltd. ................................ 25,000 316,136 #Shinsho Corp. ......................................... 88,000 367,668 *Shintom Co., Ltd. ..................................... 43,000 367,577 Shinwa Bank, Ltd. ..................................... 149,000 1,038,553 *Shinwa Kaiun Kaisha, Ltd. ............................. 181,000 670,167 #Shinyei Kaisha ........................................ 44,000 218,108 #Shiroki Co., Ltd. ..................................... 99,000 527,800 #Sho-Bond Corp. ........................................ 32,600 867,355 #Shochiku Co., Ltd. .................................... 92,000 1,033,080 #Shoko Co., Ltd. ....................................... 125,000 542,489 *Shokusan Jutaku Sogo Co., Ltd. ........................ 127,000 494,638 Showa Aluminium Corp. ................................. 89,000 437,572 Showa Highpolymer Co., Ltd. ........................... 60,000 625,190 *Showa Line, Ltd. ...................................... 357,000 747,587 Showa Manufacturing Co., Ltd. ......................... 73,000 723,723 #Showa Sangyo Co., Ltd. ................................ 108,000 522,246 *#Silver Seiko, Ltd. .................................... 64,000 178,048 Sintokogio, Ltd., Nagoya .............................. 71,000 604,057 Sogo Co., Ltd. ........................................ 112,000 671,887 Sokkisha Co., Ltd. .................................... 31,000 423,369 #Sotetsu Rosen Co., Ltd. ............................... 30,000 254,932 #Star Micronics Co., Ltd. .............................. 36,000 331,411 Subaru Enterprise Co., Ltd. ........................... 27,000 236,267 Sumikim Bussan Kaisha, Ltd. ........................... 17,600 98,816 Sumisho Computer Service Corp. ....................... 38,000 511,280 *#Sumitomo Coal Mining Co., Ltd. ........................ 88,000 559,960 #Sumitomo Construction Co., Ltd. ....................... 236,000 954,982 Sumitomo Corporation's Leasing, Ltd. ................. 29,000 275,771 *#Sumitomo Osaka Cement Co., Ltd. Issue 94 ............. 138,000 631,017 Sumitomo Precision Products Co., Ltd., Amagasaki City 61,000 431,968 #Sumitomo Sieka Chemicals Co., Ltd. ................... 71,000 404,380 #Sumitomo Sitix Corp. .................................. 28,000 419,221 *#Sumitomo Special Metals Co., Ltd., Osaka ............. 48,000 733,232 Sumitomo Warehouse Co., Ltd. .......................... 90,000 624,583 Sun Telephone Co., Ltd. ............................... 52,000 368,235 #Sun Wave Corp. ........................................ 56,000 844,107 Suzutan Co., Ltd. ..................................... 16,000 157,491 *#TEC Corp. Issue 94 .................................... 55,000 267,071 TOC Co., Ltd. ......................................... 38,000 749,621 TYK Corp. ............................................. 55,000 280,981 Tabai Espec Corp. ..................................... 11,000 163,581 Tada Construction Co., Ltd. ........................... 23,000 117,501 Taihei Dengyo Kaisha, Ltd. ............................ 36,000 968,741
74 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ Taihei Kogyo Co., Ltd. ................................ 60,000 $ 344,158 *Taiheiyo Bank, Ltd. ................................... 68,000 255,215 *#Taiheiyo Kaiun Co., Ltd. .............................. 61,000 167,233 Taiheiyo Kouhatsu, Inc. ............................... 71,000 288,741 *Taiheiyo Securities Co., Ltd. ......................... 127,000 603,844 Taikisha, Ltd. ........................................ 42,000 688,316 Taisei Fire & Marine Insurance Co., Ltd. ............. 89,000 514,102 Taisei Rotec Corp. .................................... 99,000 790,197 Taito Co., Ltd. ....................................... 57,000 291,199 Taiyo Sanso Co., Ltd. ................................. 113,000 524,704 *Taka-Q Company, Ltd. .................................. 63,000 291,897 Takaoka Electric Manufacturing Co., Ltd., Tokyo ...... 114,000 648,134 Takara Co., Ltd. ...................................... 32,000 307,860 #Takasago International Corp. .......................... 115,000 910,926 *Takasaki Paper Manufacturing Co., Ltd. ............... 111,000 320,030 Takashima & Co., Ltd. ................................. 52,000 225,675 #Takiron Co., Ltd. ..................................... 86,000 603,784 Tamura Corp. .......................................... 73,000 545,746 *#Tamura Electric Works, Ltd. ........................... 58,000 538,634 Tatsuta Electric Wire & Cable Co., Ltd. .............. 84,000 420,637 *#Tayca Corp. ........................................... 59,000 235,761 *#Teac Corp. ............................................ 82,000 493,576 #Teijin Seiki Co., Ltd. ................................ 44,000 267,071 *#Teikoku Sen-I Co., Ltd. ............................... 26,000 124,411 Teikoku Tsushin Kogyo Co., Ltd. ....................... 57,000 389,226 #Teisan Co., Ltd. ...................................... 143,000 795,650 Tenma Corp. ........................................... 17,000 436,823 #Tesac Corp. ........................................... 68,000 285,483 Titan Kogyo Kabushiki Kaisha .......................... 30,000 196,965 Toa Doro Kogyo Co., Ltd. .............................. 68,000 467,779 Toa Wool Spinning & Weaving Co., Ltd. ................ 61,000 335,701 Tobu Store Co., Ltd. .................................. 58,000 428,326 Tochigi Fuji Industrial Co., Ltd. ..................... 41,000 481,133 Tochigi Sogo Bank, Ltd. ............................... 83,000 856,449 Toda Kogyo Corp. ...................................... 56,000 524,026 #Todentu Corp. ......................................... 45,000 405,159 Toei Co., Ltd. ........................................ 84,000 608,437 *Toho Rayon Co., Ltd. .................................. 101,000 424,026 Toho Real Estate Co., Ltd. ............................ 61,000 556,004 #Toho Zinc Co., Ltd. ................................... 123,000 522,610 #Tohto Suisan Co., Ltd. ................................ 45,000 225,341 #Tokai Carbon Co., Ltd. ................................ 236,000 1,002,731 Tokai Corp. ........................................... 80,000 566,515 *Tokai Kanko Co., Ltd. ................................. 114,000 213,354 *Tokai Kogyo Co., Ltd. ................................. 89,000 290,814 #Tokai Pulp Co., Ltd. .................................. 67,000 481,234 Tokai Rika Co., Ltd. .................................. 83,000 940,415 Tokai Senko K.K. Nagoya ............................... 41,000 261,305 Tokico, Ltd. .......................................... 147,000 753,961 *#Tokimec, Inc. ......................................... 66,000 327,162 #Tokin Corp. ........................................... 70,000 948,912 Toko Electric Corp. ................................... 33,000 225,341 #Toko, Inc. ............................................ 112,000 824,846 #Tokushu Paper Manufacturing Co., Ltd. ................ 56,000 674,153 Tokuyo City Bank, Ltd. ................................ 89,000 270,106 Tokyo Denki Komusho Co., Ltd. ......................... 40,000 505,817 Tokyo Machinery Works Co., Ltd. ...................... 80,000 615,073
75 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ Tokyo Nissan Auto Sales Co., Ltd. .................... 49,000 $436,216 Tokyo Rakutenchi Co., Ltd. ............................ 74,000 393,020 #Tokyo Rope Manufacturing Co., Ltd. ................... 113,000 618,442 Tokyo Securities Co., Ltd. ............................ 10,000 55,943 #Tokyo Seimitsu Co., Ltd. .............................. 37,000 467,881 Tokyo Tanabe Co., Ltd., Tokyo ......................... 76,000 624,299 #Tokyo Tekko Co., Ltd. ................................. 52,000 541,831 Tokyo Theatres Co., Inc., Tokyo ....................... 84,000 261,730 *#Tokyu Car Corp. ....................................... 138,000 823,672 Tokyu Store Chain Corp. ............................... 80,000 638,543 *Tokyu Tourist Corp. ................................... 31,000 127,324 #Toli Corp. ............................................ 76,000 607,385 Tomoe Corp. ........................................... 32,000 271,927 *Tomoegawa Paper Co., Ltd. ............................. 31,000 152,726 #Tomoku Co., Ltd. ...................................... 120,000 780,577 #Tonami Transportation Co., Ltd. ....................... 112,000 867,901 *#Topcon Corp. .......................................... 52,000 402,428 #Tophe Corp. ........................................... 26,000 158,604 Topre Corp. ........................................... 65,000 552,352 Topy Industries, Ltd. ................................. 75,000 364,188 Torishima Pump Manufacturing Co., Ltd., Osaka ........ 18,000 172,989 *Toshiba Ceramics Co., Ltd. ............................ 110,000 757,815 Toshiba Engineering & Construction Co., Ltd. ........ 83,000 837,977 Toshiba Machine Co., Ltd. ............................. 115,000 831,816 *Toshibo Tungaloy Co.,Ltd. ............................. 91,000 470,420 #Tosho Printing Co., Ltd. .............................. 58,000 339,727 *Tostem Viva Corp. ..................................... 40,000 428,933 Totenko Co., Ltd. ..................................... 26,000 140,192 Totetsu Kogyo Co., Ltd. ............................... 41,000 311,077 Totoku Electric Co., Ltd., Tokyo ...................... 50,000 412,241 *Towa Real Estate Development Co., Ltd. ............... 115,000 468,842 Toyama Chemicals Co., Ltd. ............................ 172,000 890,885 Toyo Aluminium K.K. ................................... 63,000 431,472 #Toyo Chemical Co., Ltd. ............................... 33,000 178,938 #Toyo Construction Co., Ltd. ........................... 199,000 907,931 Toyo Corp. ............................................ 31,000 307,334 *Toyo Electric Co., Ltd. ............................... 53,000 214,466 Toyo Kanetsu K.K. ..................................... 160,000 958,220 #Toyo Kohan Co., Ltd. .................................. 115,000 985,382 Toyo Radiator Co., Ltd. ............................... 83,000 413,111 Toyo Sanso Co., Ltd. .................................. 30,000 149,621 *Toyo Securities Co., Ltd. ............................. 90,000 387,860 Toyo Shutter Co., Ltd. ................................ 20,000 171,978 #Toyo Sugar Refining Co., Ltd. ......................... 52,000 186,222 *Toyo Tire & Rubber Co., Ltd. .......................... 196,000 882,347 *#Toyo Umpanki Co., Ltd. ................................ 106,000 509,358 Toyo Wharf & Warehouse Co., Ltd. ..................... 94,000 445,038 Toyoda Gosei Co., Ltd. ................................ 61,000 506,019 Toyoda Machine Works, Ltd. ............................ 116,000 945,837 Toyota Auto Body Co., Ltd. ............................ 96,000 922,610 Tsubakimoto Chain Co., Ltd. ........................... 48,000 264,643 Tsubakimoto Machinery & Engineering Co., Ltd. ....... 36,000 195,569 Tsubakimoto Precision Products Co., Ltd. ............. 53,000 895,397 Tsudakoma Corp. ....................................... 49,000 443,156
76 THE JAPANESE SMALL COMPANY PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ Tsugami Corp. ......................................... 99,000 $ 597,906 Tsukamoto Co., Ltd. ................................... 32,000 165,099 #Tsukishima Kikai Co., Ltd. ............................ 47,000 1,003,237 #Tsumura & Co., Inc. ................................... 80,000 898,331 #Tsurumi Manufacturing Co., Ltd. ....................... 31,000 404,552 #Tsutsunaka Plastic Industry Co., Ltd. ................ 55,000 612,038 Uchida Yoko Co., Ltd. ................................. 60,000 376,935 Ueki Corp. ............................................ 37,000 215,225 Unisia Jecs Corp. ..................................... 139,000 878,857 #Utoc Corp. ............................................ 33,000 183,613 #Wakachiku Construction Co., Ltd. ..................... 127,000 651,381 Wakamoto Pharmaceutical Co., Ltd. .................... 36,000 238,543 *#Yahagi Iron Co., Ltd. ................................. 33,000 97,481 Yamagata Bank, Ltd. ................................... 185,000 1,042,438 #Yamamura Glass Co., Ltd. .............................. 139,000 1,105,257 Yamatane Corp. ........................................ 92,000 739,909 *#Yamatane Securities Co., Ltd. ......................... 159,000 804,249 Yamato Kogyo Co., Ltd. ................................ 25,000 250,632 *#Yamazen Co., Ltd. ..................................... 105,000 519,423 #Yokogawa Bridge Corp. ................................. 48,000 660,395 *#Yokohama Matsuzakaya, Ltd. ............................ 21,000 86,039 Yokohama Reito Co., Ltd. .............................. 49,000 644,411 Yomeishu Seizo Co., Ltd. .............................. 37,000 329,388 #Yomiuri Land Co., Ltd. ................................ 100,000 885,180 Yondenko Corp. ........................................ 43,000 369,752 Yoshihara Oil Mill, Ltd. .............................. 27,000 163,885 #Yoshimoto Kogyo Co., Ltd. ............................. 16,000 224,987 #Yuasa Trading Co., Ltd. ............................... 124,000 707,496 *Yuken Kogyo Co., Ltd. ................................. 50,000 222,054 #Zenchiku Co., Ltd. .................................... 98,000 433,242 ------------------ (Cost $298,465,273) ................................... 325,222,687 ------------------ RIGHTS/WARRANTS -- (0.0%) *Shinwa Bank, Ltd. Rights 01/18/95 (Cost $0) ...................................... 21,750 73,490 ------------------ INVESTMENT IN CURRENCY -- (2.8%) *Japanese Yen (Cost $9,793,656) ........................................ 9,723,813 ------------------ Face Amount --------- (000) TEMPORARY CASH INVESTMENTS -- (3.8%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U. S. Treasury Bill 5.55%, 02/09/95) (Cost $13,330,000) ..................... $13,330 13,330,000 ------------------ TOTAL INVESTMENTS -- (100.0%) (Cost $321,588,929) .................... $348,349,990 ==================
- ------ + See Note B to Financial Statements. * Non-Income Producing Securities # Securities on loan See accompanying Notes to Financial Statements 77 SCHEDULE OF INVESTMENTS THE PACIFIC RIM SMALL COMPANY PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ MALAYSIA - (26.9%) COMMON STOCKS - (26.7%) ALCOM (Aluminium Co. of Malaysia) ............................................ 139,000 $187,110 Acidchem (Malaysia) Behard ............................. 75,850 198,863 Actacorp Holdings Berhad ............................... 39,000 89,278 *Advance Synergy Berhad ................................. 217,000 522,227 Ajinomoto (Malaysia) Berhad ............................ 44,000 117,942 Amalgamated Industrial Steel Berhad ................... 125,000 249,462 *Anakku Corp. Berhad .................................... 10,000 26,609 *Anson Perdana Berhad ................................... 77,000 124,140 Antah Holding Berhad ................................... 280,000 243,240 Arab Malaysia Development Berhad ...................... 710,000 597,339 Arab-Malaysia Corp. Berhad ............................. 261,000 781,315 Arensi Holdings Berhad ................................. 22,000 49,501 Asia Pacific Land Berhad ............................... 602,100 473,575 *Austral Amalgamated Tin Berhad ......................... 47,000 134,259 Austral Enterprises Berhad ............................. 96,000 304,285 Autoways Holdings Berhad ............................... 10,000 31,696 Ayer Hitam Planting Syndicate Berhad ............................................... 50,000 328,703 *Ayer Hitam Tin Dredging Malaysia Berhad ............................................... 24,000 45,831 Ayer Molek Rubber Co. Berhad ........................... 1,000 66,132 Ban Hin Lee Bank Berhad ................................ 47,000 154,490 Bandar Raya Development Berhad ............................................... 354,000 631,673 Batu Kawan Berhad ...................................... 236,000 554,099 Benta Plantations Berhad ............................... 100,100 119,078 Berjaya Group Berhad ................................... 619,000 838,090 Berjaya Industrial Berhad .............................. 614,000 543,001 Berjaya Leisure Berhad ................................. 500,000 555,664 Berjaya Textile Berhad ................................. 78,000 305,224 *Berjuntai Tin Dredging Berhad .......................... 36,000 200,039 Binaan Setega Berhad ................................... 32,000 63,236 Bolton Properties Berhad ............................... 150,000 234,788 Bukit Katil Rubber Estates Berhad ...................... 7,000 106,828 C.I. Holdings Berhad ................................... 64,000 249,188 Carlsberg Brewery Malaysia Berhad ..................... 124,250 563,999 Cement Industries of Malaysia Berhad .................. 160,000 504,011 Cement Manufacturers Sarawak Berhad .................... 73,500 327,881 Chemical Company of Malaysia Berhad .................... 106,000 369,165 Chew Piau Berhad ....................................... 14,000 39,718 Chin Teck Plantations Berhad ........................... 66,000 253,101 Chocolate Products (Malaysia) Berhad .................. 136,000 118,145 Cold Storage (Malaysia) Berhad ......................... 90,000 155,664 Computer Forms (M) Berhad .............................. 16,000 39,444 Concrete Engineering Products Berhad .................. 16,000 28,488 Cycle and Carriage Bintang Berhad ..................... 117,000 414,342 DNP Holdings ........................................... 185,000 237,449
78 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Daibochi Plastic and Packaging Industry Berhad ......... 32,200 $ 45,361 Dataprep Holdings Berhad ............................... 31,000 60,411 *Denko Industrial Corp. Berhad .......................... 16,000 24,543 Dutch Baby Milk Industry (Malaysia) Berhad .................................... 19,000 127,881 East Asiatic Company (Malaysia) Berhad ............................................... 377,000 678,615 Eastern & Oriental Berhad .............................. 27,000 68,675 *FACB Berhad ............................................ 696,000 427,595 *FAP (FA Penisular) Berhad .............................. 84,000 102,555 FCW Holdings Berhad .................................... 70,000 435,531 Far East Holdings Berhad ............................... 66,000 134,299 Federal Flour Mills Berhad ............................. 217,000 594,404 Fima Corp. Berhad ...................................... 34,000 86,480 Gadek (Malaysia) Berhad ................................ 63,000 382,117 *General Corp. Behard ................................... 386,000 367,044 George Kent (Malaysia) Berhad .......................... 102,500 236,646 George Town Holdings Berhad ............................ 49,000 136,138 Glenealy Plantations (Malaysia) Berhad ............................................... 76,000 318,216 Goh Ban Huat Berhad .................................... 67,000 169,106 Gold Coin (Malaysia) Berhad ............................ 46,000 120,603 Golden Frontier Berhad ................................. 29,000 46,527 Golden Plus Holdings Berhad ............................ 160,000 644,884 Gopeng Berhad .......................................... 21,000 36,322 *Gopeng Berhad 'A' ...................................... 73,500 112,745 Guinness Anchor Berhad ................................. 368,000 619,213 *Gula Perak Berhad ...................................... 60,000 81,706 Guthrie Ropel Berhad ................................... 142,000 250,049 Hexza Corp. Berhad ..................................... 163,000 160,736 Hil Industries Berhad .................................. 11,000 21,092 Ho Hup Construction Co. Berhad ......................... 71,000 288,945 Hock Hua Bank Berhad ................................... 148,000 437,253 Hospital Pantai Berhad ................................. 28,500 51,301 IGB Corp. Berhad ....................................... 561,000 515,887 IJM Corp. Berhad ....................................... 96,000 349,364 Inchcape Timuran Berhad ................................ 50,000 131,090 *Innovest Berhad ........................................ 220,000 121,385 *Insas Berhad ........................................... 376,000 425,216 Island & Peninsular Berhad ............................. 139,000 369,869 Jaya Netting Industries Berhad ......................... 18,000 24,371 Johan Holdings Berhad .................................. 374,000 367,341 Kampong Lanjut Tin Dredging Berhad ............................................... 28,000 115,046 Kanzen Berhard ......................................... 93,000 156,486 Keck Seng (Malaysia) Berhad ............................ 193,000 370,065 Kedah Cement Holdings Berhad ........................... 355,000 508,433 Kelang Container Terminal Berhad ....................... 152,000 404,461 Kemayan Corp. Berhad ................................... 301,000 482,919 Kentucky Fried Chicken Holding (Malaysia) Berhad .................................... 114,000 753,903 Khong Guan Holdings (Malaysia) Berhad ............................................... 21,000 143,807 Kian Joo Can Factory Berhad ............................ 141,000 521,405 Kluang Rubber Co. (M) Berhad ........................... 2,000 104,872 Kretan Sidim Holdings .................................. 97,500 299,501 Kuala Sidim Rubber Company Berhad ..................... 109,000 238,857 Kuantan Flour Mills Berhad ............................. 19,000 43,494
79 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Kulim Malaysia Berhad .................................. 220,200 $ 317,095 Kumpulan Belton Berhad ................................. 21,000 34,514 *Kumpulan Emas Berhad ................................... 134,000 142,626 Kwong Onn Industries Berhad ............................ 62,000 84,915 Lam Soon Huat Development Berhad ............................................... 52,700 200,035 Larut Consolidated Berhad .............................. 145,000 248,523 Leisure Management Berhad .............................. 80,000 209,744 Lien Hoe Corp. Berhad .................................. 215,000 294,463 Lim Kai Hai Holdings Berhad ............................ 43,000 118,626 Lingui Development Berhad .............................. 366,666 1,033,065 Lion Corp. Berhad ...................................... 94,000 116,971 Lion Land Berhad ....................................... 219,000 263,948 *Lion Land Berhad 'A' ................................... 27,375 32,244 Long Huat Group Berhad ................................. 33,000 48,038 MBF Holdings Berhad .................................... 738,500 476,824 MCB Holdings Berhad .................................... 177,000 155,148 MMC Engineering Group Berhad ........................... 38,000 135,316 MPI (Malaysian Pacific Industries) ..................... 237,666 433,388 MWE Holdings Berhad .................................... 115,000 143,103 *MWE Holdings Berhad 'A' ................................ 49,000 55,030 Malakoff Berhad ........................................ 257,000 633,575 Malaya Glass Berhad .................................... 27,000 80,297 Malayan Cement Berhad .................................. 393,000 676,658 Malayan Flour Mills Berhad ............................. 77,000 108,472 Malayan United Manufacturing Berhad ............................................... 161,000 244,445 Malayasian British Assurance Berhad ............................................... 47,000 88,280 Malayawata Steel Berhad ................................ 163,000 294,682 Malaysia Aica Berhad ................................... 70,000 112,307 Malaysia Packaging Industry ............................ 14,000 19,613 *Malaysian Assurance Alliance Berhad ............................................... 93,000 225,631 Malaysian Mosaics Berhad ............................... 331,000 523,279 Malaysian Oxygen Berhad ................................ 168,000 479,906 Malaysian Tobacco Company Berhad ............................................... 247,000 353,755 Malex Industries Berhad ................................ 13,000 82,410 Mancon Berhad .......................................... 30,000 147,916 *Mancon Berhad 'A' ...................................... 3,000 13,618 Matsushita Electric Co. (M) Berhad ............................................... 39,000 381,530 Mechmar Corp. (Malaysia) Berhad ........................ 84,000 135,426 Mega First Corp. Berhad ................................ 236,000 264,121 *Menang Corp. ........................................... 248,000 220,293 Mentiga Corp. Berhad ................................... 41,000 133,164 Metacorp Berhad ........................................ 132,000 400,313 Metrojaya Berhad ....................................... 34,000 89,141 Metroplex Berhad ....................................... 366,000 326,543 Muda Holdings Berhad ................................... 152,500 196,928 Municipal Loong Berhad ................................. 35,000 104,089 Nam Fatt Berhad ........................................ 100,000 315,007 Nanyang Press (Malaysia) Berhad ........................ 67,200 165,666 Negara Properties (Malaysia) Berhad ............................................... 74,000 361,964 Negri Sembilan Oil Palms Berhad ........................ 34,000 117,081 New Straits Times Press (Malaysia) Berhad .................................... 199,000 731,990 Nylex (Malaysia) Berhad ................................ 182,000 381,021 Oriental Holdings Berhad ............................... 77,000 424,848 PJ Development Holding Berhad .......................... 222,000 254,533 PSC Industries Berhad .................................. 28,000 202,700 PWE Industries Berhad .................................. 14,000 41,088 Palmco Holdings Berhad ................................. 179,000 221,342
80 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Pan Malaysia Cement Works Berhad ............................................... 213,000 $716,807 Paramount Corp. Berhad ................................. 73,000 86,840 Parit Perak Holdings Berhad ............................ 17,000 385,834 Park May Berhad ........................................ 48,000 130,542 Pelangi Berhad ......................................... 393,500 480,423 *Pengkalen Industrial Holdings Berhad ............................................... 39,000 144,981 Pernas International Hotels & Properties Berhad .................................... 303,000 393,645 Petaling Garden Berhad ................................. 232,000 332,272 Petaling Tin Berhad .................................... 20,000 93,132 Phileo Allied Berhad ................................... 50,000 215,222 Pilecon Engineering Berhad ............................. 261,500 378,615 Poly Glass Fibre (M) Berhad ............................ 39,000 47,310 *Promet Berhad .......................................... 648,000 730,284 Public Finance Berhad (Foreign) ........................ 6,000 10,472 Putera Capital Berhad .................................. 73,000 162,825 Rahman Hydraulic Tin Berhad ............................ 33,000 124,614 Rashid Hussain Berhad .................................. 321,000 847,877 Reynolds (R.J.) Berhad ................................. 319,000 489,329 SCK (Shanghai Chong Kee) Berhad ............................................... 19,000 70,260 *SPK Sentosa Corp. Berhad ............................... 51,000 91,403 *SRI Hartamas Corp. Berhad .............................. 156,000 152,002 Samanda Holdings Berhad ................................ 73,000 217,100 *Sanda Plastic Berhad ................................... 11,000 22,814 Sanyo Industries (Malaysia) Berhad ............................................... 33,600 115,046 Sapura Telecommunciations Berhad ............................................... 84,000 308,981 Sarawak Oil Palms Berhad ............................... 87,000 187,243 *Sateras Resources (Malaysia) Berhad ............................................... 167,000 188,206 Scientex Industries Berhad ............................. 66,000 128,617 Selangor Coconuts Berhad ............................... 240,500 475,259 Selangor Properties Berhad ............................. 419,000 482,043 Selanor Dredging Berhad ................................ 324,000 277,660 *Setron (Malaysia) Berhad ............................... 41,000 103,483 Shapadu Kontena Berhad ................................. 38,000 147,955 Siah Brothers Corp. Berhad ............................. 55,000 110,839 Sin Heng Chan Berhad ................................... 17,000 79,828 Sitt Tatt Berhad ....................................... 76,000 188,848 *South East Asia Lumber, Inc. Berhad ............................................... 58,000 118,020 South Johore Amalgamated Holding Berhad ....................................... 27,000 69,732 South Malaysia Industries Berhad ....................... 126,000 147,916 Southern Acids (Malaysia) Berhad ....................... 48,000 109,881 Southern Bank Berhad ................................... 139,773 281,679 Sriwani Holdings Berhad ................................ 127,400 249,266 *Sungei Bagan Rubber Co. (Malaysia) Berhad .................................... 2,000 99,785 Sungei Way Holdings Berhad ............................. 175,250 733,780 *TDM Berhad ............................................. 66,000 104,856 Tai Wah Garments Manufacturing Berhad ............................................... 18,000 31,555 *Tai Wah Garments Manufacturing Berhad (Foreign) ........ 41,000 72,037 Taiping Consolidated Berhad ............................ 103,000 203,541 Tajo Bricks Berhad ..................................... 16,000 34,122 Tasek Cement Berhad .................................... 182,000 398,826 Timah Langat Berhad .................................... 22,000 99,002 Time Engineering Berhad ................................ 243,000 684,641
81 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Tiong Nam Transport Holdings Berhad ............................................... 17,000 $ 32,729 Tractors Malaysia Holdings Berhad ............................................... 232,000 326,824 Tronoh Mines Malaysia Berhad ........................... 36,000 190,178 UAC Berhad ............................................. 61,000 116,009 UMW Holdings Berhad .................................... 281,000 714,733 *Union Paper Holdings Berhad ............................ 17,000 54,549 Uniphoenix Corp. Berhad ................................ 228,000 269,442 Uniphone Telecommunications Berhad ............................................... 170,000 331,285 United Chemical Industries Berhad ............................................... 18,000 29,724 United Malacca Rubber Estates Berhad ............................................... 86,000 612,483 United Malayan Flour Mills Berhad ...................... 22,000 81,784 United Plantation Berhad ............................... 185,000 434,357 Westmont Berhad ........................................ 28,800 180,317 *Westmont Land (Asia) Berhad ............................ 129,000 250,378 Wing Tiek Holdings Berhad .............................. 85,800 245,095 *Worldwide Holdings Berhad .............................. 192,000 323,068 ------------------ TOTAL COMMON STOCKS (Cost $36,616,554) ...................................... 56,740,530 ------------------ INVESTMENT IN CURRENCY - (0.1%) *Malaysian Ringetts (Cost $201,536) ..................... 204,447 ------------------ RIGHTS/WARRANTS - (0.1%) *Arab Malaysian Development Berhad Rights 01/16/95 ............................... 177,500 0 *Kent (George) (Malaysia) Berhad Warrants 01/17/99 .................................... 500 397 *Kian Joo Can Factory Berhad Rights 12/20/94 ...................................... 18,800 0 *Kumpulan Emas Berhad Rights 12/28/94 ............................................. 134,000 0 *Larut Consolidated Berhad Rights 12/23/94 ............................................. 80,400 0 *Malaysian Resources Corp. Berhad Warrants 05/17/97 ............................. 22,800 29,621 *Southern Bank Berhad Rights 12/31/94 ............................................. 24,300 18,542 *Sriwani Holdings Berhad Warrants 1994-1999 ............................................ 45,500 0 *Tiong Nam Transport Holdings Berhad Warrants 05/10/99 ............................. 8,500 7,185 *YTL Corp. Berhad Warrants 08/26/97 ............................................. 57,600 252,444 ------------------ TOTAL RIGHTS/WARRANTS (Cost $11,298) .......................................... 308,189 ------------------ TOTAL - MALAYSIA (Cost $36,829,388) ...................................... 57,253,166 ------------------ HONG KONG - (19.1%) COMMON STOCKS - (19.0%) ABC Communications (Holdings), Ltd. ................................................. 212,000 82,266 ALCO Holdings, Ltd. .................................... 184,000 40,460 ASM Pacific Technology, Ltd. ........................... 222,000 162,243 Allied Group, Ltd. ..................................... 4,928,000 382,460 Allied Industries International, Ltd. .................. 1,698,000 101,032 Anex International Holdings, Ltd. ...................... 152,000 18,678 Applied International Holdings, Ltd. ................... 1,110,000 147,885 Asia Commercial Holdings, Ltd. ......................... 3,640,000 167,145
82 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Asia Financial Holdings, Ltd. .......................... 1,000,000 $388,048 Associated International Hotels, Ltd. ................................................. 828,000 492,666 B + B Asia, Ltd. ....................................... 124,000 30,475 Beauforte Investors Corporation, Ltd. ................................................. 66,000 110,982 Beijing Development (Hong Kong), Ltd. ................................................. 164,000 82,732 Benelux International, Ltd. ............................ 30,000 2,173 *Berjaya Holdings (Hong Kong), Ltd. ..................... 1,420,000 36,735 Burwill Holdings, Ltd. ................................. 1,332,000 172,293 CDL Hotels International, Ltd. ......................... 426,562 180,700 *CDW International, Ltd. ................................ 12,000 1,614 CIL Holdings, Ltd. ..................................... 122,000 12,151 CNT Group, Ltd. ........................................ 574,000 40,093 Cafe de Coral Holdings, Ltd. ........................... 256,000 62,584 Capital Asia, Ltd. ..................................... 897,000 272,662 Century City International Holdings, Ltd. ....................................... 2,703,000 646,818 Champion Technology Holdings, Ltd. ................................................. 814,337 221,201 Chen Hsong Holdings, Ltd. .............................. 1,156,000 725,210 Cheuk Nang Properties (Holdings), Ltd. ................................................. 708,400 261,149 Cheung Wah Development Co., Ltd. ................................................. 1,286,000 54,062 *Chevalier (OA) International, Ltd. ..................... 1,604,000 124,486 Chevalier International Holdings, Ltd. ................................................. 1,372,000 186,341 *China Aerospace International Holdings, Ltd. ....................................... 1,620,000 249,360 China Foods Holdings, Ltd. ............................. 1,128,000 255,336 *China Merchants Hai Hong Holdings Co., Ltd. ................................... 122,000 26,827 China Motor Bus Co., Ltd. .............................. 105,000 811,506 #China Travel International Investment Hong Kong, Ltd. ............................. 910,000 213,051 *China Treasure Telecom Holdings, Ltd. ................................................. 230,000 15,768 Chow Sang Sang Holdings International, Ltd. .................................. 1,012,000 366,524 Chuang's China Investments, Ltd. ....................... 820,000 32,881 Chun Wo Holdings, Ltd. ................................. 154,000 22,709 Climax International Co., Ltd. ......................... 134,000 16,986 Companion Building Material (Holdings), Ltd. ..................................... 168,800 38,646 *Continental Holdings, Ltd. ............................. 54,000 4,750 Continental Mariner Investment Co., Ltd. ............... 263,000 53,410 Cosmos Machinery Enterprises, Ltd. ................................................. 500,000 64,675 Crocodile Garments, Ltd. ............................... 1,419,000 132,154 Cross Harbour Tunnel Co., Ltd. ......................... 328,103 683,283 Culturecom Holdings, Ltd. .............................. 1,950,000 122,332 Dah Sing Financial Holdings, Ltd. ...................... 144,400 313,791 Daido Concrete (Hong Kong), Ltd. ....................... 194,000 30,614 #Dickson Concepts (International), Ltd. .................................................. 411,000 318,976 Dynamic Holdings, Ltd. ................................. 70,000 17,203 East Asiatic Co. (Hong Kong), Ltd. ..................... 919,000 133,137 Eastern Century Holdings, Ltd. ......................... 302,000 29,688 Egana International Holdings, Ltd. ..................... 468,000 62,352 Elec & Eltek International Holdings, Ltd. ................................................. 2,371,159 279,104
83 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Emporer International Holdings, Ltd. ................................................. 50,800 $ 19,549 *Englong International, Ltd. ............................ 130,000 21,524 FPB Bank Holding Co., Ltd. ............................. 1,399,520 237,145 Fairwood Holdings, Ltd. ................................ 284,000 35,266 Far East Aluminum (Holdings), Ltd. ..................... 582,000 96,360 Far East Consorium International, Ltd. ................................................. 1,316,626 207,772 Far East Holdings International, Ltd. ................................................. 70,000 9,779 Far East Hotels & Entertainment, Ltd. ................................................. 1,762,000 490,014 First Asia International Holdings, Ltd. ................................................. 115,000 17,850 Fong's Industries Co., Ltd. ............................ 174,000 23,182 Fortei Holdings, Ltd. .................................. 242,000 26,920 Fountain Set Holdings, Ltd. ............................ 1,774,000 266,180 Four Seas Mercantile Holdings, Ltd. ................................................. 160,000 53,292 Frankie Dominion International, Ltd. ................... 452,000 34,495 *Fu Hui Jewelry Co. (Hong Kong), Ltd. ................................................. 232,000 20,106 Furama Hotel Enterprises, Ltd. ......................... 428,000 642,194 General Electronics, Ltd. .............................. 1,562,000 80,817 Giordano Holdings, Ltd. ................................ 378,000 213,912 Gold Peak Industries (Holdings), Ltd. ................................................. 950,000 387,078 Golden Resources Development International, Ltd. .................................. 878,000 112,433 Goldlion Holdings, Ltd. ................................ 365,000 73,652 Grand Hotel Holdings, Ltd. Class A .............................................. 1,212,000 454,637 Grand Hotel Holdings, Ltd. Class B .............................................. 960,000 31,665 Grande Holdings, Ltd. .................................. 250,000 291,036 Great Wall Electronic International, Ltd. ................................................. 2,038,000 187,166 #Guangzhou Investment Co., Ltd. ........................... 1,026,000 268,743 #HKCB Bank Holding Co., Ltd. .............................. 250,000 75,184 Hanny Magnetics (Holdings), Ltd. ....................... 366,000 45,448 Harbour Centre Development, Ltd. ....................... 314,000 320,864 Harbour Ring International Holdings, Ltd. ....................................... 972,000 106,868 High Fashion International, Ltd. ....................... 178,000 25,327 #Hon Kwok Land Investment Co., Ltd. .................................................... 1,720,620 461,814 Hong Kong Ferry (Holdings) Co., Ltd. ................................................. 757,500 788,756 Hong Kong Parkview Group, Ltd. ......................... 1,026,000 358,324 Hong Kong Toy Centre International, Ltd. .................................. 508,000 39,426 Hop Hing Holdings, Ltd. ................................ 581,645 109,091 Hsin Chong Construction Group, Ltd. ................................................. 356,000 46,509 Hung Hing Printing Group, Ltd. ......................... 228,000 50,136 Hwa Kay Thai Holdings, Ltd. ............................ 2,062,914 325,541 IDT International, Ltd. ................................ 358,397 50,067 IMC Holdings, Ltd. (Bermudas) .......................... 531,000 391,502 Innovative International (Holdings), Ltd. ................................................. 292,000 83,094 International Pipe, Ltd. ............................... 108,000 13,830 *Island Dyeing & Printing Co., Ltd. ..................... 135,000 167,637 JCG Holdings, Ltd. ..................................... 304,000 189,730
84 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Jinhui Holdings Co., Ltd. .............................. 320,000 $ 51,740 Joyce Boutique Holdings, Ltd. .......................... 628,000 156,777 K Wah International Holdings, Ltd. ..................... 1,672,033 393,623 Ka Wah Bank, Ltd. ...................................... 1,392,640 558,425 Kader Holdings Co., Ltd. ............................... 140,000 11,590 Keck Seng Investments (Hong Kong), Ltd. .......................................... 434,000 157,185 Kee-Shing Holdings Co., Ltd. ........................... 886,000 103,143 King Fook Holdings, Ltd. ............................... 1,000,000 103,479 Kosonic International Holdings, Ltd. ................... 198,000 15,623 Kumagai Gumi Hong Kong, Ltd. ........................... 647,000 669,512 Kwong Sang Hong International, Ltd. ................................................. 368,000 104,721 Lafe International Holdings, Ltd. ...................... 347,000 141,385 Lai Sun Garment (International), Ltd. ................................................. 440,000 614,668 Lam Soon (Hong Kong), Ltd. ............................. 1,013,400 314,598 Lam Soon Food Industries, Ltd. ......................... 183,000 32,666 Lamex Holdings, Ltd. ................................... 134,000 53,732 Lap Heng Co., Ltd. ..................................... 128,000 252,490 Laws International Holdings, Ltd. ...................... 274,000 63,441 Le Saunda Holdings, Ltd. ............................... 236,000 18,621 Leefung-Asco Printers Holdings, Ltd. ................................................. 144,000 22,352 Li & Fung, Ltd. ........................................ 318,000 191,269 Lippo, Ltd. ............................................ 591,800 524,360 *Liu Chong Hing Bank, Ltd. .............................. 28,600 34,034 Liu Chong Hing Investment, Ltd. ........................ 572,000 566,007 Luks Industrial Co., Ltd. .............................. 1,636,000 268,752 M.C. Packaging (Hong Kong), Ltd. ....................... 376,000 131,315 *Mandarin Dragon Holdings, Ltd. ......................... 880,000 55,206 Mansion Holdings, Ltd. ................................. 138,000 18,743 Mansion House Group, Ltd. .............................. 640,200 57,967 Megga (S.) International Holdings, Ltd. ................................................. 970,000 135,506 Melbourne Enterprises, Ltd. ............................ 38,000 297,374 Melco International Development, Ltd. ................................................. 180,000 52,969 Min Xin Holdings, Ltd. ................................. 558,000 173,225 Ming Pao Enterprise Corp., Ltd. ........................ 616,000 374,492 Mingly Corp., Ltd. ..................................... 3,298,000 499,115 *Morning Star Holdings, Ltd. ............................ 410,000 47,730 *Nanyang Holdings, Ltd. ................................. 115,000 132,389 National Electronics Holdings, Ltd. .................... 720,000 42,841 Ngai Lik Industrial Holdings, Ltd. ..................... 164,000 28,002 Novel Enterprises, Ltd. ................................ 2,161,000 525,505 Ocean-Land Development, Ltd. ........................... 182,000 196,572 Oxford Properties & Finance, Ltd. ...................... 110,000 332,945 *Pacific Concord Holding, Ltd. .......................... 1,154,000 271,670 Paramount Publishing Group, Ltd. ....................... 574,000 59,397 Paul Y. ITC Construction Holdings, Ltd. ................................................. 464,000 105,632 Peace Hill Enterprise Group, Ltd. ...................... 96,000 27,629 Playmate Toys Holdings, Ltd. ........................... 837,000 295,023 Playmates Properties Holdings, Ltd. ................................................. 837,000 189,464 Pokfulam Development Co., Ltd. ......................... 212,000 133,683 *Poly Investments Holdings, Ltd. ........................ 2,432,000 99,092 Prod-Art Technology (Holdings), Ltd. ................................................. 322,000 21,658 QPL International Holdings, Ltd. ....................... 120,000 32,596 *RJP Electronics, Ltd. .................................. 1,000,000 16,815 Raymond Industrial, Ltd. ............................... 558,000 95,274
85 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Regal Hotels International Holdings, Ltd. ....................................... 1,558,000 $332,518 Rhine Holdings, Ltd. ................................... 160,000 19,661 *Rivera Holdings, Ltd. .................................. 2,916,000 113,155 Safety Godown Co., Ltd. ................................ 310,000 340,836 San Miguel Brewery Hong Kong, Ltd. ................................................. 858,000 643,694 Seapower International Holdings, Ltd. ................................................. 154,000 59,759 Seapower Resources International, Ltd. ................................................. 2,290,000 263,627 Semi-Tech (Global) Co., Ltd. ........................... 193,000 320,793 Shanghai International (Hong Kong), Ltd. .......................................... 110,000 17,786 *Shaw Brothers Hong Kong, Ltd. .......................... 50,000 80,843 Shell Electric Manufacturing (Holdings) Co., Ltd. ................................. 756,000 222,468 *Shenzhen International Holdings, Ltd. ................................................. 1,865,000 55,002 Shougang Concord Grand (Group), Ltd. ................................................. 1,416,000 324,191 Shougang Concord International Enterprises Co., Ltd. ... 880,000 221,964 Shougang Concord Technology Holdings, Ltd. ....................................... 867,000 68,409 *Shun Ho Construction (Holdings), Ltd. ................................................. 846,000 36,112 *Shun Ho Resources Holdings, Ltd. ....................... 460,000 19,040 *Shun Shing Holdings, Ltd. .............................. 408,000 20,582 Silver Grant International Industries, Ltd. ..................................... 255,000 69,267 Sime Darby Hong Kong, Ltd. ............................. 276,000 296,314 Sincere Co., Ltd. ...................................... 294,000 58,184 Sing Tao Holdings, Ltd. ................................ 693,000 403,376 Singamas Container Holdings, Ltd. ...................... 144,000 42,841 South China Brokerage Co., Ltd. ........................ 112,000 14,632 South China Industries, Ltd. ........................... 1,020,000 145,130 South Sea Development Co., Ltd. ........................ 466,400 31,371 Southeast Asia Properties and Finance, Ltd. ........................................ 145,200 58,223 Star Paging (International Holding), Ltd. ................................................. 214,000 69,202 Starlight International Holdings, Ltd. ................. 645,356 100,172 Stelux Holdings, Ltd. .................................. 505,702 186,425 Sum Cheong International, Ltd. ......................... 230,000 138,339 Sun Fook Kong Holdings, Ltd. ........................... 1,372,000 124,227 Sun Hung Kai & Co., Ltd. ............................... 1,170,000 503,201 *Suwa International Holdings, Ltd. ...................... 1,062,000 33,655 Swank International Manufacturing Co., Ltd. ............................................ 568,000 108,002 TVE (Holdings), Ltd. ................................... 680,000 307,852 Tack Hsin Holdings, Ltd. ............................... 148,000 21,824 Tai Sang Land Development, Ltd. ........................ 417,259 205,094 Tak Sing Alliance Holdings, Ltd. ....................... 337,200 113,403 Tak Wing Investment Holdings, Ltd. ..................... 388,000 85,821 Techtronic Industries Co., Ltd. ........................ 856,000 105,187 Tem Fat Hing Fung (Holdings), Ltd. ..................... 1,868,000 316,528 Termbray Industries International (Holdings), Ltd. ..................................... 398,000 54,055 Texwinca Holdings, Ltd. ................................ 278,000 73,716
86 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Tian An China Investments Co., Ltd. ................................................. 2,007,000 $ 423,155 Tian Teck Land, Ltd. ................................... 1,006,000 202,996 Tomei International (Holdings), Ltd. ................... 1,712,000 155,012 Tristate Holdings, Ltd. ................................ 77,000 52,787 Truly International Holdings, Ltd. ..................... 214,000 39,307 Tse Sui Luen Jewellery (International), Ltd. ................................ 1,449,600 301,883 Tung Fong Hung (Holdings), Ltd. ........................ 270,000 24,098 Tungtex (Holdings) Co., Ltd. ........................... 904,000 100,561 Tysan Holdings, Ltd. ................................... 134,000 16,986 UDL Holdings, Ltd. ..................................... 266,000 31,310 USI Holdings, Ltd. ..................................... 1,112,000 106,439 Ultronics International Holdings, Ltd. ................................................. 112,000 6,085 Union Bank of Hong Kong, Ltd. .......................... 543,600 407,823 Uniworld Holdings, Ltd. ................................ 9,920,000 41,061 Varitronix International, Ltd. ......................... 442,000 634,614 Wah Ha Realty Co., Ltd. ................................ 240,000 47,808 Wah Kwong Shipping Holdings, Ltd. ................................................. 75,500 161,137 *Wah Nam Group, Ltd. .................................... 1,700,000 39,801 Wai Kee Holdings, Ltd. ................................. 300,000 76,834 Watary International Holdings, Ltd. .................... 90,000 8,964 Wing Hang Bank, Ltd. ................................... 145,000 356,358 Wing On Co. International, Ltd. ........................ 507,000 570,547 Wing On International Holdings, Ltd. ................................................. 50,000 81,490 Wing Shan International, Ltd. .......................... 256,000 49,670 Winsor Industrial Corp., Ltd. .......................... 447,000 575,301 Winton Holdings (Bermuda), Ltd. ........................ 174,000 49,515 Wo Kee Hong (Holdings), Ltd. ........................... 1,430,000 425,430 Wong's International (Holdings), Ltd. ................................................. 1,012,000 117,811 Wong's Kong King International (Holdings), Ltd. ..................................... 717,000 46,372 World Houseware (Holdings), Ltd. ....................... 227,539 54,155 YGM Trading, Ltd. ...................................... 70,000 39,387 Yangtzekiang Garment Manufacturing Co., Ltd. .............................. 323,000 104,450 Yaohan Food Processing & Trading Co., Ltd. .................................... 124,000 18,285 Yaohan Hongkong Corp., Ltd. ............................ 690,000 104,424 Yaohan International Caterers, Ltd. .................... 452,000 119,855 Yaohan International Holdings, Ltd. .................... 592,000 141,663 *Yau Lee Holdings, Ltd. ................................. 360,000 18,393 Yeebo (International Holdings), Ltd. ................... 126,000 18,580 Yiu Wing International Holdings, Ltd. ................................................. 188,000 37,449 *Yoshiya International Corp., Ltd. ...................... 370,000 62,217 Yue Yuen Industrial (Holdings), Ltd. ................... 1,320,000 271,478 ------------------ TOTAL COMMON STOCKS (Cost $48,011,909) ...................................... 40,296,316 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Hong Kong Dollars (Cost $100,367) ...................................... 100,265 ------------------ RIGHTS/WARRANTS - (0.1%) *Century City International Holdings, Ltd. Warrants 12/31/95 ..................... 270,300 8,741
87 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Century City International Holdings, Ltd. Warrants 12/31/96 ..................... 135,150 $ 3,426 *Chevalier International Holdings, Ltd. Warrants 09/30/97 274,400 6,389 *China Aerospace International Holdings, Ltd. Warrants 12/31/95 ..................... 324,000 10,058 *Culturecom Holdings, Ltd. Warrants 12/31/96 .................................... 304,800 2,523 *Far East Hotels & Entertainment, Ltd. Warrants 03/31/96 ............................... 310,400 15,257 *First Asia International Holdings, Ltd. Warrants 09/30/95 ............................... 23,000 268 *Frankie Dominion International, Ltd. Warrants 06/07/97 . 90,400 620 *Hong Kong Ferry (Holdings) Co., Ltd. Warrants 06/30/96 ............................... 50,500 18,290 *Hong Kong Parkview Group, Ltd. Warrants 12/31/96 .................................... 205,200 3,716 *Hop Hing Holdings, Ltd. Warrants 12/31/97 ............................................. 116,329 7,373 *Mandarin Dragon Holdings, Ltd. Warrants 12/31/96 .................................... 176,000 1,024 *Min Xin Holdings, Ltd. Warrants 12/31/96 ............................................. 111,600 3,205 *Rivera Holdings, Ltd. Warrants 01/15/97 ............................................. 583,200 5,733 *Shell Electric Manufacturing (Holdings) Co., Ltd. Warrants 03/31/96 ............................................. 151,200 4,342 *Tak Wing Investment Holdings, Ltd. Warrants 10/31/96 ... 38,800 2,459 *Tian An China Investments Co., Ltd. Warrants 01/25/96 .. 401,400 10,125 *Uniworld Holdings, Ltd. Warrants 10/31/95 ............................................. 1,102,222 1,426 *Wah Nam Group, Ltd. Warrants 05/31/96 ............................................. 340,000 2,287 *Wai Kee Holdings, Ltd. Warrants 12/31/96 ............................................. 42,000 875 *Yeebo (International Holdings), Ltd. Warrants 08/31/96 .................................... 25,200 502 ------------------ TOTAL RIGHTS/WARRANTS (Cost $45,507) ....................................... 108,639 ------------------ TOTAL - HONG KONG (Cost $48,157,783) .................... 40,505,220 ------------------ KOREA - (19.0%) COMMON STOCKS - (19.0%) Aluminium of Korea ..................................... 5,448 87,794 *Aluminium of Korea Em 94 ............................... 1,809 27,102 Anam Electrics Co. ..................................... 6,000 145,789 Asia Cement Co., Ltd. .................................. 4,800 262,269 *Asia Cement Co., Ltd. Em 94 ............................ 426 21,989 *Asia Motors Co., Inc. .................................. 19,839 349,674 *Asia Motors Co., Inc. Em 94 ............................ 2,979 52,507 *BIF Co., Ltd. .......................................... 5,000 26,312 *Bing Grae Co., Ltd. .................................... 3,100 126,841 Boram Bank Co., Ltd. ................................... 18,300 246,519 *Boram Bank Co., Ltd. Em 94 ............................. 4,349 55,300 Boryung Pharmaceutical Co., Ltd. ....................... 3,480 95,511 Byuck San Corp. ........................................ 6,580 140,000 Cheil Industrial, Inc. ................................. 13,000 435,352 *Cheil Industrial, Inc. Em 94 ........................... 1,808 59,409 *Cho Kwang Leather Co., Ltd. ............................ 2,000 47,085
88 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Cho Kwang Leather Co., Ltd. Em 94 ................................................... 120 $ 2,599 *Chon Bang Co., Ltd. .................................... 3,255 376,192 Chong Kun Dang ......................................... 3,121 141,453 *Choong Wae Pharmaceutical Em 94 ................................................... 1 53 *Choongnam Spinning Co., Ltd. ........................... 15,800 405,791 Chosun Brewery Co., Ltd. ............................... 9,409 355,370 Crown Confectionary Co., Ltd. .......................... 1,500 74,027 Dae Dong Industrial Co., Ltd. .......................... 6,233 164,790 Dae Han Pulp Co., Ltd. ................................. 1,000 39,658 Dae Ryung Industry, Inc. ............................... 2,000 147,551 *Dae Sung Electric Wire Co., Ltd ........................ 940 21,183 Dae Wan Kang Up Co., Ltd. .............................. 5,132 180,909 *Daehan Fire & Marine Insurance Co., Ltd. ............................................ 5,000 176,256 Daelim Industrial Co., Ltd. ............................ 8,210 253,236 Daesung Industries Co., Ltd. ........................... 4,000 287,045 *Daewoo Electronic Components Co., Ltd. ............................................ 8,679 142,046 *Daewoo Electronic Components Co., Ltd. Em 94 - I .................................. 233 3,843 *Daewoo Electronic Components Co., Ltd. Em 94 - II ................................. 1,748 27,068 *Daewoo Telecom Co., Ltd. ............................... 16,240 245,348 *Daewoo Telecom Co., Ltd. Em 94 - I ............................................ 441 6,385 *Daewoo Telecom Co., Ltd. Em 94 - II ........................................... 2,668 37,956 *Dai Han Wool Textile Corp. ............................. 1,100 34,483 Dong Bang Corp. ........................................ 3,630 250,896 Dong Shin Paper Manufacturing Co., Ltd. ............................................ 6,900 119,879 Dong Wha Pharmaceutical Industries Co., Ltd. ................................. 3,663 174,319 Dong Yang Tin Plate Industrial Co., Ltd. ................................................. 2,660 99,126 *Dong Yang Tin Plate Industrial Co., Ltd. Em 94 ......... 419 13,979 Dong-A Pharmaceutical Co., Ltd. ........................ 16,014 487,900 Dong-Il Corp. .......................................... 2,000 143,523 *Dongbu Chemical Co., Ltd. .............................. 12,600 228,428 Dongbu Industrial Co., Ltd. ............................ 4,700 98,225 Dongbu Steel Co., Ltd. ................................. 11,000 404,381 *Donghae Pulp ........................................... 19,400 537,328 Dongkuk Steel Mill Co., Ltd. ........................... 13,220 411,105 Dongsung Chemical Industry ............................. 5,000 191,993 *Dongwon Industries Co., Ltd. ........................... 15,100 408,725 *Doosan Foods Co., Ltd. ................................. 2,600 41,571 *Doosan Glass Co., Ltd. ................................. 6,000 116,329 Doosan Industrial Co., Ltd. ............................ 7,300 130,505 *Doosan Industrial Co., Ltd. Em 94 ...................... 1,946 31,849 *Doosan Manufacturing Co., Ltd. ......................... 3,390 60,178 *Doosan Manufacturing Co., Ltd. Em 94 ................................................ 1,161 19,732 *Goldstar Tele-Communication Co., Ltd. ................................................. 5,000 90,646 *Haedong Fire & Marine Insurance Co., Ltd. ............................................ 2,340 72,471 Hai Tai Electronics Co., Ltd. .......................... 7,300 127,748 Haitai Confectionary Co., Ltd. ......................... 13,270 258,951 *Han Jin Shipping Co., Ltd. ............................. 16,000 632,507 *Han-Il Synthetic Fiber Industrial Co., Ltd. ............................................ 29,000 416,216
89 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Hanjin Engineering & Construction Co., Ltd. ............................................ 23,175 $577,697 Hankook Caprolactam Corp. Co., Ltd. ................................................. 3,400 159,235 Hankook Cosmetics Co., Inc. ............................ 3,000 141,256 *Hanmi Pharmaceutical Co., Ltd. ......................... 2,262 64,645 Hannong Corp. .......................................... 1,000 75,161 *Hanwha Corp. ........................................... 25,800 552,184 *Hanwha Energy Co., Ltd. ................................ 26,000 330,606 *Hanwha Machinery Co., Ltd. ............................. 16,000 279,995 Heung Ah Tire & Rubber ................................. 5,000 131,562 *Hyosung Corp. .......................................... 19,600 198,394 Hyundai Cement Co., Ltd. ............................... 5,600 285,534 Hyundai Corp. .......................................... 9,700 293,088 *Hyundai Corp. Em 94 .................................... 2,975 86,145 Hyundai Mipo Dockyard Co., Ltd. ........................ 14,000 430,064 Hyundai Pharmaceutical Co., Ltd. ....................... 3,427 108,725 *Hyundai Wood Industry .................................. 12,472 196,273 *ISU Chemical Co., Ltd. ................................. 16,274 284,790 Il Shin Spinning ....................................... 3,021 387,942 Il Yang Pharmaceutical Co., Ltd. ....................... 4,371 144,728 Inkel Corp. ............................................ 6,900 150,283 Jindo Corp. ............................................ 9,270 267,258 Jinro, Ltd. ............................................ 7,000 215,032 Kang Won Industrial Co., Ltd. .......................... 19,500 463,993 Kangwon Bank Co., Ltd. ................................. 27,820 323,977 *Kangwon Bank Co., Ltd. Em 94 ........................... 14,592 163,501 *Keun Wha Pharmaceutical Co., Ltd. ................................................. 2,000 8,309 *Kia Steel Co., Ltd. .................................... 24,633 331,831 *Kohap Co., Ltd. ........................................ 35,568 662,730 Kolon International Corp. .............................. 8,732 195,681 *Kony Precision Co., Ltd. ............................... 2,000 36,510 Korea Electronics Co., Ltd. ............................ 7,220 341,775 Korea Fertilizer Co., Ltd. ............................. 90 12,713 Korea Iron and Steel Co., Ltd. ......................... 18,127 502,078 *Korea Iron and Steel Co., Ltd. Em 94 ................................................ 5,006 130,459 Korea Kumho Petrochemical .............................. 31,600 449,553 *Korea Steel Pipe Co., Ltd. ............................. 14,995 64,186 Korea Tungsten Mining Co. Dae Han Jung Souk ............ 11,227 620,503 Koryo Cement Manufacturing Co., Ltd. ................................................. 2,000 118,595 Kukje Electric Wire Co., Ltd. .......................... 22,990 500,726 *Kukje Electric Wire Co., Ltd. Em 94 .................... 6,458 127,648 *Kum Ho and Co., Inc. ................................... 26,420 405,796 Kum Yang Co., Ltd. ..................................... 1,700 47,728 Kumho Construction & Engineering Co., Ltd. ............................................ 39,720 570,072 *Kumho Construction & Engineering Co., Ltd. Em 94 ....... 17,417 249,973 Kunsul Chemical Industrial Co., Ltd .................... 620 36,921 Kyungnam Wool Textile Co., Ltd. ........................ 4,051 91,802 Lucky Development Co., Ltd. ............................ 23,618 523,325 Lucky Goldstar International Corp. ..................... 32,300 536,775 *Lucky Metals Corp. ..................................... 24,400 620,521 Midopa Department Store ................................ 16,536 274,802 Miwon Petrochemical Corp. .............................. 11,111 226,614 *Miwon Petrochemical Corp. Em 94 ........................ 2,666 50,348 *Namhan Paper Manufacturing Co., Ltd. ................................................. 6,500 42,635
90 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Nasan Industries Co., Ltd. ............................. 5,151 $233,458 Nhong Shim Co., Ltd. ................................... 4,028 200,817 Oriental Chemical Industries Co., Ltd. ................................................. 14,175 553,223 Orion Electric Co., Ltd. ............................... 266 7,535 *Orion Electric Co., Ltd. Issue 94 ...................... 51 1,380 Pacific Chemical Co., Ltd. ............................. 14,000 643,334 Pang Rim Spinning ...................................... 5,000 383,986 Poong San Corp. ........................................ 32,000 664,736 Posco Chemical Co., Ltd. ............................... 13,000 284,779 Pusan Steel Pipe Corp. ................................. 301 11,710 Pyung Hwa Industrial Co., Ltd. ......................... 2,000 81,078 STC Corp. .............................................. 12,400 448,042 Saehan Media Corp. ..................................... 11,800 380,310 *Saeil Heavy Industries Co., Ltd. ....................... 65,180 943,686 Sam Ick Construction Co., Ltd. ......................... 11,625 162,454 *Sam Ick Construction Co., Ltd. Em 94 ................................................ 3,083 39,202 *Sam Jin Chemical Co., Ltd. ............................. 1,000 10,449 Sam Yang Co., Ltd. ..................................... 12,200 506,861 Samchully Co., Ltd. .................................... 700 51,555 *Samick Musical Instruments Manufacturing Co., Ltd. .............................. 8,100 145,827 *Samlip Foods Industries Co., Ltd. ...................... 2,900 142,390 *Sammi Corp. ............................................ 29,600 228,065 *Sammi Steel Co., Ltd. .................................. 49,800 658,315 Samsung Aerospace Industrial Co., Ltd. ................................................. 11,081 403,174 *Samsung Aerospace Industrial Co., Ltd. Em 94 ........................................... 1,652 56,363 Samsung Electro Mechanics Co., Ltd. ................................................. 7,677 468,758 *Samsung Electro-Mechanics Co., Ltd. Em 94 .............. 888 53,103 Samwhan Corp. Co., Ltd. ................................ 14,400 415,158 *Samwhan Corp. Co., Ltd. Em 94 .......................... 2,764 76,555 Samyang Foods Co., Ltd. ................................ 2,000 107,264 *Samyoung Chemical Co., Ltd. ............................ 4,000 69,999 *Se Poong Corp. ......................................... 8,500 142,327 Seyang Shipping Co., Ltd. .............................. 2,360 85,273 Shin Dong-Ah Fire & Marine Insurance Co. ........................................ 5,670 181,314 Shin Sung Corp. ........................................ 10,608 186,972 Shin Wha Engineering and Construction Co., Ltd. ............................... 11,875 316,946 *Shin-A Chemical Manufacturing Co., Ltd. ............................................ 4,700 60,355 *Shinshung Tongsang Co., Ltd. ........................... 9,321 127,910 Ssang Bang Wool Co., Ltd. .............................. 5,500 319,904 *Ssangyang Motor Co. .................................... 32,600 570,490 Ssangyong Corp. ........................................ 9,023 174,939 Sung Shin Cement Co., Ltd. ............................. 6,515 317,425 Sunkyong, Ltd. ......................................... 19,270 497,337 Tae Il Media Co., Ltd. ................................. 2,869 108,357 *Tae Il Media Co., Ltd. Em 94 ........................... 729 24,885 Tae Kwang Industrial Co., Ltd. ......................... 1,000 541,357 *Taejon Leather Industrial Co., Ltd. .................... 6,500 88,380 Tai Han Electric Wire Co., Ltd. ........................ 4,483 172,141 Taihan Sugar Industrial Co., Ltd. ...................... 3,080 170,616 Tong Yang Cement Corp. ................................. 16,890 684,701 *Tong Yang Confectionary Co. Em 94 ................................................ 297 11,517 Tong Yang Mool San Co., Ltd. ........................... 5,000 95,682 *Tong Yang Mool San Co., Ltd. Em 94 ................................................ 1,145 20,470
91 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Tong Yang Nylon Co., Ltd. .............................. 14,930 $ 571,411 Tongkook Corp. ......................................... 7,400 105,275 Tongyang Confectionery Co. ............................. 1,240 49,019 Trigem Computer, Inc. .................................. 8,000 247,765 Union Steel Manufacturing Co., Ltd. ................................................. 3,000 302,153 Youngchang Akki Co., Ltd. .............................. 3,200 186,126 Youngpoung Corp. ....................................... 2,000 243,988 Yuhan Corp. ............................................ 3,255 247,926 ------------------ TOTAL COMMON STOCKS (Cost $30,347,077) ...................................... 40,250,409 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Korean Won (Cost $31,631) .............................. 31,633 ------------------ RIGHTS/WARRANTS - (0.0%) *Hanjin Engineering and Construction Co., Ltd. Rights 12/09/94 (Cost $0) ................................... 7,975 65,262 ------------------ TOTAL - KOREA (Cost $30,378,708) .......................... 40,347,304 ------------------ AUSTRALIA - (18.7%) COMMON STOCKS - (18.4%) AAPC, Ltd. (Accor Asia Pacific) ........................ 649,028 359,636 AIDC (Australian Industry Development Corp.) ................................... 276,613 345,934 AWA, Ltd. .............................................. 335,000 195,941 *Aberfoyle, Ltd. ........................................ 168,750 433,768 Adelaide Brighton, Ltd. ................................ 188,241 207,165 Advance Bank Australia, Ltd. ........................... 101,100 661,359 *Agen, Ltd. ............................................. 71,000 13,114 *Airboss, Ltd. .......................................... 246,250 32,218 *Alcan Australia, Ltd. .................................. 321,400 643,112 Allgas Energy, Ltd. .................................... 18,800 138,898 Amalgamated Holdings, Ltd. ............................. 39,500 240,155 Ashton Mining, Ltd. .................................... 475,500 933,164 Atkins Carlyle, Ltd. ................................... 50,698 120,954 Atlas Steels, Ltd. ..................................... 129,000 124,099 *Auridiam Consolidated NL ............................... 60,093 36,998 Australian Agricultural Co. ............................ 20,900 161,169 Australian Chemical Holdings, Ltd. ..................... 56,200 190,308 *Australian Medical Enterprises, Ltd. ................... 247,700 133,442 Australian National Industries, Ltd. ................... 165,271 171,711 Australian Oil & Gas Corp., Ltd. ....................... 76,500 65,940 Australian Provincial Newspapers Holdings, Ltd. ....................................... 191,016 199,929 Ballarat Brewing Co., Ltd. ............................. 51,392 73,170 Bank of Melbourne, Ltd. ................................ 193,554 661,382 Bank of Queensland, Ltd. ............................... 91,294 281,041 *Beach Petroleum NL ..................................... 165,200 13,985 *Biota Holdings, Ltd. ................................... 45,900 67,117 *Biota Holdings, Ltd. Issue 94 .......................... 12,900 20,352 Blackmores, Ltd. ....................................... 23,278 55,536 *Boulder Group NL ....................................... 66,500 24,054 *Brash Holdings, Ltd. ................................... 51,810 90,113 Bridgestone Australia, Ltd. ............................ 40,000 66,186 Burmine, Ltd. .......................................... 43,326 98,364 Caltex Australia, Ltd. ................................. 166,900 436,719 Campbell Brothers, Ltd. ................................ 14,887 44,683 *Cape Range, Ltd. ....................................... 217,000 88,512 *Carrington Cotton Corp., Ltd. .......................... 2,700 3,636 Central Equity, Ltd. ................................... 109,635 67,500 Central Norseman Gold Corp., Ltd. ...................... 374,000 247,535 Centro Properties, Ltd. ................................ 124,638 208,150
92 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Centro Properties, Ltd. Issue 94 ....................... 58,799 $ 54,302 Challenge Bank, Ltd. ................................... 134,710 298,579 *Climax Mining, Ltd. .................................... 81,600 65,940 *Clutha, Ltd. ........................................... 82,000 28,398 Clyde Industries, Ltd. ................................. 178,893 234,050 Coal & Allied Industries, Ltd. ......................... 2,850 31,146 *Command Petroleum Holdings NL .......................... 322,300 99,217 *Computer Power Group, Ltd. ............................. 47,260 67,651 Consolidated Rutile, Ltd. .............................. 58,800 208,162 *Coolgardie Gold NL ..................................... 72,200 13,891 *Coplex Resources NL .................................... 203,500 39,154 *Cortecs International, Ltd. ............................ 112,400 51,902 Country Road, Ltd. ..................................... 87,996 74,494 Coventry Group, Ltd. ................................... 57,738 222,177 Crane (G.E.) Holdings, Ltd. ............................ 31,376 188,347 Croesus Mining NL ...................................... 97,100 25,408 Crusader, Ltd. ......................................... 141,700 152,674 Cudgen RZ, Ltd. ........................................ 26,400 77,207 Danks Holdings, Ltd. ................................... 4,150 44,714 Datacraft, Ltd. ........................................ 102,700 80,619 Defiance Mills, Ltd. ................................... 69,200 73,494 *Delta Gold NL .......................................... 338,100 686,936 *Denehurst, Ltd. ........................................ 82,700 40,097 *Devex, Ltd. ............................................ 229,000 105,744 *Discovery Petroleum NL ................................. 46,000 19,471 Dominion Mining, Ltd. .................................. 765,378 179,657 *E.R.G. Australia, Ltd. ................................. 207,550 348,214 Eltin, Ltd. ............................................ 87,015 271,886 *Emperor Mines, Ltd. (Isle of Man) ...................... 109,000 186,229 *Energy Resources of Australia, Ltd. Class A ............ 357,400 354,823 *Equatorial Mining NL ................................... 367,000 118,627 Evans Deakin Industries, Ltd. .......................... 90,000 182,373 *Exicom, Ltd. ........................................... 171,700 38,321 FAI Insurances, Ltd. ................................... 506,569 296,292 Fai Life, Ltd. ......................................... 108,732 71,128 Faulding (F.H.) & Co., Ltd. ............................ 103,830 551,365 Finemore Holdings, Ltd. ................................ 53,500 94,700 Foodland Associated, Ltd. .............................. 78,477 241,585 Forrestania Gold NL .................................... 66,770 177,283 Futuris Corp., Ltd. .................................... 467,551 388,615 G.U.D. Holdings, Ltd. .................................. 50,634 114,177 Galore Group, Ltd. ..................................... 83,500 21,206 Gibson Chemical Industries, Ltd. ....................... 32,500 177,586 *Gold Mines of Australia, Ltd. .......................... 333,822 102,764 Gold Mines of Kalgoorlie, Ltd. ......................... 712,200 553,593 *Golden Shamrock Mines, Ltd. ............................ 320,900 276,602 *Great Central Mines NL ................................. 255,900 551,436 Gunns, Ltd. ............................................ 39,400 81,870 Gwalia Consolidated, Ltd. .............................. 90,900 129,420 HDC Group, Ltd. ........................................ 30,900 67,775 HMA, Ltd. .............................................. 18,000 26,043 Hardie (James) Industries, Ltd. ........................ 322,700 479,318 Harvey Norman Holdings, Ltd. ........................... 101,300 389,804 *Helix Resources NL ..................................... 25,000 13,853 Henry Walker Group, Ltd. ............................... 135,782 123,308 Herald Resources, Ltd. ................................. 62,628 59,766 Hills Industries, Ltd. ................................. 31,500 145,455 *Hunter Resources, Ltd. ................................. 197,200 83,471 *I.S.R. Group, Ltd. ..................................... 85,500 69,749 #Incitec, Ltd. ......................................... 164,500 525,389 *Ipoh Garden (Australia), Ltd. .......................... 107,500 77,768 *Jennings Group, Ltd. ................................... 1,010,500 69,992 *Johnson's Well Mining NL ............................... 10,000 16,546 *Jones (David), Ltd. .................................... 110,000 16,085
93 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Joyce Corp., Ltd. ...................................... 10,000 $ 9,235 Jupiters, Ltd. ......................................... 124,700 292,707 Kalamazoo Holdings, Ltd. ............................... 90,300 132,041 Kidston Gold Mines, Ltd. ............................... 224,800 477,499 Kurts (Peter) Properties, Ltd. ......................... 110,942 140,879 *Kurts (Peter) Properties, Ltd. Issue 94 ............................................. 11,094 14,941 Lanes, Ltd. ............................................ 10,027 44,758 Leighton Holdings, Ltd. ................................ 394,025 576,162 Lemarne Corp., Ltd. .................................... 14,200 48,631 Long Homes, Ltd. ....................................... 30,800 7,585 *Loscam, Ltd. ........................................... 214,000 52,702 *MacMahon Holdings, Ltd. ................................ 107,100 46,158 Magellan Petroleum Australia, Ltd. ..................... 31,200 46,823 *Matrix Telecomunications, Ltd. ......................... 82,300 110,209 McIntosh Securities, Ltd. .............................. 118,300 79,208 *McPherson's, Ltd. ...................................... 219,000 42,136 *Meekatharra Minerals, Ltd. ............................. 35,000 11,044 Memtec, Ltd. ........................................... 136,426 157,491 Metal Manufactures, Ltd. ............................... 215,200 472,013 Metway Bank, Ltd. ...................................... 222,249 521,683 Mildara Blass, Ltd. .................................... 74,702 342,071 *Minora Resources NL .................................... 300,000 13,853 Mirvac, Ltd. ........................................... 246,004 185,539 Mount Edon Gold Mines (Australia), Ltd. .................................... 99,937 222,275 *Mount Kersey Mining NL ................................. 65,900 33,980 Mount Leyshon Gold Mines, Ltd. ......................... 97,100 336,278 NCL (National Consolidated, Ltd.) ...................... 350,018 255,906 National Can Industries, Ltd. .......................... 75,960 181,223 National Foods, Ltd. ................................... 458,249 578,379 OPSM Protector, Ltd. ................................... 265,450 424,926 ORL (Oroton International, Ltd.) ....................... 31,400 42,290 Oil Company of Australia, Ltd. ......................... 51,800 63,785 Oil Search, Ltd. ....................................... 408,000 270,039 *Orbital Engine Corp., Ltd. ............................. 399,458 448,840 Oresearch NL ........................................... 17,300 59,914 Pacific BBA, Ltd. ...................................... 231,738 481,535 Pacific Magazines and Printing, Ltd. ................................................. 219,342 455,777 Pacific Mutual Australia, Ltd. ......................... 61,000 103,281 *Pan Pacific Petroleum NL ............................... 298,000 37,841 *Pancontinental Mining, Ltd. ............................ 398,800 488,000 Parbury, Ltd. .......................................... 112,494 57,140 Penfold (W.C.), Ltd. ................................... 14,100 21,703 *Peptide Technology, Ltd. ............................... 158,000 133,757 *Perilya Mines NL ....................................... 96,800 79,712 Permanent Trustee Co., Ltd. ............................ 14,000 45,791 *Petroleum Securities Australia, Ltd. ................... 86,300 102,946 *Petroz NL .............................................. 131,040 68,577 *Portman Mining, Ltd. ................................... 68,400 38,954 Power Pacific, Ltd. .................................... 264,900 30,580 Prime Television, Ltd. ................................. 113,614 111,046 Q.U.F. Industries, Ltd. ................................ 126,374 291,774 QCT Resources, Ltd. .................................... 721,236 716,035 QDL, Ltd. .............................................. 38,500 59,259 *QNI, Ltd. .............................................. 453,300 680,280 *Queensland Metals Corp., Ltd. .......................... 176,000 158,477 Reece Australia, Ltd. .................................. 24,500 150,842 *Resolute Resources, Ltd. ............................... 442,600 357,658 Ridley Corp., Ltd. ..................................... 487,798 375,411 Rothmans Holdings, Ltd. ................................ 149,900 575,664 Rural Press, Ltd. ...................................... 180,300 596,666 *SBS Iama, Ltd. ......................................... 33,600 45,253
94 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Samantha Gold NL ....................................... 164,800 $ 468,005 *Savage Resources, Ltd. ................................. 568,100 515,910 Schaffer Corp., Ltd. ................................... 11,800 24,974 Scott Corp., Ltd. ...................................... 30,700 71,589 Siddons Ramset, Ltd. ................................... 76,383 152,252 #Simsmetal, Ltd. ....................................... 117,120 540,816 *Sipa Resources International NL ........................ 81,000 14,961 Sons of Gwalia, Ltd. ................................... 60,100 226,641 *Sons of Gwalia, Ltd. Issue 94 .......................... 60,100 217,390 *Southern Pacific Petroleum NL .......................... 389,400 125,867 Spicers Paper, Ltd. .................................... 224,700 423,678 Spotless Group, Ltd. ................................... 184,000 164,264 Spotless Services, Ltd. ................................ 271,100 260,799 St. Barbara Mines, Ltd. ................................ 339,400 391,805 Stanilite Pacific, Ltd. ................................ 100,014 215,519 Steamships Trading Co., Ltd. ........................... 7,400 21,357 Sunraysia Television, Ltd. ............................. 13,000 48,273 Sunshine Broadcasting Network, Ltd. ................................................. 73,100 101,264 Tassal, Ltd. ........................................... 320,526 76,470 *Telecasters North Queensland, Ltd. ..................... 39,200 111,623 *Ticor, Ltd. ............................................ 222,300 29,084 *Titan Resources NL ..................................... 50,000 14,045 *Tooth & Co., Ltd. ...................................... 153,000 47,100 *Transcom International, Ltd. ........................... 223,200 29,202 *Union Gold Mining Co. NL ............................... 127,600 70,705 Villa World, Ltd. ...................................... 60,750 56,572 *Villa World, Ltd. Issue 94 ............................. 60,750 61,715 #Village Roadshow, Ltd. ................................ 322,453 744,483 *Vox, Ltd. .............................................. 189,000 25,455 *Waco International, Ltd. ............................... 193,000 22,280 Wattyl, Ltd. ........................................... 113,567 485,079 Wesgo, Ltd. ............................................ 41,279 54,006 Weston (George) Foods, Ltd. ............................ 20,100 92,814 Westralian Forest Industries, Ltd. ..................... 21,900 75,339 Westralian Sands, Ltd. ................................. 98,073 294,362 White (Joe) Maltings, Ltd. ............................. 15,000 41,559 Wills (W.D. & H.O.) Holdings, Ltd. ..................... 237,000 496,117 *Wiluna Mines, Ltd. ..................................... 240,000 216,105 *Zapopan NL ............................................. 273,600 374,803 ------------------ TOTAL COMMON STOCKS (Cost $35,685,540) ...................................... 39,026,341 ------------------ INVESTMENT IN CURRENCY - (0.2%) *Australia Dollar (Cost $501,132) ....................... 515,464 ------------------ PREFERRED STOCK - (0.1%) Publishing and Broadcasting, Ltd. (Cost $205,492) ...................................... 63,600 183,061 ------------------ RIGHTS/WARRANTS - (0.0%) *Gold Mines of Australia, Ltd. Rights 12/09/94 .......... 111,274 1,285 *I.S.R. Group, Ltd. Options 07/05/95 .................... 17,100 2,764 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ............................................... 4,049 ------------------ TOTAL - AUSTRALIA (Cost $36,392,164) ...................................... 39,728,915 ------------------ SINGAPORE - (15.3%) COMMON STOCKS - (15.2%) Acma, Ltd. ............................................. 178,000 547,318 *Alliance Technology and Development, Ltd. .................................... 48,000 28,862
95 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Amtek Engineering, Ltd. ................................ 113,000 $ 203,068 *Ana Hotels Singapore, Ltd. ............................. 81,000 121,763 Apollo Enterprises, Ltd. ............................... 162,000 153,864 Avimo Singapore, Ltd. .................................. 174,625 193,299 Bonvests Holdings, Ltd. ................................ 359,000 316,440 British-American Tobacco Co. (Singapore), Ltd. .................................... 101,000 462,385 Bukit Sembawang Estates, Ltd. .......................... 44,000 901,947 CK Tang, Ltd. .......................................... 76,000 119,440 CSA Holdings, Ltd. ..................................... 153,000 123,362 CWT Distribution, Ltd. ................................. 120,000 186,129 Carnaudmetalbox Asia, Ltd. ............................. 95,000 350,530 *Causeway Investment, Ltd. .............................. 122,000 131,712 Central Properties, Ltd. ............................... 37,000 407,038 Chemical Industries (Far East), Ltd. ................... 48,000 147,591 Chuan Hup Holdings, Ltd. ............................... 361,000 342,870 Cosco Investment (Singapore), Ltd. ..................... 48,000 134,472 #Far East Levingston Shipbuilding, Ltd. .................................................. 52,000 250,495 Focal Finance, Ltd. .................................... 88,200 190,442 Fuji Offset Plates Manufacturing, Ltd. ................................................. 33,750 15,566 GB Holdings, Ltd. ...................................... 90,000 65,186 #GK Goh Holdings ........................................ 429,000 639,030 GP Batteries International, Ltd. ....................... 12,000 19,515 General Magnetics, Ltd. ................................ 94,000 54,595 Goldtron, Ltd. ......................................... 424,000 391,117 Goodman Fielder Asia Holdings, Ltd. .................... 149,000 253,509 Guthrie Gts, Ltd. ...................................... 452,000 228,548 HTP Holdings, Ltd. ..................................... 297,000 280,055 Hai Sun Hup Group, Ltd. ................................ 278,000 309,628 Haw Par Brothers Internatonal, Ltd. .................... 331,100 714,914 Hind Hotels International, Ltd. ........................ 102,000 128,937 Hitachi Zosen(S), Ltd. ................................. 455,000 466,348 Hong Fok Corporation, Ltd. ............................. 231,000 347,250 Hotel Grand Central, Ltd. .............................. 238,000 286,218 Hotel Plaza, Ltd. ...................................... 520,000 383,738 Hotel Properties, Ltd. ................................. 509,000 918,182 Hotel Royal, Ltd. ...................................... 54,000 109,956 #Hour Glass, Ltd. ...................................... 122,000 125,043 Hwa Hong Corporation, Ltd. ............................. 189,000 304,776 ICB (Industrial & Commercial Bank, Ltd.) ............... 207,000 841,578 *Inno Pacific Holdings, Ltd. ............................ 265,500 134,247 Insurance Corp. of Singapore, Ltd. ..................... 85,000 233,481 Interaco, Ltd. ......................................... 160,000 256,918 Isetan (Singapore), Ltd. ............................... 56,000 136,987 Jack Chia-Mph, Ltd. .................................... 308,000 315,682 Jaya Holdings, Ltd. .................................... 122,400 148,034 Jurong Cement, Ltd. .................................... 73,750 257,004 Jurong Engineering, Ltd. ............................... 80,000 522,036 Keppel Finance, Ltd. ................................... 233,000 367,769 Khong Guan Flour Milling, Ltd. ......................... 7,000 27,024 #Kim Eng Holdings, Ltd. ................................ 580,200 650,173 L & M Group Investments, Ltd. .......................... 209,100 160,022 L.C. Development, Ltd. ................................. 81,000 77,485 Lee Kim Tah Holdings, Ltd. ............................. 147,000 100,444 Lim Kah Ngam, Ltd. ..................................... 249,333 347,550 Low Keng Huat Singadore, Ltd. .......................... 144,000 91,507 Lum Chang Holdings, Ltd. ............................... 380,000 451,794 Marco Polo Developments, Ltd. .......................... 733,000 1,071,828
96 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Metal Containers, Ltd. ................................. 105,000 $112,641 Metalock (Singapore), Ltd. ............................. 20,000 23,505 Metro Holdings, Ltd. ................................... 160,800 692,204 Natsteel, Ltd. ......................................... 115,000 238,879 OUT (Overseas Union Trust) ............................. 63,000 163,580 Orchard Parade Holdings, Ltd. .......................... 70,000 597,882 PCI, Ltd. .............................................. 206,000 97,123 PSC (Provisions Suppliers Corp.) ....................... 158,000 150,065 Pacific Can Investment Holdings, Ltd. ................................................. 90,000 70,106 Pacific Carriers, Ltd. ................................. 390,000 373,078 Pan Malayan Holdings, Ltd. ............................. 15,000 57,397 Pan Pacific Public Co., Ltd. ........................... 46,500 25,101 #Parkway Holdings, Ltd. ................................ 151,000 361,121 Pentex-Schweizer Circuits, Ltd. ........................ 66,000 101,018 Pertama Holdings, Ltd. ................................. 68,750 22,784 *Polytek Wearnes Holdings, Ltd. ......................... 33,000 25,029 Prima, Ltd. ............................................ 69,000 242,808 QAF, Ltd. .............................................. 567,000 643,129 Republic Hotels & Resorts, Ltd. ........................ 371,000 659,105 Resources Development Corp., Ltd. ................................................. 30,000 126,068 Robinson & Co., Ltd. ................................... 109,000 465,494 SBS (Singapura Building Society, Ltd.) ................. 57,500 67,185 *SPP, Ltd. .............................................. 83,000 30,342 Sal Industrial Leasing, Ltd. ........................... 171,200 126,338 San Teh, Ltd. .......................................... 227,500 198,975 Scott Holdings, Ltd. ................................... 284,000 193,085 Sea View Hotel, Ltd. ................................... 40,000 300,649 Sembawang Maritime, Ltd. ............................... 119,450 563,174 Shangri-la Hotel, Ltd. ................................. 195,000 766,143 Sime Singapore, Ltd. ................................... 706,000 506,525 Singapore Automative Engineering, Ltd. ................................................. 120,000 225,487 Singapore Automotive Engineering, Ltd. (Foreign) ....................................... 53,000 102,487 Singapore Finance, Ltd. ................................ 313,600 548,559 Singapore Investments & Finance, Ltd. ................................................. 81,900 102,410 Singapore National Printers, Ltd. ...................... 68,000 72,019 Singapore Reinsurance Corporation, Ltd. .................................... 93,500 121,387 Singatronics, Ltd. ..................................... 200,000 112,060 Singmarine Industries, Ltd. ............................ 188,500 502,323 Ssangyong Cement (Singapore), Ltd. ................................................. 122,500 396,754 Stamford Tyres Corp., Ltd. ............................. 62,000 31,773 Steamers Maritime Holdings, Ltd. ....................... 283,750 201,640 *Sunshine Allied Investments, Ltd. ...................... 24,000 44,933 Superior Metal Printing ................................ 157,000 110,495 Tibs Holdings, Ltd. .................................... 54,000 176,372 Tiger Medicals, Ltd. ................................... 90,000 99,624 Times Publishing, Ltd. ................................. 191,000 488,104 Transmarco, Ltd. ....................................... 46,000 220,020 *Tuan Sing Holdings, Ltd. ............................... 2,084,000 790,311 United Engineers, Ltd. ................................. 283,000 570,448 United Overseas Finance, Ltd. .......................... 123,750 214,776 United Overseas Insurance, Ltd. ........................ 69,000 120,697 United Pulp & Paper Co., Ltd. .......................... 105,000 53,809 *#Van Der Horst, Ltd. ................................... 151,800 435,641 Van Der Horst, Ltd. 3.5% Unsecured Loan Stock 1998 ............................. 23,400 13,351
97 THE PACIFIC RIM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ --------- ------------ WBL Corp., Ltd. .................. 209,000 $ 494,117 YHS (Yeo Hiap Seng, Ltd.) ........ 220,000 577,246 ------------ TOTAL COMMON STOCKS (Cost $24,310,229) .............. 32,374,077 ------------ INVESTMENT IN CURRENCY - (0.0%) *Singapore Dollars (Cost $24,002) 25,619 ------------ RIGHTS/WARRANTS - (0.1%) *Apollo Enterprises, Ltd. Warrants 01/27/99 ............ 54,000 28,596 *Goldtron, Ltd. Warrants 11/24/95 32,000 11,370 *Pertama Holdings, Ltd. Rights 12/07/94 ..................... 11,000 1,127 *Provisions Supplier Corp. Warrants 10/05/98 ............ 17,625 9,153 *SPP, Ltd. Rights 12/09/94 ...... 124,500 5,955 *Sing Investments & Finance, Ltd. Warrants 12/29/98 ............ 19,500 9,927 *United Engineers, Ltd. Warrants 10/26/98 ..................... 141,500 130,526 *Van Der Horst, Ltd. Warrants 08/31/98 ..................... 31,200 67,367 ------------ TOTAL RIGHTS/WARRANTS (Cost $60,375) .................. 264,021 ------------ TOTAL - SINGAPORE (Cost $24,394,606) .............. 32,663,717 ------------ Face Amount ------ (000) TEMPORARY CASH INVESTMENTS - (1.0%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $2,184,000) ......................................................... $ 2,184 2,184,000 ------------ TOTAL INVESTMENTS - (100.0%) (Cost $178,336,649) ...................... $212,682,322 ------------
- ------ + See Note B to Financial Statements. * Non-Income Producing Securities # Securities on loan See accompanying Notes to Financial Statements 98 SCHEDULE OF INVESTMENTS THE UNITED KINGDOM SMALL COMPANY PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ COMMON STOCKS - (95.6%) 600 Group P.L.C. ....................................... 135,000 $ 156,493 *AAF Industries P.L.C. .................................. 53,256 28,365 ABI Leisure Group P.L.C. ............................... 91,000 153,956 AIM Group P.L.C. ....................................... 35,501 92,873 API Group P.L.C. ....................................... 51,500 271,874 ASDA Property Holdings P.L.C. .......................... 94,000 170,811 ASW Holdings P.L.C. .................................... 165,900 506,771 Abbeycrest P.L.C. ...................................... 58,000 79,954 Abbott Mead Vickers P.L.C. ............................. 63,000 339,492 Aberdeen Trust P.L.C. .................................. 38,500 46,740 Acatos & Hutcheson P.L.C. .............................. 79,000 318,046 Act Group P.L.C. ....................................... 383,750 583,110 Adam & Harvey Group P.L.C. ............................. 10,500 93,755 Admiral P.L.C. ......................................... 27,000 269,422 Adscene Group P.L.C. ................................... 72,000 327,085 Adwest Group P.L.C. .................................... 204,250 502,333 *Aegis Group P.L.C. ..................................... 1,360,801 554,241 Aerospace Engineering P.L.C. ........................... 79,904 20,027 African Lakes Corp. P.L.C. ............................. 6,208 5,543 Airflow Streamlines P.L.C. ............................. 20,500 51,060 Airsprung Furniture Group P.L.C. ....................... 58,000 219,874 Aitken Hume International P.L.C. ....................... 252,000 201,327 Alba P.L.C. ............................................ 115,625 329,650 Alexanders Holdings P.L.C. ............................. 259,000 85,202 Alexandra Workwear P.L.C. .............................. 99,000 227,973 *Alexon Group P.L.C. .................................... 248,500 132,354 Allied Leisure P.L.C. .................................. 159,100 44,861 Allied London Properties P.L.C. ........................ 25,000 37,204 *Allied Radio P.L.C. .................................... 10,330 930 Allied Textile Companies P.L.C. ........................ 99,119 808,956 *Alphameric P.L.C. ...................................... 1,637 1,077 Alumasc Group P.L.C. ................................... 105,000 555,951 Alvis P.L.C. ........................................... 252,000 173,694 Amber Day Holdings P.L.C. .............................. 609,530 276,900 Amber Industrial Holdings P.L.C. ....................... 10,500 129,941 Amec P.L.C. ............................................ 71,200 81,420 Amstrad P.L.C. ......................................... 232,900 527,191 *Andrews Sykes Group P.L.C. ............................. 55,727 96,026 *Anglesey Mining P.L.C. ................................. 55,000 6,893 Anglian Group P.L.C. ................................... 74,000 231,842 Anglo Eastern Plantations P.L.C. ....................... 57,166 107,461 *Anglo United P.L.C. .................................... 826,666 25,899 Antofagasta Holdings P.L.C. ............................ 112,500 590,375 *Apollo P.L.C. .......................................... 110,000 0 Appleyard Group P.L.C. ................................. 269,627 485,726 *Arcadian International P.L.C. .......................... 98,212 61,540 Archer Group Holding P.L.C. ............................ 130,000 120,151 Arcolectric Holdings P.L.C. ............................ 4,500 10,785 Arcolectric Holdings P.L.C. Class A Non-Voting ......... 10,000 11,122 *Arlen P.L.C. ........................................... 255,728 124,185 Armitage Brothers P.L.C. ............................... 4,000 12,219 Armour Trust P.L.C. .................................... 163,500 125,500 Ash & Lacy P.L.C. ...................................... 63,000 151,982 Ashley (Laura) Holdings P.L.C. ......................... 549,000 705,207 Ashtead Group P.L.C. ................................... 48,666 324,000 Associated British Engineering P.L.C. .................. 534,500 37,678 Astec (BSR) P.L.C. ..................................... 766,000 1,025,948
99 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Atkins Group P.L.C. .................................... 7,000 $ 9,540 *Aukett Associates P.L.C. ............................... 33,500 11,807 Austin Reed Group P.L.C. ............................... 77,000 271,396 *Automated Security Holdings P.L.C. ..................... 258,537 295,649 *Avesco P.L.C. .......................................... 186,666 30,703 Avon Rubber P.L.C. ..................................... 80,874 661,317 Avonside Group P.L.C. .................................. 50,000 79,892 Ayrshire Metal Products P.L.C. ......................... 25,000 48,170 *BM Group P.L.C. ........................................ 276,000 192,398 BNB Resources P.L.C. ................................... 59,000 166,362 BPP Holdings P.L.C. .................................... 62,450 224,026 BSG International P.L.C. ............................... 684,597 616,642 BTP P.L.C. ............................................. 49,141 219,391 *Babcock International Group P.L.C. ..................... 2,112,785 877,065 Baggeridge Brick P.L.C. ................................ 110,000 198,162 Bailey (Ben) Construction P.L.C. ....................... 26,000 13,848 *Bailey (C.H.) P.L.C. ................................... 109,500 11,150 *Bailey (C.H.) P.L.C. Class B ........................... 10,000 4,073 Baldwin P.L.C. ......................................... 81,000 143,382 Baltic P.L.C. .......................................... 176,984 343,784 Bank Leumi (U.K.), Ltd. ................................ 5,767 38,846 Banks (Sidney C.) P.L.C. ............................... 13,507 44,433 Barbour Index P.L.C. ................................... 40,000 112,788 Bardon Group P.L.C. .................................... 907,150 476,052 *Barlows P.L.C. ......................................... 50,000 39,946 Barr & Wallace Arnold Trust P.L.C. Class A ............. 16,000 63,663 Barr (A.G.) P.L.C. ..................................... 57,000 329,482 Barton Transport P.L.C. ................................ 1,250 5,385 Baynes (Charles) P.L.C. ................................ 341,378 454,553 Beales Hunter P.L.C. ................................... 22,254 92,381 Bearing Power International P.L.C. ..................... 81,757 29,457 Beattie (James) P.L.C. Class A ......................... 223,247 465,123 *Beauford P.L.C. ........................................ 1,312 658 Beckman (A.) P.L.C. .................................... 30,000 17,388 Bellway P.L.C. ......................................... 239,142 760,470 *Bellwinch P.L.C. ....................................... 163,266 81,842 Bemrose Corp. P.L.C. ................................... 78,750 429,299 *Benchmark Group P.L.C. ................................. 11,480 5,755 Benson Group P.L.C. .................................... 324,400 45,736 Bentalls P.L.C. ........................................ 153,500 295,763 Beradin Holdings P.L.C. ................................ 37,000 29,560 *Berisford International P.L.C. ......................... 187,014 641,577 *Berkeley Business Group P.L.C. ......................... 250,000 29,372 Berkeley Group P.L.C. .................................. 114,640 666,255 Bertam Holdings P.L.C. ................................. 51,162 188,341 Bespak P.L.C. .......................................... 60,718 260,614 *Betacom P.L.C. ......................................... 195,000 25,965 Bett Brothers P.L.C. ................................... 55,000 155,084 Betterware P.L.C. ...................................... 176,000 135,095 *Beverley Group P.L.C. .................................. 82,352 8,385 Bibby (J.) & Sons P.L.C. ............................... 262,300 291,734 *Bilton P.L.C. .......................................... 30,000 115,138 *Bimec Industries P.L.C. ................................ 32,677 0 Birkby P.L.C. .......................................... 119,513 402,517 *Birkdale Group P.L.C. .................................. 33,600 3,290 *Birse Group P.L.C. ..................................... 716,900 224,605 Black (A & C) P.L.C. ................................... 2,250 11,279
100 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Black (Peter) Holdings P.L.C. .......................... 235,495 $ 885,367 Black Arrow Group P.L.C. ............................... 56,500 37,173 Blacks Leisure Group P.L.C. ............................ 69,959 39,453 *Blagden Industries P.L.C. .............................. 226,875 383,832 Bletchley Motor Group P.L.C. ........................... 13,333 53,886 Blick P.L.C. ........................................... 74,555 483,512 Blockleys P.L.C. ....................................... 118,678 111,545 Boddington Group P.L.C. ................................ 149,000 602,194 Bodycote International P.L.C. .......................... 163,000 799,213 *Bolton Group P.L.C. .................................... 23,000 6,125 Boosey & Hawkes P.L.C. ................................. 47,500 251,502 Boot (Henry) & Sons P.L.C. ............................. 65,000 221,973 *Booth Industries Group P.L.C. .......................... 5,000 5,169 Borthwicks P.L.C. ...................................... 235,500 188,144 Bostrom P.L.C. ......................................... 67,000 312,767 Bourne End Properties P.L.C. ........................... 110,454 122,849 Bradstock Group P.L.C. ................................. 130,000 185,317 Brake Brothers P.L.C. .................................. 111,500 792,978 Brammer (H.) P.L.C. .................................... 111,000 585,981 Brasway P.L.C. ......................................... 189,541 47,507 Breedon P.L.C. ......................................... 75,428 99,253 Brent International P.L.C. ............................. 414,531 672,091 *Brent Walker Group P.L.C. .............................. 128,571 6,042 Bridgend Group P.L.C. .................................. 93,000 23,310 Bridon P.L.C. .......................................... 140,000 344,317 Bridport-Gundry P.L.C. ................................. 22,000 33,774 Bristol Evening Post P.L.C. ............................ 40,500 239,181 *Bristol Scotts P.L.C. .................................. 7,000 20,067 Bristol Water Holdings P.L.C. .......................... 12,000 189,484 Britannia Group P.L.C. ................................. 50,000 29,764 British Building and Engineering Appliances, Ltd. ...... 52,000 130,333 British Data Management P.L.C. ......................... 25,000 70,493 British Dredging P.L.C. ................................ 87,600 182,510 British Fittings Group P.L.C. .......................... 138,658 178,110 British Mohair Holdings P.L.C. ......................... 31,500 94,248 British Polythene Industries P.L.C. .................... 72,736 569,705 British Steam Specialties Group P.L.C. ................. 108,505 883,860 British Thornton Holdings .............................. 35,000 19,190 British-Borneo Petroleum Syndicate P.L.C. ..................................... 95,498 321,635 Britton Group P.L.C. ................................... 171,200 329,867 Brockhampton Holdings P.L.C. ........................... 21,000 121,717 Bromsgrove Industries P.L.C. ........................... 196,885 277,578 *Brooke Tool Engineering Holdings P.L.C. ................ 77,875 15,554 Brooks Service Group P.L.C. ............................ 25,500 24,367 *Brown & Jackson P.L.C. ................................. 2,201,922 86,233 *Brown & Tawse Group P.L.C. ............................. 115,000 91,875 Brown (N.) Group P.L.C. ................................ 339,750 1,138,947 Budgens P.L.C. ......................................... 399,285 156,370 Bulgin (A.F.) & Co. P.L.C. ............................. 4,000 3,822 Bulgin (A.F.) & Co. P.L.C. Class A Non-Voting .......... 52,000 13,441 *Bullers P.L.C. ......................................... 97 31 Bullough P.L.C. ........................................ 393,000 948,077 Bulmer (H.P.) Holdings P.L.C. .......................... 110,500 676,814 Burn Stewart Distillers P.L.C. ......................... 291,500 547,962 Burndene Investments P.L.C. ............................ 335,500 225,991 Burnfield P.L.C. ....................................... 85,475 95,067 Burtonwood Brewery P.L.C. .............................. 52,000 145,810 CI Group P.L.C. ........................................ 413,897 97,255 CRT Group P.L.C. ....................................... 149,251 196,393 Caffyns P.L.C. ......................................... 6,000 27,069
101 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Cairn Energy P.L.C. .................................... 142,500 $191,975 *Cakebread Robey & Co. P.L.C. Class A Non-Voting ........ 13,500 8,036 Cala P.L.C. ............................................ 98,400 172,641 Calderburn P.L.C. ...................................... 57,636 192,311 Camellia P.L.C. ........................................ 2,950 101,666 *Campari International P.L.C. ........................... 25,000 7,833 Canning (W.) P.L.C. .................................... 68,354 204,516 Cantors P.L.C. ......................................... 40,750 97,667 Cape P.L.C. ............................................ 132,000 463,183 Capita Group P.L.C. .................................... 121,000 316,543 Capital Industries P.L.C. .............................. 67,500 162,838 Capital Radio P.L.C. ................................... 176,000 909,823 Carclo Engineering Group P.L.C. ........................ 164,777 650,470 Carlisle Group P.L.C. .................................. 100,000 35,638 Carr's Milling Industries P.L.C. ....................... 30,000 105,739 Casket P.L.C. .......................................... 218,731 97,653 Castings P.L.C. ........................................ 102,000 225,294 *Castle Mill International P.L.C. ....................... 31,500 1,727 Cater Allen Holdings P.L.C. ............................ 56,833 430,010 *Cathay International Holdings P.L.C. ................... 339,600 154,275 Cattle's Holdings P.L.C. ............................... 344,399 766,091 Caverdale Group P.L.C. ................................. 1,262,244 266,936 Chamberlin & Hill P.L.C. ............................... 18,000 43,705 Channel Holdings P.L.C. ................................ 40,000 28,197 Cheam Group P.L.C. Class A ............................. 15,000 105,269 Chemring Group P.L.C. .................................. 24,000 106,397 Chesterfield Properties P.L.C. ......................... 25,000 181,322 *Chiltern Radio P.L.C. .................................. 15,000 61,094 *Chloride Group P.L.C. .................................. 571,500 208,147 *Christie Group P.L.C. .................................. 50,000 31,330 Chrysalis Group P.L.C. ................................. 125,036 475,961 Church & Co. P.L.C. .................................... 50,500 382,093 City Centre Restaurants P.L.C. ......................... 465,500 576,073 *City Site Estates P.L.C. ............................... 20,000 17,858 Claremont Garments (Holdings) P.L.C. ................... 135,700 665,357 Clark (Matthew) P.L.C. ................................. 72,800 619,244 *Clark (Matthew) P.L.C. Issue 94 ........................ 43,680 368,809 Clarke (T.) P.L.C. ..................................... 30,000 23,028 Clarkson (Horace) P.L.C. ............................... 142,489 209,816 Clayhithe P.L.C. ....................................... 41,500 48,107 Clinton Cards P.L.C. ................................... 77,000 114,589 *Cliveden P.L.C. ........................................ 27,140 0 Close Brothers Group P.L.C. ............................ 197,714 706,159 *Cluff Resources P.L.C. ................................. 181,100 119,151 Clyde Blowers P.L.C. ................................... 11,781 33,403 Clyde Petroleum P.L.C. ................................. 997,500 625,034 *Coal Investments P.L.C. ................................ 1,102 1,467 *Cohen (A.) & Co. P.L.C. ................................ 2,100 17,764 *Cohen (A.) & Co. P.L.C. Class A Non-Voting ............. 1,500 12,219 Colefax & Fowler Group P.L.C. .......................... 60,000 67,673 Colorvision P.L.C. ..................................... 50,000 22,714 Community Hospitals Group P.L.C. ....................... 191,333 731,324 Computer People Group P.L.C. ........................... 50,999 183,747 Concentric P.L.C. ...................................... 133,026 387,597 *Conrad P.L.C. .......................................... 30,000 2,115 Conrad Ritblat Sinclair Goldsmith P.L.C. ............... 198,000 93,050 Control Techniques P.L.C. .............................. 81,735 658,115 Cook (William) P.L.C. .................................. 53,750 203,762 Cooper (Frederick) P.L.C. .............................. 86,954 108,971
102 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Cornwell Parker P.L.C. ................................. 16,000 $ 27,570 Cornwell Parker P.L.C. Class A Non-Voting .............. 90,000 128,296 Cosalt P.L.C. .......................................... 72,500 173,764 *Costain Group P.L.C. ................................... 620,600 218,738 Country Casuals Holdings P.L.C. ........................ 5,040 7,185 Countryside Property P.L.C. ............................ 209,454 393,732 Courts P.L.C. .......................................... 60,542 758,712 *Coutts Consulting Group P.L.C. ......................... 92,000 73,500 Cradley Group Holdings P.L.C. .......................... 80,000 33,836 Crest Nicholson P.L.C. ................................. 231,250 282,557 Crestacare P.L.C. ...................................... 381,864 185,439 *Creston Land & Estates P.L.C. .......................... 50,000 11,749 Cropper (James) P.L.C. ................................. 36,000 159,031 *Cullen's Holdings P.L.C. ............................... 38,645 8,475 Culver Holdings P.L.C. ................................. 8,471 962 Cussins Property Group P.L.C. .......................... 43,750 70,590 Daejan Holdings P.L.C. ................................. 15,000 296,069 Dagenham Motors Group P.L.C. ........................... 81,000 177,641 Dalepak Foods P.L.C. ................................... 57,500 96,379 Daniels (S.) P.L.C. .................................... 20,500 17,341 Dart Group P.L.C. ...................................... 37,000 91,578 Davis Service Group P.L.C. ............................. 249,360 917,963 Dawson Group P.L.C. .................................... 100,674 488,888 Dawson International P.L.C. ............................ 194,000 382,915 Debenham Tewson & Chinnocks Holdings P.L.C. ............ 89,500 140,202 *Delaney Group P.L.C. ................................... 270,000 33,836 Delyn Group P.L.C. . ................................... 15,500 19,425 Dencora P.L.C. ......................................... 10,000 25,534 Densitron International P.L.C. ......................... 42,386 19,255 Derwent Valley Holdings P.L.C. ......................... 40,000 150,384 Development Securities P.L.C. .......................... 320,000 97,750 Dewhirst Group P.L.C. .................................. 378,760 768,359 Dewhurst P.L.C. ........................................ 9,000 13,112 Dewhurst P.L.C. Class A Non-Voting ........................................... 15,500 22,581 Diploma P.L.C. ......................................... 139,000 921,055 Dixon Motors P.L.C. .................................... 1,167 2,797 Dobson Park Industries P.L.C. .......................... 354,537 438,752 Doeflex P.L.C. ......................................... 25,762 53,674 Dolphin Packaging P.L.C. ............................... 84,110 138,346 Domino Printing Sciences P.L.C. ........................ 147,187 1,235,847 *Donelon Tyson P.L.C. ................................... 322,588 65,693 Dorling Kindersley Holdings P.L.C. ..................... 20,000 91,170 Dowding & Mills P.L.C. ................................. 451,875 488,425 *Drummond Group P.L.C. .................................. 26,250 11,925 *Dunkeld Group P.L.C. (In Receivership) .................................... 13,400 0 Dyson (J.& J.) P.L.C. Class A Non- Voting .............. 28,500 30,805 EBC Group P.L.C. ....................................... 30,000 34,306 EIS Group P.L.C. ....................................... 159,066 966,806 *ERA Group P.L.C. ....................................... 400,000 56,394 ERF Holdings P.L.C. .................................... 24,000 121,811 Eadie Holdings P.L.C. .................................. 118,000 33,272 *Eclipse Blinds P.L.C. .................................. 553,564 86,716 Edinburgh Fund Managers ................................ 42,500 484,675 Edmond Holdings P.L.C. ................................. 222,000 73,030 *Elbief P.L.C. .......................................... 23,500 5,154 *Eleco Holdings P.L.C. .................................. 133,527 64,843 Electron House P.L.C. .................................. 56,000 137,727 Electronic Data Processing P.L.C. ...................... 55,200 123,653 Elliott (B.) & Co. P.L.C. .............................. 6,087 9,535 Ellis & Everard P.L.C. ................................. 209,922 845,126
103 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Emess P.L.C. ........................................... 483,250 $ 230,888 English & Overseas Properties P.L.C. ................... 190,000 83,338 Epwin Group P.L.C. ..................................... 42,000 188,168 Erith P.L.C. ........................................... 96,000 90,230 Etam P.L.C. ............................................ 159,500 622,143 Eurocamp P.L.C. ........................................ 70,000 278,524 Eurocopy P.L.C. ........................................ 210,000 210,538 Euromoney Publications P.L.C. .......................... 50,000 1,292,363 European Colour P.L.C. ................................. 64,500 64,665 European Motor Holdings P.L.C. ......................... 175,000 337,189 Eurotherm P.L.C. ....................................... 208,000 1,274,003 Evans Halshaw Holdings P.L.C. .......................... 133,454 842,494 Everest Foods P.L.C. ................................... 60,000 61,094 Ewart P.L.C. ........................................... 30,000 33,836 Ex-Lands P.L.C. ........................................ 208,000 79,829 Excalibur Group P.L.C. ................................. 228,630 127,143 Expamet International P.L.C. ........................... 398,749 562,176 FII Group P.L.C. ....................................... 60,166 249,763 FR Group P.L.C. ........................................ 184,000 956,944 Faber Prest P.L.C. ..................................... 52,500 453,972 Fairey Group P.L.C. .................................... 140,000 853,116 Fairline Boats P.L.C. .................................. 8,500 57,788 Falcon Holdings P.L.C. ................................. 5,500 11,545 *Farringford P.L.C. ..................................... 30,000 2,350 Fenner P.L.C. .......................................... 161,457 351,562 Ferguson International Holdings P.L.C. ................. 126,000 633,587 *Ferranti International P.L.C. (In Receivership) .................................... 2,338,000 0 Ferry Pickering Group P.L.C. ........................... 33,500 63,498 Fife Indmar P.L.C. ..................................... 24,000 22,934 Finlay (James) P.L.C. .................................. 644,500 696,630 First Choice Holidays .................................. 481,500 897,581 First National Finance Corp. P.L.C. .................... 413,813 411,631 First Technology P.L.C. ................................ 36,750 189,977 *Firth (G.M.) Holdings P.L.C. ........................... 151,000 59,135 *Fisher (James) & Sons P.L.C. ........................... 17,500 13,707 *Fitch P.L.C. ........................................... 15,500 2,914 Fletcher King P.L.C. ................................... 17,500 12,336 Folkes Group P.L.C. .................................... 28,000 19,299 Folkes Group P.L.C. Non-Voting ........................................... 65,500 42,068 Forminster P.L.C. ...................................... 32,500 75,349 Forth Ports P.L.C. ..................................... 31,000 218,527 Fortnum & Mason P.L.C. ................................. 1,000 104,172 Forward Technology Industries P.L.C. ................... 84,260 55,437 *Foster (John) & Son P.L.C. ............................. 27,500 7,754 French (Thomas) & Sons P.L.C. .......................... 49,000 72,921 Friendly Hotels P.L.C. ................................. 48,666 135,699 Frogmore Estates P.L.C. ................................ 40,000 273,824 Frost Group P.L.C. ..................................... 175,080 625,319 *Futura Holdings P.L.C. ................................. 9,000 2,115 GBE International P.L.C. ............................... 134,666 33,753 GEI International P.L.C. ............................... 87,000 102,214 Galliford P.L.C. ....................................... 466,500 182,693 Gardiner Group P.L.C. .................................. 310,500 85,120 Garton Engineering P.L.C. .............................. 10,248 19,906 Gaskell P.L.C. ......................................... 9,000 19,738 Gates (Frank G.) P.L.C. ................................ 86,250 86,471 Geest P.L.C. ........................................... 85,000 226,359 Gent (S.R.) P.L.C. ..................................... 125,000 148,818
104 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Gerrard & National Holdings P.L.C. ..................... 97,000 $ 724,804 Gestetner Holdings P.L.C. .............................. 100,000 170,749 Gibbs & Dandy P.L.C. ................................... 4,500 6,203 Gibbs & Dandy P.L.C. Class A Non-Voting ........................................... 11,000 12,579 Gieves Group P.L.C. .................................... 84,000 77,636 Gleeson (M.J.) Group P.L.C. ............................ 25,000 323,091 Goal Petroleum P.L.C. .................................. 333,000 339,069 Gold Greenlees Trott P.L.C. ............................ 78,432 202,725 Goldsmiths Group P.L.C. ................................ 50,000 105,739 Goode Durrant P.L.C. ................................... 122,500 370,360 Goodhead Group P.L.C. .................................. 36,000 13,535 *Graham Wood P.L.C. ..................................... 9,000 0 Grainger Trust, Ltd. ................................... 22,000 84,090 Grampian Holdings P.L.C. ............................... 166,937 266,737 Grampian Television P.L.C. Class A Non-Voting .......... 35,000 180,382 Graseby P.L.C. ......................................... 208,480 473,547 Graystone P.L.C. ....................................... 602,750 122,747 Greene King P.L.C. ..................................... 78,000 659,810 Greenway Holdings P.L.C. ............................... 60,197 99,957 *Greenwich Resources P.L.C. ............................. 88,000 25,158 Greggs P.L.C. .......................................... 26,000 419,509 *Greycoat P.L.C. ........................................ 50,000 97,123 *Guinness Peat Group P.L.C. ............................. 121,000 55,916 HTV Group P.L.C. ....................................... 391,000 814,627 Haden Maclellan Holdings P.L.C. ........................ 218,914 229,762 Haggas (John) P.L.C. ................................... 98,000 130,489 Hall Engineering (Holdings) P.L.C. ..................... 148,528 381,577 Halstead (James) Group P.L.C. .......................... 74,955 408,611 Hambro Countrywide P.L.C. .............................. 1,089,000 716,486 Hampson Industries P.L.C. .............................. 144,536 126,793 Hardy Oil & Gas P.L.C. ................................. 281,750 622,320 Hardys & Hansons P.L.C. ................................ 48,000 181,213 Harris (Philip) P.L.C. ................................. 25,866 57,537 *Hartons Group P.L.C. ................................... 179,900 19,727 *Hartstone Group P.L.C. ................................. 1,774,626 382,243 Havelock Europa P.L.C. ................................. 64,250 176,133 *Hawtal Whiting Holdings P.L.C. ......................... 22,588 81,383 Hawtin P.L.C. .......................................... 146,500 63,110 *Hay (Norman) P.L.C. .................................... 48,000 19,550 Haynes Publishing Group P.L.C. ......................... 38,635 205,774 Headlam Group P.L.C. ................................... 99,696 234,261 *Healthcare Holdings P.L.C. ............................. 2,820 77 Heath (C.E.) P.L.C. .................................... 75,000 289,019 Heath (Samuel) & Sons P.L.C. ........................... 7,500 14,099 Helene P.L.C. .......................................... 416,326 169,565 Helical Bar P.L.C. ..................................... 20,000 100,569 *Hemingway Properties P.L.C. ............................ 200,000 90,857 Henderson Administration Group P.L.C. .................. 52,000 814,580 Henlys Group P.L.C. .................................... 105,931 455,508 Herring Baker Harris Group P.L.C. ...................... 35,916 13,503 Hewden-Stuart P.L.C. ................................... 577,933 1,321,785 Hewitt Group P.L.C. .................................... 8,000 12,281 Hi-Tech Sports P.L.C. .................................. 193,446 124,244 Hicking Pentecost P.L.C. ............................... 49,096 176,121 Higgs & Hill P.L.C. .................................... 109,500 156,094 High-Point P.L.C. ...................................... 13,500 9,728 Hill & Smith Holdings P.L.C. ........................... 124,121 272,210 Hodder Headline P.L.C. ................................. 61,000 320,114 Hogg Robinson P.L.C. ................................... 169,000 529,477 Hollas Group P.L.C. .................................... 354,000 144,181 *Holmes & Marchant Group P.L.C. ......................... 54,000 28,761
105 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Holt (Joseph) P.L.C. ................................... 6,000 $ 326,615 Home Counties Newspapers Holdings P.L.C. ...................................... 25,000 63,835 Hopkinsons Group P.L.C. ................................ 247,557 205,533 *Horace Small Apparel P.L.C. ............................ 75,000 102,214 How Group P.L.C. ....................................... 88,000 46,870 Howard Holdings P.L.C. ................................. 57,730 19,895 Howden Group P.L.C. .................................... 700,168 943,259 *Hunterprint Group P.L.C. (New) ......................... 92,999 4,370 Hunting P.L.C. ......................................... 211,154 567,275 Huntingdon International Holdings P.L.C. ............... 138,000 97,280 ISA International P.L.C. ............................... 95,214 165,560 Ibstock P.L.C. ......................................... 625,200 763,913 Industrial Control Services Group P.L.C. ............... 20,000 41,669 Ingham P.L.C. .......................................... 38,000 40,478 Intereurope Technology Services P.L.C. ................. 23,500 49,329 International Business Communications Holdings P.L.C. .. 96,470 338,509 Ipeco Holdings P.L.C. .................................. 130,931 172,287 Isle of Man Steam Packet Co., Ltd. ..................... 72,000 157,903 Isotron P.L.C. ......................................... 30,500 136,168 Ivory & Sime P.L.C. .................................... 78,125 283,928 J.D. Wetherspoon P.L.C. ................................ 25,000 170,749 JIB Group P.L.C. ....................................... 248,500 467,130 JLI Group .............................................. 200,000 288,236 Jackson Group P.L.C. ................................... 78,000 76,978 Jacobs (John I.) P.L.C. ................................ 46,000 48,280 Jacques Vert P.L.C. .................................... 20,000 58,587 *Jarvis P.L.C. .......................................... 89,788 15,823 Jarvis Porter Group P.L.C. ............................. 99,894 438,155 Jerome (S.) & Sons Holdings P.L.C. ..................... 18,375 16,119 Johnson & Firth Brown P.L.C. ........................... 414,666 243,590 Johnson Group Cleaners P.L.C. .......................... 170,535 625,115 Johnston Group P.L.C. .................................. 50,000 209,128 Johnston Press P.L.C. .................................. 135,176 323,982 *Jones & Shipman P.L.C. ................................. 29,500 13,864 Jones Stroud Holdings P.L.C. ........................... 58,500 318,908 Joseph (Leopold) Holdings P.L.C. ....................... 28,000 183,343 Jourdan (Thomas) P.L.C. ................................ 40,000 18,798 Kalamazoo Computer Group P.L.C. ........................ 46,000 85,750 Kalon Group P.L.C. ..................................... 502,500 1,121,712 Kelsey Industries P.L.C. ............................... 7,500 35,246 Kelt Energy P.L.C. ..................................... 120,584 92,558 Kenwood Appliances P.L.C. .............................. 44,000 228,145 *Kenwood Appliances P.L.C. Issue 94 ..................... 11,000 57,036 Kershaw (A) & Sons P.L.C. .............................. 30,000 418,256 King & Shaxson Holdings P.L.C. ......................... 39,500 70,539 Kleeneze Holdings P.L.C. ............................... 32,757 55,419 Kode International P.L.C. .............................. 43,100 38,484 *Kunick P.L.C. .......................................... 600,000 124,537 Kwik-Fit Holdings P.L.C. ............................... 215,000 555,716 *LEP Group P.L.C. ....................................... 2,115,000 165,657 Laing (John) P.L.C. .................................... 102,870 378,693 Lambert Howarth Group P.L.C. ........................... 48,000 97,750 Lamont Holdings P.L.C. ................................. 72,231 409,602 Leeds Group P.L.C. ..................................... 71,850 311,772 Leigh Interests P.L.C. ................................. 156,499 414,313 Leslie Wise Group P.L.C. ............................... 107,000 110,626
106 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Liberty P.L.C. ......................................... 51,875 $ 247,850 Life Sciences International P.L.C. ..................... 381,662 860,938 Lilleshall P.L.C. ...................................... 80,564 179,209 Linton Park P.L.C. ..................................... 53,000 303,039 Linx Printing Technologies P.L.C. ...................... 36,000 49,063 Lionheart P.L.C. ....................................... 419,949 32,893 Lister & Co. P.L.C. .................................... 41,000 20,552 Lloyd Thompson Group P.L.C. ............................ 154,000 402,872 Locker (Thomas) Holdings P.L.C. ........................ 22,500 6,344 Locker (Thomas) Holdings P.L.C. Class A Non-Voting ..... 66,000 13,958 Logica P.L.C. .......................................... 211,000 1,037,869 London Scottish Bank P.L.C. ............................ 140,500 246,504 Lookers P.L.C. ......................................... 80,160 243,607 Lopex P.L.C. ........................................... 154,948 50,972 *Lovell (Y.J.) Holdings P.L.C. .......................... 70,932 70,002 *Lowe (Robert H.) & Co. P.L.C. .......................... 1,551 194 Lowndes Lambert Group Holdings P.L.C. .................. 137,000 373,422 Lyles (S.) P.L.C. ...................................... 16,000 19,801 M & W P.L.C. ........................................... 7,200 18,497 M.R. Data Management Group P.L.C. ...................... 136,158 239,953 ML Holdings P.L.C. ..................................... 431,132 256,640 MS International P.L.C. ................................ 120,500 49,078 MTM P.L.C. ............................................. 228,250 293,194 MWGO Group P.L.C. ...................................... 176,000 56,519 MacAllan-Glenlivet P.L.C. .............................. 155,000 514,752 MacDonald Martin Distillies P.L.C. Class A ............. 20,000 219,310 MacFarlane Group Clansman P.L.C. ....................... 247,125 1,018,129 Macro 4 P.L.C. ......................................... 54,000 373,046 Magnolia Group P.L.C. .................................. 11,000 11,373 Mallett P.L.C. ......................................... 90,437 119,002 Manchester United P.L.C. ............................... 12,500 120,425 Manders P.L.C. ......................................... 79,000 371,261 Manganese Bronze Holdings P.L.C. ....................... 52,184 115,262 Mansfield Brewery P.L.C. ............................... 276,500 961,565 Marling Industries P.L.C. .............................. 922,398 361,234 Marshalls P.L.C. ....................................... 423,279 941,555 Marston Thompson & Evershed P.L.C. ..................... 45,000 205,133 Martin International Holdings P.L.C. ................... 106,000 56,457 *Martin International Holdings P.L.C. Issue 94 .......... 53,000 27,761 Matthews (Bernard) P.L.C. .............................. 342,000 642,892 Maunders (John) Group P.L.C. ........................... 123,000 416,188 Mayflower Corp. P.L.C. ................................. 621,272 515,808 McAlpine (Alfred) P.L.C. ............................... 171,111 490,523 *McCarthy & Stone P.L.C. ................................ 227,968 228,552 *McKay Securities P.L.C. ................................ 30,000 83,651 McLeod Russel Holdings P.L.C. .......................... 149,524 263,508 Meggitt P.L.C. ......................................... 562,654 705,118 *Melville Group P.L.C. .................................. 90,000 6,344 Merchant Retail Group P.L.C. ........................... 416,766 75,079 Metal Bulletin P.L.C. .................................. 24,000 186,100 Metalrax Group P.L.C. .................................. 363,405 597,738 *Micro Focus Group P.L.C. ............................... 34,500 483,696 Microgen Holdings P.L.C. ............................... 205,000 350,034 Misys P.L.C. ........................................... 103,929 680,524 Mitie Group P.L.C. ..................................... 50,000 151,167 Molins P.L.C. .......................................... 76,500 615,963
107 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ More O'Ferrall P.L.C. .................................. 79,193 $ 444,120 Morland & Co. P.L.C. ................................... 137,500 1,051,122 *Mosaic Investments P.L.C. .............................. 33,000 12,407 Moss Brothers Group P.L.C. ............................. 40,500 222,686 Mowlem (John) & Co. P.L.C. ............................. 569,990 897,354 Mucklow (A & J) Group P.L.C. ........................... 100,000 233,409 *NSM P.L.C. ............................................. 58,474 92,516 Narborough Plantations P.L.C. .......................... 63,829 40,995 Neepsend P.L.C. ........................................ 109,250 61,610 Neotronics Technology P.L.C. ........................... 151,000 125,367 Nestor-BNA P.L.C. ...................................... 260,200 191,574 *New London P.L.C. ...................................... 141,500 8,866 Newman Tonks Group P.L.C. .............................. 300,834 810,561 *Newmarket Venture Capital P.L.C. ....................... 80,000 20,051 Nichols (J.N.) (Vimto) P.L.C. .......................... 98,750 368,167 Nobo Group P.L.C. ...................................... 40,716 142,871 Norcros P.L.C. ......................................... 192,857 344,406 North Sea Assets P.L.C. ................................ 184,800 69,477 Northamber P.L.C. ...................................... 44,444 69,622 Novo Group P.L.C. ...................................... 113,000 42,483 Nurdin & Peacock, Ltd. ................................. 34,000 87,881 *OEM P.L.C. ............................................. 12,000 4,887 OMI International P.L.C. ............................... 106,559 66,770 Ocean Wilsons Holdings, Ltd. ........................... 99,250 105,723 Oceana Consolidated Co. P.L.C. ......................... 16,000 31,581 *Oceonics Group P.L.C. .................................. 527,600 41,324 *Oliver Group P.L.C. .................................... 111,000 165,187 *Olives Property P.L.C. ................................. 126,208 59,311 Osborne & Little P.L.C. ................................ 17,500 114,589 *Osprey Communications P.L.C. ........................... 23,524 10,687 *Owen & Robinson P.L.C. ................................. 9,485 4,160 Oxford Instruments P.L.C. .............................. 122,000 642,140 P & P P.L.C. ........................................... 129,250 153,877 PSIT P.L.C. ............................................ 130,000 283,067 PWS Holdings P.L.C. .................................... 134,428 75,809 Page (Michael) Group P.L.C. ............................ 153,975 274,970 Park Food Group P.L.C. ................................. 382,500 731,007 Parkland Group P.L.C. .................................. 30,000 75,192 Partridge Fine Arts P.L.C. ............................. 75,000 91,640 Paterson Zochonis P.L.C. ............................... 22,000 154,739 Paterson Zochonis P.L.C. Non-Voting ........................................... 27,000 177,218 Peek P.L.C. ............................................ 291,608 379,147 *Peel Holdings P.L.C. ................................... 50,000 180,148 *Peel Holdings P.L.C. 0% Coupon Loan Stock 10/08/98 ..... 94,500 100,663 Pendragon P.L.C. ....................................... 93,750 381,834 *Pentos P.L.C. .......................................... 839,262 216,926 Perkins Foods P.L.C. ................................... 365,000 394,523 Perpetual P.L.C. ....................................... 64,000 1,074,744 Perry Group P.L.C. ..................................... 120,666 308,108 Persimmon P.L.C. ....................................... 188,800 612,213 *Pex P.L.C. ............................................. 47,500 7,441 *Phoenix Timber Group P.L.C. ............................ 31,000 5,342 Photo-Me International P.L.C. .......................... 145,000 554,228 *Pict Petroleum P.L.C. .................................. 128,000 290,742 Pifco Holdings P.L.C. .................................. 20,000 110,595 Pifco Holdings P.L.C. Class A Limited Voting ....................................... 20,000 104,016 Pittards P.L.C. ........................................ 99,985 98,675 *Pittencrieff Communications, Inc. ...................... 15,416 108,876 Pittencrieff Resources P.L.C. .......................... 74,000 98,533 Pizza Express P.L.C. ................................... 84,508 161,506 Plantation & General Investment P.L.C. ................. 96,224 85,919
108 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Plantsbrook Group P.L.C. ............................... 226,000 $ 612,470 Platignum P.L.C. ....................................... 160,600 33,963 Plysu P.L.C. ........................................... 117,800 302,635 Pochin's P.L.C. ........................................ 500 15,861 Polypipe P.L.C. ........................................ 814,670 1,812,176 *Porter Chadburn P.L.C. ................................. 410,000 276,174 Portmeirion Potteries (Holdings) P.L.C. ................ 64,000 485,239 Portsmouth & Sunderland Newspapers P.L.C. .................................... 30,000 284,790 Porvair P.L.C. ......................................... 35,000 161,740 Powerscreen International P.L.C. ....................... 209,666 893,362 *Premier Consolidated Oilfields P.L.C. .................. 1,360,135 506,030 Pressac Holdings P.L.C. ................................ 94,000 132,526 *Prestwick Holdings P.L.C. .............................. 90,000 35,246 Property Partnerships P.L.C. ........................... 10,000 35,716 Prospect Industries P.L.C. ............................. 372,477 81,688 Protean P.L.C. ......................................... 71,076 233,815 Proudfoot P.L.C. ....................................... 202,646 222,211 Prowting P.L.C. ........................................ 171,000 334,839 QS Holdings P.L.C. ..................................... 197,775 511,194 *Quadrant Group P.L.C. .................................. 231,253 83,319 Quality Care Homes P.L.C. .............................. 20,000 81,458 Quick Group P.L.C. ..................................... 151,198 322,118 RCO Holdings P.L.C. .................................... 27,000 139,575 REA Holdings P.L.C. .................................... 14,658 36,968 Radamec Group P.L.C. ................................... 35,000 25,769 Raine P.L.C. ........................................... 467,965 362,868 Ransom (William) & Son P.L.C. .......................... 30,000 21,148 *Ransomes P.L.C. ........................................ 192,000 189,484 Rea Brothers Group P.L.C. .............................. 106,562 101,827 Readicut International P.L.C. .......................... 499,263 477,078 Record Holdings P.L.C. ................................. 158,727 208,863 *Reece P.L.C. ........................................... 283,750 13,335 Reed Executive P.L.C. .................................. 116,500 262,796 Reg Vardy P.L.C. ....................................... 206,645 504,987 *Regent Corp. P.L.C. .................................... 2,488 1,052 Relyon Group P.L.C. .................................... 45,777 178,557 Renishaw P.L.C. ........................................ 130,968 564,194 Renold P.L.C. .......................................... 322,000 928,120 *Resort Hotels P.L.C. ................................... 255,283 0 Rexmore P.L.C. ......................................... 32,500 36,147 Ricardo Group P.L.C. ................................... 102,709 230,078 Richards Group P.L.C. .................................. 16,000 12,783 Richards P.L.C. ........................................ 123,500 83,189 Richardsons Westgarth P.L.C. ........................... 187,928 229,624 *Richmond Oil & Gas P.L.C. .............................. 220,000 15,508 *Rodime P.L.C. .......................................... 261,000 36,797 Rolfe & Nolan P.L.C. ................................... 24,000 75,192 Ropner P.L.C. .......................................... 84,300 174,314 Ross Group P.L.C. ...................................... 13,200 1,758 Rotork P.L.C. .......................................... 283,500 750,534 Rowe Evans Investments P.L.C. .......................... 114,417 184,611 Rubicon Group P.L.C. ................................... 47,890 102,776 Russell (Alexander) P.L.C. ............................. 47,500 66,224 Rutland Trust P.L.C. ................................... 843,000 349,948 S & U P.L.C. ........................................... 29,040 136,928 *Saatchi & Saatchi Co. P.L.C. ........................... 51,760 124,056 Sage Group P.L.C. ...................................... 86,000 922,825 Sanderson Bramall Motor Group P.L.C. ................... 79,166 202,142 Sanderson Electronics P.L.C. ........................... 90,000 119,837 Saville (J.) Gordon Group P.L.C. ....................... 247,761 236,752 Savills P.L.C. ......................................... 145,000 129,471
109 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Scantronic Holdings P.L.C. ............................. 178,038 $ 55,779 Scholl P.L.C. .......................................... 166,250 380,229 *Scottish Heritable Trust P.L.C. ........................ 96,000 0 *Scottish Ice Rink Co. (1928) P.L.C. .................... 13,000 0 Scottish Metropolitan Property P.L.C. .................. 771,666 870,347 Scottish Television P.L.C. ............................. 108,000 724,099 Secure Trust Group P.L.C. .............................. 35,000 289,489 *Seet P.L.C. ............................................ 7,000 5,702 Sennah Rubber Co., Ltd. (Guernsey) ........................................... 1,214 28,051 Serco Group P.L.C. ..................................... 110,000 504,883 Servomex P.L.C. ........................................ 30,000 125,007 Seton Healthcare Group P.L.C. .......................... 66,275 337,414 *Shaftesbury P.L.C. ..................................... 50,000 73,626 Shandwick P.L.C. ....................................... 302,640 210,968 Shanks & McEwan Group P.L.C. ........................... 192,000 255,653 Sharpe & Fisher P.L.C. ................................. 43,734 121,947 Sheffield Insulations Group P.L.C. ..................... 143,500 593,453 Sherwood Group P.L.C. .................................. 513,000 699,145 Shiloh P.L.C. .......................................... 14,500 33,617 ShopRite Group P.L.C. .................................. 350,780 65,940 Sidlaw Group P.L.C. .................................... 176,071 532,323 *Signet Group P.L.C. .................................... 736,900 274,159 Silentnight Holdings P.L.C. ............................ 112,500 363,036 *Simon Engineering P.L.C. ............................... 424,333 578,304 Sims Food Group P.L.C. ................................. 74,000 96,214 Sinclair (William) Holdings P.L.C. ..................... 53,000 155,256 Sindall (William) P.L.C. ............................... 50,500 47,465 Singapore Para Rubber Estates P.L.C. ................... 26,000 47,653 Singer & Friedlander Group P.L.C. ...................... 558,000 725,509 Sirdar P.L.C. .......................................... 181,266 278,274 Sketchley P.L.C. ....................................... 141,800 204,358 Smart (J.) & Co. (Contractors) P.L.C. .................. 22,500 76,484 Smith New Court P.L.C. ................................. 40,000 236,855 South Staffordshire Water Holdings P.L.C. .............. 11,600 333,445 Southend Property Holdings P.L.C. ...................... 200,000 175,448 Southern Business Group P.L.C. ......................... 230,900 159,150 Spirax-Sarco Engineering P.L.C. ........................ 75,777 548,416 Spring Ram Corp. P.L.C. ................................ 516,000 355,658 St. Modwen Properties P.L.C. ........................... 50,000 39,163 Stakis P.L.C. .......................................... 70,033 95,445 Stanley Leisure Organisation P.L.C. .................... 125,129 660,569 *Starmin P.L.C. ......................................... 248,445 4,865 Stat-Plus Group P.L.C. ................................. 104,000 293,249 Staveley Industries P.L.C. ............................. 276,000 795,531 Steel Burrill Jones Group P.L.C. ....................... 201,682 379,122 Sterling Industries P.L.C. ............................. 88,000 318,438 Stirling Group P.L.C. .................................. 432,000 385,735 Stoddard Sekers International P.L.C. ................... 277,100 145,416 Stratagem Group P.L.C. ................................. 38,354 103,941 Sturge Holdings P.L.C. ................................. 224,000 270,190 Stylo P.L.C. ........................................... 108,000 299,452 Sumit P.L.C. ........................................... 16,500 42,648 Sutcliffe Speakman P.L.C. .............................. 186,162 93,319 Suter P.L.C. ........................................... 411,376 1,063,294 Swallowfield P.L.C. .................................... 15,000 41,826 Swan (John) and Sons P.L.C. ............................ 1,000 6,705
110 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Sycamore Holdings P.L.C. ............................... 4,316 $ 1,420 Syltone P.L.C. ......................................... 36,000 91,922 T & S Stores P.L.C. .................................... 359,340 940,053 TGI P.L.C. ............................................. 59,560 87,703 TT Group P.L.C. ........................................ 326,206 1,200,854 Takare P.L.C. .......................................... 217,000 696,858 *Talbex Group P.L.C. (In Receivership) .................................... 385,000 0 *Tamaris P.L.C. ......................................... 206,460 7,277 Tay Homes P.L.C. ....................................... 192,666 501,007 Taylor Nelson AGB P.L.C. ............................... 546,475 303,899 Telemetrix P.L.C. ...................................... 294,826 364,857 *Tex Holdings P.L.C. .................................... 14,000 10,527 Thorntons P.L.C. ....................................... 407,000 1,115,740 Thorpe (F.W.) P.L.C. ................................... 24,000 87,599 Tibbett & Britten Group P.L.C. ......................... 98,400 1,100,585 Tie Rack P.L.C. ........................................ 129,000 260,681 Tilbury Douglas P.L.C. ................................. 132,183 1,180,269 Time Products P.L.C. ................................... 124,000 458,421 *Tinsley Robor P.L.C. ................................... 60,000 32,897 Tomkinsons P.L.C. ...................................... 14,800 50,078 Tops Estates P.L.C. .................................... 10,000 26,004 *Torday & Carlisle P.L.C. ............................... 65,000 32,583 *Tournesol Exploration P.L.C. (In Liquidation) ..................................... 98,000 0 Town Centre Securities P.L.C. .......................... 120,000 225,576 *Toye & Co. P.L.C. ...................................... 2,000 3,446 Trace Computers P.L.C. ................................. 33,552 19,972 Trade Indemnity Group P.L.C. ........................... 448,404 421,455 Transtec P.L.C. ........................................ 221,525 211,682 Travis Perkins P.L.C. .................................. 202,200 918,564 Trinity Holdings P.L.C. ................................ 54,000 265,616 Trinity International Holdings P.L.C. .................. 168,600 977,214 Triplex Lloyd P.L.C. ................................... 158,110 314,553 Try Group P.L.C. ....................................... 243,407 83,885 Tunstall Group P.L.C. .................................. 102,000 410,642 UDO Holdings P.L.C. .................................... 71,000 235,790 *UK Estates P.L.C. ...................................... 50,000 16,448 UK Safety P.L.C. ....................................... 135,833 97,880 Ugland International P.L.C. ............................ 59,850 120,006 Ulster Television, Ltd. ................................ 25,000 268,263 *Unigroup P.L.C. ........................................ 77,163 44,724 Union P.L.C. ........................................... 47,000 67,735 Unitech P.L.C. ......................................... 169,100 940,378 United Industries P.L.C. ............................... 611,460 162,835 Usborne P.L.C. ......................................... 238,000 26,098 VSEL P.L.C. ............................................ 93,607 2,262,584 Vardon P.L.C. .......................................... 88,000 170,936 *Verson International Group P.L.C. ...................... 401,163 100,547 Vibroplant P.L.C. ...................................... 113,500 202,688 Victaulic P.L.C. ....................................... 204,000 750,980 Victoria Carpet Holdings P.L.C. ........................ 12,000 26,505 *Videologic Group P.L.C. ................................ 186,666 111,117 Vinten Group P.L.C. .................................... 170,722 1,385,319 Vivat Holdings P.L.C. .................................. 203,125 120,914 Volex Group P.L.C. ..................................... 61,206 378,723 Vosper Thornycroft Holdings P.L.C. ..................... 76,000 878,619 WSP Group P.L.C. ....................................... 50,000 36,813 Wace Group P.L.C. ...................................... 195,000 693,411 Waddington (John) P.L.C. ............................... 253,285 892,735 Wagon Industrial Holdings P.L.C. ....................... 121,138 871,011 *Wakebourne P.L.C. ...................................... 27,850 34,029 Walker Greenbank P.L.C. ................................ 457,500 752,507
111 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Ward Holdings P.L.C. ................................... 130,000 $ 107,932 Wardle Storeys P.L.C. .................................. 58,000 310,731 Warner Estate Holdings P.L.C. .......................... 45,000 151,559 Warner Howard P.L.C. ................................... 59,000 284,664 Waterman Partnership Holdings P.L.C. ................... 45,000 38,771 *Wates City of London Properties P.L.C. ................. 230,000 230,589 Watmoughs Holdings P.L.C. .............................. 151,800 984,470 Watson & Philip P.L.C. ................................. 182,400 1,065,771 Watts, Blake, Bearne & Co. P.L.C. ...................... 50,500 421,647 *Waverly Mining Finance P.L.C. .......................... 25,000 41,904 Wehmiller (Barry) International P.L.C. ................. 112,322 237,536 Wellman P.L.C. ......................................... 144,833 93,021 *Wembley P.L.C. ......................................... 605,300 56,892 *West Industries P.L.C. ................................. 84,000 0 West Trust P.L.C. ...................................... 233,627 128,092 Westbury P.L.C. ........................................ 165,333 365,182 Western Selection P.L.C. ............................... 35,525 13,912 Whatman P.L.C. ......................................... 114,500 677,997 Whessoe P.L.C. ......................................... 71,875 115,970 Whitecroft P.L.C. ...................................... 105,000 259,882 Wholesale Fittings P.L.C. .............................. 75,500 292,129 *Widney P.L.C. .......................................... 494,108 73,532 *Wiggins Group P.L.C. ................................... 826,500 84,156 Williamson Tea Holdings P.L.C. ......................... 5,500 112,005 Willoughby's Consolidated P.L.C. ....................... 9,000 17,341 Wills Group P.L.C. ..................................... 1,147,500 269,634 Wilshaw P.L.C. ......................................... 340,409 359,944 *Windsor P.L.C. ......................................... 71,521 26,889 Wintrust P.L.C. ........................................ 46,500 156,611 Wolstenholme Rink P.L.C. ............................... 15,500 190,604 Worthington Group P.L.C. ............................... 50,666 48,415 Wyko Group P.L.C. ...................................... 164,000 141,298 Wyndeham Press Group P.L.C. ............................ 56,760 124,480 *YRM P.L.C. ............................................. 33,000 8,788 York Waterworks P.L.C. ................................. 23,000 116,375 Yorklyde P.L.C. ........................................ 23,000 90,074 Yorkshire Chemicals P.L.C. ............................. 110,400 601,836 Yorkshire Tyne Tees Television Holdings P.L.C. ......... 169,500 1,024,914 Young & Co's Brewery P.L.C. ............................ 10,000 65,010 Young & Co's Brewery P.L.C. Class A .................... 7,000 52,415 Young (H.) Holdings P.L.C. ............................. 100,419 97,530 Yule Catto & Co. P.L.C. ................................ 259,897 1,148,103 Zetters Group P.L.C. ................................... 14,500 30,664 ------------------ TOTAL COMMON STOCKS (Cost $198,094,827) .................................. 205,447,930 ------------------ PREFERRED STOCKS -- (0.1%) Clayhithe P.L.C. 9.5% Loan Stock ....................... 20,750 30,067 Triton Energy Corp., 5.00% Cumulative Convertible Redeemable ........................................... 4,472 173,290 ------------------ TOTAL PREFERRED STOCKS (Cost $703,779) .................. 203,357 ------------------ RIGHTS/WARRANTS - (0.1%) *Anglo United P.L.C. Warrants 1999 ...................... 282,138 1,105 *Brent Walker Group Warrants 12/31/07 ................... 64,285 1,007 *OMI International P.L.C. Rights 12/12/94 ............... 66,599 3,130
112 THE UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ---------- -------------- *Pentos P.L.C. Warrants 12/31/96 ........................................ 10,891 $ 0 *Pressac Holdings P.L.C. Rights 12/07/94 ................................ 47,000 3,681 *Select Industries P.L.C. Warrants 05/20/99 ............................. 1,717 0 *Seton Healthcare Group P.L.C. Rights 12/14/94 .......................... 22,091 13,150 *Suter P.L.C. Warrants 1994-2004 ........................................ 41,137 20,621 *Suter P.L.C. Warrants 1998 ............................................. 28,260 16,822 *Yorkshire Tyne Tees Television Holdings P.L.C. Warrants 09/29/97 ............................................................... 23,660 85,617 ----------------- TOTAL RIGHTS/WARRANTS (Cost $0) .............................................................. 145,133 ------------------ INVESTMENT IN CURRENCY - (1.4%) *British Pound Sterling (Cost $2,938,536) ...................................................... 2,940,808 ------------------
Face Amount -------- (000) TEMPORARY CASH INVESTMENTS - (2.8%) ...................................... Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $6,095,000) ............................................................ $6,095 6,095,000 -------------- TOTAL INVESTMENTS - (100.0%) (Cost $207,832,142) ......................... $214,832,228 ==============
SCHEDULE OF INVESTMENTS THE EMERGING MARKETS PORTFOLIO NOVEMBER 30, 1994
Value+ -------------- Investment in The Emerging Markets Series of The DFA Investment Trust Company .............................................................. $15,696,170 -------------- Total Investments (100%) (Cost $15,243,281) .................... $15,696,170 ==============
- ------ + See Note B to Financial Statements. * Non-Income Producing Securities See accompanying Notes to Financial Statements 113 SCHEDULE OF INVESTMENTS THE CONTINENTAL SMALL COMPANY PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ FRANCE - (28.5%) COMMON STOCKS - (26.4%) ALSPI (Societe Alsacienne de Participations Industrielles) ....................................... 10,100 $ 728,552 Agache (Societe Financiere) ............................ 720 174,059 *Agricole & Industrielle de Madagascar SA ............... 1,242 35,106 Agricole de la Crau .................................... 400 33,845 Agricole de la Pointe-a-Pitre .......................... 450 47,280 Application des Gaz SA ADG ............................. 3,992 258,339 Arbel SA ............................................... 1,980 162,745 *Aurea .................................................. 600 13,556 Bains de Mer et du Cercle des Etrangers a Monaco ....... 4,615 596,453 *Banque Colbert ......................................... 7,139 147,493 *Banque Nationale de Paris Guyane ....................... 1,447 29,599 *Banque Nationale de Paris Intercontinentale ............ 12,465 653,674 *Banque Transatlantique ................................. 3,030 145,372 Bazar de l'Hotel de Ville SA ........................... 9,450 984,100 Berger Levrault SA ..................................... 476 49,127 Berger SA .............................................. 1,300 300,976 *Bis SA ................................................. 18,200 1,042,417 *Bollore Technologies SA ................................ 19,441 1,699,167 Brosse et Dupont ....................................... 3,170 229,843 *CAMAT (Cie d'Assurances Maritimes Aeriennes et Terrestres) .......................................... 3,675 112,762 *CDE (Comptoir des Entrepeneurs SA) ..................... 8,713 354,839 CEGID .................................................. 4,100 339,284 CFC (Cie Financiere des Cardans) ....................... 296 48,439 *CLAL (Comptoir Lyon-Alemand Loyot SA) .................. 8,367 641,042 CPR (Cie Parisienne de Reescompte) ..................... 11,055 750,363 Cambodge ............................................... 1,605 277,573 Caoutchoucs de Padang .................................. 1,294 142,454 *Carbone Lorraine ....................................... 4,938 549,126 Carbonique ............................................. 763 1,433,064 *Caves & Producteurs Reunis de Roquefort ................ 192 50,343 Centenaire-Blanzy ...................................... 2,207 118,199 *Centrest (Societe Developpement Regional du Centre-Est) 1,705 1,902 *Ceragen Holding (Cie Generale de la Ceramique SA) ...... 2,780 15,509 Chambon Societe Generale Remorquage et de Travaux Maritimes ............................................ 405 73,808 Cofigeo (Cie Financiere Geo) ........................... 400 141,330 Compagnie Financiere de CIC et de l'Union Europeene SA Series D ............................................. 10,650 724,854 *Concorde Cie d'Assurances Contre les Risques de Toute Nature SA ............................................ 2,992 470,708 *Conte SA ............................................... 5,730 63,933 *Continentale d'Assurances SA ........................... 810 40,669
114 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Continentale d'Entreprises SA .......................... 6,569 $ 207,667 *Costimex SA ............................................ 700 17,573 Courtois SA ............................................ 100 5,635 Credit Foncier et Communal d'Alsace et de Lorraine ..... 800 92,087 *Credit General Industriel .............................. 1,160 6,806 Cristalleries de Baccarat .............................. 1,567 167,846 DMC (Dollfus Mieg et Cie) .............................. 23,400 1,331,548 Damart SA .............................................. 1,840 1,916,132 *Darblay SA ............................................. 305 25,529 *Dassault Electronique SA ............................... 16,900 1,187,321 *Degremont .............................................. 3,000 227,615 Didot-Bottin ........................................... 810 97,908 Dietrich et Cie ........................................ 2,351 1,302,832 Docks Lyonnais ......................................... 1,110 26,215 Docks de France Ruche Picard SA ........................ 1,879 677,873 Docks des Petroles d'Ambes ............................. 100 10,339 *Dynaction SA ........................................... 2,960 82,126 EBF SA ................................................. 9,728 1,570,229 ECIA (Equipements et Composants pour l'Industrie Automobile) .......................................... 15,771 2,193,716 *EMI France SA .......................................... 300 31,911 Eau et Force ........................................... 4,280 1,078,457 Electricite de Strasbourg .............................. 6,796 813,877 *Emprunt Conjoint de Banque du Batiment et des Travaux Publics et de Financiere de Gestion et d'Investissement SA .................................. 29,814 105,617 Euro RSCG Worldwide SA ................................. 17,811 1,914,413 #Europe 1 Communication ................................ 3,550 1,109,066 *Europe 1 Communication Em 94 ........................... 492 142,728 Explosifs et de Produits Chimiques ..................... 524 110,111 *Fichet-Bauche .......................................... 1,850 146,211 Financiere Moncey SA ................................... 631 170,261 *Financiere et Immobiliere de l'Etang de Berre et de la Mediterranee SA ...................................... 400 10,042 Fives-Lille ............................................ 8,400 734,951 Fonciere (Cie) ......................................... 2,823 257,233 Fonciere Lyonnaise SA .................................. 1,916 199,528 Fonciere du Chateau d'Eau de Paris ..................... 11,438 521,118 Fonderies Franco-Belge ................................. 410 61,071 *Francaise des Ferrailles ............................... 4,488 617,596 *Francaise des Magasins Uniprix ......................... 2,886 106,799 *France IARD (Incendie Accidents & Risques Divers) ...... 3,164 269,477 France SA .............................................. 9,420 1,488,982 *France-Africaine de Recherches Petrolieres Francarep ... 3,864 172,452 *GCI (Groupe Chatellier Industrie SA) ................... 8,721 76,223 *GTM Entrepose .......................................... 2,650 190,514 Galeries Lafayette SA .................................. 4,560 2,021,579 Gantois Series ......................................... 647 144,500 Gascogne SA ............................................ 5,655 525,802 Gaumont ................................................ 13,782 815,003
115 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Generale d'Entreprises Automobiles SA .................. 6,463 $ 907,404 #Generale de Geophysique SA ............................ 10,976 663,357 Generale de Transport et d'Industrie ................... 11,743 807,980 Generale des Papeteries du Limousin SA ................. 2,750 173,873 Gevelot ................................................ 696 138,488 Gifrer Barbezat SA ..................................... 550 59,730 *Grand Bazar de Lyon .................................... 650 25,698 *Grande Paroisse SA ..................................... 379 9,515 Grands Moulins de Strasbourg ........................... 110 36,820 Groupement pour le Financement de la Construction SA ... 12,745 948,024 Guitel-Etienne-Mobilor SA .............................. 160 8,331 Guyenne et Gascogne SA ................................. 4,800 1,240,725 Hoteliere Lutetia Concorde ............................. 501 149,159 *Hotels et Casinos de Deauville ......................... 2,055 248,396 Immeubles de France .................................... 16,759 1,343,213 Immeubles de Lyon ...................................... 3,562 337,819 Immobiliere Marseillaise ............................... 567 630,527 *Immobiliere Phenix SA .................................. 91,200 892,073 Industrie des Transports ............................... 300 57,462 Industrielle et Financiere d'Entreprise SA ............. 300 14,393 Industrielle et Financiere d'Ingenierie SA ............. 14,075 251,269 *Intertechnique SA ...................................... 3,940 356,157 *Kleber (Pneumatiques) .................................. 82,273 374,837 Labinal SA ............................................. 14,525 1,906,955 Laurent Bouillet ....................................... 480 39,721 #Lefebvre (Enterprise Jean) ............................ 24,942 1,669,757 *Legris Industries SA ................................... 29,800 1,906,313 Locamion ............................................... 1,803 121,038 *Lucia .................................................. 254 4,251 *MRM .................................................... 1,424 25,951 *Matussiere et Forest SA ................................ 13,600 165,653 Metal Deploye .......................................... 238 19,474 *#Metaleurop SA ......................................... 52,400 769,800 *Metrologie International ............................... 990 2,559 *Metrologie International Em 94 ......................... 16,830 43,503 Monoprix SA ............................................ 1,656 483,481 Montupet SA ............................................ 2,120 342,985 *Mors ................................................... 32,445 102,569 *Moulinex SA ............................................ 92,011 1,899,251 *Musee Grevin SA ........................................ 822 20,636 *Nationale de Navigation ................................ 8,880 148,619 *Nodet-Gougis SA ........................................ 3,500 7,810 Nord-Est ............................................... 3,240 82,423 *Nordon & Cie ........................................... 800 60,281 *Olipar ................................................. 25,000 52,069 Oxygene & Acetylene d'Extreme Orient ................... 3,676 3,007,792 PSB Industries SA ...................................... 1,240 90,161 Papeteries de Clairefontaine ........................... 1,600 252,906 Papiers Peints (Societe Francaise des) ................. 200 32,357 Parisienne de Chauffage Urbain ......................... 200 16,179 *Piper-Heidsieck ........................................ 1,282 181,185 Pithiviers-le-Vieil (Sucriere de) ...................... 1,825 605,788 Plastic Omnium ......................................... 11,136 1,300,494 *Porcher Paris .......................................... 948 44,866 Publicis SA ............................................ 11,582 979,974 Radar SA ............................................... 2,246 167,066 Radiotechnique ......................................... 9,100 846,118
116 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Reassurances SA (Francaise de) ......................... 12,019 $1,564,537 *Renard (Fromagerie F. Paul) ............................ 200 76,244 Reunion (Banque de la) ................................. 987 160,600 Reunion Francaise ...................................... 636 45,534 *Rhin & Moselle Assurances Cie Generale d'Assurances et de Reassurances SA ................................... 1,922 321,674 *Rocamat ................................................ 5,579 22,824 Rochefortaise Communication SA ......................... 10,820 402,015 *#Rochette .............................................. 98,470 1,011,709 Rougier SA ............................................. 1,655 246,519 Rue Imperiale de Lyon .................................. 200 136,867 SAGA (Societe Anonyme de Gerance et d'Armement) ........ 407 39,205 SAMSE SA ............................................... 1,100 153,622 *SAT SA (SA des Telecommunications) ..................... 600 223,487 *SDV SA (Scac Delmas Vieljeux) .......................... 2,506 271,221 *SEUPAR (Societe Europeenne de Participations Industrielles et Financieres) ........................ 35 638 SFIM (Societe de Fabrication d'Instruments de Mesure) .. 2,377 385,005 SGCA (Societe Generale de Courtage d'Assurances) ....... 554 81,387 *SIPH (Societe Internationale de Plantation d'Heveas) ... 811 27,146 SITA ................................................... 11,776 1,537,285 SOCIM (Societe Immobiliere d'Investissement) ........... 3,829 206,492 SUDAC SA (Societe Urbaine d'Air Comprime) .............. 100 78,103 Sabeton ................................................ 1,350 278,661 Sagem (Societe d'Applications Generales d'Electricite et de Mechanique) ....................................... 325 158,828 Saint-Raphael .......................................... 1,374 144,618 Salins du Midi & des Salines de l'Est .................. 8,882 731,702 *Sambre et Meuse ........................................ 12,365 5,978 Sarreguemines Digoin et Vitry-le-Francois SA ................................. 330 32,218 Saupiquet .............................................. 2,050 489,484 Sauvageau Commercy Soudure SA .......................... 1,400 110,646 *Savoisienne ............................................ 3,600 105,105 Scor SA ................................................ 16,443 362,036 Sechilienne ............................................ 200 38,159 *Segic (Societe d'Exploitation et de Gestion Industrielle et Commerciale) ...................................... 3,330 142,427 Signaux et d'Equipements Electroniques SA .............. 19,986 1,724,501 Silec (Societe Industrielle de Liaisons Electriques) ... 12,591 819,732 Silic (Societe Immobiliere de Location pour l'Industrie et le Commerce) ...................................... 889 112,417 *Silic (Societe Immobiliere de Location pour l'Industrie et le Commerce) Em 94 ................................ 38 4,508 *Simmonds ............................................... 575 20,370 Skis Rossignol SA ...................................... 3,041 1,175,684 Sodero (Societe de Developpement Regional de l'Ouest) .. 4,181 24,491
117 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Sofal .................................................. 5,231 $ 291,827 Soffo SA ............................................... 615 29,735 *Sofitam SA ............................................. 7,558 115,250 Sogenal (Societe Generale Alsacienne de Banque) ........ 14,113 333,306 Soie SA ................................................ 390 27,559 Solitaire Produits d'Entretien Francais Prodef ......... 300 71,409 Sommer-Allibert SA ..................................... 1,170 393,590 Soudure Autogene Francaise SA Series B ................. 3,158 616,625 *#Spie Batignolles ...................................... 18,385 889,591 *#Strafor Facom SA ...................................... 15,284 1,776,383 Taittinger SA .......................................... 2,540 1,154,868 Tanneries de France .................................... 158 8,815 *Teleflex Lionel-Dupont ................................. 7,625 208,438 Thermal de Bagnoles de l'Orne .......................... 245 29,455 Touax SA ............................................... 2,403 66,314 *Transports en Commun de Nice ........................... 100 3,905 *Tuileries de Marseille et de la Mediterranee ........... 73 40,589 UGC Droits Audiovisuels-UGC DA SA ...................... 21,384 763,501 Union Generale du Nord SA .............................. 994 29,852 *Union Industrielle de Credit SA, Paris ................. 12,620 741,594 *Usines Chausson Series B ............................... 2,590 1,950 *Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) ................................... 29,300 1,514,719 Vermandoise de Sucreries ............................... 323 200,017 Via Banque ............................................. 18,134 1,315,157 Virax .................................................. 954 22,566 Zodiac SA .............................................. 4,060 1,863,333 *Zuber-Laederich SA ..................................... 1,800 21,756 ------------------ TOTAL COMMON STOCKS (Cost $78,286,684) .................... 91,745,441 ------------------ INVESTMENT IN CURRENCY - (2.1%) *French Francs (Cost $7,433,092) ........................ 7,390,859 ------------------ RIGHTS/WARRANTS - (0.0%) *Lefebvre (Enterprise Jean) Warrants 07/01/96 ........... 689 12,415 *Scoa Warrants 06/30/95 ................................. 8,190 7,615 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ......................... 20,030 - ------------------ Face Amount@ ------------------ (000) BONDS - (0.0%) *IBM France 5.75%, 01/01/98 Convertible Bonds ........... 3 2,525 *Rocamat 8.0%, 01/01/99 Convertible Bonds ............... 1 10,134 *Scoa 9.0%, 04/01/98 Convertible Bond ................... 3 37,724 ------------------ TOTAL BONDS (Cost $206,762) ............................... 50,383 ------------------ TOTAL - FRANCE (Cost $85,926,538) ......................... 99,206,713 ------------------
118 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ GERMANY - (22.8%) COMMON STOCKS - (22.8%) Aachener Reuckvericherungs- Gesellschaft AG ............ 1,630 $ 798,622 Aachener Strassenbahn und Energie versorguns AG ........ 188 66,565 Ackermann Vermoegensverwaltungs AG ..................... 1,350 206,871 Aesculap AG ............................................ 1,326 604,842 Agrippina Rueckversicherung AG, Koeln .................. 177 167,120 *Agrob AG ............................................... 290 101,754 Aigner (Etienne) AG .................................... 600 194,450 *Alexanderwerk AG ....................................... 230 20,542 Allweiler AG ........................................... 289 54,389 Alte Leipziger Versicherungs AG Series C ............... 1,043 344,672 *Amira Verwaltungs AG ................................... 200 146,730 Andreae-Noris Zahn AG, Anzag ........................... 2,464 545,460 *Augsburger Kammgarn Spinnerei AG ....................... 660 32,000 BDAG Balcke-Duerr AG ................................... 2,194 607,462 *BDAG Balcke-Duerr AG Em 94 ............................. 1,097 297,432 Bayerische Handelsbank AG .............................. 1,928 581,782 Bayerischer Lloyd AG, Regensburg ....................... 247 52,000 Berliner Kindl-Brauerei AG ............................. 1,000 360,447 Binding-Brauerei AG .................................... 2,925 992,727 Biotest AG ............................................. 700 181,754 *Biotest AG Em 94 ....................................... 106 26,508 Blaue Quellen Mineral und Heilbrunnen AG ............... 300 373,206 *Bochum-Gelsenkirchener Strassenbahnen AG ............... 228 56,000 Boss (Hugo) AG ......................................... 870 574,450 Braunschweig-Hannoversche Hypotekenbank AG ............. 2,776 1,027,164 Breitenburger Portland-Cement- Fabrik AG ............... 25 12,759 Bremer Strassenbahn AG ................................. 307 47,005 *Bremer Woll-Kaemmerei AG ............................... 1,996 254,673 *Brillant AG ............................................ 750 64,593 Buckau (Walther) AG .................................... 900 114,833 Cassella AG ............................................ 850 1,499,362 *Ceag Industrie-Aktien und Anlagen AG ................... 2,067 200,436 Concordia Bau und Boden AG ............................. 24,761 1,574,904 DLW AG ................................................. 3,940 1,015,477 *DSL Holding AG ......................................... 5,850 656,842 Deutsche Bank Luebeck AG ............................... 1,200 1,270,813 Deutsche Hypotheken Bank AG, Hannover/Berlin ........... 2,500 749,601 Deutsche Kontinentale Rueckversicherungs AG ............ 936 121,217 Deutsche Spezialglas AG ................................ 1,600 250,080 Deutsche Steinzeug Cremer & Breuer AG .................. 2,780 957,703 Deutsche Verkehrs-Bank AG .............................. 4,750 513,636 Dibag Doblinger Industriebau- Glasmanufactur AG ........ 1,185 476,268 *Didier-Werke AG ........................................ 6,800 631,196 *Dierig Holding AG ...................................... 1,500 146,411 Doag-Holding AG ........................................ 750 167,943 *Doerries Scharmann AG .................................. 3,298 420,797 *Dortmunder Actien-Brauerei AG .......................... 1,650 187,368
119 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Duerr Beteiligungs AG .................................. 3,175 $1,099,856 *Duerrkopp Adler AG ..................................... 2,219 184,173 Dyckerhoff & Widmann AG ................................ 4,919 1,085,789 Dyckerhoff AG .......................................... 2,285 947,528 *Dyckerhoff AG Em 94 II ................................. 114 46,545 Eichbaum-Brauereien AG, Mannheim ....................... 672 173,627 Erlus Baustoffwerke AG ................................. 297 154,421 Erste Kulmbacher Actien Brauerei AG .................... 432 454,737 *Escada AG .............................................. 2,052 379,636 *Escom AG ............................................... 350 62,520 *Fag Kugelfischer Georg Schaefer AG ..................... 8,550 1,309,091 Felten & Guilleaume Energietechnik AG .................. 3,250 684,211 Forst Ebnath AG ........................................ 24 11,789 Fraenkisches Ueberlandwerk AG, Nuernberg ............... 849 227,483 *Fraenkisches Ueberlandwerk AG, Nuernberg Em 94 ......... 47 11,394 Frankfurter Bankgesellschaft Gegr. 1899 AG ............. 2,173 644,622 Fuchs Petrolub AG Oel & Chemie ......................... 55 6,105 Fuchs Petrolub AG Oel & Chemie ......................... 2,231 306,006 Geestemuender Bank AG .................................. 750 88,995 Gestra AG Bremen ....................................... 1,203 165,389 Gilde Brauerei AG ...................................... 400 237,321 *Gildemeister AG ........................................ 1,120 111,821 Goldschmidt (T.H.) AG .................................. 3,200 1,735,247 Grosskraftwerk Franken AG .............................. 789 251,675 *Gutbrod AG ............................................. 290 14,801 *Gutbrod AG Em 90 ....................................... 75 3,684 *Hageda AG .............................................. 404 38,918 Hagen Batterie AG ...................................... 1,000 130,781 Hamborner AG ........................................... 2,100 456,842 Hamburger Hochbahn AG Series A ......................... 4,257 279,726 *Harpener AG ............................................ 7,100 1,361,116 Hasen-Braeu AG ......................................... 100 139,075 Heilit & Woerner Bau AG ................................ 425 123,094 Heilit & Woerner Bau AG ................................ 1,701 608,779 *Hein Lehmann AG, Duesseldorf ........................... 120 38,278 Heinrich Industrie & Handels AG ........................ 350 156,300 Herlitz AG ............................................. 3,462 682,461 Hermes Kreditversicherungs AG, Hamburg und Berlin ...... 400 123,764 Hermes Kreditversicherungs AG, Hamburg und Berlin ...... 1,166 278,947 *Hindrichs-Auffermann AG ................................ 358 62,807 Holsten-Brauerei AG, Hamburg ........................... 3,077 667,419 #Horten AG ............................................. 2,900 382,041 Hutschenreuther AG ..................................... 1,050 172,823 Hypothekenbank In Hamburg AG ........................... 1,198 607,598 ICN (Immobilien Consult Nuernberg AG) .................. 737 183,368 Ikon AG Praezisionstechnik ............................. 626 73,123 Iwka AG ................................................ 6,224 1,353,993 Jacobsen (W.) AG, Kiel ................................. 37 70,813 Jute-Spinnerei und Weberei Bremen AG ................... 378 106,105 *KM-Kabelmetal AG ....................................... 7,550 842,903 KSB AG ................................................. 2,387 542,119 KWS Kleinwanzlebener Saatzucht AG ...................... 1,650 693,684
120 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Kali und Salz Beteiligungs AG .......................... 13,950 $1,446,172 Kaufhalle AG ........................................... 7,800 1,149,474 Kempinski AG, Berlin ................................... 686 356,676 Keramag Keramische Werke AG ............................ 1,300 510,048 *Kloeckner Humboldt-Deutz AG ............................ 3,350 245,987 *#Kloeckner-Werke AG .................................... 23,800 2,011,802 *Koeln-Duesseldorfer Deutsche Rheinschiffahrt AG ........ 300 32,919 Kolb und Schuele AG .................................... 875 265,152 *Kolb und Schuele AG Em 94 .............................. 125 38,676 *Kolbenschmidt AG, Neckarsulm ........................... 7,500 889,952 Kraftuebertragungswerke Rheinfelden AG ................. 4,684 1,465,711 Kraftwerk Altwuerttemberg AG ........................... 314 170,271 Krauss-Maffei AG ....................................... 1,267 828,501 Kromschroder (G.) AG ................................... 765 254,268 *Kueppersbusch AG ....................................... 525 77,033 Kupferberg (Christian Adalbert) & Cie KG A.A. .......... 151 95,368 Leffers AG, Bielefeld .................................. 1,225 234,450 Leifheit AG ............................................ 1,350 543,445 *Leonische Drahtwerke AG ................................ 2,000 512,919 *Linotype-Hell AG ....................................... 4,300 918,979 Loewenbraeu Holding AG ................................. 50 104,625 MG Vermoegensverwaltungs AG ............................ 4,040 337,633 *MLF Holding fuer Umwelttechnologie AG .................. 165 15,684 Magda Media Verlaf AG .................................. 738 94,633 Magdeburger Versicherung AG ............................ 697 262,348 *Maihak (H.) AG ......................................... 275 37,719 Main Kraftwerke AG ..................................... 1,189 455,120 Mainzer Aktien-Bierbrauerei AG ......................... 563 158,035 Mannheimer Versicherung AG ............................. 2,257 943,116 Markt und Kuehlhallen AG ............................... 1,400 226,858 Mauser Waldeck AG ...................................... 1,667 245,663 Mittelschwaebische Ueberlandzentrale AG ................ 355 152,871 *Moenus AG .............................................. 1,575 76,364 Muehle Rueningen AG .................................... 160 34,195 Mueller-Weingarten AG .................................. 579 118,201 *Nak Stoffe AG .......................................... 1,046 142,136 *Neue Baumwoll-Spinnerei und Weberei Hof AG ............. 1,217 77,640 *Niedermayr Papierwarenfabrik AG ........................ 60 13,971 Nordcement AG .......................................... 2,000 778,309 Norddeutsche Steingutfabrik ............................ 497 164,874 Nuernberger Hypothekenbank AG .......................... 2,387 708,105 *Oberland Glas AG ....................................... 3,000 346,794 *Orenstein & Koppel AG .................................. 3,778 436,248 Otavi Minen AG ......................................... 600 61,818 *PWA (Papierwerke Waldhof-Aschaffenburg AG) ............. 1,290 196,689 Pag Pharma-Holding AG .................................. 800 137,799 Parkbrauerei AG ........................................ 300 55,502 *Patrizier-Braeu AG ..................................... 737 68,881 *Paulaner-Salvator Beteiligungs AG ...................... 100 130,207 *Pfaff (G.M.) AG ........................................ 3,200 371,547 Pfersee-Kolbermoor AG .................................. 1,550 503,317 *Pfersee-Kolbermoor AG Em 94 ............................ 50 15,949 *Phoenix AG, Hamburg .................................... 4,750 675,758 *Pittler Maschinenfabrik AG ............................. 3,350 192,344 Plettac AG ............................................. 2,777 1,293,276 Progress-Werk Oberkirch AG ............................. 500 56,778 Rathgeber AG ........................................... 8 4,211
121 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Reckitt und Colman Deutschland AG ...................... 540 $ 72,344 Reichelbraeu AG, Kulmbach .............................. 550 166,667 *Reichelt (F.) AG ....................................... 1,290 75,713 Reiter Ingolstadt Spinnereimaschinen AG ................ 1,200 116,057 *Renk AG ................................................ 1,940 147,279 Rheinboden Hypothekenbank AG ........................... 2,650 473,365 Rheinmetall Berlin AG .................................. 5,000 889,952 Rhoen Klinikum AG ...................................... 1,270 964,147 Riedel de Haen AG ...................................... 573 603,158 Rosenthal AG ........................................... 1,650 242,105 Rothenberger AG ........................................ 300 48,421 Sabo-Maschinenfabrik AG ................................ 750 246,411 Salamander AG, Kornwestheim ............................ 5,172 1,072,344 Schlenk (Carl) AG ...................................... 65 13,850 Schwaebische Zellstoff AG .............................. 1,925 571,053 Sektkellerei Schloss Wachenheim AG ..................... 84 20,524 Sinalco AG ............................................. 110 47,719 Sinn AG ................................................ 1,973 427,955 Sinner AG, Karlsruhe ................................... 416 143,311 *Sloman Neptun Schiffahrts AG ........................... 35 2,791 *Stern-Brauerei Carl Funke AG ........................... 1,100 87,018 Stoehr & Co. AG ........................................ 1,400 223,285 *Stoehr & Co. AG Em 94 .................................. 200 30,622 Stolberger Zink AG ..................................... 64 26,539 Stollwerck AG .......................................... 1,358 385,525 *Stumpf (Otto) AG ....................................... 550 32,982 Stuttgarter Hofbraeu AG ................................ 1,800 556,938 Sued-Chemie AG ......................................... 2,186 720,996 Sueddeutsche Bodencreditbank AG ........................ 3,040 1,053,091 Tarkett Pegulan AG ..................................... 534 172,038 Tempelhofer Feld AG .................................... 25 39,075 *Terrex Handels AG ...................................... 1,250 394,737 *Traub AG ............................................... 2,538 335,162 Triton-Belco AG, Hamburg ............................... 1,186 180,832 Tucher Braeu AG ........................................ 750 91,388 Ueberlandwerk Unterfranken AG .......................... 40 7,298 VGT AG ................................................. 293 85,236 VK Muehlen AG .......................................... 1,312 270,352 *Varta AG ............................................... 5,500 1,112,281 *Vereinigte Deutsche Nickel-Werke AG .................... 1,380 180,478 Verseidag AG ........................................... 2,753 261,689 Voegele (Joseph) AG .................................... 750 165,550 *Vogtlaendische Baumwollspinnerei AG .................... 559 42,081 WCM Beteiligungs und Grundbesitz AG .................... 1,000 6,316 WMF (Wuerttembergische Metallwarenfabrik AG) ........... 3,033 713,989 *Walter AG .............................................. 1,350 223,923 Wanderer-Werke AG ...................................... 1,437 190,225 *Weil der Stadt AG, Weil der Stadt ...................... 80 12,198 Weinig (Michael) AG .................................... 2,500 980,064 Westag & Getalit ....................................... 700 200,064 Wickrather Bauelemente AG .............................. 465 91,962 Wuerttembergische & Badische Versicherungs AG Series A/B 112 197,563 Wuerttembergische Hypothekenbank AG .................... 1,498 704,323 Wuerzburger Hofbraeu AG ................................ 100 54,864 *Wuerzburger Hofbraeu AG Em 94 .......................... 33 16,211
122 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Zanders Feinpapiere AG ................................. 4,450 $ 641,595 Zeag Zementwerk Lauffen-Elektrizitaetswerk Heilbronn AG 1,942 474,505 ------------------ TOTAL COMMON STOCKS (Cost $62,003,859) .................... 79,375,391 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *German Marks (Cost $127,715) ........................... 133,478 ------------------ PREFERRED STOCK -- (0.0%) Dyckerhoff AG .......................................... 157 52,584 Westag & Getalit ....................................... 260 57,225 ------------------ TOTAL PREFERRED STOCK (Cost $67,166) ...................... 109,809 ------------------ RIGHTS/WARRANTS - (0.0%) *Escom AG Rights 12/08/94 ............................... 2 26 *Hindrichs-Auffermann AG Rights 12/07/94 ................ 1 77 *Scor Deutschland Rueckversicherungs AG Rights 12/13/94 . 936 1,194 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 1,297 ------------------ TOTAL - GERMANY (Cost $62,198,740) ........................ 79,619,975 ------------------ ITALY - (10.9%) COMMON STOCKS - (10.9%) *Acqua Pia Antica Marcia SpA ............................ 211,200 30,718 Acquedotto de Ferrari Galliera SpA ..................... 54,000 188,829 Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) ......................................... 42,000 266,700 #Ansaldo Trasporti SpA ................................. 199,533 740,955 *Attivita Immobiliari ................................... 181,400 246,994 *Auschem SpA (In Liquidation) ........................... 82,000 0 Autostrada Torino-Milano ............................... 33,750 201,570 Avir Finanziara SpA .................................... 114,000 651,227 Banca Agricola Milanese ................................ 48,000 258,456 Banca Mercantile Italiana SpA .......................... 40,800 189,386 Banco di Chiavari e della Riviera Ligure SpA, Chiavari . 175,000 379,081 Bassetti SpA ........................................... 67,500 324,602 *Bastogi SpA ............................................ 1,683,000 115,620 Boero (Bartolomeo) SpA ................................. 8,925 45,847 Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma ................................................. 11,600 121,690 *Brioschi Finanziaria SpA, Milano ....................... 200,000 49,513 CALP (Cristalleria Artistica la Piana SpA) ............. 48,000 160,124 CAMFIN (Cam Finanziaria) ............................... 20,500 38,063 CEMENTIR (Cementarie del Tirreno SpA), Roma ............ 661,563 571,587 *CIGA SpA (Compagnia Italiana Grandhi Alberghi) ......... 76,890 45,684 CMI SpA ................................................ 36,428 72,146 *Caffaro SpA (Sta per l'Industria Chimica Ed Elettrochimica) ...................................... 297,550 332,402 *Calcestruzzi SpA ....................................... 51,560 277,625 Caltagirone SpA ........................................ 343,085 331,247 *Cantoni ITC SpA ........................................ 121,000 179,731 *Cartiere Burgo SpA ..................................... 271,200 1,597,071 *#Cartiere Sottrici Binda SpA ........................... 1,299,375 160,839 Cementeria de Barletta SpA ............................. 27,000 88,566
123 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Cementeria di Augusta SpA .............................. 105,000 $162,463 *Cementeria di Merone SpA ............................... 185,137 183,332 #Cementerie Siciliane SpA .............................. 82,200 206,804 Cementerie di Sardegna SpA ............................. 77,000 209,686 *#Cogefar-Impresit Costruzioni Generali SpA ............ 337,000 349,358 Comau Finanziara SpA ................................... 353,000 513,415 Condotta Acque Potabili SpA, Torino .................... 28,000 157,698 Costa Crociere SpA ..................................... 195,000 468,869 Costa Crociere SpA (Risp) .............................. 26,000 32,022 *Credito Lombardo SpA ................................... 170,000 426,118 *Cucirini SpA ........................................... 30,000 20,238 *Dalmine SpA ............................................ 3,001,700 815,006 #Danieli & C.Officine Meccaniche SpA .................. 93,500 604,719 *Dataconsyst C.G.S. SpA, Monza .......................... 22,050 20,197 *Del Favero SpA ......................................... 86,000 35,395 *Editoriale SpA ......................................... 210,000 102,677 Editoriale l'Espresso SpA .............................. 55,000 153,180 Editoriale la Repubblica SpA ........................... 125,000 232,090 *Enichem Augusta SpA .................................... 311,000 577,441 Ericsson SpA ........................................... 61,500 890,670 *Euromobiliare SpA ...................................... 73,500 122,595 *Europa-Metalli LMI SpA ................................. 1,086,000 497,379 FIAR (Fabbrica Italiana Apparecchiature Radioelettriche SpA) ................................................. 22,990 109,561 *FMC (Fabbrica Milanese Condutorri SpA) ................. 25,000 12,997 FONSPA (Credito Fondiaro e Industriale Istituto per I Finanziamenti a Medio e Lungo Termine SpA) ........... 269,000 943,976 *Fabbrica Italiana Magneti Marelli SpA, Milano .......... 1,190,000 935,355 Faema SpA .............................................. 31,000 63,314 *Falck (Acciaierie & Ferriere Lombarde) ................. 218,000 523,497 *Fimpar SpA ............................................. 1,000 117 *Finarte Casa d'Aste SpA (Milano) ....................... 56,266 42,833 *Fincasa 44 SpA ......................................... 150,036 94,251 *Finrex Finanziaria Immobiliaria SpA (In Liquidation) ... 36,000 2,696 *#Firs-Italiana de Assicurazioni Compagnia di Assicurazioni Eriassicurazioni (In Liquidation) ...................... 90,000 0 Fiscambi Holding SpA, Milano ........................... 46,500 54,680 *Fisia SpA (Fiatimpresit Sistemi Ambientali) ............ 188,850 109,283 *Fochi (Filippo) SpA .................................... 216,000 537,410 *Fornara Societa Finanziaria e di Participazioni SpA .... 310,000 13,814 Gabetti Holding SpA .................................... 70,000 79,715 *Gerolimich SpA (In Liquidation) ........................ 297,400 0 Gewiss SpA ............................................. 51,500 699,629 *Gifim Iniziative Immobiliari Gifim SpA ................. 60,000 28,594 *Grassetto SpA .......................................... 279,125 281,587 *ITAJOLLY (Cia Italiana del Jolly Hotels SpA) ........... 48,500 198,563 #Immobiliare Metanopoli SpA ............................ 1,062,500 874,594 *Industrie Secco ........................................ 195,800 15,596 Industrie Zignago S. Margherita SpA .................... 61,000 313,353
124 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Istituto Finanziario Pro Arte SpA Finarte .............. 202,693 $ 135,484 *Italiana di Transporti Gottardo Ruffoni SpA, Milano (In Liquidation) ......................................... 279,832 17,908 Linificio & Canapificio Nazionale SpA .................. 118,000 109,620 Lloyd Adriatico Assicurazione SpA ...................... 57,500 672,598 Maffei SpA ............................................. 75,000 120,687 Magona d'Italia SpA, Firenze ........................... 40,000 86,771 *Mandelli SpA ........................................... 41,000 53,263 Manifattura Lane Gaetano Marzotto & Figli SpA .......... 144,000 989,262 Marangoni SpA, Rovereto ................................ 50,000 153,180 Merloni Elettrodomestici SpA ........................... 210,000 740,832 *Montefibre SpA, Milano ................................. 645,000 573,644 *NAI SpA (Navigazione Alta Italia) ...................... 139,760 27,680 *Necchi SpA ............................................. 131,400 76,689 Perlier SpA ............................................ 120,700 31,375 Pininfarina SpA ........................................ 64,570 679,369 *Poligrafici Editoriale SpA ............................. 226,000 532,917 *#Premafin Finanziaria SpA .............................. 1,025,000 869,735 #Previdente Cia Italiana Assicurazione SpA ............. 149,590 1,210,978 Ratti SpA .............................................. 155,900 313,585 Recordati Industria Chimica E Farmaceutica SpA ......... 34,000 150,456 Rejna SpA, Milano ...................................... 19,000 104,657 Risanamento di Napoli SpA .............................. 26,700 432,124 Riva Finanziaria SpA ................................... 23,800 74,387 *Rodriquez SpA .......................................... 41,250 41,103 SISA (Societa Imballaggi Speciali Asti SpA) ............ 65,000 51,734 *SMI (Sta Metallurgica Italiana SpA) .................... 761,000 355,596 *#SNIA Fibre SpA ........................................ 328,000 203,408 SOPAF (Societa Partecipazioni Finanziarie SpA) ......... 50,500 90,014 *#Saffa SpA, Milano ..................................... 100,500 251,600 Safilo (Sta Azionaria Fabbrica Italiana Lavorazione Occhiali SpA) ........................................ 50,100 305,422 *Saiag SpA (Industrie Articoli Gomma) ................... 43,000 100,730 #Sasib SpA .............................................. 186,000 904,818 *Schiapparelli 1824 SpA ................................. 300,000 46,604 Serfi SpA (Servizi Finanziari) ......................... 72,000 236,175 *Simint SpA ............................................. 149,979 45,483 Sogefi SpA ............................................. 260,000 627,572 Sondel Nordelettrica SpA ............................... 674,900 1,044,252 *Sorin Biomedica SpA .................................... 407,610 1,021,705 #Stefanel SpA ........................................... 190,800 504,824 Tecnost SpA ............................................ 170,000 347,207 *Teknecomp SpA .......................................... 148,643 73,689 Terme Demaniali di Acqui SpA ........................... 39,900 32,103 *Texmantova SpA ......................................... 40,000 29,708 Trenno SpA ............................................. 147,333 215,198 *Tripcovich (D.) & Co. SpA Navigazione Rimorchi e Salvataggi Trieste ................................... 113,898 26,082 #UNICEM (Unione Cementi Marchini Emiliane e di Augusta- Casale) .............................................. 114,000 726,721 USA (Unione Subalpina di Assicurazioni SpA) ............ 52,500 336,299 *Unione Manifatture SpA (In Liquidation) ................ 156,000 0
125 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Unipar (Unione Nazionale di Participazione SpA) (In Liquidation) ......................................... 539,000 $ 0 Unipol SpA ............................................. 65,000 448,753 *Vetrerie Italiane SpA .................................. 67,000 217,701 Vianini Industria SpA .................................. 126,000 81,881 Vianini Lavori SpA ..................................... 191,000 377,684 Vittoria Assicurazioni SpA ............................. 59,500 270,664 *Wabco Westinghouse SpA, Torino ......................... 6,200 19,225 Zucchi (Vincenzo) SpA .................................. 52,000 276,774 ------------------ TOTAL COMMON STOCKS (Cost $48,640,448) .................... 37,850,970 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Italian Lira (Cost $44,326) ............................. 44,012 ------------------ RIGHTS/WARRANTS - (0.0%) Banca Nazionale del Lavoro SpA Covered Warrants -R- 01/01/97 ............................................. 50 46 *Cartiere Burgo SpA Warrants 12/31/95 ................... 45,200 5,679 *Cementeria di Augusta SpA Warrants 01/01/96 ............ 10,500 17,221 *Premafin Finanziaria SpA Rights 12/19/94 ............... 1,025,000 6,661 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 29,607 ------------------ Face Amount@ ------------------ (000) BONDS - (0.0%) *Banca Nazionale del Lavoro SpA BNL 9.5%, 01/01/95 (Cost $91,916) ............................................. 115,500 71,305 ------------------ TOTAL - ITALY (Cost $48,776,690) .......................... 37,995,894 ------------------ Shares ------------------ NETHERLANDS - (9.9%) COMMON STOCKS - (9.8%) *ACF Holding NV ......................................... 3,450 71,732 ACF Holding NV (Certificate) ........................... 12,307 235,554 Aalberts Industries NV ................................. 4,707 224,692 Ahrend Groep NV ........................................ 4,481 427,552 Atag Holding NV ........................................ 4,162 261,977 Athlon Groep NV ........................................ 5,350 209,368 Athlon Groep NV (Certificate) .......................... 3,500 131,188 Automobiel-Industrie Rotterdam ......................... 260 17,328 Bam Groep NV ........................................... 4,774 281,463 Batenburg Beheer NV .................................... 1,000 83,737 Beers NV ............................................... 3,325 359,869 Begemann Groep NV ...................................... 13,451 220,671 Bijenkorf Beheer KBB NV, Amsterdam ..................... 16,550 954,064 Boer Winkelbedrijven NV ................................ 12,000 477,129 Borsumij Wehry NV ...................................... 46,385 681,705 Boskalis Westminster NV ................................ 44,342 899,217 Braat Beheer NV ........................................ 3,676 51,093 Cap Volmac Group NV .................................... 67,650 924,865 Cindu International NV ................................. 1,750 100,185 Content Beheer ......................................... 14,750 236,941 Crown Van Gelder NV .................................... 2,400 210,538 *Delft Instruments NV ................................... 12,808 178,021 Econosto NV ............................................ 15,384 199,804
126 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Eriks Holdings NV ...................................... 9,000 $ 615,209 Flexovit International NV .............................. 3,500 173,654 *Frans Maas Groep NV .................................... 13,906 407,952 GTI Holding NV ......................................... 4,507 397,171 Gamma Holding NV ....................................... 18,338 963,124 Getronics NV ........................................... 32,922 1,085,835 *Geveke NV .............................................. 8,150 154,597 Goudsmit NV ............................................ 2,000 35,887 *Grand Hotel Krasnapopski NV ............................ 294 23,698 Grolsch NV ............................................. 43,100 1,313,500 Hoek's (W.A.) Machine & Zuurstofabriek NV .............. 12,600 556,252 Holdingsmij de Telegraaf NV ............................ 7,850 871,974 *Holland Sea Search Holding NV .......................... 286,987 67,026 Hollandia Industriele Maatschappij NV .................. 500 17,830 Hollandsche Beton Groep NV ............................. 4,728 720,444 IHC Caland NV .......................................... 64,700 1,529,507 Internatio-Mueller NV .................................. 15,682 824,522 Kas-Associatie NV ...................................... 7,830 282,781 Kempen & Co. NV ........................................ 22,200 182,102 Kondor Wessels Groep NV ................................ 1,000 25,919 Koppelpoort Holding NV ................................. 250 59,812 *Landre & Glinderman NV ................................. 1,862 48,791 MacIntosh NV ........................................... 19,733 460,868 *Multihouse NV .......................................... 20,000 25,064 NBM-Amstelland NV ...................................... 44,350 467,374 NKF Holding NV ......................................... 3,595 436,602 Nagron Nationaal Grondbezit NV ......................... 3,791 191,116 Nationaal Bezit van Aandeelen Vereenigde Glasfabrieken NV, Schiedam ......................................... 2,150 678,496 Nationale Investeringsbank NV Class A .................. 14,615 1,103,097 Nedap (Nederlandsche Apparatenfabriek) ................. 4,250 145,500 *#Nederlandse Vliegtuigenfabriek Fokker NV .............. 53,650 452,304 *Nedlloyd Groep NV, Rotterdam ........................... 29,900 902,706 Nijverdal-Ten Cate NV, Amels ........................... 11,356 514,271 Norit NV ............................................... 29,655 307,446 Oce van der Grinten NV, Venlo .......................... 24,750 1,084,178 Orco Bank NV ........................................... 11,289 395,485 Otra NV ................................................ 6,275 1,036,598 Pakhoed NV ............................................. 27,406 704,079 Polynorm NV ............................................ 3,294 321,801 Randstad Holding NV .................................... 6,200 312,914 Reesink NV ............................................. 2,050 138,963 Roto Smeets de Boer NV ................................. 1,000 22,159 Rubber Cultuur Maatschappij, Amsterdam ................. 40,800 55,779 Samas-Groep NV, Zaandam ................................ 10,937 364,463 Schuitema NV, Amersfoort ............................... 300 322,643 Schuttersveld Holding .................................. 10,724 265,733 *Smit Internationale NV ................................. 10,790 258,149 *Sphinx NV .............................................. 22,678 700,170 Stad Rotterdam ......................................... 12,000 257,021 Stork NV ............................................... 42,728 1,031,996 *Textielgroep Twenthe NV ................................ 1,000 43,008 Tulip Computers NV ..................................... 10,916 103,222 Twentsche Kabel Holding NV ............................. 3,618 447,226 Ubbink NV .............................................. 1,500 49,986 Van Dorp Groep NV ...................................... 3,261 64,644 Van der Giessen de Nord ................................ 4,200 166,277 Van der Moolen Holding NV .............................. 6,250 146,682
127 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Volker Stevin NV ....................................... 13,250 $ 652,122 Vredestein NV .......................................... 19,725 149,440 Wegener NV ............................................. 19,676 1,401,024 *Wyers Beheer NV, Amsterdam ............................. 250 3,261 ------------------ TOTAL COMMON STOCKS (Cost $23,564,807) .................... 33,980,147 ------------------ INVESTMENT IN CURRENCY - (0.1%) *Netherlands Guilder (Cost $419,202) .................... 417,960 ------------------ RIGHTS/WARRANTS - (0.0%) *Stad Rotterdam Rights 01/30/95 ......................... 12,000 5,947 *Wyers Beheer NV, Amsterdam Warrants 10/03/97 ........... 250 370 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 6,317 ------------------ TOTAL - NETHERLANDS (Cost $23,984,009) .................... 34,404,424 ------------------ SWITZERLAND - (9.6%) COMMON STOCKS - (9.6%) *AFG Arbonia Foster Holding AG, Arbon ................... 522 571,245 *Accumulatoren-Fabrik Oerlikon, Zuerich ................. 30 21,736 Afipa SA, Vevey ........................................ 20 2,642 Afipa SA, Vevey Class A ................................ 80 13,585 Aletsch AG, Moerel ..................................... 50 122,642 Allgemeine Finanzgesellschaft, Zuerich ................. 741 223,698 *Ascom Holding AG, Bern ................................. 907 965,185 Attisholz Holding AG ................................... 1,079 618,898 BHB Beteiligungs und Finanzgesellschaft ................ 150 46,415 Banque Cantonale de Geneve ............................. 840 190,189 Banque Cantonale du Jura ............................... 400 126,792 Banque Privee Edmond de Rothschild SA, Geneve .......... 120 389,434 Basellandschaftliche Kantonalbank ...................... 500 101,887 Basler Kantonalbank (Participating) .................... 500 92,453 Bernische Kraftwerke AG, Bern .......................... 600 412,075 Bossard Holding AG ..................................... 127 160,068 Brauerei Eichhof ....................................... 42 66,566 Bucher Holding AG, Niederweningen ...................... 650 355,660 Bucherer AG Luzern, Luzern (Participating) ............. 300 156,226 CKW (Centralschweizerische Kraftwerke), Luzern ......... 670 513,245 CKW (Centralschweizerische Kraftwerke), Luzern (Participating) ...................................... 1,500 114,340 CS Holding, Zuerich .................................... 540 229,042 CS Holding, Zuerich (Namen) ............................ 540 44,219 Calida Holding AG, Oberkirch ........................... 99 82,189 *Carlo Gavazzi Holding AG, Baar Class B ................. 83 55,125 Chemin de Fer Brigue-Viege- Zermatt, Zermatt ........... 370 92,151 Chemin de Fer du Gornergrat, Sion ...................... 70 118,868 Chocoladefabriken Lindt & Spruengli AG, Kilchberg ...... 24 355,019
128 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Chocoladefabriken Lindt & Spruengli AG, Kilchberg (Participating) ...................................... 74 $ 97,177 Credit Foncier Vaudois, Lausanne ....................... 875 607,547 Crossair AG fuer Europaeischen Regionalluftverkehr, Basel ................................................ 141 61,189 Crossair AG fuer Europaeischen Regionalluftverkehr, Basel (Genusschen) ................................... 330 21,668 Daetwyler Holding AG, Atldorf .......................... 388 614,943 Danzas Holding AG, Basel (Participating) ............... 1,502 296,999 Dipling Fust AG, Oberbueren ............................ 1,680 478,008 Edipresse SA, Lausanne ................................. 262 104,800 Elco Looser Holding AG, Zuerich ........................ 720 282,566 Elektrizitaets Gesellschaft Laufenberg AG (Participating), Laufenberg .......................... 1,000 181,132 Elektrizitaets Gesellschaft Laufenburg AG, Laufenberg .. 740 1,368,302 Energie Electrique du Simplon SA Simplon Village ....... 70 47,547 *Escor AG, Duedingen .................................... 1,240 12,166 *Financiere Michelin, Granges- Paccot ................... 637 216,340 Financiere Tradition, Lausanne ......................... 50 72,075 *Fischer (Georg) AG, Schaffhausen ....................... 1,372 1,573,917 Forbo Holding AG, Eglisau .............................. 275 489,811 Fortuna Holding, Adliswil .............................. 140 137,358 Fortuna Holding, Adliswil (Participating) .............. 650 112,340 Fotolabo SA, Ropraz .................................... 120 262,642 Fuchs Petrolub AG, Frauenfeld .......................... 2,001 694,687 GZB Genossenschaftliche Zentralbank AG, Basel .......... 941 603,660 Galenica Holding AG, Bern Class B ...................... 120 36,226 *Golay-Buchel Holding SA, Lausanne ...................... 40 31,547 Grand Magasins Jelmoli SA, Zuerich ..................... 2,835 295,268 Grand Magasins Jelmoli SA, Zuerich (Participating) ..... 931 519,955 Gurit-Heberlein AG, Wattwil SG ......................... 310 521,736 *HPI Holding SA, Yverdon-les- Bains ..................... 200 22,642 Hilti AG, Schaan (Participating) ....................... 600 452,377 Holvis Holzst AG ....................................... 2,499 663,885 Huerlimann Holding AG, Zuerich ......................... 33 136,981 Huerlimann Holding AG, Zuerich (Participating) ......... 100 34,717 Immuno International AG, Zuerich ....................... 1,545 781,245 Industrieholding Cham AG, Cham ......................... 216 141,826 Interdiscount Holding SA, Freiburg ..................... 439 586,438 #Interdiscount Holding SA, Freiburg (Participating) ..... 450 56,038 Kardex AG, Zuerich ..................................... 630 153,102 Kardex AG, Zuerich (Participating) ..................... 610 145,019 Keramik Holding AG Laufen, Laufen ...................... 600 346,415 Konsumverein Zuerich, Zuerich .......................... 1,788 425,072 Konsumverein Zuerich, Zuerich (Participating) .......... 420 72,906 Kraftwerk Laufenburg, Laufenburg ....................... 8,475 1,311,226
129 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Loeb Holding AG, Bern (Participating) .................. 620 $ 93,585 Logitech International SA, Apples ...................... 4,805 344,509 *Maag Holding AG, Zuerich ............................... 820 111,396 Magazine Zum Globus, Zuerich ........................... 400 244,528 Magazine Zum Globus, Zuerich (Participating) ........... 396 239,393 *Mikron Holding AG, Biel ................................ 504 37,087 *Mikron Holding AG, Biel (Participating) ................ 120 9,509 Moevenpick Holding AG, Zuerich ......................... 1,320 438,340 Moevenpick-Holding AG, Zuerich (Participating) ......... 443 150,453 *Monteforno Acciaierie & Laminatoi SA, Giornico ......... 600 5,660 *Motor-Columbus AG, Baden ............................... 1,499 2,160,823 *Netstal-Maschinen AG, Nafaels .......................... 2 340 *Omnium Geneve SA, Geneve ............................... 110 32,377 *Orell Fuessli Graphische Betriebe AG, Zuerich (Participating) ...................................... 240 61,585 Phoenix Mecano AG, Stein am Rhein ...................... 2,749 840,260 Pick Pay AG, Ruemlang .................................. 110 139,472 Porst Holding AG, Jegenstorf ........................... 1,844 349,316 Prodega AG, Moosseedorf (Participating) ................ 400 93,585 *Publicitas Holding SA, Lausanne (Participating) ........ 125 96,226 Rentsch (Walter) Holding AG, Dietlikon ................. 1,853 272,706 Rig Rentsch Industrie-Holding AG, Rickenbach ........... 110 207,547 *Riviera Participations Holding SA, Vevey ............... 50 5,189 SIG (Schweizerische Industrie Gesellschaft Holding AG), Neuhausen am Rheinfall ............................... 167 312,574 Sarna Kunststoff Holding AG, Sarnen .................... 74 85,449 Schweizerische National Versicherungs Gesellschaft, Basel ................................................ 22 31,713 Sece Cortaillod Holding SA, Cortaillod ................. 10 38,491 *Sibra Holding SA, Fribourg Class B ..................... 1,000 166,038 Siegfried AG, Zofingen ................................. 1,066 587,306 *Solothurner Kantonalbank (Participating) ............... 450 6,792 Sopracenerina (Sta Elettrica), Locarno ................. 459 190,528 Suedelektra Holding AG, Zug ............................ 1,500 1,103,774 *Suter & Suter AG, Basel Class A ........................ 635 81,472 *Swissair Schweizerische Luftverkehr AG, Zuerich ........ 78 47,977 Swisslog Holding AG .................................... 500 118,868 *UMS Schweizerische Metallwerke Holding AG, Bern ........ 2,560 202,868 Unigestion Holding, Geneve ............................. 2,891 327,283 Usego-Trimerco Holding AG, Volketswil .................. 1,160 236,377 Villars Holding SA, Fribourg ........................... 150 17,264 *Von Moos Holding AG, Luzern ............................ 1,400 137,358 *Von Roll AG, Gerlafingen ............................... 384 75,351
130 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Von Roll AG, Gerlafingen (Participating) ............... 504 $ 17,878 WMH Walter Meier Holding AG, Staefa .................... 50 40,000 *Zellweger Luwa AG, Uster ............................... 804 558,249 *Zschokke Holding SA, Geneve ............................ 80 44,679 *Zueblin Holding AG, Zuerich ............................ 700 66,038 Zuercher Ziegeleien Holding, Zuerich ................... 1,415 1,030,547 Zuger Kantonalbank ..................................... 429 443,570 *Zuger Kantonalbank Em 94 ............................... 71 70,196 ------------------ TOTAL COMMON STOCKS (Cost $28,117,325) .................... 33,285,615 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Swiss Francs (Cost $20,687) ............................ 22,608 ------------------ RIGHTS/WARRANTS - (0.0%) *Bucher Holding AG, Niederweningen Warrants 10/27/95 .... 650 1,055 *Chocoladefabriken Lindt & Spruengli AG, Kilchberg Warrants 02/28/95 .................................... 314 5,806 *Forbo Holding AG Warrants 11/01/95 ..................... 550 1,453 *Grands Magasins Jelmoli SA, Zuerich Warrants 03/29/96 .. 7,490 11,306 *Interdiscount Holding SA, Fribourg Warrants 11/15/96 ... 4,840 7,305 *Loeb Holding AG, Bern Warrants 02/29/96 ................ 620 211 *Zueblin Holding AG, Zuerich Warrants 02/28/95 .......... 300 792 ------------------ TOTAL RIGHTS/WARRANTS (Cost $20,688) ...................... 27,928 ------------------ TOTAL - SWITZERLAND (Cost $28,158,700) .................... 33,336,151 ------------------ SPAIN - (9.4%) COMMON STOCKS - (9.1%) *Agroman Empresa Constructora SA ........................ 41,400 72,659 Ahorro Familiar SA ..................................... 6,051 60,487 *Algodonera de San Antonio SA ........................... 8,800 93,338 *Amper SA ............................................... 34,400 208,684 Asland SA .............................................. 66,900 959,725 *#Asturiana del Zinc SA ................................. 33,100 399,069 Azkoyen SA ............................................. 4,200 256,391 *BAMI SA (Inmobiliara de Construcciones y Terrenos) ..... 23,634 73,941 *BANDESCO (Banco del Desarrollo Economico Espanol SA) ... 300 24,723 *BNP Espana SA .......................................... 501,700 405,801 Banco Guipuzcoano SA ................................... 4,150 102,602 Banco Herrero .......................................... 15,350 439,826 Banco Pastor SA ........................................ 18,100 828,691 Banco Simeon SA ........................................ 10,700 268,623 Banco Zaragozano SA .................................... 45,598 695,887 Banco de Alicante ...................................... 6,100 238,321 Banco de Andalucia ..................................... 8,900 977,947 Banco de Castilla SA ................................... 2,100 806,829 Banco de Credito Balear SA ............................. 9,850 223,983 Banco de Galicia SA .................................... 7,550 594,552 Banco de Valencia ...................................... 51,350 579,916 *Banco de Vasconia SA ................................... 8,900 253,995
131 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Banco de Vitoria SA .................................... 13,850 $ 211,370 Bodegas y Bebidas SA ................................... 10,301 298,301 CAF (Construcciones y Auxiliar de Ferrocarriles SA) .... 9,500 550,935 *CAI (Corporacion Alimentaria Iberica SA) ............... 11,200 0 *CARTEMAR (Cartera de Valores del Mar SA) ............... 4,016 3,984 *CINSA (Compania de Inversiones SA) ..................... 1,400 12,606 COBRA (Compania Auxiliar de la Distribucion de Electricidad Cobra SA) ............................... 13,861 190,384 COFIR (Corporacion Financiera Reunida SA) .............. 60,085 184,313 Cementos Alfa SA ....................................... 5,594 132,327 *Citroen Hispania SA .................................... 650 31,496 Conservera Campofrio SA ................................ 8,500 466,997 Construcciones Lain SA ................................. 127,600 201,551 *Cristaleria Espanol SA ................................. 19,300 1,092,758 #Cubiertas y Mzov SA .................................... 9,900 695,002 *Cubiertas y Mzov SA Em 94 .............................. 495 34,297 *Dimetal SA ............................................. 3,500 14,021 *ENCE (Empresa Nacional de Celulosa SA) ................. 8,200 201,167 ENHER (Empresa Nacional Hidroelectrica del Ribargozana SA) Series B ......................................... 37,800 680,717 ERZ (Electricas Reunidas de Zaragoza) .................. 54,937 1,215,699 ESSA (Estacionamientos Subterraneos SA) ................ 8,875 142,217 Ebro Agricolas Compania de Alimentacion SA ............. 89,900 1,070,156 *El Aguila SA ........................................... 39,200 336,513 Elecnor SA ............................................. 8,100 182,335 *Ercros SA .............................................. 33,200 38,254 *Erpo SA ................................................ 3,289 9,091 Espanola de Carburos Metalicos SA ...................... 9,650 350,507 *Espanola del Zinc SA ................................... 6,500 45,879 *Estacionamientos Urbanos SA ............................ 4,200 150,630 Europistas Concesionaria Espanola SA ................... 73,750 607,783 Europistas Concesionaria Espanola SA Em 94 ............. 24,583 200,716 #Filo SA ................................................ 40,865 347,688 *Filo SA Em 94 .......................................... 20,432 171,501 *Financiera y Minera Series A/C ......................... 5,200 61,900 #GESA (Gas y Electricidad SA) ........................... 17,000 762,762 General Azucarera de Espana SA ......................... 15,850 435,406 *Grupo Anaya SA ......................................... 16,500 483,480 Hidro Nitro Espanola SA ................................ 7,990 43,898 *Hornos Ibericos Alba SA ................................ 46,600 597,390 #Huarte SA .............................................. 42,500 486,456 Hullas del Coto Cortes ................................. 8,666 166,972 *Iberica de Autopistas SA Concesionaria de Estado Iberpistas ........................................... 45,070 835,712 Iberica del Frio SA .................................... 2,400 47,615 Inbesos SA ............................................. 1,610 17,691 Indo Internacional SA .................................. 5,600 209,386 *Inmobiliaria Alcazar SA ................................ 5,126 33,248 *Inmobiliaria Urbis SA .................................. 29,100 133,010 *Inmobiliaria Zabalburu SA .............................. 5,800 104,449 Inmobiliaria del Sur SA ................................ 1,320 55,399
132 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ *Inmobiliaria del Sur SA Em 94 .......................... 60 $ 2,461 *Inmolevante SA ......................................... 6,957 29,198 Koipe SA ............................................... 8,400 474,323 *LSB (La Seda de Barcelona SA) Series B ................. 25,200 55,765 *Lingotes Especiales SA ................................. 4,140 60,813 *Liwe Espanola SA ....................................... 4,400 20,145 Mapfre Inmuebles SA .................................... 740 54,773 *Max Center Leisa SA .................................... 1,500 5,437 Metrovacesa (Inmobiliaria Metropolitana Vasco Central) . 22,161 752,510 *Moulinex Espana SA ..................................... 3,100 96,986 *Nicolas Correa SA ...................................... 1,575 6,430 *Nueva Montana Quijano SA Series B ...................... 100,500 157,211 OCP Construcciones SA .................................. 9,600 230,019 *Papelera de Navarra SA ................................. 6,000 34,796 *Pascual Hermanos SA Em 94 .............................. 7,610 18,582 *Pescanova SA ........................................... 15,502 272,069 *Pescanova SA Em 93 ..................................... 3,100 52,869 *Pescanova SA Em 94 ..................................... 4,650 79,304 *Pesquerias Espanolas del Bacalao SA .................... 3,500 534 Portland Valderrivas SA ................................ 8,075 642,056 *Prim SA ................................................ 3,100 24,010 *Promociones Eurobuilding SA ............................ 16,650 43,833 *Radiotronica SA ........................................ 2,137 25,602 *Santana Motors SA Class A .............................. 22,100 0 *Sarrio SA .............................................. 105,100 365,705 *Sefanitro (Sdad Espanola de Fabricaciones Nitrogenadas SA) .................................................. 1,600 4,884 *Sindibank (Sindicato de Banqueros de Barcelona) ........ 10,540 197,047 *Sotogrande SA .......................................... 69,786 194,368 *Tableros de Fibras SA Series B ......................... 26,550 299,840 *Transportes Ferroviarios Especiales Tranfesa ........... 24,000 159,329 *Trenzas y Cables de Acero SA ........................... 7,083 43,238 Uniland Cementera SA ................................... 5,750 282,564 *Union Resinera Espanola SA ............................. 1,100 45,326 *Union y el Fenix-Espanol Cia de Seguros Reunidos SA .... 19,550 212,581 Unipapel SA ............................................ 13,484 327,197 *Uralita SA ............................................. 122,725 1,282,970 Vallehermoso SA ........................................ 47,637 876,041 Vidrala SA ............................................. 9,400 301,259 *Vidriera Leonesa SA Vilesa ............................. 2,983 14,795 Viscofan Industria Navarra de Envolturas Celulosicas SA 46,425 821,870 Zeltia SA .............................................. 3,664 84,156 ------------------ TOTAL COMMON STOCKS (Cost $33,326,142) .................... 31,564,855 ------------------ INVESTMENT IN CURRENCY - (0.3%) *Spanish Peseta (Cost $1,013,723) ....................... 986,711 ------------------ RIGHTS/WARRANTS - (0.0%) *Filo SA Rights 12/13/94 (Cost $0) ...................... 1 0 ------------------ TOTAL - SPAIN (Cost $34,339,865) .......................... 32,551,566 ------------------ BELGIUM - (4.9%) COMMON STOCKS - (4.9%) *Abfin SA ............................................... 2,560 9,985 Afrifina ............................................... 3,480 235,914 *Aurex SA ............................................... 2,000 4,396
133 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ Axa Belgium SA ......................................... 7,270 $ 279,053 BMT NV ................................................. 2,040 233,648 Banque Belgo-Zairoise Belgolaise SA .................... 1,155 267,075 Banque Indosuez Belgique SA ............................ 3,210 148,253 Banque Nationale de Belgique ........................... 810 917,691 Barco NV ............................................... 19,115 1,470,385 *Beherman Auto Transports SA ............................ 895 87,270 Belge des Betons ....................................... 425 223,650 Belgo-Katanga NPV ...................................... 544 91,102 Bernheim-Comofi SA ..................................... 5,295 295,851 CFE (Compagnie Francois d'Entreprises) ................. 2,080 519,598 CMB (Cie Martime Belge) ................................ 1,500 120,957 Carrieres Unies Porphyre ............................... 20 21,452 *Chanic SA .............................................. 175 2,421 Chimique et Metallurgique Campine, Beerse .............. 370 42,435 City Hotels SA ......................................... 1,290 126,983 Cokeries & Houilleres d'Anderlues ...................... 100 9,596 Colruyt SA Halle ....................................... 8,760 1,965,950 Commerciale de Brasserie SA COBRHA ..................... 115 38,357 Credit General SA de Banque, Bruxelles ................. 3,459 467,910 *Creyf's Interim ........................................ 1,200 52,450 Deceuninck Plastics Industries SA ...................... 7,370 848,674 Desimpel Kortemark Cy NV ............................... 4,700 221,870 EII (Etudes et Investissements Immobiliers SA) ......... 2,165 467,782 *Electrorail SA (Reunies d'Electricite & de Transports) . 11,416 25,797 Engrais Rosier SA ...................................... 655 54,642 Fabrique de Fer de Charleroi ........................... 77 173,164 Financiere d'Obourg .................................... 440 384,770 *Floridienne NV ......................................... 2,033 58,023 *Ford Motor Co. SA Belgium .............................. 1,110 137,955 *Forges de Clabecq SA ................................... 3,460 133,023 Franki NV (Cie Internationale des Pieux Armes Frankignoul SA) ...................................... 5,875 173,859 Glaces de Charleroi .................................... 70 127,411 #Glaverbel SA ........................................... 7,512 988,268 *Glaverbel SA (Precompte Reduit) ........................ 150 18,364 Immobel (Cie Immobiliere de Belgique SA) ............... 10,600 903,978 *Intertropical-Comfina SA (In Liquidation) .............. 275 4,631 Mecaniver SA, Bruxelles ................................ 128 24,170 *Metiers Automatiques Picanol ........................... 403 140,965 *PCB SA Bruxelles ....................................... 6,504 55,768 *Papeteries de Catala SA ................................ 315 44,659 Plantations Nord-Sumatra SA ............................ 650 29,497 *Recticel SA ............................................ 8,450 121,368 Roton (Compagnie Industrielle et Financiere Roton) ..... 30 1,839 SABCA (Sa Belge de Constructions Aeronautiques) ........ 4,280 94,861 *SCF SA ................................................. 380 1,353 *SCF SA Em 94 ........................................... 2,470 8,869 *SIPEF (Societe Internationale de Plantations & de Finance), Anvers ..................................... 1,175 176,768 *SIPEF (Societe Internationale de Plantations & de Finance), Anvers (Precompte Reduit) .................. 334 50,661
134 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ ------------------ ------------------ SNCI (Societe Nationale de Credit a l'Industrie) ....... 2,675 $ 535,744 Sa d'Ieteren ........................................... 11,850 834,506 *Sa d'Ieteren (Precompte Reduit) ........................ 3,150 224,269 Sait Radioholland ...................................... 6,088 160,186 *Sait Radioholland (Precompte Reduit) ................... 152 4,235 Sapec SA ............................................... 3,560 148,770 *Sapec SA (Taux Reduit) ................................. 75 2,907 Sidro .................................................. 4,040 225,730 Spadel NPV ............................................. 325 442,656 Surongo SA ............................................. 20 2,328 *Telinfo SA ............................................. 5,790 91,765 Ter Beke NV ............................................ 2,212 237,257 Tessenderlo Chemie ..................................... 1,729 544,577 *Tessenderlo Chemie (Precompte Reduit) .................. 27 8,298 UCO SA Ledeberg-Gand ................................... 531 260,938 UNIBRA ................................................. 1,600 62,602 ------------------ TOTAL COMMON STOCKS (Cost $13,817,051) .................... 16,892,139 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Belgian Francs (Cost $26,306) ............................ 26,586 ------------------ TOTAL -- BELGIUM (Cost $13,843,357) ....................... 16,918,725 ------------------ SWEDEN -- (3.9%) COMMON STOCKS -- (1.6%) Allgon AB Series B ..................................... 11,200 197,756 Alma Industri & Handel AB Series B ..................... 5,200 45,563 *Arcona AB Series B ..................................... 118,000 89,293 *Argonaut AB Series A ................................... 49,100 87,999 *Arjo AB ................................................ 14,000 234,185 B & N Bylock & Nordsjoefrakt AB Series B ............... 29,600 229,884 *BPA AB Series A ........................................ 48,200 90,865 *BPA AB Series B ........................................ 36,900 69,563 Berg (C.F.) & Co. AB Series B .......................... 6,200 28,809 Bergman & Beving AB Series B ........................... 13,000 265,782 *Bilspedition AB Series A ............................... 62,600 224,388 *Bilspedition AB Series B ............................... 43,000 155,274 Bongs Fabriker AB Series B ............................. 3,000 23,100 Boras Waefveri AB Series B ............................. 6,800 53,263 *Catena AB Series A ..................................... 27,600 240,000 Celsius Industrier AB Series B ......................... 3,800 92,320 *Concordia Maritime AB Series B ......................... 8,500 27,647 *Eldon AB Series B ...................................... 7,700 140,047 Enea Data AB Series B .................................. 2,000 20,710 Esselte AB Series B .................................... 18,400 234,504 *Fabege Fastich AB Birger Gustavsson Series B ........... 278,900 172,172 Forcenergy AB Series B ................................. 22,000 111,503 Forsheda AB Series B ................................... 3,700 78,102 *Frontline AB ........................................... 45,100 134,716 Garphyttan Industrier AB ............................... 5,500 170,129 ICB Shipping AB Series B ............................... 10,000 78,327 JP Bank Series A ....................................... 9,000 39,071 *Jacobson and Widmark AB ................................ 7,800 73,004 *Kloevern Foervaltnings AB Series B ..................... 144,000 101,321 Marieberg Tidnings AB Series A ......................... 7,600 155,380 *NCC AB Series A ........................................ 26,400 252,346
135 THE CONTINENTAL SMALL COMPANY PORTFOLIO CONTINUED
Shares Value+ --------- -------------- *NCC AB Series B .............................................................................. 26,800 $ 247,275 Nolato AB Series B ........................................................................... 8,400 68,583 Nordstroem & Thulin AB Series B .............................................................. 46,500 122,230 *Piren AB ..................................................................................... 367,000 79,417 *Platzer Bygg AB Series B ..................................................................... 31,000 79,429 *Rottneros Bruk AB ............................................................................ 177,100 239,817 Scandiaconsult AB ............................................................................ 9,000 66,313 Siab AB Series A ............................................................................. 8,500 55,632 Siab AB Series B ............................................................................. 4,000 26,286 Skane-Gripen AB Series B ..................................................................... 26,000 186,392 Skrinet AB Series B .......................................................................... 3,500 19,980 Stena Line AB Series B ....................................................................... 40,750 205,035 Svedala Industri ............................................................................. 8,900 199,681 Swepart Mecan AB Series B .................................................................... 3,000 13,541 *Tivox AB Series B ............................................................................ 7,200 23,323 *VBB Gruppen AB Series B ...................................................................... 10,000 37,836 *Wallenstam Byggn AB Series B ................................................................. 9,800 52,692 Westergyllen AB Series B ..................................................................... 900 16,369 -------------- TOTAL COMMON STOCKS (Cost $5,687,274) ......................................................... 5,656,854 -------------- INVESTMENT IN CURRENCY - (2.3%) *Swedish Krona (Cost $8,000,000) ............................................................ 7,968,138 -------------- TOTAL - SWEDEN (Cost $13,687,274) ............................................................. 13,624,992 -------------- Face Amount --------- (000) TEMPORARY CASH INVESTMENTS - (0.1%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bill 5.55%, 02/09/95) (Cost $207,000) ....................................................... $ 207 207,000 -------------- TOTAL INVESTMENTS - (100.0%) (Cost $311,122,173) .............................................. $347,865,440 ==============
- ------ + See Note B to Financial Statements. * Non-Income Producing Securities # Securities on loan @ Denominated in local currency See accompanying Notes to Financial Statements 136 SCHEDULE OF INVESTMENTS THE LARGE CAP INTERNATIONAL PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ JAPAN - (36.5%) COMMON STOCKS - (36.5%) Ajinomoto Co., Inc. .................................... 9,000 $116,540 All Nippon Airways Co., Ltd. ........................... 14,000 157,208 Asahi Bank, Ltd. ....................................... 26,000 299,848 Asahi Chemical Industry Co., Ltd. ...................... 14,000 104,805 Asahi Glass Co., Ltd. .................................. 15,000 185,129 #Bank of Tokyo, Ltd. .................................... 23,000 344,360 Bank of Yokohama, Ltd. ................................. 11,000 95,478 Bridgestone Corp. ...................................... 10,000 155,792 Canon, Inc. ............................................ 8,000 138,392 Chiba Bank, Ltd. ....................................... 8,000 74,456 Chubu Electric Power Co., Ltd. ......................... 7,100 173,101 Chugoku Electric Power Co., Ltd. ....................... 5,200 123,622 Dai Nippon Printing Co., Ltd. .......................... 9,000 157,511 Dai-Ichi Kangyo Bank, Ltd. ............................. 35,000 623,166 #Daiwa Bank, Ltd. ....................................... 15,000 149,469 Daiwa House Industry Co., Ltd. ......................... 5,000 68,791 Daiwa Securities Co., Ltd. ............................. 13,000 169,651 Fanuc, Ltd. ............................................ 3,000 139,909 Fuji Bank, Ltd. ........................................ 33,000 681,032 Fuji Photo Film Co., Ltd. .............................. 5,000 111,280 Fujitsu, Ltd. .......................................... 18,000 187,557 Hanwa Co., Ltd. ........................................ 5,000 18,816 Hitachi, Ltd. .......................................... 37,000 365,695 Hokkaido Takushoku Bank, Ltd. .......................... 9,000 38,786 Honda Motor Co., Ltd. .................................. 12,000 201,517 Industrial Bank of Japan, Ltd. ......................... 27,000 751,138 Ito-Yokado Co., Ltd. ................................... 5,000 265,554 Itochu Corp. ........................................... 14,000 102,539 Kajima Corp. ........................................... 13,000 112,969 Kansai Electric Power Co., Inc. ........................ 10,900 267,951 Kao Corp. .............................................. 6,000 67,375 Kawasaki Steel Corp. ................................... 41,000 175,862 Kinki Nippon Railway Co., Ltd. ......................... 20,000 167,527 Kirin Brewery Co., Ltd. ................................ 14,000 148,710 Kobe Steel, Ltd. ....................................... 27,000 85,766 Komatsu, Ltd. .......................................... 10,000 92,969 Kubota Corp. ........................................... 14,000 102,398 Kyocera Corp. .......................................... 2,000 148,508 Kyushu Electric Power Co., Inc. ........................ 4,500 108,346 Long Term Credit Bank of Japan, Ltd. ................... 27,000 292,261 Marubeni Corp. ......................................... 22,000 123,298 Matsushita Electric Industrial Co., Ltd. ............... 23,000 355,994 #Matsushita Electric Works, Ltd. ........................ 7,000 71,523 Mitsubishi Bank, Ltd. .................................. 33,000 737,785 Mitsubishi Chemical Corp. .............................. 15,000 83,005 Mitsubishi Corp. ....................................... 19,000 253,718 Mitsubishi Electric Corp. .............................. 21,000 148,073 Mitsubishi Estate Co., Ltd. ............................ 16,000 176,429 Mitsubishi Heavy Industries, Ltd. ...................... 38,000 282,165 Mitsubishi Trust & Banking Corp. ....................... 13,000 184,117 Mitsui & Co., Ltd. ..................................... 15,000 130,349 Mitsui Trust & Banking Co., Ltd. ....................... 12,000 122,610 NEC Corp. .............................................. 15,000 174,507 NKK Corp. .............................................. 34,000 93,900 Nikko Securities Co., Ltd. ............................. 18,000 191,199 Nintendo Co., Ltd., Kyoto .............................. 1,000 54,122
137 THE LARGE CAP INTERNATIONAL PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ Nippon Credit Bank, Ltd. ............................... 33,000 $ 194,962 Nippon Express Co., Ltd. ............................... 14,000 145,878 Nippon Oil Co., Ltd. ................................... 12,000 82,428 Nippon Steel Corp. ..................................... 78,000 303,005 Nippondenso Co., Ltd. .................................. 10,000 204,350 Nissan Motor Co., Ltd. ................................. 29,000 244,967 Nomura Securities Co., Ltd. ............................ 21,000 412,140 Osaka Gas Co., Ltd. .................................... 34,000 137,582 Pioneer Electronic Corp. ............................... 2,000 44,512 Sakura Bank, Ltd. ...................................... 38,000 503,591 Sankyo Co., Ltd. ....................................... 4,000 99,949 Sanwa Bank, Ltd. ....................................... 33,000 650,986 Sanyo Electric Co., Ltd. ............................... 19,000 111,482 Secom Co., Ltd. ........................................ 2,000 123,824 Sega Enterprises, Ltd. ................................. 1,000 52,605 Seibu Railway Co., Ltd. ................................ 5,000 196,763 Sekisui House, Ltd. .................................... 10,000 116,338 Seven-Eleven Japan Co., Ltd. ........................... 4,000 315,225 Sharp Corp., Osaka ..................................... 11,000 191,401 Shikoku Electric Power Co., Inc. ....................... 2,700 64,461 Shimizu Corp. .......................................... 8,000 79,069 Shizuoka Bank, Ltd. .................................... 8,000 106,829 Sony Corp. ............................................. 4,300 228,376 Sumitomo Bank, Ltd. .................................... 36,000 644,613 Sumitomo Chemical Co., Ltd. ............................ 16,000 92,747 Sumitomo Corp. ......................................... 14,000 141,629 Sumitomo Electric Industries, Ltd. ..................... 7,000 97,724 Sumitomo Metal Industries, Ltd., Osaka ................. 30,000 98,027 Sumitomo Trust & Banking Co., Ltd. ..................... 12,000 154,173 Taisei Corp. ........................................... 10,000 60,698 Taisho Pharmaceutical Co., Ltd. ........................ 5,000 90,035 Takeda Chemical Industries, Ltd. ....................... 12,000 149,317 Tohuku Electric Power Co., Inc. ........................ 4,800 119,454 Tokai Bank, Ltd. ....................................... 20,000 252,908 Tokio Marine & Fire Insurance Co., Ltd. ................ 15,000 172,989 Tokyo Electric Power Co., Ltd .......................... 15,200 430,551 Tokyo Gas Co., Ltd. .................................... 27,000 116,085 Tokyu Corp. ............................................ 11,000 74,891 Tonen Corp. ............................................ 9,000 140,212 Toppan Printing Co., Ltd. .............................. 7,000 101,265 Toray Industries, Inc. ................................. 14,000 104,380 Toshiba Corp. .......................................... 37,000 259,767 Toyo Seikan Kaisha, Ltd ................................ 2,000 67,577 Toyo Trust & Banking Co., Ltd. ......................... 8,000 80,931 Toyota Motor Corp. ..................................... 42,000 896,510 Yamaichi Securities Co., Ltd. .......................... 12,000 88,134 Yamanouchi Pharmaceutical Co., Ltd. .................... 5,000 99,646 Yasuda Trust & Banking Co., Ltd. ....................... 11,000 89,024 ------------------ TOTAL COMMON STOCKS (Cost $15,255,332) ...................................... 20,188,588 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Japanese Yen (Cost $2,109) ............................. 2,106 ------------------ TOTAL - JAPAN (Cost $15,257,441) ...................................... 20,190,694 ------------------
138 THE LARGE CAP INTERNATIONAL PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ UNITED KINGDOM - (24.9%) COMMON STOCKS - (24.8%) Abbey National P.L.C. .................................. 35,900 $ 235,634 Allied Domecq P.L.C. ................................... 28,187 247,709 Argyll Group P.L.C. .................................... 24,613 98,318 BAT Industries P.L.C. .................................. 84,452 591,354 BOC Group P.L.C. ....................................... 13,261 149,568 BTR P.L.C. ............................................. 98,531 439,894 Barclays P.L.C. ........................................ 40,681 386,822 Bass P.L.C. ............................................ 18,400 152,765 Boots Co., P.L.C. ...................................... 27,298 213,170 British Gas P.L.C. ..................................... 102,200 493,097 British Petroleum Co. P.L.C. ........................... 182,609 1,212,882 British Telecommunications P.L.C. ...................... 151,400 897,681 Cable and Wireless P.L.C. .............................. 60,016 362,898 Cadbury Schweppes P.L.C. ............................... 18,004 121,556 Fisons P.L.C. .......................................... 23,000 43,956 General Electric Co. P.L.C. ............................ 67,781 293,054 Glaxo Holdings P.L.C. .................................. 83,591 806,623 Grand Metropolitan P.L.C. .............................. 49,183 294,313 Great Universal Stores P.L.C. .......................... 26,400 230,764 Guinness P.L.C. ........................................ 49,200 351,447 Hanson P.L.C. .......................................... 130,130 479,554 ICI (Imperial Chemical Industries P.L.C.) .............. 18,800 223,233 Lloyds Bank P.L.C. ..................................... 33,329 299,685 Marks & Spencer P.L.C. ................................. 67,661 431,913 National Power P.L.C. .................................. 34,100 264,417 National Westminster Bank P.L.C. ....................... 41,827 340,715 Prudential Corp. P.L.C. ................................ 51,468 257,999 RTZ Corp. P.L.C. ....................................... 29,264 387,365 Reuters Holdings P.L.C. ................................ 41,200 315,600 Rothmans International P.L.C. Units .................... 14,300 101,028 Sainsbury (J.) P.L.C. .................................. 47,394 305,138 Shell Transport & Trading Co. P.L.C. ................... 113,100 1,262,344 Smithkline Beecham P.L.C. Class A ...................... 27,148 179,892 Sun Alliance Group P.L.C. .............................. 20,422 103,011 Tesco P.L.C. ........................................... 56,791 217,070 Unilever P.L.C. ........................................ 22,300 391,598 Vendome Luxury Group P.L.C. Units ...................... 15,100 119,927 Wellcome P.L.C. ........................................ 18,400 193,406 Zeneca Group P.L.C. .................................... 15,200 200,963 ------------------ TOTAL COMMON STOCKS (Cost $12,337,538) ..................................... 13,698,363 ------------------ INVESTMENT IN CURRENCY - (0.1%) *British Pound Sterling (Cost $64,913) .................... 64,593 ------------------ RIGHTS/WARRANTS - (0.0%) *BTR P.L.C. Warrants 1992-97 .............................. 1,883 1,887 *BTR P.L.C. Warrants 1993-98 .............................. 3,960 2,094 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 3,981 ------------------ TOTAL - UNITED KINGDOM (Cost $12,402,451) ...................................... 13,766,937 ------------------ FRANCE - (8.9%) COMMON STOCKS - (8.9%) Accor SA ............................................... 482 52,614
139 THE LARGE CAP INTERNATIONAL PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ Air Liquide ............................................ 1,538 $ 211,359 Alcatel Alsthom Cie Generale d'Electricite SA .......... 3,490 295,295 Axa SA ................................................. 4,170 205,418 Canal Plus SA .......................................... 468 78,936 Carnaudmetalbox SA ..................................... 2,900 100,738 Carrefour Supermarche SA ............................... 650 271,362 Elf Aquitaine SA ....................................... 6,442 440,847 *Euro Disney SCA ........................................ 31,750 53,728 Financiere de Paribas SA Series A ...................... 2,939 209,105 Generale des Eaux ...................................... 2,438 233,939 Groupe Danone .......................................... 1,570 228,894 Havas SA ............................................... 1,436 116,936 L'Oreal ................................................ 1,250 271,037 LVMH (Louis Vuitton Moet Hennessy) ..................... 2,016 326,909 Lafarge Coppee SA ...................................... 2,028 154,999 Lyonnais des Eaux SA ................................... 1,444 130,101 Navigation Mixte SA .................................... 276 50,350 Pechiney International SA .............................. 1,600 48,201 Pernod-Ricard .......................................... 1,260 77,205 *Peugeot SA ............................................. 1,250 184,798 Saint-Gobain ........................................... 1,957 235,459 Sanofi SA .............................................. 1,808 89,736 Schneider SA ........................................... 1,240 89,815 Societe Generale Paris ................................. 1,941 220,539 Suez SA ................................................ 3,786 186,220 *Thomson CSF ............................................ 2,250 69,456 Total SA Series B ...................................... 4,939 309,336 ------------------ TOTAL COMMON STOCKS (Cost $4,561,046) ..................................... 4,943,332 ------------------ INVESTMENT IN CURRENCY - (0.0%) *French Francs (Cost $207) .............................. 215 ------------------ RIGHTS/WARRANTS - (0.0%) *Euro Disney SCA Warrants 07/11/04 ...................... 4,400 483 *Eurotunnel SA ESA EPLC Warrants 10/31/95 ............... 2,850 360 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 843 ------------------ TOTAL - FRANCE (Cost $4,561,253) ....................................... 4,944,390 ------------------ GERMANY - (8.8%) COMMON STOCKS - (8.8%) .................................. BASF AG ................................................ 1,200 232,880 Bayer AG ............................................... 1,550 339,962 Bayerische Motorenwerke AG Bmw, Muenchen ............... 381 183,512 Commerzbank AG ......................................... 774 159,886 Daimler-Benz AG ........................................ 1,195 566,053 Deutsche Bank AG ....................................... 1,050 496,364 Dresdner Bank AG, Frankfurt ............................ 978 255,185 Hochtief AG ............................................ 151 89,107 Hoechst AG ............................................. 1,350 270,861 Mannesmann AG .......................................... 793 207,419 Muencher Rueckvericherungs Gesellschaft AG ............. 350 551,515 RWE AG ................................................. 975 281,148 Siemens AG ............................................. 1,250 486,842 *Thyssen AG ............................................. 650 115,901 Veba AG ................................................ 1,000 328,549
140 THE LARGE CAP INTERNATIONAL PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ Viag AG ................................................ 475 $ 137,576 Volkswagen AG .......................................... 650 177,273 ------------------ TOTAL COMMON STOCKS (Cost $4,107,244) ....................................... 4,880,033 ------------------ INVESTMENT IN CURRENCY - (0.0%) *German Marks (Cost $533) ............................... 549 ------------------ TOTAL - GERMANY (Cost $4,107,777) ...................................... 4,880,582 ------------------ SWITZERLAND - (6.6%) COMMON STOCKS - (6.6%) .................................. BBC Brown Boveri AG, Baden ............................. 186 156,240 CS Holding, Zuerich .................................... 675 286,302 Ciba-Geigy AG, Basel ................................... 623 362,515 Financiere Richemont AG Units -A- ............................................ 86 82,106 Nestle SA, Cham et Vevey ............................... 858 797,778 Roche Holding AG, Basel ................................ 92 798,490 SBG (Schweizerische Bankgesellschaft) .................. 586 505,950 SBV (Schweizerischer Bankverein) ....................... 773 212,940 Sandoz AG, Basel ....................................... 825 424,642 ------------------ TOTAL COMMON STOCKS (Cost $2,604,822) ..................... 3,626,963 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Swiss Francs (Cost $515) ............................... 596 ------------------ RIGHTS/WARRANTS - (0.0%) *Ciba-Geigy AG, Basel Warrants 06/06/95 (Cost $0) ....... 29 98 ------------------ TOTAL - SWITZERLAND (Cost $2,605,337) ....................................... 3,627,657 ------------------ NETHERLANDS - (4.5%) COMMON STOCKS - (4.4%) .................................. Internationale Nederlanden Groep NV .................... 7,946 373,877 Royal Dutch Petroleum Co., Den Haag .................... 13,700 1,488,231 Unilever NV ............................................ 5,200 584,426 ------------------ TOTAL COMMON STOCKS (Cost $2,102,026) ...................................... 2,446,534 ------------------ INVESTMENT IN CURRENCY - (0.1%) *Netherlands Guilder (Cost $27,970) ....................................... 27,964 ------------------ TOTAL - NETHERLANDS (Cost $2,129,996) ..................... 2,474,498 ------------------ AUSTRALIA - (3.9%) COMMON STOCKS - (3.9%) .................................. Amcor, Ltd. ............................................ 17,238 114,091 Australia & New Zealand Banking Group, Ltd ............. 25,438 77,526 BTR Nylex, Ltd. ........................................ 34,300 63,354 Boral, Ltd. ............................................ 30,800 79,408 Brambles Industries, Ltd. .............................. 3,919 37,641 Broken Hill Proprietary Co., Ltd. ...................... 47,048 676,371
141 THE LARGE CAP INTERNATIONAL PORTFOLIO -- CONTINUED
Shares Value+ ------------------ ------------------ CRA, Ltd. .............................................. 14,000 $ 191,785 CSR, Ltd. .............................................. 15,722 53,844 Coles Myer, Ltd. ....................................... 38,478 122,893 Fosters Brewing Group, Ltd. ............................ 56,912 48,180 MIM Holdings, Ltd. ..................................... 45,554 85,192 National Australia Bank, Ltd ........................... 29,645 240,469 Pacific Dunlop, Ltd. ................................... 19,238 50,043 Western Mining Corp. Holdings, Ltd. .................... 29,047 165,425 Westpac Banking Corp. .................................. 44,844 144,951 ------------------ TOTAL COMMON STOCKS (Cost $1,769,425) ..................... 2,151,173 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Australia Dollar (Cost $7,829) ......................... 8,176 ------------------ TOTAL - AUSTRALIA (Cost $1,777,254) ....................... 2,159,349 ------------------ ITALY - (2.5%) COMMON STOCKS - (2.5%) #Alleanza Assicurazioni SpA ............................. 8,750 83,317 Alleanza Assicurazioni SpA (Risp) ...................... 103 889 Assicurazioni Generali SpA, Trieste .................... 11,275 259,937 Banca Commerciale Italiana SpA ......................... 14,000 29,373 *Banca Nazionale dell'Agricoltura SpA ................... 3,000 5,041 Banca di Roma .......................................... 44,000 43,163 Banco Ambrosiano Veneto SpA ............................ 12,000 33,161 Credito Italiano ....................................... 39,000 38,451 *FERFIN (Ferruzzi Finanziaria SpA) ...................... 43,235 34,866 *Fiat SpA ............................................... 50,000 186,755 *Fondiaria SpA (Prima la Fondiara Cia di Assicurazionie e Riassicurazioni SpA) ................................. 3,000 21,733 Gemina SpA, Milano ..................................... 20,000 16,711 Ifil Finanziaria Partecipazioni SpA, Torino ............ 8,000 28,668 Italcementi Fabbriche Riunite Cemento SpA, Bergamo ..... 1,500 9,544 *Montedison SpA ......................................... 99,000 71,137 RAS SpA (Riunione Adriatica di Sicurta) ................ 2,787 25,373 *RAS SpA (Riunione Adriatica di Sicurta) (Risp) ......... 338 1,730 SAI (Sta Assicuratrice Industriale SpA) ................ 2,000 22,392 Sirti SpA .............................................. 4,000 23,246 Stet SpA (Financiaria Telefonica Torino) ............... 58,000 168,535 Telecom Italia SpA ..................................... 96,740 250,868 Toro Assicurazioni Cia Anonima d'Assicurazione di Torino SpA ........................................... 1,000 14,451 ------------------ TOTAL COMMON STOCKS (Cost $1,088,106) ..................... 1,369,341 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Italian Lira (Cost $3,088) ............................. 3,047 ------------------
142 THE LARGE CAP INTERNATIONAL PORTFOLIO -- CONTINUED
Shares Value+ --------- ------------- RIGHTS/WARRANTS - (0.0%) *RAS SpA (Riunione Adriatica di Sicurta) (Risp) Bonus Rights 12/16/94 ..... 338 $ 82 *RAS SpA (Riunione Adriatica di Sicurta) (Risp) Rights 12/16/94 ........... 2,787 1,656 *RAS SpA (Riunione Adriatica di Sicurta) Bonus Rights 12/16/94 ............ 338 208 *RAS SpA (Riunione Adriatica di Sicurta) Rights 12/16/94 .................. 2,787 3,683 ------------- TOTAL RIGHTS/WARRANTS (Cost $0) ............................................ 5,629 ------------- TOTAL - ITALY (Cost $1,091,194) ............................................. 1,378,017 ------------- Face Amount --------- (000) TEMPORARY CASH INVESTMENTS - (3.4%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $1,909,000) .................... $1,909 1,909,000 ------------- TOTAL INVESTMENTS - (100.0%) (Cost $45,841,703) ............................. $55,331,124 =============
- ------ + See Note B to Financial Statements. * Non-Income Producing Securities # Securities on Loan See accompanying Notes to Financial Statements 143 SCHEDULES OF INVESTMENTS THE DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ---------- -------------- Investment in The DFA International Value Series of The DFA Investment Trust Company ................................. 11,224,186 $112,937,915 -------------- Total Investments (100%) (Cost $104,093,599) ............ $112,937,915 ==============
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO NOVEMBER 30, 1994
Shares Value+ ---------- -------------- Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust Company ............................................. 6,022,300 $592,285,633 -------------- Total Investments (100%) (Cost $598,923,407) ........................ $592,285,633 ==============
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO NOVEMBER 30, 1994
Face Amount Value+ ---------- --------------- (000) U.S. TREASURY OBLIGATIONS - (97.2%) U.S. Treasury Notes 8.875%, 11/15/97 ..................................................... $ 2,700 $ 2,787,328 6.000%, 11/30/97 ..................................................... 20,000 19,128,125 6.000%, 12/31/97 ..................................................... 2,000 1,910,313 5.625%, 01/31/98 ..................................................... 8,000 7,541,250 5.125%, 02/28/98 ..................................................... 9,000 8,344,688 5.125%, 03/31/98 ..................................................... 7,000 6,476,094 7.875%, 04/15/98 ..................................................... 5,000 5,025,781 5.125%, 04/30/98 ..................................................... 27,000 24,937,031 5.375%, 05/31/98 ..................................................... 37,000 34,369,531 5.125%, 06/30/98 ..................................................... 65,000 59,789,844 8.250%, 07/15/98 ..................................................... 25,000 25,394,531 5.250%, 07/31/98 ..................................................... 23,000 21,203,125 9.250%, 08/15/98 ..................................................... 11,000 11,524,218 4.750%, 08/31/98 ..................................................... 4,000 3,615,625 -------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $247,145,254) ................... 232,047,484 -------------- TEMPORARY CASH INVESTMENTS - (2.8%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $6,696,000) .................................................... 6,696 6,696,000 ------------ TOTAL INVESTMENTS - (100.0%) (Cost $253,841,254) ...................... $238,743,484 ============
- ------ + See Note B to Financial Statements. See accompanying Notes to Financial Statements 144 SCHEDULE OF INVESTMENTS THE DFA GLOBAL FIXED INCOME PORTFOLIO NOVEMBER 30, 1994
Face Amount@ ------------------ (000) Value+ ------------------ CANADA - (18.9%) BONDS - (18.9%) Alberta Government Telephone Commission 9.600%, 07/07/98 ........................................ 4,000 $ 2,993,126 British Columbia (Province of) 7.000%, 03/02/98 ........................................ 5,000 3,475,382 Canada (Government of) 6.500%, 09/01/98 ........................................ 18,000 12,212,471 Export Development Corp. 6.625%, 08/12/98 ........................................ 9,000 6,073,559 ------------------ TOTAL BONDS (Cost $25,484,092) ............................ 24,754,538 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Canadian Dollars (Cost $275) ............................ 271 ------------------ TOTAL - CANADA (Cost $25,484,367) ......................... 24,754,809 ------------------ UNITED KINGDOM - (18.5%) BONDS - (18.5%) Austria (Republic of) ................................... 10.375%, 03/29/99 ....................................... 2,000 3,305,315 British Gas P.L.C. ...................................... 7.625%, 03/31/00 ........................................ 4,000 6,001,657 *British Telecommunications P.L.C. ....................... 0.00%, 02/15/00 ......................................... 6,000 6,006,553 European Investment Bank ................................ 7.000%, 12/22/98 ........................................ 3,000 4,454,247 Guaranteed Export Finance Corp. P.L.C. ................. 7.250%, 12/15/98 ........................................ 3,000 4,480,682 ------------------ TOTAL - UNITED KINGDOM (Cost $24,437,415) ................. 24,248,454 ------------------ JAPAN - (17.4%) BONDS - (17.4%) Belgium (Kingdom of) 5.000%, 12/17/99 ........................................ 400,000 4,156,552 European Investment Bank 6.625%, 03/15/00 ........................................ 200,000 2,229,388 Inter-American Development Bank 7.250%, 05/15/00 ........................................ 400,000 4,582,701 SNCF (Societe Nationale des Chemins de Fer Francais) 6.750%, 03/01/00 ........................................ 500,000 5,590,860 World Bank (International Bank for Reconstruction and Development) 4.500%, 06/20/00 ........................................ 600,000 6,115,326 ------------------ TOTAL BONDS (Cost $21,688,174) ............................ 22,674,827 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Japanese Yen (Cost $322) ................................ 323 ------------------ TOTAL - JAPAN (Cost $21,688,496) .......................... 22,675,150 ------------------ GERMANY - (17.0%) BONDS - (17.0%) European Economic Community 6.500%, 03/10/00 ....................................... 9,000 5,610,649
145 THE DFA GLLOBAL FIXED INCOME PORTFOLIO CONTINUED
Face Amount Value+ ------------------ ------------------ (000) Germany (Federal Republic of) 9.000%, 10/20/00 ....................................... 24,000 $ 16,622,025 ------------------ TOTAL BONDS (Cost $22,142,755) ............................ 22,232,674 ------------------ INVESTMENT IN CURRENCY - (0.0%) *German Marks (Cost $2,350) .............................. 2,242 ------------------ TOTAL - GERMANY (Cost $22,145,105) ........................ 22,234,916 ------------------ AUSTRALIA - (9.8%) BONDS - (9.8%) New South Wales Treasury Corp. 12.500%, 04/01/97 ....................................... 2,000 1,615,860 11.500%, 07/01/99 ....................................... 6,000 4,789,583 Queensland Treasury Corp. 8.000%, 05/14/97 ........................................ 2,000 1,472,888 8.000%, 07/14/99 ........................................ 7,000 4,907,655 ------------------ TOTAL - AUSTRALIA (Cost $13,119,421) ...................... 12,785,986 ------------------ FRANCE - (9.7%) BONDS - (9.7%) Eurofima (Societe Europeene pour le Financement de Materiel Fer roviaire) 9.875%, 08/21/00 ........................................ 32,000 6,504,887 France (Treasury of) 10.000%, 05/27/00 ....................................... 30,000 6,171,554 ------------------ TOTAL BONDS (Cost $12,855,416) ............................ 12,676,441 ------------------ INVESTMENT IN CURRENCY - (0.0%) *French Francs (Cost $1,713) ............................. 1,704 ------------------ TOTAL - FRANCE (Cost $12,857,129) ......................... 12,678,145 ------------------ U.S. TREASURY OBLIGATIONS - (5.7%) U.S. Treasury Notes 5.125%, 03/31/98 ........................................ 3,000 2,775,469 5.125%, 04/30/98 ........................................ 3,000 2,770,781 5.375%, 05/31/98 ........................................ 2,000 1,857,813 ------------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,718,417) ......... 7,404,063 ------------------ TEMPORARY CASH INVESTMENTS - (3.0%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $3,980,000) ............................. 3,980 3,980,000 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $131,430,350) .......... $130,761,523 ==================
- ------ + See Note B to Financial Statements. * Non-Income Producing Securities @ Denominated in Local Currency See accompanying Notes to Financial Statements 146 SCHEDULE OF INVESTMENTS THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO NOVEMBER 30, 1994
Face Amount Value+ ------ ------ (000) U.S. TREASURY OBLIGATIONS - (57.9%) U.S. Treasury Bonds 11.750%, 02/15/01 ........................................ $3,000 $ 3,576,564 13.125%, 05/15/01 ........................................ 4,500 5,691,798 13.375%, 08/15/01 ........................................ 2,000 2,568,126 15.750%, 11/15/01 ........................................ 3,500 4,961,796 14.250%, 02/15/02 ........................................ 750 1,009,805 11.625%, 11/15/02 ........................................ 2,500 3,048,438 10.750%, 08/15/05 ........................................ 4,000 4,791,252 U.S. Treasury Notes ....................................... 8.500%, 02/15/00 ......................................... 5,000 5,150,000 5.500%, 04/15/00 ......................................... 2,000 1,799,376 8.875%, 05/15/00 ......................................... 1,000 1,048,125 6.250%, 02/15/03 ......................................... 1,000 902,500 ------------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $36,270,556) ........ 34,547,780 ------------------ AGENCY OBLIGATIONS - (36.2%) Farm Credit System Financial Assistance Corp. 9.375%, 07/21/03 ......................................... 2,000 2,161,250 8.800%, 06/10/05 ......................................... 1,000 1,037,188 Federal Home Loan Bank 8.600%, 01/25/00 ......................................... 3,800 3,955,564 5.440%, 10/15/03 ......................................... 2,000 1,660,626 Federal National Mortgage Association 8.350%, 11/10/99 ......................................... 7,500 7,589,062 8.900%, 06/12/00 ......................................... 4,000 4,190,000 8.250%, 12/18/00 ......................................... 1,000 1,012,813 ------------------ TOTAL AGENCY OBLIGATIONS (Cost $22,389,135) ............... 21,606,503 ------------------ TEMPORARY CASH INVESTMENTS - (4.2%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $2,513,000) ........................................ 2,513 2,513,000 ------------------ SUPRANATIONAL OBLIGATIONS - (1.7%) European Investment Bank 9.125%, 06/01/02 (Cost $1,142,418) ....................... 1,000 1,047,535 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $62,315,109) ........... $59,714,818 ==================
- ------ + See Note B to Financial Statements. See accompanying Notes to Financial Statements 147 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 1994
The U.S. The U.S. The U.S. 9-10 Small 6-10 Small Large Company Company Company Portfolio Portfolio Portfolio ------------ ------------ ----------- (Amounts in thousands, except share amounts) ASSETS: Investments at Value ......................... $ 665,723 $ 112,184 $ 48,657 Receivables Dividends and Interest .................. 443 -- -- Investment Securities Sold .............. 389 -- -- Fund Shares Sold ........................ 256 -- 70 Prepaid Expenses and Other Assets ............ 24 4 3 ------------ ------------ ----------- Total Assets ............................. 666,835 112,188 48,730 ------------ ------------ ----------- LIABILITIES: Payable for Investment Securities Purchased .. 2,258 -- 70 Payable for Fund Shares Redeemed ............. 4,840 -- -- Accrued Expenses and Other Liabilities ....... 516 51 22 ------------ ------------ ----------- Total Liabilities ........................ 7,614 51 92 ------------ ------------ ----------- NET ASSETS ................................... $ 659,221 $ 112,137 $ 48,638 ============ ============ =========== SHARES OUTSTANDING, $.01 PAR VALUE ........... 77,609,713 10,118,161 3,582,209 ============ ============ =========== NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 8.49 $ 11.08 $ 13.58 ============ ============ =========== PUBLIC OFFERING PRICE PER SHARE .............. $ 8.49 $ 11.08 $ 13.58 ============ ============ =========== Investments at Cost .......................... $ 604,661 $ 96,065 $ 42,599 ============ ============ ===========
The U.S. The U.S. The DFA/AEW Small Large Real Estate Cap Value Cap Value Securities Portfolio Portfolio Portfolio ------------ ------------ ------------- (Amounts in thousands, except share amounts) ASSETS: Investments at Value ......................... $ 344,218 $ 197,564 $ 30,437 Receivables Dividends and Interest .................. -- -- 78 Investment Securities Sold .............. 10 -- 5 Fund Shares Sold ........................ 700 946 10 Prepaid Expenses and Other Assets ............ 28 35 10 ------------ ------------ ------------- Total Assets ............................. 344,956 198,545 30,540 ------------ ------------ ------------- LIABILITIES: Payable for Investment Securities Purchased .. 700 942 53 Payable for Fund Shares Redeemed ............. 10 4 -- Accrued Expenses and Other Liabilities ....... 98 33 31 ------------ ------------ ------------- Total Liabilities ........................ 808 979 84 ------------ ------------ ------------- NET ASSETS ................................... $ 344,148 $ 197,566 $ 30,456 ============ ============ ============= SHARES OUTSTANDING, $.01 PAR VALUE ........... 30,925,489 19,931,728 3,283,355 ============ ============ ============= NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 11.13 $ 9.91 $ 9.28 ============ ============ ============= PUBLIC OFFERING PRICE PER SHARE .............. $ 11.13 $ 9.91 $ 9.28 ============ ============ ============= Investments at Cost .......................... $ 345,657 $ 206,177 $ 33,517 ============ ============ =============
See accompanying Notes to Financial Statements 148 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 1994
The The Japanese Pacific Rim The United Small Small Kingdom Company Company Small Company Portfolio Portfolio Portfolio -------------- ------------- --------------- (Amounts in thousands, except share amounts) ASSETS: Investments at Value ......................... $ 348,350 $ 212,682 $ 214,832 Cash ......................................... 157 27 18 Receivables Dividends and Interest .................. 591 250 716 Investment Securities Sold .............. 548 825 304 Fund Shares Sold ........................ 606 107 128 Prepaid Expenses and Other Assets ............ 5 10 4 -------------- ------------- --------------- Total Assets ............................. 350,257 213,901 216,002 -------------- ------------- --------------- LIABILITIES: Payable for Investment Securities Purchased .. 19,308 697 1,713 Payable for Fund Shares Redeemed ............. 13 15 1 Accrued Expenses and Other Liabilities ....... 262 236 175 -------------- ------------- --------------- Total Liabilities ........................ 19,583 948 1,889 -------------- ------------- --------------- NET ASSETS ................................... $ 330,674 $ 212,953 $ 214,113 ============== ============= =============== SHARES OUTSTANDING, $.01 PAR VALUE ........... 13,192,705 13,328,843 9,230,699 ============== ============= =============== NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 25.06 $ 15.98 $ 23.20 ============== ============= =============== PUBLIC OFFERING PRICE PER SHARE .............. $ 25.31 $ 16.22 $ 23.55 ============== ============= =============== Investments at Cost .......................... $ 321,589 $ 178,336 $ 207,832 ============== ============= ===============
The The Continental The Emerging Small Large Cap Markets Company International Portfolio Portfolio Portfolio ----------- ------------- --------------- (Amounts in thousands, except share amounts) ASSETS: Investments at Value ......................... $ 15,696 $ 347,865 $ 55,331 Cash ......................................... -- 17 15 Receivables Dividends and Interest .................. -- 2,652 262 Investment Securities Sold .............. -- 852 1 Fund Shares Sold ........................ 17 331 46 Prepaid Expenses and Other Assets ............ 30 15 24 ----------- ------------- --------------- Total Assets ............................. 15,743 351,732 55,679 ----------- ------------- --------------- LIABILITIES: Payable for Investment Securities Purchased .. -- 10,454 -- Payable for Fund Shares Redeemed ............. -- 12 -- Accrued Expenses and Other Liabilities ....... 12 274 44 ----------- ------------- --------------- Total Liabilities ........................ 12 10,740 44 ----------- ------------- --------------- NET ASSETS ................................... $ 15,731 $ 340,992 $ 55,635 =========== ============= =============== SHARES OUTSTANDING, $.01 PAR VALUE ........... 1,392,139 23,306,643 4,670,224 =========== ============= =============== NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 11.30 $ 14.63 $ 11.91 =========== ============= =============== PUBLIC OFFERING PRICE PER SHARE .............. $ 11.47 $ 14.85 $ 11.91 =========== ============= =============== Investments at Cost .......................... $ 15,243 $ 311,122 $ 45,842 =========== ============= ===============
See accompanying Notes to Financial Statements 149 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 1994
The DFA International The DFA The DFA High Book One-Year Five-Year to Market Fixed Income Government Portfolio Portfolio Portfolio --------------- -------------- ------------ (Amounts in thousands, except share amounts) ASSETS: Investments at Value ......................... $ 112,938 $ 592,286 $ 238,743 Receivables Dividends and Interest .................. -- -- 3,491 Investment Securities Sold .............. -- 1,080 7,328 Fund Shares Sold ........................ 174 1,029 682 Prepaid Expenses and Other Assets ............ 43 3 34 --------------- -------------- ------------ Total Assets ............................. 113,155 594,398 250,278 --------------- -------------- ------------ LIABILITIES: Payable for Investment Securities Purchased .. 149 -- -- Payable for Fund Shares Redeemed ............. 26 2,109 14,657 Accrued Expenses and Other Liabilities ....... 28 63 67 --------------- -------------- ------------ Total Liabilities ........................ 203 2,172 14,724 --------------- -------------- ------------ NET ASSETS ................................... $ 112,952 $ 592,226 $ 235,554 =============== ============== ============ SHARES OUTSTANDING, $.01 PAR VALUE ........... 9,869,671 5,891,439 2,416,877 =============== ============== ============ NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 11.44 $ 100.52 $ 97.46 =============== ============== ============ PUBLIC OFFERING PRICE PER SHARE .............. $ 11.44 $ 100.52 $ 97.46 =============== ============== ============ Investments at Cost .......................... $ 104,094 $ 598,924 $ 253,841 =============== ============== ============
The DFA The DFA Intermediate Global Government Fixed Income Fixed Income Portfolio Portfolio -------------- -------------- (Amounts in thousands, except share amounts) ASSETS: Investments at Value ................................ $ 130,761 $ 59,715 Cash ................................................ 3 -- Receivables Dividends and Interest ......................... 3,858 1,089 Fund Shares Sold ............................... 471 53 Prepaid Expenses and Other Assets ................... 10 5 Unrealized Gain on Forward Foreign Currency Contracts 546 -- -------------- -------------- Total Assets .................................... 135,649 60,862 -------------- -------------- LIABILITIES: Payable for Fund Shares Redeemed .................... 38 16 Accrued Expenses and Other Liabilities .............. 82 19 -------------- -------------- Total Liabilities ............................... 120 35 -------------- -------------- NET ASSETS .......................................... $ 135,529 $ 60,827 ============== ============== SHARES OUTSTANDING, $.01 PAR VALUE .................. 1,381,397 595,304 ============== ============== NET ASSET VALUE AND REDEMPTION PRICE PER SHARE ...... $ 98.11 $ 102.18 ============== ============== PUBLIC OFFERING PRICE PER SHARE ..................... $ 98.11 $ 102.18 ============== ============== Investments at Cost ................................. $ 131,430 $ 62,315 ============== ==============
See accompanying Notes to Financial Statements 150 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1994
The U.S. The U.S. The U.S. 9-10 Small 6-10 Small Large Company Company Company Portfolio Portfolio Portfolio ------------ ------------ ----------- (000) (000) (000) Investment Income Dividends ....................................... $ 4,969 $ 3,124 $1,285 Interest ........................................ 469 -- -- ------------ ------------ ----------- Total Investment Income ...................... 5,438 3,124 1,285 ------------ ------------ ----------- Expenses Investment Advisory Services .................... 3,337 -- -- Administrative Services ......................... -- 398 93 Accounting & Transfer Agent Fees ................ 580 19 19 Custodian's Fee ................................. 127 -- -- Legal Fees ...................................... 124 3 3 Audit Fees ...................................... 43 4 4 Filing Fees ..................................... 49 11 19 Shareholders' Reports ........................... 38 1 2 Directors' Fees and Expenses .................... 33 2 2 Other ........................................... 28 6 2 ------------ ------------ ----------- Total Expenses ............................... 4,359 444 144 Less: Expenses Reimbursed ....................... -- -- (51) ------------ ------------ ----------- Net Expenses .................................... 4,359 444 93 ------------ ------------ ----------- Net Investment Income ........................... 1,079 2,680 1,192 ------------ ------------ ----------- Net Realized and Unrealized Gain (Loss) on Investments Net Realized Gain (Loss) on Investment Securities ...................................... (5,176) 9,722 (79) Change in Unrealized Appreciation (Depreciation) of Investment Securities ........................... 36,497 (11,694) (712) ------------ ------------ ----------- Net Gain (Loss) on Investment Securities ........ 31,321 (1,972) (791) ------------ ------------ ----------- Net Increase in Net Assets Resulting from Operations ...................................... $32,400 $ 708 $ 401 ============ ============ ===========
See accompanying Notes to Financial Statements 151 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1994
The U.S. The U.S. The DFA/AEW Small Cap Large Cap Real Estate Value Value Securities Portfolio Portfolio Portfolio ----------- ----------- ------------- (000) (000) (000) Investment Income Dividends ....................................... $ 4,628 $ 5,288 $ 1,286 Interest ........................................ -- -- 37 ----------- ----------- ------------- Total Investment Income ...................... 4,628 5,288 1,323 ----------- ----------- ------------- Expenses Investment Advisory Services .................... -- -- 138 Administrative Services ......................... 684 213 -- Accounting & Transfer Agent Fees ................ 19 19 66 Custodian's Fee ................................. -- -- 4 Legal Fees ...................................... 3 3 7 Audit Fees ...................................... 4 4 5 Filing Fees ..................................... 54 59 12 Shareholders' Reports ........................... 1 1 4 Directors' Fees and Expenses .................... 2 2 4 Other ........................................... 8 10 7 ----------- ----------- ------------- Total Expenses ............................... 775 311 247 ----------- ----------- ------------- Net Investment Income ........................... 3,853 4,977 1,076 ----------- ----------- ------------- Net Realized and Unrealized Gain (Loss) on Investments Net Realized Loss on Investments Securities ....... (58) (287) (1,018) Change in Unrealized Appreciation (Depreciation) of Investment Securities ........................... (9,476) (10,672) (3,869) ----------- ----------- ------------- Net Loss on Investment Securities ............... (9,534) (10,959) (4,887) ----------- ----------- ------------- Net Decrease in Net Assets Resulting from Operations ...................................... $(5,681) $ (5,982) $(3,811) =========== =========== =============
See accompanying Notes to Financial Statements 152 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1994
The United The Japanese The Pacific Kingdom Small Rim Small Small Company Company Company Portfolio Portfolio Portfolio -------------- ------------- ------------ (000) (000) (000) Investment Income Dividends (Net of Foreign Taxes Withheld of $286,215, $191,389 and $921,146, respectively) $ 1,622 $ 4,487 $ 5,430 Interest ......................................... 155 140 180 Income from Securities Lending ................... 800 19 -- -------------- ------------- ------------ Total Investment Income ....................... 2,577 4,646 5,610 -------------- ------------- ------------ Expenses Investment Advisory Services ..................... 1,500 962 1,044 Accounting & Transfer Agent Fees ................. 367 244 264 Custodian's Fee .................................. 225 477 99 Legal Fees ....................................... 31 23 25 Audit Fees ....................................... 22 17 18 Filing Fees ...................................... 58 13 23 Shareholders' Reports ............................ 22 15 16 Directors' Fees and Expenses ..................... 16 13 14 Other ............................................ 45 58 36 -------------- ------------- ------------ Total Expenses ................................ 2,286 1,822 1,539 -------------- ------------- ------------ Net Investment Income ............................ 291 2,824 4,071 -------------- ------------- ------------ Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Net Realized Gain on Investment Securities ......... 7,526 13,511 5,982 Net Realized Gain (Loss)on Foreign Currency Transactions ..................................... 104 (29) 241 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ....... 53,458 (10,031) 10,476 Translation of Foreign Currency Denominated Amounts ....................................... 29 (3) (9) -------------- ------------- ------------ Net Gain on Investment Securities and Foreign Currency ...................................... 61,117 3,448 16,690 -------------- ------------- ------------ Net Increase in Net Assets Resulting from Operations $61,408 $ 6,272 $20,761 ============== ============= ============
See accompanying Notes to Financial Statements 153 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR (OR PERIOD) ENDED NOVEMBER 30, 1994
The The Continental The Emerging Small Large Cap Markets Company International Portfolio(1) Portfolio Portfolio ------------ ------------- --------------- (000) (000) (000) Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $632,707 and $110,117, respectively) .......... $ -- $ 6,035 $ 989 Interest ......................................... -- 372 96 Income from Securities Lending ................... -- 61 3 Net Investment Income from the DFA Investment Trust Company ................................. 32 -- -- ------------ ------------- --------------- Total Investment Income ....................... 32 6,468 1,088 ------------ ------------- --------------- Expenses Investment Advisory Services ..................... -- 1,627 148 Administrative Services .......................... 23 -- -- Accounting & Transfer Agent Fees ................. 23 390 89 Custodian's Fee .................................. -- 312 63 Legal Fees ....................................... 3 36 11 Audit Fees ....................................... 2 27 8 Filing Fees ...................................... -- 45 43 Shareholders' Reports ............................ 1 23 7 Directors' Fees and Expenses ..................... 2 20 6 Other ............................................ 3 37 15 ------------ ------------- --------------- Total Expenses ................................ 57 2,517 390 ------------ ------------- --------------- Net Investment Income (Loss) ..................... (25) 3,951 698 ------------ ------------- --------------- Net Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Net Realized Gain on Investment Securities ......... 20 373 2,920 Net Realized Gain (Loss) on Foreign Currency Transactions ..................................... (7) 160 (253) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ....... 453 42,265 5,619 Translation of Foreign Currency Denominated Amounts ....................................... 1 232 1 ------------ ------------- --------------- Net Gain on Investment Securities and Foreign Currency ...................................... 467 43,030 8,287 ------------ ------------- --------------- Net Increase in Net Assets Resulting from Operations $442 $46,981 $8,985 ============ ============= ===============
(1) For the period April 25, (commencement of operations) to November 30, 1994. See accompanying Notes to Financial Statements 154 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1994
The DFA International The DFA The DFA High Book One-Year Five-Year to Market Fixed Income Government Portfolio Portfolio Portfolio --------------- -------------- ------------ (000) (000) (000) Investment Income Dividends (Net of Foreign Taxes Withheld of $20,180, $0 and $0, respectively) ............. $ 1,594 $ 28,487 $ -- Interest ......................................... 20 - 11,509 --------------- -------------- ------------ Total Investment Income ....................... 1,614 28,487 11,509 --------------- -------------- ------------ Expenses Investment Advisory Services ..................... 156 -- 427 Administrative Services .......................... 63 621 -- Accounting & Transfer Agent Fees ................. 36 19 92 Custodian's Fee .................................. 14 -- 26 Legal Fees ....................................... 5 3 8 Audit Fees ....................................... 4 4 6 Filing Fees ...................................... 20 75 65 Shareholders' Reports ............................ 1 1 22 Directors' Fees and Expenses ..................... 1 1 4 Other ............................................ 19 3 3 --------------- -------------- ------------ Total Expenses ................................ 319 727 653 Less: Fees Waived ................................ (9) -- -- --------------- -------------- ------------ Net Expenses ..................................... 310 727 653 --------------- -------------- ------------ Net Investment Income ............................ 1,304 27,760 10,856 --------------- -------------- ------------ Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Net Realized Loss on Investment Securities ......... (87) (1,304) (2,385) Net Realized Gain on Foreign Currency Transactions . 3 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ....... 9,498 (11,577) (15,321) Translation of Foreign Currency Denominated Amounts ....................................... 1 -- -- --------------- -------------- ------------ Net Gain (Loss) on Investment Securities and Foreign Currency .............................. 9,415 (12,881) (17,706) --------------- -------------- ------------ Net Increase (Decrease) in Net Assets Resulting from Operations ....................................... $10,719 $ 14,879 $ (6,850) =============== ============== ============
See accompanying Notes to Financial Statements 155 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1994
The DFA The DFA Intermediate Global Government Fixed Income Fixed Income Portfolio Portfolio -------------- -------------- (000) (000) Investment Income Interest ......................................... $ 7,766 $ 3,958 -------------- -------------- Expenses Investment Advisory Services ..................... 311 88 Accounting & Transfer Agent Fees ................. 160 37 Custodian's Fee .................................. 40 7 Legal Fees ....................................... 14 5 Audit Fees ....................................... 10 3 Filing Fees ...................................... 43 16 Shareholders' Reports ............................ 9 2 Directors' Fees and Expenses ..................... 8 2 Other ............................................ 11 8 -------------- -------------- Total Expenses ................................ 606 168 -------------- -------------- Net Investment Income ............................ 7,160 3,790 -------------- -------------- Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Net Realized Gain (Loss) on Investment Securities .. (5,468) 17 Net Realized Loss on Foreign Currency Transactions . (2,805) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ....... (2,230) (6,528) Translation of Foreign Currency Denominated Amounts ....................................... 138 -- -------------- -------------- Net Loss on Investment Securities and Foreign Currency ...................................... (10,365) (6,511) -------------- -------------- Net Decrease in Net Assets Resulting from Operations $ (3,205) $(2,721) ============== ==============
See accompanying Notes to Financial Statements 156 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS
The U.S. 9-10 The U.S. 6-10 The U.S. Small Company Small Company Large Company 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, 1994 1993 1994 1993 1994 1993 ---------- ----------- ---------- ---------- ---------- ---------- (000) (000) (000) (000) (000) (000) Increase (Decrease) in Net Assets Operations: Net Investment Income ........... $ 1,079 $ 1,611 $ 2,680 $ 2,913 $ 1,192 $ 907 Net Realized Gain (Loss) on Investment Securities .......... (5,176) 50,931 9,722 1,603 (79) 200 Change in Unrealized Appreciation (Depreciation) of Investment Securities ..................... 36,497 82,770 (11,694) 15,277 (712) 1,960 ---------- ----------- ---------- ---------- ---------- ---------- Net Increase in Net Assets Resulting from Operations.... 32,400 135,312 708 19,793 401 3,067 ---------- ----------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income ........... (2,008) (3,710) (2,732) (3,398) (1,195) (1,115) Net Realized Gain ............... (42,251) (59,328) (1,158) (1,860) (302) - ---------- ----------- ---------- ---------- ---------- ---------- Total Distributions ............ (44,259) (63,038) (3,890) (5,258) (1,497) (1,115) ---------- ----------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued ................... 59,828 60,593 17,429 25,673 19,913 31,952 Shares Issued in Lieu of Cash Distributions .................. 41,874 59,618 2,701 3,864 1,385 1,082 Shares Redeemed ................. (61,540) (212,880) (41,674) (41,627) (9,394) (32,064) ---------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) From Capital Share Transactions... 40,162 (92,669) (21,544) (12,090) 11,904 970 ---------- ----------- ---------- ---------- ---------- ---------- Total Increase (Decrease) ...... 28,303 (20,395) (24,726) 2,445 10,808 2,922 Net Assets .......................... Beginning of Period ............. 630,918 651,313 136,863 134,418 37,830 34,908 ---------- ----------- ---------- ---------- ---------- ---------- End of Period ................... $659,221 $ 630,918 $112,137 $136,863 $48,638 $ 37,830 ========== =========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued ..................... 7,035 7,631 1,488 2,511 1,439 2,378 Shares Issued in Lieu of Cash Distributions ................... 5,184 8,223 243 198 101 80 Shares Redeemed ................... (7,182) (27,328) (3,586) (3,726) (677) (2,400) ---------- ----------- ---------- ---------- ---------- ---------- 5,037 (11,474) (1,855) (1,017) 863 58 ========== =========== ========== ========== ========== ==========
See accompanying Notes to Financial Statements 157 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS
The DFA/AEW The U.S. Small The U.S. Large Real Estate Cap Value Cap Value Securities Portfolio Portfolio Portfolio ---------------------- ---------------------- ---------------------- Year March 2 Year Feb. 19 Year Jan. 5 Ended to Ended to Ended to Nov.30, Nov.30, Nov.30, Nov.30, Nov.30, Nov.30, 1994 1993 1994 1993 1994 1993 ---------- --------- ---------- --------- --------- --------- (000) (000) (000) (000) (000) (000) Increase (Decrease) in Net Assets Operations: Net Investment Income ............ $ 3,853 $ 927 $ 4,977 $ 1,453 $ 1,076 $ 387 Net Realized Gain (Loss) on Investment Securities ........... (58) 14 (287) (3) (1,018) (12) Change in Unrealized Appreciation (Depreciation) of Investment Securities ...................... (9,476) 8,037 (10,672) 2,059 (3,869) 789 ---------- --------- ---------- --------- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations .................. (5,681) 8,978 (5,982) 3,509 (3,811) 1,164 ---------- --------- ---------- --------- --------- --------- Distributions From: Net Investment Income ............ (3,912) (848) (5,021) (1,393) (819) (373) Net Realized Gain ................ (18) - - - - - Tax Return of Capital ............ - - - - (223) - ---------- --------- ---------- --------- --------- --------- Total Distributions ............. (3,930) (848) (5,021) (1,393) (1,042) (373) ---------- --------- ---------- --------- --------- --------- Capital Share Transactions (1): Shares Issued .................... 270,394 87,911 131,587 88,330 14,934 21,050 Shares Issued in Lieu of Cash Distributions ................... 2,989 421 4,262 1,080 956 359 Shares Redeemed .................. (15,306) (780) (17,568) (1,238) (2,687) (94) ---------- --------- ---------- --------- --------- --------- Net Increase From Capital Share Transactions ................ 258,077 87,552 118,281 88,172 13,203 21,315 ---------- --------- ---------- --------- --------- --------- Total Increase .................. 248,466 95,682 107,278 90,288 8,350 22,106 ---------- --------- ---------- --------- --------- --------- Net Assets ........................... Beginning of Period .............. 95,682 - 90,288 - 22,106 - ---------- --------- ---------- --------- --------- --------- End of Period .................... $344,148 $95,682 $197,566 $90,288 $30,456 $22,106 ========== ========= ========== ========= ========= ========= (1) Shares Issued and Redeemed: Shares Issued ...................... 23,309 8,701 12,672 8,535 1,410 2,000 Shares Issued in Lieu of Cash Distributions .................. 271 38 418 102 102 33 Shares Redeemed .................... (1,320) (73) (1,678) (117) (253) (9) ---------- --------- ---------- --------- --------- --------- 22,260 8,666 11,412 8,520 1,259 2,024 ========== ========= ========== ========= ========= =========
See accompanying Notes to Financial Statements 158 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS
The Japanese The Pacific Rim The United Kingdom Small Company Small Company Small Company Portfolio Portfolio Portfolio ----------------------- ----------------------- ----------------------- Year Year Year Jan. 5 Year Year Ended Ended Ended to Ended Ended Nov.30, Nov.30, Nov.30, Nov.30, Nov.30, Nov.30, 1994 1993 1994 1993 1994 1993 ---------- ---------- ---------- ---------- ---------- ---------- (000) (000) (000) (000) (000) (000) Increase (Decrease) in Net Assets Operations: Net Investment Income ........... $ 291 $ 145 $ 2,824 $ 1,062 $ 4,071 $ 3,664 Net Realized Gain (Loss) on Investment Securities .......... 7,526 6,962 13,511 885 5,982 (4,278) Net Realized Gain (Loss) on Foreign Currency Transactions .. 104 148 (29) (69) 241 (171) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 53,458 (2,725) (10,031) 44,377 10,476 45,602 Translation of Foreign Currency Denominated Amounts ........ 29 (4) (3) - (9) 62 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase in Net Assets Resulting from Operations .. 61,408 4,526 6,272 46,255 20,761 44,879 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income ........... (476) (421) (2,873) (890) (4,712) (7,385) Net Realized Gain ............... (7,597) (5,822) (11,598) (297) - - ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions ............ (8,073) (6,243) (14,471) (1,187) (4,712) (7,385) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued .................... 92,490 88,539 49,088 119,681 29,201 23,134 Shares Issued in Lieu of Cash Distributions .................. 8,055 6,243 14,471 1,187 4,712 7,385 Shares Redeemed ................. (32,450) (23,713) (7,030) (1,313) (17,638) (7,310) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase From Capital Share Transactions ............... 68,095 71,069 56,529 119,555 16,275 23,209 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase .................. 121,430 69,352 48,330 164,623 32,324 60,703 Net Assets .......................... Beginning of Period ............. 209,244 139,892 164,623 - 181,789 121,086 ---------- ---------- ---------- ---------- ---------- ---------- End of Period ................... $330,674 $209,244 $212,953 $164,623 $214,113 $181,789 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued ..................... 3,540 3,708 2,819 12,501 1,191 1,124 Shares Issued in Lieu of Cash Distributions ................... 363 310 900 73 207 405 Shares Redeemed ................... (1,191) (930) (395) (2,569) (734) (355) ---------- ---------- ---------- ---------- ---------- ---------- 2,712 3,088 3,324 10,005 664 1,174 ========== ========== ========== ========== ========== ==========
See accompanying Notes to Financial Statements 159 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS
The Emerging The Continental The Large Cap Markets Small Company International Portfolio Portfolio Portfolio ----------- ------------------------ ----------------------- April 25 Year Year Year Year to Ended Ended Ended Ended Nov.30, Nov.30, Nov.30, Nov.30, Nov.30, 1994 1994 1993 1994 1993 ----------- ---------- ---------- ---------- --------- (000) (000) (000) (000) (000) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) ............. $ 25) $ 3,951 $ 3,710 $ 698 $ 1,023 Net Realized Gain (Loss) on Investment Securities .............................. 20 373 1,879 2,920 (8) Net Realized Gain (Loss) on Foreign Currency Transactions .................... (7) 160 (735) (253) (39) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .................... 453 42,265 26,446 5,619 5,174 Translation of Foreign Currency Denominated Amounts ................. 1 232 (134) 1 6 ----------- ---------- ---------- ---------- --------- Net Increase in Net Assets Resulting from Operations .......................... 442 46,981 31,166 8,985 6,156 ----------- ---------- ---------- ---------- --------- Distributions From: Net Investment Income .................... - (4,700) (8,025) (442) (1,216) Net Realized Gain ........................ - (1,249) (415) (2,062) (13) Tax Return of Capital .................... - (247) - - - ----------- ---------- ---------- ---------- --------- Total Distributions ..................... - (6,196) (8,440) (2,504) (1,229) ----------- ---------- ---------- ---------- --------- Capital Share Transactions (1): Shares Issued ............................ 15,458 53,091 44,199 27,006 52,773 Shares Issued in Lieu of Cash Distributions - 6,196 8,440 2,504 1,229 Shares Redeemed .......................... (169) (25,255) (6,035) (58,828) (6,498) ----------- ---------- ---------- ---------- --------- Net Increase (Decrease) From Capital Share Transactions .................. 15,289 34,032 46,604 (29,318) 47,504 ----------- ---------- ---------- ---------- --------- Total Increase (Decrease) ............... 15,731 74,817 69,330 (22,837) 52,431 Net Assets Beginning of Period ...................... - 266,175 196,845 78,472 26,041 ----------- ---------- ---------- ---------- --------- End of Period ............................ $15,731 $340,992 $266,175 $ 55,635 $78,472 =========== ========== ========== ========== ========= (1) Shares Issued and Redeemed: Shares Issued .............................. 1,406 3,469 3,601 2,184 4,743 Shares Issued in Lieu of Cash Distributions - 436 731 213 109 Shares Redeemed ............................ (14) (1,696) (516) (4,696) (585) ----------- ---------- ---------- ---------- --------- 1,392 2,209 3,816 (2,299) 4,267 =========== ========== ========== ========== =========
See accompanying Notes to Financial Statements 160 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS
The DFA International The DFA One-Year The DFA Five-Year High Book to Market Fixed Income Government Portfolio Portfolio Portfolio ---------------------- ------------------------ ---------------------- Year June 10 Year Year Year Year Ended to Ended Ended Ended Ended Nov.30, Nov. 30 Nov.30, Nov.30, Nov.30, Nov.30, 1994 1993 1994 1993 1994 1993 ---------- --------- ----------- ----------- ---------- ---------- (000) (000) (000) (000) (000) (000) Increase (Decrease) in Net Assets Operations: Net Investment Income .......... $ 1,304 $ 362 $ 27,760 $ 19,593 $ 10,856 $ 6,069 Net Realized Gain (Loss) on Investment Securities ......... (87) (29) (1,304) 916 (2,385) 2,550 Net Realized Gain (Loss) on Foreign Currency Transactions . 3 (167) - - - - Change in Unrealized Appreciation (Depreciation) of: Investment Securities .......... 9,498 (654) (11,577) 5,261 (15,321) 1,396 Translation of Foreign Currency Denominated Amounts ........ 1 (1) - - - - ---------- --------- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations ................ 10,719 (489) 14,879 25,770 (6,850) 10,015 ---------- --------- ----------- ----------- ---------- ---------- Distributions From: Net Investment Income .......... (1,291) (186) (27,753) (21,468) (10,710) (8,092) Net Realized Gain .............. - (6) (1,035) (7,839) (18) (5,553) ---------- --------- ----------- ----------- ---------- ---------- Total Distributions ........... (1,291) (192) (28,788) (29,307) (10,728) (13,645) ---------- --------- ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued .................. 51,332 66,041 335,714 286,159 132,388 97,595 Shares Issued in Lieu of Cash Distributions ................. 1,291 192 22,977 24,644 8,954 12,389 Shares Redeemed ................ (12,334) (2,317) (360,956) (260,745) (52,714) (25,393) ---------- --------- ----------- ----------- ---------- ---------- Net Increase (Decrease)From Capital Share Transactions . 40,289 63,916 (2,265) 50,058 88,628 84,591 ---------- --------- ----------- ----------- ---------- ---------- Total Increase (Decrease) ..... 49,717 63,235 (16,174) 46,521 71,050 80,961 Net Assets Beginning of Period ............ 63,235 - 608,400 561,879 164,504 83,543 ---------- --------- ----------- ----------- ---------- ---------- End of Period .................. $112,952 $63,235 $ 592,226 $ 608,400 $235,554 $164,504 ========== ========= =========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued .................... 4,443 6,582 3,306 2,788 1,292 909 Shares Issued in Lieu of Cash Distributions ................ 114 18 227 241 91 119 Shares Redeemed .................. (1,061) (226) (3,561) (2,538) (525) (236) ---------- --------- ----------- ----------- ---------- ---------- 3,496 6,374 (28) 491 858 792 ========== ========= =========== =========== ========== ==========
See accompanying Notes to Financial Statements 161 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS
The DFA Intermediate The DFA Global Government Fixed Fixed Income Income Portfolio Portfolio ------------------------ ---------------------- Year Year Year Year Ended Ended Ended Ended Nov.30, Nov. 30, Nov.30, Nov.30, 1994 1993 1994 1993 ---------- ---------- --------- --------- (000) (000) (000) (000) Increase (Decrease) in Net Assets Operations: Net Investment Income ............................ $ 7,160 $ 3,903 $ 3,790 $ 3,082 Net Realized Gain (Loss) on Investment Securities (5,468) 2,019 17 767 Net Realized Loss on Foreign Currency Transactions (2,805) (297) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (2,230) 1,988 (6,528) 1,630 Translation of Foreign Currency Denominated Amounts ..................................... 138 345 -- -- ---------- ---------- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations ............................. (3,205) 7,958 (2,721) 5,479 ---------- ---------- --------- --------- Distributions From: Net Investment Income ............................ (5,328) (3,296) (3,752) (3,737) Net Realized Gain ................................ (97) (3,351) (739) (331) ---------- ---------- --------- --------- Total Distributions ........................... (5,425) (6,647) (4,491) (4,068) ---------- ---------- --------- --------- Capital Share Transactions (1): Shares Issued .................................... 76,462 53,343 22,801 12,574 Shares Issued in Lieu of Cash Distributions ...... 3,622 4,127 1,851 1,104 Shares Redeemed .................................. (37,453) (11,860) (9,664) (2,198) ---------- ---------- --------- --------- Net Increase From Capital Share Transactions .. 42,631 45,610 14,988 11,480 ---------- ---------- --------- --------- Total Increase ................................ 34,001 46,921 7,776 12,891 Net Assets Beginning of Period .............................. 101,528 54,607 53,051 40,160 ---------- ---------- --------- --------- End of Period .................................... $135,529 $101,528 $60,827 $53,051 ========== ========== ========= ========= (1) Shares Issued and Redeemed: Shares Issued .................................... 760 508 210 108 Shares Issued in Lieu of Cash Distributions ...... 36 40 17 10 Shares Redeemed .................................. (376) (114) (90) (19) ---------- ---------- --------- --------- 420 434 137 99 ========== ========== ========= =========
See accompanying Notes to Financial Statements 162 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
The U.S. 9-10 Small Company Portfolio --------------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 1994 1993 1992 1991 1990 - ------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period .. $ 8.69 $ 7.75 $ 6.33 $ 5.34 $ 7.74 ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income 0.01 0.03 0.04 0.04 0.07 Net Gains (Losses) on Securities (Realized and Unrealized) ...... 0.40 1.67 1.53 1.64 (1.77) ---------- ---------- ---------- ---------- ---------- Total From Investment Operations ....... 0.41 1.70 1.57 1.68 (1.70) - ------------------------------------------------------------------------------------------ Less Distributions Net Investment Income (0.03) (0.05) (0.05) (0.07) (0.08) Net Realized Gains .. (0.58) (0.71) (0.10) (0.62) (0.62) ---------- ---------- ---------- ---------- ---------- Total Distributions . (0.61) (0.76) (0.15) (0.69) (0.70) - ------------------------------------------------------------------------------------------ Net Asset Value, End of Period .............. $ 8.49 $ 8.69 $ 7.75 $ 6.33 $ 5.34 ========================================================================================== Total Return .......... 5.06% 23.91% 25.24% 39.08% (24.09)% - ------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) .. $659,221 $630,918 $651,313 $722,289 $561,102 Ratio of Expenses to Average Net Assets .. 0.65% 0.70% 0.68% 0.64% 0.62% Ratio of Net Investment Income to Average Net Assets .............. 0.16% 0.26% 0.53% 0.75% 0.99% Portfolio Turnover Rate 16.56% 9.87% 9.72% 10.13% 3.79% - ------------------------------------------------------------------------------------------
The U.S. 9-10 Small Company Portfolio ----------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 1989 1988 1987 1986 1985 - -------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period .. $ 7.66 $ 7.50 $ 8.94 $ 8.88 $ 7.69 ---------- ---------- ---------- ------- --------- Income From Investment Operations Net Investment Income 0.07 0.10 0.09 0.12 0.12 Net Gains (Losses) on Securities (Realized and Unrealized) ...... 0.98 1.48 (1.53) 1.15 1.40 ---------- ---------- ---------- ------- --------- Total From Investment Operations ....... 1.05 1.58 (1.44) 1.27 1.52 - ------------------------------------------------------------------------------------- Less Distributions Net Investment Income (0.09) (0.11) - (0.23) (0.12) Net Realized Gains .. (0.88) (1.31) - (0.98) (0.21) ---------- ---------- ---------- ------- --------- Total Distributions . (0.97) (1.42) - (1.21) (0.33) - ------------------------------------------------------------------------------------- Net Asset Value, End of Period .............. $ 7.74 $ 7.66 $ 7.50 $ 8.94 $ 8.88 ===================================================================================== Total Return .......... 16.09% 24.36% (16.04)% 14.88% 20.85% - ------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) .. $949,291 $912,518 $788,821 $952,580 $768,863 Ratio of Expenses to Average Net Assets .. 0.62% 0.62% 0.61% 0.62% 0.67% Ratio of Net Investment Income to Average Net Assets .............. 0.86% 1.19% 0.92% 1.14% 1.53% Portfolio Turnover Rate 7.86% 25.98% 23.05% 14.19% 9.64% - -------------------------------------------------------------------------------------
(Adjusted to reflect a 1,900% Stock Dividend as of November 28, 1986) See accompanying Notes to Financial Statements 163 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
The U.S. 6-10 Small Company Portfolio The U.S. Large Company Portfolio --------------------------------------- ----------------------------------------------------- Year Year March 20 Year Year Year Dec. 31, Ended Ended to Nov. Ended Ended Ended 1990 to Nov. 30 Nov. 30 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 1994 1993 1992 1994 1993 1992 1991 ----------- ----------- ---------- ---------- ------------ ---------- ----------- Net Asset Value, Beginning of Period ....................... $ 11.43 $10.35 $10.00 $13.91 $13.12 $11.44 $10.00 ---------- ----------- ---------- ---------- ------------ ---------- ----------- Income From Investment Operations Net Investment Income ....... 0.27 0.25 0.04 0.37 0.36 0.36 0.34 Net Gains (Losses) on Securities (Realized and Unrealized) .............. (0.25) 1.26 0.31 (0.22) 0.87 1.69 1.34 ---------- ----------- ---------- ---------- ------------ ---------- ----------- Total From Investment Operations ............. 0.02 1.51 0.35 0.15 1.23 2.05 1.68 - ---------------------------------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income ....... (0.27) (0.28) - (0.37) (0.44) (0.37) (0.24) Net Realized Gains .......... (0.10) (0.15) - (0.11) - - - ---------- ----------- ---------- ---------- ------------ ---------- ----------- Total Distributions ...... (0.37) (0.43) - (0.48) (0.44) (0.37) (0.24) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.08 $11.43 $10.35 $13.58 $13.91 $13.12 $11.44 ================================================================================================================================== Total Return .................. 0.22% 14.72% 6.70%# 1.04% 9.48% 18.23% 16.80%# - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ................. $112,137 $136,863 $134,418 $48,638 $37,830 $34,908 $22,279 Ratio of Expenses to Average Net Assets** ................ 0.53% 0.58% 0.48%* 0.24%(a) 0.24%(a) 0.11%(a) 0.00%*(a) Ratio of Net Investment Income to Average Net Assets ....... 2.16% 2.07% 0.96%* 2.75%(a) 2.48%(a) 2.86%(a) 3.42%*(a) Portfolio Turnover Rate ....... N/A*** 1.81%*(b) 3.41%* N/A*** 27.67%*(b) 3.56% 0.97%* - ----------------------------------------------------------------------------------------------------------------------------------
*Annualized **Represents the combined ratio for the respective portfolio and its respective pro-rata share of its Master Fund Series for the year ended November 30, 1993 and subsequent periods. ***Refer to the respective Master Fund Series. #Non-annualized (a) Had certain waivers and reimbursements not been in effect, the ratios of expenses to average net assets for the periods 1994, 1993,1992 and 1991 would have been 0.66%, 0.79%, 0.53% and 0.52%, respectively, and the ratios of net investment income to average net assets for the periods 1994, 1993,1992, and 1991 would have been 2.64%, 2.28%, 2.44% and 2.90%, respectively. (b) Portfolio turnover calculated for the period December 1, 1992 to February 2, 1993 and December 1, 1992 to February 7, 1993, respectively (through date of Exchange transaction, see respective Master Fund Series for rate subsequent to Exchange transaction.). See accompanying Notes to Financial Statements 164 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
The DFA/AEW Real The U.S. Small Cap The U.S. Large Cap Estate Securities Value Portfolio Value Portfolio Portfolio ----------------------- ----------------------- ----------------------- Year March 2 Year Feb. 19 Year Jan. 5 Ended to Ended to Ended to Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30 Nov. 30, 1994 1993 1994 1993 1994 1993 - ---------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 11.04 $ 10.00 $ 10.60 $ 10.00 $ 10.92 $10.00 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income ........... 0.14 0.11 0.32 0.18 0.37 0.20 Net Gains (Losses) on Securities (Realized and Unrealized) ...... 0.10 1.03 (0.68) 0.59 (1.65) 0.91 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations 0.24 1.14 (0.36) 0.77 (1.28) 1.11 - ----------------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income ........... (0.15) (0.10) (0.33) (0.17) (0.28) (0.19) Tax Return of Capital ........... -- -- -- -- (0.08) -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions ............. (0.15) (0.10) (0.33) (0.17) (0.36) (0.19) - ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period ...... $ 11.13 $ 11.04 $ 9.91 $ 10.60 $ 9.28 $10.92 ================================================================================================================= Total Return ........................ 2.19% 11.39%# (3.27)% 7.59%# (11.76)% 11.08%# - ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ..................... $344,148 $95,682 $197,566 $90,288 $30,456 $22,106 Ratio of Expenses to Average Net Assets** ........................ 0.66% 0.70%* 0.44% 0.47%* 0.90% 0.88%* Ratio of Net Investment Income to Average Net Assets .............. 1.69% 1.97%* 3.50% 3.38%* 3.90% 2.63%* Portfolio Turnover Rate ............. N/A*** N/A*** N/A*** N/A*** 28.87% 0.55%* - -----------------------------------------------------------------------------------------------------------------
* Annualized ** Represents the respective combined ratio for The U.S. Small Cap Value Portfolio, The U.S. Large Cap Value Portfolio and the pro-rata shares of their respective Master Fund Series. *** Refer to the respective Master Fund Series. # Non-annualized See accompanying Notes to Financial Statements 165 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
The Japanese Small Company Portfolio --------------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 1994 1993 1992 1991 1990 --------------------------------------------------------------- Net Asset Value, Beginning of Period ....................... $19.96 $18.92 $ 25.05 $26.27 $ 38.33 ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss) 0.05 0.04 0.04 (0.01) (0.03) Net Gains (Losses) on Securities (Realized and Unrealized) .............. 5.76 1.75 (5.69) 0.51 (10.74) ---------- ---------- ---------- ---------- ---------- Total From Investment Operations ............... 5.81 1.79 (5.65) 0.50 (10.77) - -------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income ....... (0.04) (0.05) -- -- -- Net Realized Gains .......... (0.67) (0.70) (0.48) (1.72) (1.29) ---------- ---------- ---------- ---------- ---------- Total Distributions ...... (0.71) (0.75) (0.48) (1.72) (1.29) - -------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $25.06 $19.96 $ 18.92 $25.05 $ 26.27 ================================================================================================== Total Return .................. 29.59% 9.52% (23.01)% 1.68% (29.12)% - -------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ................. $330,674 $209,244 $139,892 $159,475 $149,100 Ratio of Expenses to Average Net Assets .................. 0.76% 0.82% 0.78% 0.78% 0.83% Ratio of Net Investment Income to Average Net Assets ....... 0.10% 0.06% 0.10% (0.11)% (0.22)% Portfolio Turnover Rate ....... 10.51% 9.36% 5.00% 2.71% 10.26% - --------------------------------------------------------------------------------------------------
The Japanese Small Company Portfolio ------------------------------------------------- Year Year Year Jan. 31 Ended Ended Ended to Nov. 30 Nov. 30 Nov. 30 Nov. 30 1989 1988 1987 1986 -------------------------------------------------- Net Asset Value, Beginning of Period ....................... $31.03 $24.87 $14.39 $10.35 ---------- ---------- --------- --------- Income From Investment Operations Net Investment Income (Loss) (0.09) (0.05) (0.01) 0.01 Net Gains (Losses) on Securities (Realized and Unrealized) .............. 9.09 10.42 10.53 4.03 ---------- ---------- --------- --------- Total From Investment Operations ............... 9.00 10.37 10.52 4.04 - ------------------------------------------------------------------------------------ Less Distributions Net Investment Income ....... -- -- -- -- Net Realized Gains .......... (1.70) (4.21) (0.04) -- ---------- ---------- --------- --------- Total Distributions ...... (1.70) (4.21) (0.04) -- - ------------------------------------------------------------------------------------ Net Asset Value, End of Period $38.33 $31.03 $24.87 $14.39 ==================================================================================== Total Return .................. 30.63% 47.62% 73.09% 38.37%# - ------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) ................. $168,820 $107,863 $60,450 $45,683 Ratio of Expenses to Average Net Assets .................. 0.76% 0.76% 0.78% 0.79%* Ratio of Net Investment Income to Average Net Assets ....... (0.34)% (0.23)% (0.08)% 0.07%* Portfolio Turnover Rate ....... 5.76% 9.14% 0.07% 0.00%* - -------------------------------------------------------------------------------------
*Annualized #Non-annualized See accompanying Notes to Financial Statements 166 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
The Pacific Rim Small Company Portfolio The United Kingdom Small Company Portfolio ------------------------ ------------------------------------------------- Year Jan. 5 Year Year Year Year Ended to Ended Ended Ended Ended Nov. 30, Nov. 30, Nov. 30, Nov. 30 Nov. 30 Nov. 30 1994 1993 1994 1993 1992 1991 - --------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period .... $16.45 $10.00 $21.22 $16.38 $ 21.37 $20.41 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income . 0.23 0.11 0.48 0.45 0.64 0.69 Net Gains (Losses) on Securities (Realized and Unrealized) .... 0.47 6.46 2.03 5.34 (4.98) 1.71 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations ....... 0.70 6.57 2.51 5.79 (4.34) 2.40 - --------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income . (0.23) (0.09) (0.53) (0.95) (0.65) (0.90) Net Realized Gains .... (0.94) (0.03) - - (0.54) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions (1.17) (0.12) (0.53) (0.95) (0.65) (1.44) - --------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period ................ $15.98 $16.45 $23.20 $21.22 $ 16.38 $21.37 ========================================================================================================= Total Return ............ 4.26% 65.71%# 11.85% 36.42% (20.93)% 12.55% - --------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ........... $212,953 $164,623 $214,113 $181,789 $121,086 $146,873 Ratio of Expenses to Average Net Assets .... 0.95% 1.16%* 0.74% 0.78% 0.76% 0.84% Ratio of Net Investment Income to Average Net Assets ................ 1.47% 1.27%* 1.95% 2.22% 3.19% 3.44% Portfolio Turnover Rate . 26.05% 2.77%* 10.75% 8.21% 4.41% 4.50% - ----------------------------------------------------------------------------------------------------------
The United Kingdom Small Company Portfolio -------------------------------------------------------------- Year Year Year Year Jan. 31 Ended Ended Ended Ended to Nov. Nov. 30 Nov. 30 Nov. 30 Nov. 30 30 1990 1989 1988 1987 1986 - ------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period .... $22.55 $ 28.29 $23.41 $16.29 $14.03 ---------- ---------- ---------- --------- --------- Income From Investment Operations Net Investment Income . 0.92 0.52 0.61 0.17 0.46 Net Gains (Losses) on Securities (Realized and Unrealized) .... (1.34) (4.75) 5.18 7.35 1.80 ---------- ---------- ---------- --------- --------- Total From Investment Operations ....... (0.42) (4.23) 5.79 7.52 2.26 - ------------------------------------------------------------------------------------------- Less Distributions Net Investment Income . (0.75) (0.54) (0.28) (0.36) -- Net Realized Gains .... (0.97) (0.97) (0.63) (0.04) - ---------- ---------- ---------- --------- --------- Total Distributions (1.72) (1.51) (0.91) (0.40) - - ------------------------------------------------------------------------------------------- Net Asset Value, End of Period ................ $20.41 $ 22.55 $28.29 $23.41 $16.29 =========================================================================================== Total Return ............ (2.22)% (15.40)% 23.66% 47.44% 13.19%# - ------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ........... $127,137 $119,385 $121,337 $82,197 $29,275 Ratio of Expenses to Average Net Assets .... 0.83% 0.70% 0.71% 0.85% 0.76%* Ratio of Net Investment Income to Average Net Assets ................ 4.34% 2.24% 2.58% 1.92% 3.99%* Portfolio Turnover Rate . 10.86% 11.38% 12.55% 9.50% 11.81%* - -------------------------------------------------------------------------------------------
* Annualized #Non-annualized See accompanying Notes to Financial Statements 167 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
The Emerging Markets Portfolio The Continental Small Company Portfolio ---------------- ------------------------------------------------------------------------------ April 25 Year Year Year Year Year Year April 15 to Ended Ended Ended Ended Ended Ended to Nov. 30, Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 1994 1994 1993 1992 1991 1990 1989 1988 - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period ....................... $ 10.00 $12.62 $11.39 $ 14.18 $16.24 $16.15 $12.02 $10.00 ------- ------ ------ ------- ------ ------ ------ ------ Income From Investment Operations Net Investment Income (Loss) (0.02) 0.18 0.23 0.28 0.27 0.25 0.12 0.17 Net Gains (Losses) on Securities (Realized and Unrealized) .. 1.32 2.10 1.46 (2.11) (1.66) 0.31 4.10 1.85 ------- ------ ------ ------- ------ ------ ------ ------ Total From Investment Operations ............. 1.30 2.28 1.69 (1.83) (1.39) 0.56 4.22 2.02 - ----------------------------------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income ....... - (0.19) (0.44) (0.26) (0.29) (0.20) (0.09) - Net Realized Gains .......... - (0.07) (0.02) (0.70) (0.38) (0.27) - - Tax Return of Capital ....... - (0.01) - - - - - - ------- ------ ------ ------- ------ ------ ------ ------ Total Distributions ...... - (0.27) (0.46) (0.96) (0.67) (0.47) (0.09) - - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.30 $14.63 $12.62 $ 11.39 $14.18 $16.24 $16.15 $12.02 =================================================================================================================================== Total Return .................. 13.00%# 18.19% 15.27% (13.85)% (9.11)% 3.50% 35.62% 20.01%# - ----------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) .................. $15,731 $340,992 $266,175 $196,845 $214,054 $245,465 $199,065 $78,689 Ratio of Expenses to Average Net Assets .................. 2.43%*+(a) 0.77% 0.83% 0.90% 0.86% 0.89% 0.82% 1.05%* Ratio of Net Investment Income (Loss) to Average Net Assets (0.44)%*(a) 1.21% 1.61% 2.11% 1.68% 1.63% 1.41% 3.27%* Portfolio Turnover Rate ....... N/A**% 10.22% 8.99% 6.35% 7.69% 6.24% 5.70% 0.26%* - -----------------------------------------------------------------------------------------------------------------------------------
*Annualized #Non-annualized +Reflects the Portfolio's proportionate share of expenses from its respective Master Fund Series. (a) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. **Refer to the respective Master Fund Series. See accompanying Notes to Financial Statements 168 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
The DFA International High Book to Market The Large Cap International Portfolio Portfolio ----------------------------------------------- ------------------------- Year Year Year July 15, Year June 10 Ended Ended Ended 1991 to Ended to Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30, Nov. 30 1994 1993 1992 1991 1994 1993 - --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period ......................... $11.26 $ 9.63 $10.64 $10.00 $ 9.92 $10.00 --------- --------- --------- ----------- ----------- ----------- Income From Investment Operations Net Investment Income ......... 0.09 0.15 0.11 0.06 0.14 0.06 Net Gains (Losses) on Securities (Realized and Unrealized) ................ 1.11 1.72 (1.04) 0.58 1.52 (0.11) --------- --------- --------- ----------- ----------- ----------- Total From Investment Operations ............... 1.20 1.87 (0.93) 0.64 1.66 (0.05) - --------------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income ......... (0.09) (0.24) (0.07) -- (0.14) (0.03) Net Realized Gains ............ (0.46) -- (0.01) -- -- -- --------- --------- --------- ----------- ----------- ----------- Total Distributions ........ (0.55) (0.24) (0.08) -- (0.14) (0.03) - ---------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period .. $11.91 $11.26 $ 9.63 $10.64 $11.44 $ 9.92 ================================================================================================================ Total Return .................... 10.74% 19.55% (9.00)% 2.88%# 16.71% (0.50)%# - ---------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ................... $55,635 $78,472 $26,041 $4,360 $112,952 $63,235 Ratio of Expenses to Average Net Assets** ...................... 0.66% 0.55%(a) 0.50%(a) 0.50%*(a) 0.69%(b) 0.65%*(b) Ratio of Net Investment Income to Average Net Assets ............ 1.18% 1.94%(a) 1.75%(a) 1.96%*(a) 1.39%(b) 1.40%*(b) Portfolio Turnover Rate ......... 33.15% 0.28% 0.20% 2.38%* 0.15%*(c) 0.41%* - ------------------------------------------------------------------------------------------------------------------
*Annualized **Represents the combined ratio for The DFA International High Book to Market Portfolio and its pro-rata share of its Master Fund Series for the year ended November 30, 1994. #Non-annualized (a) Had certain fees and expenses not been waived or reimbursed, the annualized ratios of expenses to average net assets for the periods 1993, 1992 and 1991 would have been 0.66%, 1.35% and 2.31%, respectively, and the ratios of net investment income to average net assets for the periods 1993, 1992 and 1991 would have been 1.83%, 0.90% and 0.15%, respectively. (b) Had certain waivers not been in effect, the annualized ratios of expenses to average net assets for the periods, 1994 and 1993 would have been 0.73% and 0.82%, respectively, and the ratios of net investment income to average net assets for the periods 1994 and 1993 would have been 1.38% and 1.23%, respectively. (c) Portfolio turnover calculated for the period December 1, 1993 to February 15, 1994 (through date of Exchange transaction, see respective Master Fund Series for rate subsequent to Exchange transaction). See accompanying Notes to Financial Statements 169 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
The DFA One-Year Fixed Income Portfolio ----------------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 1994 1993 1992 1991 1990 - ---------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period ....................... $102.77 $103.51 $103.26 $101.88 $101.61 ---------- ------------ ---------- ---------- ---------- Income From Investment Operations Net Investment Income ....... 4.57 3.49 4.27 6.82 8.34 Net Gains (Losses) on Securities (Realized and Unrealized) .............. (2.07) 1.13 0.68 1.55 0.31 ---------- ------------ ---------- ---------- ---------- Total From Investment Operations ............. 2.50 4.62 4.95 8.37 8.65 - ---------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income ....... (4.57) (3.84) (4.43) (6.99) (8.38) Net Realized Gains .......... (0.18) (1.52) (0.27) -- -- ---------- ------------ ---------- ---------- ---------- Total Distributions ...... (4.75) (5.36) (4.70) (6.99) (8.38) - ---------------------------------------------------------------------------------------------------- Net Asset Value, End of Period . $100.52 $102.77 $103.51 $103.26 $101.88 ==================================================================================================== Total Return .................. 2.48% 4.62% 5.64% 8.61% 8.88% - ---------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ................. $592,226 $608,400 $561,879 $469,276 $412,907 Ratio of Expenses to Average Net Assets** ................ 0.21% 0.21% 0.21% 0.21% 0.21% Ratio of Net Investment Income to Average Net Assets ....... 4.47% 3.38% 4.81% 6.75% 8.27% Portfolio Turnover Rate ....... N/A*** 61.95%*(a) 125.56% 82.26% 96.30% - ----------------------------------------------------------------------------------------------------
The DFA One-Year Fixed Income Portfolio ------------------------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 1989 1988 1987 1986 1985 - ---------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period ....................... $101.22 $101.16 $102.70 $101.76 $101.12 ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income ....... 8.15 7.83 6.88 7.63 9.19 Net Gains (Losses) on Securities (Realized and Unrealized) .............. 0.36 (0.39) (0.86) 1.58 0.82 ---------- ---------- ---------- ---------- ---------- Total From Investment Operations ............. 8.51 7.44 6.02 9.21 10.01 - ---------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income ....... (8.12) (7.38) (6.77) (7.84) (9.37) Net Realized Gains .......... -- -- (0.79) (0.43) -- ---------- ---------- ---------- ---------- ---------- Total Distributions ...... (8.12) (7.38) (7.56) (8.27) (9.37) - ---------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $101.61 $101.22 $101.16 $102.70 $101.76 ==================================================================================================== Total Return .................. 9.53% 7.61% 6.14% 9.45% 10.36% - ---------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ................. $360,146 $341,551 $342,436 $332,018 $232,826 Ratio of Expenses to Average Net Assets** ................ 0.22% 0.22% 0.22% 0.23% 0.33% Ratio of Net Investment Income to Average Net Assets ....... 8.77% 7.70% 6.82% 7.42% 9.04% Portfolio Turnover Rate ....... 0.00% 80.74% 162.18% 138.50% 114.21% - ----------------------------------------------------------------------------------------------------
* Annualized. ** Represents the combined ratio for the portfolio and its pro-rata share of its Master Fund Series for the periods ended 1993 and 1994. *** Refer to the respective Master Fund Series. (a) Portfolio turnover calculated for period December 1, 1992 to February 7, 1993 (through date of Exchange transaction, see respective Master Fund Series for rate subsequent to Exchange transaction). See accompanying Notes to Financial Statements 170 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
The DFA Five-Year Government Portfolio ---------------------------------------------------------------------------------- Year Year Year Year Year Year Year May 13 Ended Ended Ended Ended Ended Ended Ended to Nov. Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 30 1994 1993 1992 1991 1990 1989 1988 1987 - --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period .... $105.50 $108.83 $112.53 $106.39 $104.62 $104.15 $103.28 $100.00 -------- -------- ------- ------- ------- ------- ------- -------- Income From Investment Operations Net Investment Income . 4.81 4.65 5.72 8.09 7.60 8.52 6.22 3.77 Net Gains (Losses) on Securities (Realized and Unrealized) .... (8.08) 4.98 3.09 5.43 1.98 0.59 0.82 (0.49) -------- -------- ------- ------- ------- ------- ------- -------- Total From Investment Operations ......... (3.27) 9.63 8.81 13.52 9.58 9.11 7.04 3.28 - ---------------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income . (4.76) (7.32) (7.58) (7.38) (7.81) (8.64) (5.78) - Net Realized Gains .... (0.01) (5.64) (4.93) - - - (0.39) - -------- -------- ------- ------- ------- ------- ------- -------- Total Distributions (4.77) (12.96) (12.51) (7.38) (7.81) (8.64) (6.17) - - ---------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period ................ $ 97.46 $105.50 $108.83 $112.53 $106.39 $104.62 $104.15 $103.28 ================================================================================================================ Total Return ............ (3.13)% 9.46% 8.59% 13.44% 9.72% 9.33% 7.13% 3.26%# - ---------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ........... $235,554 $164,504 $83,543 $56,971 $52,260 $53,039 $4,863 $4,258 Ratio of Expenses to Average Net Assets .... 0.31% 0.31% 0.31% 0.30% 0.30% 0.30% 0.28% 0.27%* Ratio of Net Investment Income to Average Net Assets ................ 5.08% 4.75% 5.82% 7.16% 7.91% 8.49% 7.97% 7.50%* Portfolio Turnover Rate . 52.39% 152.10% 218.60% 223.18% 165.50% 312.59% 253.31% 100.85%* - ----------------------------------------------------------------------------------------------------------------
The DFA Global Fixed Income Portfolio -------------------------------------------------- Year Year Year Year Nov. 6 Ended Ended Ended Ended to Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30 1994 1993 1992 1991 1990 - ------------------------------------------------------------------------------- Net Asset Value, Beginning of Period .... $105.63 $103.58 $104.72 $100.22 $100.00 -------- -------- ------- ------- ------- Income From Investment Operations Net Investment Income . 3.52 4.03 5.43 6.58 0.37 Net Gains (Losses) on Securities (Realized and Unrealized) .... (6.57) 7.28 2.47 2.57 (0.15) -------- -------- ------- ------- ------- Total From Investment Operations ......... (1.32) 11.31 7.90 9.15 0.22 - ------------------------------------------------------------------------------- Less Distributions Net Investment Income . (4.37) (4.51) (6.35) (4.65) - Net Realized Gains .... (0.10) (4.75) (2.69) - - -------- -------- ------- ------- ------- Total Distributions (4.47) (9.26) (9.04) (4.65) - - ------------------------------------------------------------------------------- Net Asset Value, End of Period ................ $ 98.11 $105.63 $103.58 $104.72 $100.22 =============================================================================== Total Return ............ (2.91)% 11.42% 8.00% 11.00% 0.22%# - ------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ........... $135,529 $101,528 $54,607 $31,647 $8,474 Ratio of Expenses to Average Net Assets .... 0.49% 0.52% 0.58% 0.67% 0.51%* Ratio of Net Investment Income to Average Net Assets ................ 5.75% 5.09% 5.52% 6.74% 6.92%* Portfolio Turnover Rate . 113.55% 139.57% 210.39% 194.25% 0.00%* - -------------------------------------------------------------------------------
*Annualized #Non-annualized See accompanying Notes to Financial Statements 171 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
The DFA Intermediate Government Fixed Income Portfolio ----------------------------------------------------------- Year Year Year Year Oct. 22 Ended Ended Ended Ended to Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30 1994 1993 1992 1991 1990 ---------- --------- --------- --------- --------- Net Asset Value, Beginning of Period ... $115.87 $112.01 $110.17 $102.66 $100.00 ---------- --------- --------- --------- --------- Income From Investment Operations Net Investment Income ................ 6.89 5.46 7.60 8.38 0.89 Net Gains (Losses) on Securities (Realized and Unrealized) ......... (12.14) 6.60 2.58 6.32 1.77 ---------- --------- --------- --------- --------- Total From Investment Operations .. (5.25) 12.06 10.18 14.70 2.66 - ------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income ................ (6.84) (7.30) (7.76) (7.19) -- Net Realized Gains ................... (1.60) (0.90) (0.58) -- -- ---------- --------- --------- --------- --------- Total Distributions ............... (8.44) (8.20) (8.34) (7.19) -- - ------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period ......... $102.18 $115.87 $112.01 $110.17 $102.66 ======================================================================================================= Total Return ........................... (4.72)% 12.84% 9.70% 14.94% 2.63%# - ------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) .. $60,827 $53,051 $40,160 $29,393 $25,567 Ratio of Expenses to Average Net Assets 0.29% 0.32% 0.29% 0.28% 0.23%* Ratio of Net Investment Income to Average Net Assets ................... 6.45% 6.41% 7.05% 7.86% 8.73%* Portfolio Turnover Rate ................ 27.15% 16.91% 17.91% 19.72% 0.00% - -------------------------------------------------------------------------------------------------------
*Annualized #Non-annualized See accompanying Notes to Financial Statements 172 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION AND EXCHANGE: At November 30, 1994, DFA Investment Dimensions Group Inc. (the "Fund") consisted of nineteen portfolios: The U.S. 9-10 Small Company Portfolio, The U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio, The U.S. Small Cap Value Portfolio, The U.S. Large Cap Value Portfolio, The DFA/AEW Real Estate Securities Portfolio, The Japanese Small Company Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small Company Portfolio, The Emerging Markets Portfolio, The Continental Small Company Portfolio, The Large Cap International Portfolio, The DFA International High Book to Market Portfolio, The DFA One-Year Fixed Income Portfolio, The DFA Five-Year Government Portfolio, The DFA Global Fixed Income Portfolio, The DFA Intermediate Government Fixed Income Portfolio, The DFA Global Bond Portfolio and The DFA Global Value Portfolio ("the Portfolios"). At November 30, 1994, The DFA Global Bond Portfolio and The DFA Global Value Portfolio had not yet commenced operations. In addition, these two portfolios will only be available through a selected group of insurance products. On February 3, 1993, February 8, 1993 and February 8, 1993, The U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio and The DFA One-Year Fixed Income Portfolio, respectively, transferred their investable assets for shares with equal values of corresponding series of The DFA Investment Trust Company. On February 15, 1994, The DFA International High Book to Market Portfolio transferred its investable assets for shares with an equal value of a corresponding series of The DFA Investment Trust Company ("the Exchanges"). These portfolios, along with The U.S. Small Cap Value Portfolio, The U.S. Large Cap Value Portfolio and The Emerging Markets Portfolio (collectively "the Feeder Funds") invest solely in a corresponding series in the DFA Investment Trust Company: The U.S. 6-10 Small Company Series, The U.S. Large Company Series, The U.S. Small Cap Value Series, The U.S. Large Cap Value Series, The DFA One-Year Fixed Income Series, The DFA International Value Series, and The Emerging Markets Series ("the Master Funds"). At November 30, 1994, The U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio, The U.S. Small Cap Value Portfolio, The U.S. Large Cap Value Portfolio, The DFA One-Year Fixed Income Portfolio, The DFA International High Book to Market Portfolio and The Emerging Markets Portfolio owned 78%, 100%, 98 %, 99%, 100%, 33% and 99% respectively, of the outstanding shares or net assets of its corresponding Master Fund. The financial statements of the Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. The Exchanges are not expected to have any adverse tax effects on the Portfolios. The transfer of a Portfolio's assets to a Series in exchange for shares of beneficial interest in the Series is, in the opinion of counsel to the Fund, expected to be a tax-free event, and, therefore, will not result in the recognition of any taxable gain (or loss) for each Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with generally accepted accounting principles for investment companies. Such policies are consistently followed by the Fund in preparation of its financial statements. 1. Security Valuation: Securities held by The U.S. 9-10 Small Company Portfolio and The DFA/AEW Real Estate Securities Portfolio ("the Domestic Equity Portfolios") which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day, or if there is no such reported sale, at the mean between the most recent bid and asked prices. Securities held by The Japanese Small Company Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small Company Portfolio, The Continental Small Company Portfolio and The Large Cap International 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. 173 Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. The value of securities for which no quotations are readily available are determined in good faith at fair value using methods determined by the Board of Directors. Securities held by The DFA Five-Year Government Portfolio, The DFA Global Fixed Income Portfolio and The DFA Intermediate Government Fixed Income Portfolio ("the Fixed Income Portfolios"), are valued on the basis of prices provided by a pricing service when such prices are believed to reflect the fair market value of such securities. Securities for which quotations are not readily available are valued in good faith at fair value using methods determined by the Board of Directors. Master Fund shares held by the Feeder Funds are valued at their respective daily net asset values or, for The Emerging Markets Portfolio, its investment reflects its proportionate interest in the net assets of the corresponding Master Fund. 2. Foreign Currency Translation: Securities, other assets and liabilities of The International Equity Portfolios and The DFA Global Fixed Income Portfolio whose values are initially expressed in foreign currencies are translated to U.S. dollars at the bid price of such currency against U.S. dollars last quoted by a major bank. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The DFA Global Fixed Income Portfolio also enters into forward foreign currency contracts solely for the purpose of hedging against fluctuations in currency exchange rates. These contracts are also marked to market daily based on daily exchange rates. 3. Federal Income Taxes: It is each Portfolio's intention to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal taxes is required in the financial statements. 4. Reclassifications: As of December 1, 1993, the Portfolios implemented AICPA Statement of Position 93-2 -- Determination, Disclosure and Financial Statement Presentation of Income, Capital Gain, and Return of Capital Distributions by Investment Companies. Adoption of this standard results in the reclassification to paid-in capital of permanent differences between tax and financial reporting of net investment income and net realized gain/(loss). As a result, for the U.S. 9-10 Small Company Portfolio, amounts as of December 1, 1993, have been restated to reflect an increase in paid in capital of $24,485,645, an increase in undistributed net income of $5,568,206 and a decrease in accumulated net realized gain on investments of $30,053,851. The change has had no material effect on paid in capital or other components of net assets on the other Portfolios at December 1, 1993. Distributions to shareholders and net asset values were not affected by this change. 5. Other: Security transactions are accounted for on the date the securities are purchased or sold. Costs used in determining realized gains and losses on the sale of investment securities are those of specific securities sold. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities. Expenses directly attributable to a Portfolio are directly charged. Common expenses are allocated using methods determined by the Board of Directors. The Emerging Markets Portfolio accrues its share of income, net of expenses daily on its investment in its corresponding Master Fund, which is treated as a partnership for federal income tax purposes. All of the net investment income and realized and unrealized gains and losses from the security transactions and foreign currency of the Master Fund are allocated pro rata among its investors at the time of such determination. C. INVESTMENT ADVISOR AND ADMINISTRATOR: Dimensional Fund Advisors Inc. ("the Advisor") provides investment advisory services to all Portfolios except the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board of Directors, and other administrative services. 174 For the period ended November 30, 1994, the Portfolios' advisory fees were computed daily and paid monthly to the Advisor based on the following effective annual rates: The U.S. 9-10 Small Company Portfolio .................... .50 of 1% The DFA/AEW Real Estate Securities Portfolio ............. .325 of 1% The Japanese Small Company Portfolio ..................... .50 of 1% The Pacific Rim Small Company Portfolio .................. .50 of 1% The United Kingdom Small Company Portfolio ............... .50 of 1% The Continental Small Company Portfolio .................. .50 of 1% The Large Cap International Portfolio .................... .25 of 1% The DFA International High Book to Market Portfolio ...... .40 of 1% (advisory agreement terminated 2/15/94) ................ The DFA Five-Year Government Portfolio ................... .20 of 1% The DFA Global Fixed Income Portfolio .................... .25 of 1% The DFA Intermediate Government Fixed Income Portfolio ... .15 of 1% In addition, pursuant to a Sub-Advisory agreement with Aldrich, Eastman & Waltch L.P., ("the Sub-Advisor"), The DFA/AEW Real Estate Securities Portfolio pays to the Sub-Advisor a fee at the effective annual rate of .175% of the average net assets of the Portfolio. The Advisor has agreed to bear all of the ordinary operating expenses of The U.S. Large Company Portfolio except for the administrative services fee. The Advisor agreed to reimburse The Large Cap International Portfolio through July 18, 1993 to the extent necessary to keep the cumulative expenses of the Portfolio to not more than 0.50% of average daily net assets of the Portfolio on an annualized basis. With respect to The DFA International High Book to Market Portfolio, the Advisor agreed to waive its advisory fees through February 15, 1994 to the extent necessary to keep the cumulative annual expenses to not more than 0.65% of average net assets of the Portfolio. For the period ended November 30, 1994, the Feeder Funds computed daily and paid monthly to the Advisor an administrative fee based on the following effective annual rates: The U.S. 6-10 Small Company Portfolio ................. .32 of 1% The U.S. Large Company Portfolio ...................... .215 of 1% The U.S. Small Cap Value Portfolio .................... .30 of 1% The U.S. Large Cap Value Portfolio .................... .15 of 1% The DFA One-Year Fixed Income Portfolio ............... .10 of 1% The DFA International High Book to Market Portfolio ... .20 of 1% The Emerging Markets Portfolio ........................ .40 of 1% Certain officers of the Portfolios are also officers, directors and shareholders of the Advisor. 175 D. PURCHASES AND SALES OF SECURITIES: For the year (or period) ended November 30, 1994, the Portfolios made the following purchases and sales of investment securities (amounts for The DFA International High Book to Market Portfolio represent purchases and sales prior to the Exchange):
Other U.S. Government Investment Securities Securities ------------------------- ------------------------- Purchases Sales Purchases Sales (000) (000) (000) (000) ----------- ---------- ----------- ---------- The U.S. 9-10 Small Company Portfolio ............. -- -- $137,644 $129,074 The DFA/AEW Real Estate Securities Portfolio ...... -- -- 20,745 7,737 The Japanese Small Company Portfolio .............. -- -- 90,106 30,975 The Pacific Rim Small Company Portfolio ........... -- -- 70,431 48,927 The United Kingdom Small Company Portfolio ........ -- -- 33,054 21,728 The Continental Small Company Portfolio ........... -- -- 61,092 32,234 The Large Cap International Portfolio ............. -- -- 19,102 52,468 The DFA International High Book to Market Portfolio -- -- 7,449 24 The DFA Five-Year Government Portfolio ............ $202,552 $106,994 -- -- The DFA Global Fixed Income Portfolio ............. 29,162 61,315 144,935 73,924 The DFA Intermediate Government Fixed Income Portfolio ........................................ 29,488 13,158 -- 2,138
E. INVESTMENT TRANSACTIONS: At November 30, 1994, gross unrealized appreciation and depreciation for financial reporting and federal income tax purposes of investment securities and foreign currencies for each Portfolio were as follows:
Gross Unrealized Gross Unrealized Appreciation Depreciation Net ---------------- ---------------- ---------- (000) (000) (000) The U.S. 9-10 Small Company Portfolio ................. $208,158 $(147,096) $ 61,062 The U.S. 6-10 Small Company Portfolio ................. 16,119 -- 16,119 The U.S. Large Company Portfolio ...................... 6,058 -- 6,058 The U.S. Small Cap Value Portfolio .................... -- (1,439) (1,439) The U.S. Large Cap Value Portfolio .................... -- (8,613) (8,613) The DFA/AEW Real Estate Securities Portfolio .......... 296 (3,376) (3,080) The Japanese Small Company Portfolio .................. 42,341 (15,580) 26,761 The Pacific Rim Small Company Portfolio ............... 50,431 (16,085) 34,346 The United Kingdom Small Company Portfolio ............ 52,023 45,023 7,000 The Emerging Markets Portfolio ........................ 1,335 (882) 453 The Continental Small Company Portfolio ............... 77,343 (40,600) 36,743 The Large Cap International Portfolio ................. 10,073 (584) 9,489 The DFA International High Book to Market Portfolio ... 8,844 -- 8,844 The DFA One-Year Fixed Income Portfolio ............... -- (6,638) (6,638) The DFA Five-Year Government Portfolio ................ -- (15,098) (15,098) The DFA Global Fixed Income Portfolio ................. -- (669) (669) The DFA Intermediate Government Fixed Income Portfolio 282 (2,882) (2,600)
176 At November 30, 1994, the following Portfolios had capital loss carryovers for federal income tax purposes:
Expires on November 30 ----------------------------- (Amounts in thousands) 2001 2002 Total ------ -------- -------- The U.S. 9-10 Small Company Portfolio ............. -- $5,057 $5,057 The U.S. Large Cap Value Portfolio ................ -- 5 5 The DFA/AEW Real Estate Securities Portfolio ...... $12 1,018 1,030 The DFA International High Book to Market Portfolio 17 -- 17 The DFA Five Year Government Portfolio ............ -- 2,306 2,306 The DFA Global Fixed Income Portfolio ............. -- 5,469 5,469
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
At November 30, 1994 Net Assets Consist of: ---------------------------------------------------------------------------------------------------------- (Amounts in thousands) Unrealized Undistributed Appreciation Unrealized Undis- Undis- Net Realized (Depreciation) Net tributed Net tributed Foreign of Investment Foreign Investment Net Exchange Securities Exchange Number of Paid-In Income Realized Gain and Foreign Gain Total Net Shares Capital (Loss) Gain (Loss) (Loss) Currency (Loss) Assets Authorized ---------- ------- ------------- ---------- --------------- ---------- ----------- ------------- The U.S. 9-10 Small Company Portfolio ...... $604,145 $4,770 $(10,756) -- $ 61,062 -- $ 659,221 300,000,000 The U.S. 6-10 Small Company Portfolio ...... 86,777 (2) 9,243 -- 16,119 -- 112,137 100,000,000 The U.S. Large Company Portfolio ...... 42,821 6 (247) -- 6,058 -- 48,638 200,000,000 The U.S. Small Cap Value Portfolio ........ 345,629 20 (62) -- (1,439) -- 344,148 100,000,000 The U.S. Large Cap Value Portfolio ........ 206,453 16 (290) -- (8,613) -- 197,566 100,000,000 The DFA/AEW Real Estate Securities Portfolio .............. 34,566 -- (1,030) -- (3,080) -- 30,456 100,000,000 The Japanese Small Company Portfolio ...... 299,232 191 4,371 $ 104 26,761 $ 15 330,674 20,000,000 The Pacific Rim Small Company Portfolio ...... 176,084 54 2,501 (29) 34,346 (3) 212,953 20,000,000 The United Kingdom Small Company Portfolio .............. 206,854 83 (50) 241 7,000 (15) 214,113 20,000,000 The Emerging Markets Portfolio .............. 15,277 -- -- -- 453 1 15,731 100,000,000 The Continental Small Company Portfolio ...... 304,354 661 (1,012) 160 36,743 86 340,992 50,000,000 The Large Cap International Portfolio .............. 45,284 273 838 (253) 9,489 4 55,635 150,000,000 The DFA International High Book to Market Portfolio .............. 104,204 22 (121) 3 8,844 -- 112,952 100,000,000 The DFA One-Year Fixed Income Portfolio .............. 600,278 17 (1,431) -- (6,638) -- 592,226 20,000,000 The DFA Five-Year Government Portfolio ... 252,845 191 (2,384) -- (15,098) -- 235,554 20,000,000 The DFA Global Fixed Income Portfolio ....... 141,644 2,306 (5,473) (2,805) (669) 526 135,529 10,000,000 The DFA Intermediate Government Fixed Income Portfolio ....... 63,351 61 15 -- (2,600) -- 60,827 10,000,000
177 G. FINANCIAL INSTRUMENTS: In accordance with the Portfolios' Investment Objectives and Policies, the Portfolios may invest, either directly or through its investment in a corresponding Master Portfolio, in certain financial instruments which have off- balance sheet risk and concentrations of credit risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements. The Portfolios may purchase money market instruments subject to the seller's agreement to repurchase them at an agreed upon date and price. The seller will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system or with the Fund's custodian or a third party sub-custodian. All repurchase agreements were entered into on November 30, 1994. 2. Forward Foreign Currency Contracts: The DFA Global Fixed Income Portfolio may enter into forward foreign currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies. At November 30, 1994, the Portfolio had entered into the following contracts and the related net unrealized gain is reflected in the accompanying financial statements:
Unrealized Value at Foreign Expiration Contract November 30, Exchange Gain Date Currency Sold Amount 1994 (Loss) -------------- ------------------------------------ -------------- -------------- --------------- 12/07/94 4,063,227 British Pound Sterling $ 6,529,589 $ 6,375,696 $153,893 12/14/94 203,564,657 Japanese Yen 2,087,843 2,062,591 25,252 12/14/94 26,025,600 German Marks 16,965,841 16,599,022 366,819 12/19/94 1,929,850 Australian Dollar 1,452,453 1,484,121 (31,668) 12/19/94 995,270 British Pound Sterling 1,577,234 1,560,734 16,500 12/21/94 2,137,160 Australian Dollar 1,607,679 1,642,688 (35,009) 12/27/94 70,177,924 French Francs 13,146,192 13,040,354 105,838 12/27/94 1,073,777,781 Japanese Yen 10,944,297 10,874,369 69,928 12/28/94 5,161,788 British Pound Sterling 8,112,008 8,084,149 27,859 12/29/94 34,869,639 Canadian Dollar 25,317,756 25,392,704 (74,948) 12/30/94 9,214,600 German Marks 5,892,366 5,882,559 9,807 12/30/94 1,041,908,334 Japanese Yen 10,585,272 10,551,977 33,295 12/30/94 13,200,430 Australian Dollar 10,053,976 10,147,592 (93,616) 12/30/94 6,983,022 British Pound Sterling 10,914,673 10,942,258 (27,585) -------------- -------------- --------------- Totals $125,187,179 $124,640,814 $546,365 ============== ============== ===============
Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. The DFA Global Fixed Income Portfolio will enter into forward contracts only for hedging purposes. H. REIMBURSEMENT FEES: Shares of The Japanese Small Company Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small Company Portfolio, The Emerging Markets Portfolio and The Continental Small Company Portfolio are sold at a public offering price which is equal to the current net asset value of such shares plus a reimbursement fee. Reimbursement fees are recorded as an addition to paid in capital. The amount of reimbursement fee for The 178 Japanese Small Company Portfolio is 1% of the net asset value of its shares. The reimbursement fees for The Pacific Rim Small Company Portfolio, The United Kingdom Small Company Portfolio, The Emerging Markets Portfolio and The Continental Small Company Portfolio are 1.5% of the net asset value of their respective shares. I. SECURITIES LENDING: Security loans are required at all times to be secured by collateral at least equal to 105% of the market value of the securities on loan; however, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. The market value of securities on loan to brokers and the related collateral cash and indemnification received by each Portfolio at November 30, 1994, is as follows:
Value of Value of Securities Collateral and on Loan Indemnification ------------------- --------------- The Japanese Small Company Portfolio .. $58,051,484 $60,954,058 The Pacific Rim Small Company Portfolio 4,109,800 4,315,290 The Continental Small Company Portfolio 8,475,469 8,899,242 The Large Cap International Portfolio . 312,683 328,317
179 REPORT OF INDEPENDENT ACCOUNTANTS TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.: We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of DFA Investment Dimensions Group Inc. (comprising, respectively, The U.S. 9-10 Small Company, The U.S. 6-10 Small Company, The U.S. Large Company, The U.S. Small Cap Value, The U.S. Large Cap Value, The DFA/AEW Real Estate Securities, The Japanese Small Company, The Pacific Rim Small Company, The United Kingdom Small Company, The Emerging Markets, The Continental Small Company, The Large Cap International, The DFA International High Book To Market, The DFA One-Year Fixed Income, The DFA Five-Year Government, The DFA Global Fixed Income and The DFA Intermediate Government Fixed Income Portfolios) as of November 30, 1994, and the related statements of operations for the year then ended and the statements of changes in net assets and financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights of the DFA Investment Dimensions Group Inc. for the year ended November 30, 1992 and each of the prior periods presented were audited by other auditors, whose report dated January 19, 1993 expressed an unqualified opinion thereon. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of investments owned as of November 30, 1994, by correspondence with the custodians and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective portfolios constituting the DFA Investment Dimensions Group Inc. as of November 30, 1994, and the results of their operations for the year then ended and the changes in their net assets and their financial highlights for each of the two years in the period then ended, in conformity with generally accepted accounting principles. COOPERS & LYBRAND L.L.P. 2400 Eleven Penn Center Philadelphia, Pennsylvania January 23, 1995 180 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS =============================================================================== The U.S. 6-10 Small Company Series Vs. CRSP 6-10 Index March 1993-November 1994 The following reflects the growth of a $10,000 investment. The U.S. 6-10 CRSP Small Company 6-10 Series Index ------------- ----- $10000 $10000 Mar-93 10200 10300 Apr-93 9900 10000 May-93 10300 10500 Jun-93 10300 10500 Jul-93 10400 10600 Aug-93 10700 11100 Sep-93 11000 11400 Oct-93 11200 11800 Nov-93 11000 11400 Dec-93 11300 11800 Jan-94 11600 12200 Feb-94 11500 12100 Mar-94 11000 11400 Apr-94 11000 11400 May-94 11000 11300 Jun-94 10600 11000 Jul-94 10800 11200 Aug-94 11300 11800 Sep-94 11400 11900 Oct-94 11400 11900 Nov-94 11000 11400 Annualized From Total Return (%) One Year March 1993 - ------------------------------------------------------------------------------ 0.59 5.81 * The portfolio seeks to capture premium returns and diversification benefits by investing in a broad cross-section of small companies on a market cap weighted basis. The U.S. 6-10 Small Company Series provides access to publicly traded U.S. Small Companies with market capitalization of approximately $400 million or less. * This portfolio's return in fiscal 1994 reflected the performance of decile 6-10 companies in the U.S. Past performance is not predictive of future performance. CRSP 6-10 Index courtesy Center for Research in Security Prices, University of Chicago. - ------------------------------------------------------------------------------ 181 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS =============================================================================== The U.S. Large Company Series Vs. S&P 500 Index March 1993-November 1994 The following reflects the growth of a $10,000 investment. The U.S. S&P Large Company 500 Series Index ------------- ----- $10000 $10000 Mar-93 10200 10200 Apr-93 10000 10000 May-93 10200 10200 Jun-93 10200 10300 Jul-93 10200 10200 Aug-93 10600 10600 Sep-93 10500 10500 Oct-93 10700 10700 Nov-93 10600 10600 Dec-93 10800 10800 Jan-94 11100 11100 Feb-94 10800 10800 Mar-94 10300 10400 Apr-94 10500 10500 May-94 10700 10700 Jun-94 10400 10400 Jul-94 10700 10700 Aug-94 11200 11200 Sep-94 10900 10900 Oct-94 11200 11200 Nov-94 10800 10800 Annualized From Total Return (%) One Year March 1993 - ---------------------------------------------------------------------------- 1.30 4.27 * This portfolio provides access to U.S. large companies in a portfolio structured to approximate the performance of the S&P 500 Index. * This portfolio's returns in fiscal 1994 reflected the performance of S&P 500 companies. Past performance is not predictive of future performance. - ----------------------------------------------------------------------------- 182 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS =============================================================================== The U.S. Small Cap Value Index Vs. Fama-French Small Cap Value Index March 1993-November 1994 The following reflects the growth of a $10,000 investment. The U.S. Fama-French Small Cap Small Cap Value Index Value Index ------------ ------------ $10000 $10000 Mar-93 9900 10300 Apr-93 9700 10000 May-93 10000 10400 Jun-93 10000 10400 Jul-93 10300 10600 Aug-93 10600 10900 Sep-93 11000 11200 Oct-93 11400 11500 Nov-93 11200 11300 Dec-93 11400 11500 Jan-94 12000 12100 Feb-94 12000 12100 Mar-94 11600 11500 Apr-94 11600 11500 May-94 11700 11500 Jun-94 11500 11200 Jul-94 11700 11400 Aug-94 12100 11900 Sep-94 12000 11900 Oct-94 11900 11700 Nov-94 11500 11300 Annualized From Total Return (%) One Year March 1993 - ------------------------------------------------------------------------------ 2.52 8.06 * Dimensional's multifactor portfolios attempt to capture return premiums associated with high book-to- market ratios and capitalization. The small stock high book-to-market portfolio deals with companies that are approximately $500 million or less in market cap and have book-to-market ratios in the upper 30% of publicly traded companies, and is invested on a market cap weighted basis. * This portfolio's returns in fiscal 1994 reflected the performance of small cap high book-to-market U.S. companies. Past performance is not predictive of future performance. Fama-French Small Cap Value Index courtesy Fama-French and CRSP, University of Chicago. - ------------------------------------------------------------------------------ 183 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS =============================================================================== The U.S. Large Cap Value Series Vs. Fama-French Large Cap Value Index March 1993-November 1994 The following reflects the growth of a $10,000 investment. The U.S. Fama-French Large Cap Value Large Cap Value Series Index -------------- --------------- $10000 $10000 Mar-93 10100 10300 Apr-93 10100 10200 May-93 10200 10300 Jun-93 10400 10500 Jul-93 10500 10700 Aug-93 10800 11000 Sep-93 10600 10900 Oct-93 10700 11000 Nov-93 10600 10900 Dec-93 10900 11200 Jan-94 11200 11400 Feb-94 10700 11000 Mar-94 10300 10500 Apr-94 10400 10600 May-94 10400 10500 Jun-94 10100 10300 Jul-94 10600 10800 Aug-94 10900 11100 Sep-94 10600 10700 Oct-94 10800 10900 Nov-94 10300 10600 Annualized From Total Return (%) One Year March 1993 - ------------------------------------------------------------------------------ -3.13 1.79 * Dimensional's multifactor portfolios attempt to capture return premiums associated with high book-to-market ratios and capitalization. The Large Cap Value series invests in companies that are approximately $400 million or larger in market cap and have book-to-market ratios in the upper 30% of publicly traded companies, and is invested on a market cap weighted basis. * This portfolio's returns in fiscal 1994 reflected the performance of large cap high book-to-market U.S. companies. Past performance is not predictive of future performance. Fama-French Large Cap Value Index courtesy Fama-French and CRSP, University of Chicago. - ------------------------------------------------------------------------------ 184 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS =============================================================================== The DFA One-Year Fixed Income Series Vs. One Month CD's March 1993-November 1994 The following reflects the growth of a $10,000 investment. The DFA One-Year Fixed Income One Month Series CD's -------------------- ---------- Mar-93 $10000 $10000 Apr-93 10100 10000 May-93 10100 10100 Jun-93 10100 10100 Jul-93 10200 10100 Aug-93 10200 10100 Sep-93 10300 10200 Oct-93 10300 10200 Nov-93 10300 10200 Dec-93 10300 10200 Jan-94 10400 10300 Feb-94 10400 10300 Mar-94 10400 10300 Apr-94 10400 10300 May-94 10400 10400 Jun-94 10400 10400 Jul-94 10500 10400 Aug-94 10500 10500 Sep-94 10500 10500 Oct-94 10600 10600 Nov-94 10600 10600 Annualized From Total Return (%) One Year March 1993 - ------------------------------------------------------------------------------ 2.61 3.24 * Dimensional's Fixed Income Strategy maximizes expected returns by shifting maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies and identifies the optimal maturity range for the highest expected returns. Issues which meet maturity and quality levels are further evaluated for business risk. Maturities are shifted if sufficient premiums can be documented. Investments are made in high quality obligations, including BAs, CDs, corporate debt obligations and commercial paper of U.S. as well as non-U.S. issuers (Yankees). Average maturity is maintained under one year with no individual issue longer than two years. * This portfolio's returns in fiscal 1994 reflected the performance of its strategy. Past performance is not predictive of future performance. - ------------------------------------------------------------------------------ 185 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS =============================================================================== The DFA International Value Series Vs. EAFE Index March 1994-November 1994 The following reflects the growth of a $10,000 investment. The DFA International Value EAFE Series Index ------------------- ------- $10000 $10000 Mar-94 9700 9600 Apr-94 10100 10000 May-94 10100 9900 Jun-94 10200 10100 Jul-94 10400 10200 Aug-94 10600 10400 Sep-94 10200 10100 Oct-94 10600 10400 Nov-94 10100 9900 Total From Return (%) March 1994 - ----------------------------------------------------------------------------- 0.99 * This portfolio invests in large non-U.S. high book-to-market companies with market capitalization greater than $500 million, and whose book-to-market factor is in the upper 30% of such large publicly traded companies. Country weightings are designed to reflect each country's market capitalization relative to our country universe, adjusted to reflect cross-ownership. * This was a new portfolio in fiscal 1994. Its returns reflected the performance of large, high book-to-market companies. Past performance is not predictive of future performance. EAFE Index courtesy Morgan Stanley Capital International. - ------------------------------------------------------------------------------ 186 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS =============================================================================== The Emerging Market Series Vs. MSCI Emerging Markets Free Equal Weighted Index May 1994-November 1994 The following reflects the growth of a $10,000 investment. The Emerging Markets MSCI Emerging Markets Series Free Equal Weighted Index -------------------- ------------------------- $10000 $10000 May-94 10175 10320 Jun-94 10057 10018 Jul-94 10805 10635 Aug-94 11780 11942 Sep-94 11908 12066 Oct-94 11564 11832 Nov-94 11200 11200 Total From Return (%) May 1994 - ------------------------------------------------------------------------------ 11.99 * This portfolio provides access to non-U.S. large companies in "emerging market" countries, including Argentina, Brazil, Chile, Indonesia, Malaysia, Mexico, Portugal, Thailand and Turkey. Investment is based on market capitalization, with investments attempting to capture between 40% and 75% of the largest companies in each country. The portfolio attempts to have equal country-weighting. * This was a new portfolio in fiscal 1994. Its returns reflected the performance of an equally weighted emerging markets country portfolio. Past performance is not predictive of future performance. MSCI Emerging Markets Free Equal-Weighted Index created by equal-weighting the MSCI country returns for the nine countries that Dimensional is currently invested in. Courtesy of Morgan Stanley. - ------------------------------------------------------------------------------ 187 THE DFA INVESTMENT TRUST COMPANY SCHEDULE OF INVESTMENTS THE U.S. 6-10 SMALL COMPANY SERIES NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ COMMON STOCKS - (95.2%) *3D0 Co. ................................................ 4,600 $ 61,525 AAR Corp. .............................................. 11,300 148,313 ABM Industries, Inc. ................................... 3,500 72,625 ABS Industries, Inc. ................................... 1,400 19,075 ACC Corp. .............................................. 2,500 40,625 *ACS Enterprises, Inc. .................................. 1,000 7,125 *ACX Technologies, Inc. ................................. 2,500 90,938 ADAC Laboratories (New) ................................ 11,466 96,028 *AEL Industries, Inc. Class A ........................... 1,000 9,000 AEP Industries, Inc. ................................... 3,000 48,375 *AER Energy Resources, Inc. ............................. 5,000 25,938 AL Laboratories, Inc. Class A .......................... 8,800 151,800 *AMC Entertainment, Inc. ................................ 1,300 14,138 *ARI Holdings Corp. ..................................... 900 4,838 *ARI Network Services, Inc. ............................. 2,800 8,575 *ARK Restaurants Corp. .................................. 1,000 7,750 *AST Research, Inc. ..................................... 10,000 150,000 Aaron Rents, Inc. Class A .............................. 4,800 60,900 Aaron Rents, Inc. Class B .............................. 4,800 60,600 *Abaxis, Inc. ........................................... 2,000 7,875 *Abbey Healthcare Group, Inc. ........................... 2,853 67,046 *Abex, Inc. ............................................. 5,700 40,613 Abington Savings Bank MA ............................... 700 9,100 *Abiomed, Inc. .......................................... 2,600 16,575 *Accell International Corp. ............................. 2,700 6,919 *Acceptance Insurance Companies, Inc. ................... 5,025 72,234 *Access Health Marketing, Inc. .......................... 1,000 17,375 *Ackerley Communications, Inc. .......................... 600 3,975 *Acme Electric Corp. .................................... 3,000 40,125 *Acme Metals, Inc. ...................................... 2,100 33,338 *Acme United Corp. ...................................... 3,400 9,775 Acme-Cleveland Corp. ................................... 7,000 76,125 Actava Group, Inc. ..................................... 7,100 70,113 *Action Industries, Inc. ................................ 3,600 6,300 *Acuson Corp. ........................................... 20,000 335,000 *Acxiom Corp. ........................................... 7,600 204,250 *Adage, Inc. ............................................ 3,100 14,725 *Adams Resources & Energy, Inc. (New) ................... 1,000 9,000 *Addington Resources, Inc. .............................. 4,200 36,750 *Adelphia Communications Corp. Class A .................. 6,000 67,500 *Advance Circuits, Inc. ................................. 7,475 92,503 *Advance Ross Corp. (New) ............................... 5,000 103,750 *Advanced Logic Research, Inc. .......................... 5,200 24,375 *Advanced Magnetics, Inc. ............................... 6,000 83,250 *Advanced Marketing Services, Inc. ...................... 2,700 16,875 *Advanced Medical, Inc. ................................. 2,800 5,425 *Advanced NMR Systems, Inc. ............................. 4,700 11,163 *Advanced Polymer Systems, Inc. ......................... 5,400 24,469 *Advanced Technology Labs, Inc. ......................... 6,640 118,690 *Advanced Tissue Sciences, Inc. ......................... 22,900 198,944 *Advantage Bancorp, Inc. ................................ 1,000 28,375 *Advantage Health Corp. ................................. 1,000 29,250 *Advest Group, Inc. ..................................... 2,700 14,175 Advo, Inc. ............................................. 8,000 143,000
188 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Aequitron Medical, Inc. ................................ 2,200 $ 8,663 *Aeroflex, Inc. ......................................... 2,500 9,688 *Aerosonic Corp. DE ..................................... 1,000 2,000 *Aerovox, Inc. .......................................... 1,000 7,000 *Agouron Pharmaceuticals, Inc. .......................... 3,300 37,538 *Aileen, Inc. ........................................... 7,800 13,650 *Air & Water Technologies Corp. Class A ................. 15,000 88,125 Air Express International Corp. ........................ 3,300 88,275 *Air Methods Corp. (New) ................................ 1,500 3,000 Airborne Freight Corp. ................................. 6,300 124,425 *Airsensors, Inc. ....................................... 2,500 23,750 Airtran Corp. .......................................... 1,900 14,963 *Akorn, Inc. ............................................ 5,100 16,097 *Alamco, Inc. (New) ..................................... 1,300 8,125 *Alantec Corp. .......................................... 5,000 103,750 *Alaska Air Group, Inc. ................................. 6,100 99,888 Alatenn Resources, Inc. ................................ 1,300 22,425 *Alba-Waldensian, Inc. .................................. 3,700 39,775 Albank Financial Corp. ................................. 3,700 78,856 Alex Brown, Inc. ....................................... 4,600 130,525 *Alexander Energy Co. ................................... 1,000 6,500 Alfa Corp. ............................................. 8,000 83,000 Alico, Inc. ............................................ 2,100 35,438 *Alkermes, Inc. ......................................... 8,200 27,675 *All American Semiconductor, Inc. ....................... 3,400 6,906 *Allegheny & Western Energy Corp. ....................... 4,800 51,900 *Allegiant Physician Services, Inc. ..................... 3,000 6,469 *Alliance Entertainment Corp. ........................... 6,300 32,288 *Alliance Pharmaceuticals Corp. ......................... 12,900 95,944 *Alliant Techsystems, Inc. .............................. 5,500 194,463 Allied Group, Inc. ..................................... 4,150 104,269 *Allied Holdings, Inc. .................................. 5,000 60,625 Allied Life Financial Corp. ............................ 2,000 28,500 *Allied Products Corp. .................................. 9,500 130,625 *Allied Research Corp. .................................. 1,400 7,700 *Allied Waste Industries, Inc. .......................... 5,200 23,400 *Allou Health & Beauty Care, Inc. Class A ............... 1,600 12,200 *Allstate Financial Corp. ............................... 1,000 6,156 *Alltrista Corp. ........................................ 653 12,815 *Allwaste, Inc. ......................................... 11,100 67,988 *Aloette Cosmetics, Inc. ................................ 1,000 2,250 *Alpha Beta Technology, Inc. ............................ 2,000 22,500 *Alpha Industries, Inc. ................................. 10,000 63,750 *Alpha Microsystems, Inc. ............................... 1,000 1,250 *Alpine Group, Inc. ..................................... 15,736 90,482 *Alpine Lace Brands, Inc. ............................... 1,700 6,481 *Alteon, Inc. ........................................... 8,300 50,838 *Altron, Inc. ........................................... 2,400 49,800 *Ambers Stores, Inc. .................................... 1,000 1,750 Amcast Industrial Corp. ................................ 5,800 117,450 Amcore Financial, Inc. ................................. 3,150 53,944 *Amdura Corp. (New) ..................................... 1,800 3,150 *America Online, Inc. ................................... 4,800 201,600 *America Services Group, Inc. ........................... 3,000 17,438 American Annuity Group, Inc. ........................... 13,000 118,625
189 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ American Bankers Insurance Group, Inc. ................. 6,000 $118,500 American Biltrite, Inc. ................................ 4,800 121,500 *American Biogenetic Sciences, Inc. Class A ............. 3,700 6,706 *American Business Information, Inc. .................... 6,000 102,750 American Business Products, Inc. ....................... 3,300 66,413 *American City Business Journals, Inc. .................. 2,000 32,750 *American Claims Evaluation, Inc. ....................... 1,000 2,000 American Classic Voyages Co. ........................... 3,900 62,888 American Colloid Co. ................................... 6,200 108,888 *American Consumer Products, Inc. ....................... 1,500 4,688 American Ecology Corp. ................................. 5,250 38,719 *American Educational Products, Inc. .................... 1,900 4,513 American Federal Bank FSB Greenville, SC ............... 2,900 31,900 *American Healthcorp, Inc. .............................. 5,000 27,500 American Heritage Life Investment Corp. ................ 6,300 111,038 *American Homepatient, Inc. ............................. 3,000 61,125 American Indemnity Financial Corp. ..................... 800 8,400 *American International Petroleum Corp. ................. 30 33 American List Corp. .................................... 825 14,644 American Maize Products Co. Class A .................... 2,000 47,000 *American Management Systems, Inc. ...................... 11,250 187,734 *American Medical Electronics, Inc. ..................... 4,400 28,325 *American Medical Response, Inc. ........................ 7,700 196,350 *American Mobil Systems, Inc. ........................... 1,500 12,938 *American Mobile Satellite Corp. ........................ 8,000 104,000 *American Pacific Corp. ................................. 2,500 22,500 *American Physicians Services Group, Inc. ............... 1,000 2,531 American Precision Industries, Inc. .................... 15,200 108,300 American Recreation Centers, Inc. ...................... 1,000 6,000 *American Recreation Co. Holdings, Inc. ................. 5,000 38,750 *American Savings of Florida, FSB (New) ................. 6,900 111,263 *American Science & Engineering, Inc. ................... 7,800 43,875 *American Shared Hospital Services ............................................. 600 263 American Software, Inc. Class A ........................ 3,100 11,431 American Studios, Inc. ................................. 12,500 46,094 *American Superconductor Corp. .......................... 1,500 34,500 *American Technical Ceramics Corp. ...................... 1,800 5,963 *American Travellers Corp. .............................. 2,600 43,225 *American United Global, Inc. ........................... 1,000 3,656 *American White Cross, Inc. ............................. 5,000 16,250 *American Woodmark Corp. ................................ 660 3,300 Americana Bancorp, Inc. ................................ 1,200 17,850 *Americredit Corp. ...................................... 13,300 79,800 *Ameridata Technologies, Inc. ........................... 3,000 39,375 Amerifed Financial Corp. ............................... 1,000 44,375 *Amerihost Properties, Inc. ............................. 4,000 16,250 *Ameriquest Technology, Inc. ............................ 1,000 3,000
190 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Ameriwood Industries International Corp. ............... 3,200 $ 28,600 Ameron, Inc. ........................................... 1,100 35,750 *Amfed Financial, Inc. .................................. 456 9,006 Ampco-Pittsburgh Corp. ................................. 4,400 30,800 Amre, Inc. ............................................. 11,200 61,600 *Amrep Corp. (New) ...................................... 10,900 76,300 Amresco, Inc. .......................................... 8,600 62,350 *Amsco International, Inc. .............................. 8,000 76,000 Amtech Corp. ........................................... 4,375 39,102 Amvestors Financial Corp. (New) ........................ 6,220 52,870 Amwest Insurance Group, Inc. ........................... 3,900 45,825 *Amylin Pharmaceuticals, Inc. ........................... 2,500 15,313 *Anacomp, Inc. .......................................... 12,300 27,675 *Analogic Corp. ......................................... 3,800 72,675 Analysis & Technology, Inc. ............................ 800 12,200 Analysts International Corp. ........................... 3,700 70,300 *Anaren Microwave, Inc. ................................. 2,000 6,250 *Anchor Bancorp, Inc. ................................... 10,500 147,000 Andover Bancorp, Inc. DE ............................... 800 11,550 *Andrea Electronics Corp. ............................... 1,000 22,000 *Andros, Inc. ........................................... 5,000 80,625 *Anergen, Inc. .......................................... 1,000 3,000 Angelica Corp. ......................................... 4,600 116,725 *Anika Research, Inc. ................................... 2,280 4,133 Anthony Industries, Inc. ............................... 7,116 117,412 *Anuhco, Inc. ........................................... 2,200 23,925 *Apertus Technologies, Inc. ............................. 3,700 36,538 *Aphton Corp. ........................................... 2,500 31,875 Apogee Enterprises, Inc. ............................... 4,000 73,000 Apple South, Inc. ...................................... 6,750 85,219 Applebee's International, Inc. ......................... 4,400 65,450 *Appliance Recycling Centers of America, Inc. ........... 1,000 5,000 *Applied Bioscience International, Inc. ................. 12,800 60,800 *Applied Extrusion Technologies, Inc. ................... 2,700 28,350 *Applied Magnetics Corp. ................................ 6,000 17,250 *Applied Microbiology, Inc. ............................. 3,600 12,150 Applied Power, Inc. Class A ............................ 3,500 77,000 *Applied Signal Technologies, Inc. ...................... 5,000 20,938 Aptargroup, Inc. ....................................... 3,200 82,400 Aquarion Co. ........................................... 1,800 39,600 Arbor Drugs, Inc. ...................................... 9,000 191,250 *Arbor National Holdings, Inc. .......................... 5,000 72,188 *Arch Communications Group, Inc. ........................ 5,100 101,044 *Arch Petroleum, Inc. (New) ............................. 4,600 9,344 *Argosy Gaming Corp. .................................... 4,900 59,106 Arkansas Best Corp. .................................... 9,000 109,125 Armor All Products Corp. ............................... 9,700 204,913 *Arrhythmia Research Technology, Inc. ................... 1,100 3,025 *Arrow Automotive Industries, Inc. ...................... 4,800 35,400 *Arrow Electronics, Inc. ................................ 5,338 194,152 Arrow International, Inc. .............................. 1,000 28,250 *Artisoft, Inc. ......................................... 6,400 56,800 Artistic Greetings, Inc. ............................... 1,700 7,013 Ashland Coal, Inc. ..................................... 4,600 133,400 *Ashworth, Inc. ......................................... 8,400 70,875 *Aspect Telecommunications Corp. ........................ 4,600 144,325 Aspen Bancshares, Inc. ................................. 1,125 14,344 Associated Banc-Corp. .................................. 5,610 178,118 Associated Natural Gas Corp. ........................... 7,450 288,688 *Astec Industries, Inc. ................................. 10,400 136,500
191 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Astro-Med, Inc. ........................................ 4,200 $ 44,363 Astronics Corp. ........................................ 1,200 2,550 *Astrosystems, Inc. ..................................... 3,400 13,600 *Astrotech International Corp. (New) .................... 1,800 4,725 *Atari Corp. ............................................ 35,300 185,325 *Athena Neurosciences, Inc. ............................. 14,400 103,500 *Athey Products Corp. ................................... 2,940 20,213 *Atkinson (Guy F.) of California ........................ 2,700 28,013 *Atlantic Coast Airlines, Inc. .......................... 5,000 9,375 *Atlantic Gulf Communities Corp. ........................ 2,600 24,700 *Atlantic Tele-Network, Inc. ............................ 5,600 47,250 Atlantis Plastics, Inc. ................................ 1,100 6,600 *Atlas Corp. ............................................ 6,400 15,200 Atmos Energy Corp. ..................................... 6,900 119,888 *Atrix Labs, Inc. ....................................... 2,300 12,650 *Atwood Oceanics, Inc. .................................. 4,800 62,700 *Au Bon Pain, Inc. Class A .............................. 2,600 41,925 Augat, Inc. ............................................ 11,100 191,475 *Aura Systems, Inc. ..................................... 8,700 38,334 *Aurora Electronics, Inc. ............................... 8,775 40,036 *Auspex Systems, Inc. ................................... 6,800 48,025 *Authentic Fitness Corp. ................................ 5,000 68,125 *Autocam Corp. .......................................... 3,575 47,816 Autoclave Engineers, Inc. .............................. 2,100 18,244 *Autofinance Group, Inc. ................................ 2,520 22,365 *Autoinfo, Inc. ......................................... 3,600 10,013 *Automotive Industries Holding, Inc. Class A ............ 3,400 61,200 *Autotote Corp. Class A ................................. 5,700 71,250 *Avatar Holdings, Inc. .................................. 4,300 147,813 Avemco Corp. ........................................... 4,100 57,400 Aviall, Inc. (New) ..................................... 14,000 127,750 *Avondale Industries, Inc. .............................. 6,600 47,438 *Aydin Corp. ............................................ 3,000 33,750 *Aztar Corp. ............................................ 17,000 102,000 Aztec Manufacturing Co. ................................ 10,300 44,419 *BE Aerospace, Inc. ..................................... 7,300 57,488 BEI Electronics, Inc. .................................. 2,000 10,375 BGS Systems, Inc. ...................................... 2,600 72,475 *BI, Inc. (New) ......................................... 3,800 18,288 *BISYS Group, Inc. ...................................... 1,900 41,088 BJ Services Co. ........................................ 4,200 77,700 BMC Industries, Inc. MN ................................ 11,600 174,000 *BMC West Corp. ......................................... 1,500 18,750 *BMJ Financial Corp. .................................... 5,000 55,000 BSB Bancorp, Inc. ...................................... 2,200 59,400 *BTU International, Inc. ................................ 2,000 9,375 BW/IP, Inc. Class A .................................... 10,000 176,250 *Babbages, Inc. ......................................... 2,700 39,825 *Bachman Information Systems, Inc. ...................... 4,000 14,750 *Back Bay Restaurant Group, Inc. ........................ 2,000 17,750 Bairnco Corp. .......................................... 4,800 21,000 Baker (J), Inc. ........................................ 6,700 110,550 *Baker (Michael) Corp. .................................. 6,000 24,000 Balchem Corp. .......................................... 1,350 7,931 Baldor Electric Co. .................................... 8,260 211,663 *Baldwin Piano & Organ Co. .............................. 2,000 26,000 *Baldwin Technology, Inc. Class A ....................... 9,400 45,238 Ballard Medical Products ............................... 15,900 160,988 *Bally Entertainment Corp. .............................. 8,000 47,000 *Bally Gaming International, Inc. ....................... 2,900 26,100 *Baltek Corp. ........................................... 1,500 11,063 BanCorp New Jersey, Inc. ............................... 1,000 31,000
192 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *BancTec, Inc. .......................................... 7,250 $154,969 *Bancinsurance Corp. .................................... 1,000 3,250 Bancorp Connecticut, Inc. .............................. 1,000 13,250 BancorpSouth, Inc. ..................................... 1,150 36,656 Bangor Hydro-Electric Co. .............................. 6,000 61,500 Bank of New Hampshire Corp. ............................ 2,800 56,000 BankAtlantic Bancorp, Inc. ............................. 690 9,833 BankNorth Group, Inc. DE (New) ......................... 1,700 40,588 Bankers Corp. .......................................... 10,440 135,720 Bankers First Corp. .................................... 1,000 19,000 *Banner Aerospace, Inc. ................................. 12,200 48,800 *Banyan System, Inc. .................................... 7,900 153,063 Barefoot, Inc. ......................................... 5,000 64,375 Barnes Group, Inc. ..................................... 1,600 58,800 Barnwell Industries, Inc. .............................. 600 11,475 *Barr Laboratories, Inc. ................................ 3,900 100,425 *Barra, Inc. ............................................ 6,000 45,750 *Barrett Business Services, Inc. ........................ 2,400 37,200 *Barrett Resources Corp. ................................ 7,900 157,013 *Barry (R.G.) Corp. ..................................... 3,066 55,955 *Base Ten Systems, Inc. Class A ......................... 1,000 7,688 *Basin Exploration, Inc. ................................ 4,900 50,531 *Bassett Furniture Industries, Inc. ..................... 2,900 83,375 Bay State Gas Co. ...................................... 6,500 150,313 Bay View Capital Corp. ................................. 2,000 38,750 *Bayou Steel Corp. Class A .............................. 3,200 10,600 Bearings, Inc. ......................................... 2,200 73,150 Beauticontrol Cosmetics, Inc. .......................... 1,000 14,500 Beeba's Creations, Inc. ................................ 1,600 5,800 *Bel Fuse, Inc. ......................................... 3,000 22,875 Bell Bancorp, Inc. ..................................... 3,200 77,200 *Bell Industries, Inc. .................................. 7,862 172,964 *Bell Sports Corp. ...................................... 1,900 31,350 *Belmac Corp. ........................................... 603 377 *Ben & Jerry's Homemade, Inc. Class A ................... 2,100 26,775 *Ben Franklin Retail Stores, Inc. ....................... 2,200 8,938 *Benchmark Electronics, Inc. ............................ 800 21,600 *Benihana National Corp. ................................ 1,000 6,563 *Benson Eyecare Corp. ................................... 1,047 7,067 *Benton Oil & Gas Co. ................................... 5,300 40,081 *Berlitz International, Inc. (New) ...................... 4,610 57,913 Berry Petroleum Corp. Class A .......................... 13,400 149,075 *Bertuccis, Inc. ........................................ 1,600 20,200 *Bet Holdings, Inc. Class A ............................. 3,700 54,575 *Bettis Corp. ........................................... 6,200 18,213 Big B, Inc. ............................................ 7,100 89,638 *Big O Tires, Inc. ...................................... 2,000 32,125 Bindley Western Industries, Inc. ....................... 6,500 86,125 Binks Manufacturing Co. ................................ 1,598 30,961 *Bio-Logic Systems Corp. ................................ 1,400 3,588 *Bio-Rad Laboratories, Inc. Class A .............................................. 1,000 27,750 *Biocircuits Corp. ...................................... 3,700 3,469 Biocraft Laboratories, Inc. ............................ 8,000 135,000 *Biomagnetic Technologies, Inc. ......................... 1,800 1,913 *Biomatrix, Inc. ........................................ 2,700 12,488 *Biospherics, Inc. ...................................... 700 4,200 *Biosurface Technology, Inc. ............................ 7,000 20,125 *Biosys, Inc. ........................................... 5,000 15,938 *Biowhittaker, Inc. ..................................... 2,700 19,575 *Bird Corp. ............................................. 2,500 21,094 *Bird Medical Technologies, Inc. ........................ 1,800 6,525 *Biscayne Apparel, Inc. ................................. 1,365 3,370 *Black Box Corp. ........................................ 7,000 101,500
193 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Black Hills Corp. ...................................... 9,600 $187,200 Blair Corp. ............................................ 2,800 114,450 Blanch (E.W.) Holdings, Inc. ........................... 6,400 122,400 Blessings Corp. ........................................ 3,000 95,625 *Bloc Development Corp. ................................. 7,100 8,209 Blount, Inc. Class A ................................... 2,300 102,925 *Bolt Beranek & Newman, Inc. ............................ 7,800 155,025 *Bombay Co., Inc. ....................................... 7,000 74,375 *Bon-Ton Stores, Inc. ................................... 1,000 12,250 *Boole & Babbage, Inc. .................................. 3,000 75,375 *Boomtown, Inc. ......................................... 3,900 48,750 *Borg-Warner Security Corp. ............................. 13,700 128,438 *Borland International, Inc. ............................ 17,200 163,400 Boston Acoustics, Inc. ................................. 3,400 60,775 Boston Bancorp ......................................... 2,400 66,300 *Boston Technology, Inc. ................................ 17,000 287,938 *Bowmar Instrument Corp. ................................ 11,700 35,100 Bowne & Co., Inc. ...................................... 7,900 127,388 *Box Energy Corp. Class B ............................... 3,500 35,000 Bradlees, Inc. ......................................... 3,000 41,250 Braintree Savings Bank MA .............................. 600 7,050 Brandon Systems Corp. .................................. 1,200 20,550 *Brauns Fashions Corp. .................................. 1,000 3,188 Brenco, Inc. ........................................... 11,200 135,100 *Brendle's, Inc. ........................................ 4,100 3,331 Bridgford Foods Corp. .................................. 2,505 25,363 *Brite Voice Systems, Inc. .............................. 600 11,138 *Broadcast International, Inc. .......................... 3,200 17,600 *Broadway & Seymour, Inc. ............................... 1,000 19,875 *Broadway Stores, Inc. .................................. 8,000 82,000 *Brock Exploration Corp. ................................ 1,100 4,263 *Broderbund Software, Inc. .............................. 3,800 136,800 *Brooke Group, Ltd. ..................................... 4,700 13,513 *Brookstone, Inc. ....................................... 3,400 47,175 *Brooktree Corp. ........................................ 8,100 70,875 *Brooktrout Technology, Inc. ............................ 2,000 23,000 *Brown & Sharpe Manufacturing Co. Class A ............... 1,000 5,750 *Brown (Tom), Inc. (New) ................................ 3,900 38,756 Brush Wellman, Inc. .................................... 4,100 62,013 *Buckle, Inc. ........................................... 1,900 24,700 *Buffets, Inc. .......................................... 6,200 56,963 *Builders Transport, Inc. ............................... 1,800 20,250 *Bull Run Corp. GA ...................................... 21,300 35,278 *Burlington Coat Factory Warehouse Corp. ...................................... 1,000 11,500 *Burr Brown Corp. ....................................... 8,300 119,313 *Business Records Corp. Holding Co. ..................... 3,500 119,875 *Butler International, Inc. ............................. 1,000 6,250 Butler Manufacturing Co. ............................... 1,400 47,250 *Buttrey Food & Drug Stores Co. ......................... 2,500 18,281 *C-COR Electronics, Inc. ................................ 5,200 262,600 *CCA Industries, Inc. ................................... 1,600 6,200 CCB Financial Corp. .................................... 4,300 165,550 CCP Insurance, Inc. .................................... 5,400 79,650 *CDI Corp. .............................................. 13,100 234,163 *CE Software Holdings, Inc. ............................. 600 1,388 *CEM Corp. .............................................. 3,800 45,600 CFSB Bancorp, Inc. ..................................... 1,000 18,500 CFX Corp. .............................................. 840 14,910 *CII Financial, Inc. .................................... 3,300 17,738 *CIS Technologies, Inc. DE .............................. 8,200 23,831 CKE Restaurants, Inc. .................................. 5,600 42,700 CMAC Investment Corp. .................................. 3,200 88,000
194 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *CMI Corp. Class A ...................................... 18,100 $108,600 CNB Bancshares, Inc. ................................... 4,043 125,318 CPAC, Inc. ............................................. 525 6,891 CPB, Inc. .............................................. 1,300 29,900 CPI Corp. .............................................. 9,800 191,100 CRSS, Inc. ............................................. 8,200 90,200 *CSF Holdings, Inc. Class B ............................. 2,600 60,775 *CSP, Inc. .............................................. 2,800 23,800 *CSS Industries, Inc. ................................... 3,400 55,250 CTS Corp. .............................................. 1,500 43,500 *CU Bancorp ............................................. 600 4,350 CVB Financial Corp. .................................... 2,178 30,764 *CXR Corp. .............................................. 9,800 8,269 *Cablemaxx, Inc. ........................................ 5,000 25,938 *Cabot Medical Corp. .................................... 3,109 17,100 Cabot Oil & Gas Corp. Class A .......................... 4,100 68,675 *Cache, Inc. ............................................ 5,025 30,778 *Caci International, Inc. Class A ....................... 1,000 10,313 *Cade Industries, Inc. .................................. 1,500 1,102 *Cadiz Land, Inc. ....................................... 3,300 16,706 Cadmus Communications Corp. ............................ 6,500 103,188 *Caere Corp. ............................................ 3,300 51,975 Cagle's, Inc. Class A .................................. 1,125 36,984 *Caldor Corp. ........................................... 9,700 282,513 *Calgene, Inc. .......................................... 14,300 109,038 Calgon Carbon Corp. .................................... 4,100 46,125 *California Amplifier, Inc. ............................. 2,400 15,150 California Financial Holding Corp. ..................... 4,000 53,000 *California Micro Devices Corp. ......................... 3,400 21,250 *California Microwave, Inc. ............................. 5,500 173,938 California State Bank .................................. 1,900 19,000 California Water Service Co. ........................... 1,000 31,000 Calmat Co. ............................................. 5,000 95,000 *Calprop Corp. .......................................... 7,700 5,294 *Cambex Corp. ........................................... 5,200 21,125 Cambrex Corp. .......................................... 3,300 84,563 *Cambridge Neuroscience, Inc. ........................... 2,300 9,200 *Camco International, Inc. .............................. 4,800 91,200 *Candela Laser Corp. .................................... 1,000 2,125 *Candies, Inc. .......................................... 1,000 1,563 *Canonie Environmental Services Corp. ................... 2,900 15,225 *Cantel Industries, Inc. Class B ........................ 2,000 9,500 *Canterbury Educational Services, Inc. .................. 2,500 5,625 *Canyon Resources Corp. ................................. 11,800 19,544 Cape Cod Bank & Trust Co. .............................. 500 12,625 Capital Re Corp. ....................................... 8,100 182,250 Capitol American Financial Corp. ....................... 13,000 281,125 Capitol Transamerica Corp. ............................. 2,000 32,750 *Capsure Holdings Corp. ................................. 7,300 97,638 Caraustar Industries, Inc. ............................. 7,200 149,400 *Cardiovascular Imaging Systems ......................... 2,500 21,875 *Care Group, Inc. ....................................... 1,800 7,144 *CareNetwork, Inc. ...................................... 1,000 24,875 *Carlisle Plastics, Inc. Class A ........................ 5,100 21,038 *Carmike Cinemas, Inc. Class A .......................... 4,000 90,000 *Carolco Pictures, Inc. ................................. 2,800 168 Carolina First Corp. ................................... 1,050 14,175 *Carolina Freight Corp. ................................. 2,000 18,750 Carpenter Technology Corp. ............................. 2,100 112,875 *Carrington Laboratories, Inc. .......................... 3,400 29,325 Carter-Wallace, Inc. ................................... 6,700 89,613 *Carver Corp. WA ........................................ 3,800 11,638 Cascade Corp. .......................................... 2,700 58,388
195 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Cascade Natural Gas Corp. .............................. 3,950 $ 55,794 Casey's General Stores, Inc. ........................... 11,800 160,038 Cash America International, Inc. ....................... 8,700 75,038 *Casino America, Inc. ................................... 3,000 25,688 *Casino Magic Corp. ..................................... 7,300 36,728 *Castle & Cooke Homes, Inc. ............................. 20,500 322,775 Castle (A.M.) & Co. .................................... 18,750 243,750 *Catalina Lighting, Inc. ................................ 5,000 38,125 *Catalyst Semiconductor, Inc. ........................... 4,000 11,500 *Catalytica, Inc. ....................................... 7,500 26,250 *Catellus Development Corp. ............................. 10,000 65,000 Cathay Bancorp, Inc. ................................... 1,100 14,713 *Catherines Stores Corp. ................................ 2,400 18,600 Cato Corp. Class A ..................................... 5,700 42,038 Cavalier Homes, Inc. ................................... 1,000 11,750 *Celgene Corp. .......................................... 4,800 33,750 *Cell Genesys, Inc. ..................................... 1,000 9,188 *Cellpro, Inc. .......................................... 2,700 50,625 *Celtrix Pharmaceuticals, Inc. .......................... 5,000 15,000 Cenfed Financial Corp. ................................. 1,200 19,950 *Centennial Bancorp ..................................... 1,155 11,983 *Centennial Cellular Corp. Class A ...................... 6,100 99,125 *Centerbank Waterbury, CT ............................... 6,200 62,000 *Centigram Communications Corp. ......................... 1,000 19,750 Central & Southern Holding Co. ......................... 1,500 9,563 *Central Co-Operative Bank Somerville, MA ....................................... 900 9,338 Central Jersey Bancorp ................................. 2,600 86,450 Central Maine Power Co. ................................ 6,500 81,250 Central Reserve Life Corp. ............................. 1,800 14,625 *Central Sprinkler Corp. ................................ 2,500 25,000 Central Vermont Public Service Corp. ................... 5,250 68,250 Centura Banks, Inc. .................................... 9,500 204,250 Century Bancorp Income Class A ......................... 1,000 6,500 *Cephalon, Inc. ......................................... 10,300 86,263 *Ceradyne, Inc. ......................................... 11,800 33,188 *Cerner Corp. ........................................... 2,700 108,000 *Chambers Development Co., Inc. ......................... 4,800 18,000 *Chambers Development Co., Inc. Class A ................. 8,000 30,500 *Champion Enterprises, Inc. ............................. 5,200 147,550 *Champion Parts, Inc. ................................... 1,800 6,413 Chaparral Steel Co. .................................... 9,100 62,563 *Chart House Enterprises, Inc. .......................... 3,700 38,388 *Chart Industries, Inc. ................................. 5,000 18,750 Charter One Financial, Inc. ............................ 16,400 304,425 Charter Power Systems, Inc. ............................ 4,300 74,713 *Chattem, Inc. .......................................... 2,500 13,125 *Check Technology Corp. ................................. 1,000 5,250 *Checkers Drive-In Restaurant, Inc. ..................... 9,700 28,797 *Checkpoint System, Inc. ................................ 9,700 192,788 Chemed Corp. ........................................... 2,500 78,750 *Chemfab Corp. .......................................... 3,700 49,025 *Chempower, Inc. ........................................ 1,800 7,313 *Chemtrak, Inc. ......................................... 2,700 9,788 *Cherry Corp. Class A ................................... 3,600 51,300 *Cherry Corp. Class B ................................... 3,600 52,200 Chesapeake Utilities Corp. ............................. 1,000 12,625 *Cheyenne Software, Inc. ................................ 7,800 94,575 Chicago Rivet & Machine Co. ............................ 700 18,550 *Chicos Fas, Inc. ....................................... 4,000 26,250 *Chips & Technologies, Inc. ............................. 10,100 70,700 Chittenden Corp. ....................................... 625 12,734 *Chock Full O' Nuts Corp. ............................... 9,835 59,010
196 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Choice Drug System, Inc. ............................... 1,000 $ 4,031 *Cholestech Corp. ....................................... 4,500 8,719 *Christiana Companies, Inc. ............................. 12,300 392,001 *Chromcraft Revington, Inc. ............................. 1,000 20,875 *Chronimed, Inc. ........................................ 2,850 42,394 Church & Dwight Co., Inc. .............................. 9,100 186,550 *Cimco, Inc. ............................................ 700 3,588 *Cincinnati Microwave, Inc. ............................. 7,300 32,850 *Ciprico, Inc. .......................................... 600 2,888 *Circa Pharmaceuticals, Inc. ............................ 4,300 73,638 *Circon Corp. ........................................... 3,900 46,800 *Circuit Systems, Inc. .................................. 1,600 8,000 *Citation Computer System, Inc. ......................... 1,000 6,938 *Citation Insurance Group ............................... 1,000 3,938 Citfed Bancorp, Inc. ................................... 2,100 58,013 Citizens Bancorp MD .................................... 6,400 171,200 Citizens Banking Corp. ................................. 6,400 175,200 *Citizens, Inc. Class A ................................. 11,000 88,000 City National Corp. .................................... 20,200 191,900 *Civic Bancorp .......................................... 1,000 5,875 Claire's Stores, Inc. .................................. 11,100 140,138 Clarcor, Inc. .......................................... 8,500 164,688 *Clark (Dick) Productions, Inc. ......................... 1,000 9,000 *Clean Harbors, Inc. .................................... 6,900 41,831 Cleveland Cliffs, Inc. ................................. 3,400 119,425 *Cliffs Drilling Co. .................................... 2,500 29,688 *Clothestime, Inc. ...................................... 8,000 32,000 Co-Operative Bank of Concord, MA ....................... 3,000 40,875 Coachmen Industries, Inc. .............................. 7,400 107,300 *Coast Distribution System .............................. 4,700 37,600 *Coast Savings Financial, Inc. .......................... 5,400 74,925 Coastal Bancorp, Inc. .................................. 4,000 65,000 *Cobra Electronic Corp. ................................. 1,000 1,938 Coca Cola Bottling Co. Consolidated ......................................... 1,000 24,375 *Coda Energy, Inc. ...................................... 15,200 101,650 *Code Alarm, Inc. ....................................... 1,500 15,938 Coeur d'Alene Mines Corp. ID ........................... 3,900 64,350 *Cognex Corp. ........................................... 5,200 118,300 *Cognitronics Corp. ..................................... 3,800 6,650 *Coherent Communications Systems Corp. ........................................ 4,600 69,575 *Coherent, Inc. ......................................... 8,400 121,800 *Coho Energy, Inc. ...................................... 2,000 10,000 Cohu, Inc. ............................................. 4,100 81,488 Collagen Corp. ......................................... 5,600 116,200 Collective Bancorp, Inc. ............................... 9,149 160,679 *Collins Industries, Inc. ............................... 6,600 12,375 Colonial Bancgroup, Inc. Class A ....................... 1,000 20,750 Colonial Gas Co. ....................................... 8,050 154,963 Colonial Group, Inc. Class A ........................... 1,500 48,938 *Columbia First Bank, A Federal Savings Bank ............ 4,300 159,638 *Columbia Laboratories, Inc. ............................ 10,100 47,344 *Comarco, Inc. .......................................... 2,800 24,150 *Comcoa, Inc. ........................................... 1,000 15,125 *Comdata Holding Corp. .................................. 3,866 38,660 *Comdial Corp. .......................................... 4,200 12,075 Commerce Bancorp, Inc. ................................. 1,653 29,341 *Commercial Federal Corp. ............................... 5,800 113,100 Commercial Intertech Corp. ............................. 4,500 72,000 Commercial Metals Co. .................................. 3,600 90,000 *Commnet Cellular, Inc. ................................. 5,300 154,363 *Communication Cable, Inc. .............................. 1,080 13,365
197 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Communications Systems, Inc. ........................... 9,000 $105,750 Community Bank System, Inc. ............................ 2,500 74,063 Community Bankshares, Inc. NH .......................... 800 10,700 *Community Health Systems, Inc. ......................... 3,300 80,850 *Community Psychiatric Centers .......................... 8,700 87,000 *CompUSA, Inc. .......................................... 5,300 72,875 *Compression Laboratories, Inc. ......................... 8,800 67,100 *Comptek Research, Inc. ................................. 7,900 112,575 *Compucom Systems, Inc. ................................. 3,000 10,875 Computer Data Systems, Inc. ............................ 5,700 57,713 *Computer Horizons Corp. ................................ 7,950 118,256 *Computer Identics Corp. ................................ 1,400 2,275 Computer Language Research, Inc. ....................... 9,600 85,200 *Computer Network Technology Corp. ...................... 5,100 35,063 *Computer Products, Inc. ................................ 12,200 36,600 Computer Task Group, Inc. .............................. 1,900 15,200 *Computervision Corp. (New) ............................. 13,900 46,913 *Computrac, Inc. ........................................ 2,400 3,000 *Comshare, Inc. ......................................... 4,000 48,500 *Comstock Resources, Inc. ............................... 2,300 7,116 *Comtech Telecommunications Corp. (New) ................. 1,000 3,313 *Comverse Tecnology, Inc. ............................... 5,300 66,581 *Concord EFS, Inc. ...................................... 12,300 292,125 *Condor Services, Inc. .................................. 1,000 2,500 *Cone Mills Corp. NC .................................... 5,000 60,000 *Confertech International, Inc. ......................... 7,000 32,813 *Conmed Corp. ........................................... 5,900 148,238 Connecticut Energy Corp. ............................... 3,800 74,100 Connecticut Natural Gas Corp. .......................... 2,900 65,613 Connecticut Water Services, Inc. ....................... 1,400 32,900 *Consilium, Inc. ........................................ 4,000 26,000 *Consolidated Products, Inc. ............................ 4,961 50,850 Consolidated Tokoma Land Co. ........................... 1,700 20,825 Consumers Water Co. .................................... 4,100 66,625 *Continental Can, Inc. DE ............................... 1,000 22,375 Continental Homes Holding Corp. ........................ 3,600 49,050 *Continental Medical Systems, Inc. ...................... 9,000 64,125 *Continuum Co., Inc. .................................... 5,100 143,438 *Control Data Systems, Inc. ............................. 8,300 49,800 *Convex Computer Corp. .................................. 11,600 71,050 Cooker Restaurant Corp. (New) .......................... 3,500 22,750 *Cooper Companies, Inc. ................................. 6,100 13,725 *Copley Pharmaceutical, Inc. ............................ 3,800 67,925 *Copytele, Inc. ......................................... 7,300 44,256 *Cor Therapeutics, Inc. ................................. 8,200 110,700 Core Industries, Inc. .................................. 5,200 53,300 *Corrections Corp. of America ........................... 7,900 116,525 *Cortech, Inc. .......................................... 3,500 10,719 *Corvel Corp. ........................................... 1,000 23,750 Craftmade International, Inc. .......................... 1,000 10,000 Craig (Jenny), Inc. .................................... 11,900 84,788 *Craig Corp. ............................................ 1,000 9,875 *Cray Research, Inc. .................................... 5,100 93,713 *Credence Systems Corp. ................................. 7,500 199,688 *Cree Research, Inc. .................................... 3,000 24,375 *Criticare Systems, Inc. ................................ 3,000 6,469 *Crop Genetics International Corp. ...................... 6,900 5,606 Cross (A.T.) Co. Class A ............................... 6,900 109,969 Cross Timbers Oil Co. .................................. 2,000 29,500 *Crosscomm Corp. ........................................ 2,300 21,706 *Crossman Communities, Inc. ............................. 4,000 26,500 *Crown Books Corp. ...................................... 2,700 45,225
198 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Crown Central Petroleum Corp. Class A .................. 1,400 $ 21,000 *Crown Central Petroleum Corp. Class B .................. 1,500 20,625 Crown Crafts, Inc. ..................................... 5,100 82,238 *Crown Resources Corp. .................................. 2,300 10,063 *Crown-Andersen, Inc. ................................... 1,000 7,000 *Cruise America, Inc. ................................... 2,600 7,963 *Cryenco Sciences, Inc. Class A ......................... 2,400 9,900 *Cryomedical Sciences, Inc. ............................. 7,000 23,625 *Crystal Brands, Inc. ................................... 2,300 503 *Crystal Oil Co. (New) .................................. 1,200 33,750 Cubic Corp. ............................................ 1,600 28,000 *Culbro Corp. ........................................... 2,200 30,525 Cullen Frost Bankers, Inc. ............................. 5,030 157,816 Culp, Inc. ............................................. 16,818 166,078 *Curative Technologies, Inc. ............................ 7,000 27,125 Curtiss-Wright Corp. ................................... 1,300 45,175 *Custom Chrome, Inc. .................................... 1,000 18,063 *Customedix Corp. (New) ................................. 1,100 3,025 *Cyberonics, Inc. ....................................... 4,100 13,838 *Cyberoptics Corp. ...................................... 1,900 16,031 *Cycare Systems, Inc. ................................... 3,400 39,950 *Cygnus Therapeutic System .............................. 4,100 25,625 *Cytec Industries, Inc. ................................. 2,600 98,150 *Cytel Corp. ............................................ 4,400 12,375 *Cytocare, Inc. ......................................... 600 3,263 *Cytogen Corp. .......................................... 10,200 31,238 *Cytotherapeutics, Inc. ................................. 7,400 36,075 *Cytrx Corp. ............................................ 19,000 36,813 *DBA Systems, Inc. ...................................... 1,700 13,175 *DEP Corp. Class A ...................................... 1,900 5,581 *DEP Corp. Class B ...................................... 6,200 19,375 *DH Technology, Inc. .................................... 2,500 57,188 *DIY Home Warehouse, Inc. ............................... 5,000 32,500 *DNA Plant Technology Corp. ............................. 17,300 54,603 *DNX Corp. .............................................. 3,800 18,050 *DR Horton, Inc. ........................................ 3,000 32,625 *DRCA Medical Corp. ..................................... 600 1,538 *DS Bancor, Inc. ........................................ 694 16,049 *DSP Technology, Inc. ................................... 1,000 4,875 *DVI, Inc. .............................................. 5,500 56,375 *Dairy Mart Convenience Stores, Inc. Class A ............ 1,600 6,100 *Daka International, Inc. ............................... 1,100 16,156 *Dallas Semiconductor Corp. ............................. 18,700 264,138 *Damark International, Inc. Class A ..................... 1,000 10,875 Dames & Moore, Inc. .................................... 10,300 139,050 Daniel Industries, Inc. ................................ 5,200 65,650 *Danielson Holding Corp. ................................ 3,000 21,000 *Danskin, Inc. .......................................... 1,700 6,375 Dart Group Corp. Class A ............................... 700 58,450 *Data General Corp. ..................................... 10,200 109,650 *Data I/O Corp. ......................................... 3,700 15,956 *Data Race, Inc. ........................................ 1,200 5,250 *Data Research Association, Inc. ........................ 1,000 10,000 *Data Switch Corp. ...................................... 9,300 21,506 *Data Systems & Software, Inc. .......................... 1,800 9,788 *Data Translation, Inc. ................................. 4,200 64,575 *Dataflex Corp. ......................................... 3,400 31,238 *Datakey, Inc. .......................................... 1,000 3,625 *Datametrics Corp. ...................................... 4,100 24,088 *Datapoint Corp. ........................................ 4,200 8,925 *Dataram Corp. .......................................... 1,100 7,563 *Datascope Corp. ........................................ 10,800 201,150
199 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Dataware Technologies, Inc. ............................ 4,000 $ 47,500 *Datron Systems, Inc. ................................... 1,800 20,475 *Datum, Inc. ............................................ 1,000 8,875 *Davis Water & Waste Industries, Inc. ................... 5,500 46,063 *Davox Corp. ............................................ 5,000 24,375 *Dawson Geophysical Co. ................................. 4,100 45,100 *Daxor Corp. ............................................ 4,400 25,850 DeKalb Genetics Corp. Class B .......................... 2,000 57,250 Deb Shops, Inc. ........................................ 4,800 25,500 Decorator Industries, Inc. ............................. 900 7,088 *Defiance, Inc. ......................................... 7,600 53,675 *Del Electronics Corp. .................................. 1,060 5,433 Del Laboratories, Inc. ................................. 4,533 159,788 Delchamps, Inc. ........................................ 1,000 16,250 *Delphi Financial Group, Inc. Class A .............................................. 1,300 24,863 *Delphi Information Systems, Inc. ....................... 5,000 3,438 Delta Natural Gas Co., Inc. ............................ 1,400 23,625 Delta Woodside Industries, Inc. (New) .................. 11,000 107,250 Deposit Guaranty Corp. ................................. 3,500 93,188 *Designatronics, Inc. ................................... 1,000 4,625 *Designs, Inc. .......................................... 12,450 108,938 *Detection Systems, Inc. ................................ 2,800 22,750 *Detrex Corp. ........................................... 500 6,094 *Devcon International Corp. ............................. 2,000 16,750 Devon Energy Corp. ..................................... 14,700 282,975 *Devon Group, Inc. (New) ................................ 1,400 35,350 *Devry, Inc. ............................................ 5,600 158,900 Dexter Corp. CT ........................................ 4,900 101,063 *Diagnostek, Inc. ....................................... 6,300 93,713 Diagnostic Products Corp. .............................. 3,300 71,775 *Dial Page, Inc. ........................................ 2,600 40,950 *Diana Corp. ............................................ 1,050 7,088 *Dianon Systems, Inc. ................................... 3,300 12,994 *Digi International, Inc. ............................... 4,100 69,700 *Digital Biometrics, Inc. ............................... 3,000 23,625 *Digital Microwave Corp. ................................ 3,100 53,088 *Digital Sound Corp. .................................... 1,800 4,950 *Digital Systems International, Inc. .................... 1,700 20,506 *Dimark, Inc. ........................................... 2,000 30,000 *Dime Bancorp, Inc. ..................................... 15,600 126,750 *Dime Financial Corp. ................................... 2,300 18,400 *Diodes, Inc. ........................................... 1,200 6,300 *Dionex Corp. ........................................... 2,400 88,800 *Discount Auto Parts, Inc. .............................. 10,300 173,813 *Diversified Communications Industries, Ltd. ..................................... 1,000 1,063 Dixie Yarns, Inc. ...................................... 4,381 30,941 *Dixon Ticonderoga Co. .................................. 1,700 14,663 Donegal Group, Inc. .................................... 1,800 21,825 Donnelly Corp. Class A ................................. 3,000 46,500 *Doskocil Companies, Inc. ............................... 2,100 14,700 Douglas & Lomason Co. .................................. 2,600 39,650 Downey Savings & Loan Association .......................................... 7,400 114,700 *Dravo Corp. ............................................ 3,800 39,900 *Dress Barn, Inc. ....................................... 13,400 136,513 *Drew Industries, Inc. (New) ............................ 3,200 28,000 *Drexler Technology Corp. ............................... 1,300 7,963 Dreyer's Grand Ice Cream, Inc. ......................... 8,300 211,650 *Drug Emporium, Inc. .................................... 4,000 19,500 *Dual Drilling Co. ...................................... 5,000 46,563 *Ducommun, Inc. ......................................... 4,800 21,750
200 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Duff & Phelps Corp. .................................... 7,700 $ 85,663 *Duff & Phelps Credit Rating Co. ........................ 2,566 23,094 *Duplex Products, Inc. .................................. 2,000 17,500 *Dura Pharmaceuticals, Inc. ............................. 1,400 17,850 *Durakon Industries, Inc. ............................... 5,200 91,000 Duriron Co., Inc. ...................................... 8,600 145,125 Duty Free International, Inc. .......................... 10,000 121,250 Dyersburg Corp. ........................................ 4,100 24,600 Dynamics Corp. of America .............................. 7,500 136,875 *Dynamics Research Corp. ................................ 4,471 13,134 *Dynasty Classics Corp. ................................. 3,000 150 *Dynatech Corp. ......................................... 4,200 114,450 E'town Corp. ........................................... 1,200 30,450 *E-Z-Em, Inc. Class A ................................... 2,450 11,944 *E-Z-Em, Inc. Class B ................................... 5,633 24,644 *EA Engineering Science & Technology, Inc. ..................................... 5,625 42,188 *ECC International Corp. ................................ 8,500 86,063 *EFI Electronics Corp. .................................. 800 1,300 *ELXSI Corp. ............................................ 1,000 5,375 EMC Insurance Group, Inc. .............................. 6,300 63,000 *EP Technologies, Inc. .................................. 5,000 46,875 *ERO, Inc. .............................................. 3,000 26,625 *ESCO Electronics Corp. Trust Receipts .................. 3,200 25,200 *ESSEF Corp. ............................................ 1,500 21,938 *EZ Serve Corp. ......................................... 17,000 24,969 Eagle Financial Corp. .................................. 2,000 39,000 *Eagle Food Centers, Inc. ............................... 8,100 16,200 *Eagle Hardware & Garden, Inc. .......................... 6,600 61,463 *Earth Technology Corp. ................................. 1,000 9,313 *Easel Corp. ............................................ 3,000 9,000 Eastern Bancorp, Inc. .................................. 1,100 19,113 Eastern Co. ............................................ 5,600 74,200 *Eastern Environment Services, Inc. ..................... 1,000 1,125 Eastern Utilities Associates ........................... 2,100 46,200 *Eastex Energy, Inc. .................................... 1,100 2,475 *Ecogen, Inc. ........................................... 21,700 63,744 *Ecoscience Corp. ....................................... 6,000 15,375 Edison Brothers Stores, Inc. ........................... 4,400 84,150 *Edison Control Corp. ................................... 1,000 4,125 *Edisto Resources Corp. (New) ........................... 2,600 18,850 *Editek, Inc. ........................................... 1,700 6,694 Edo Corp. .............................................. 3,400 11,475 *Education Alternatives, Inc. ........................... 5,000 97,500 *Egghead, Inc. .......................................... 7,800 80,925 *Ekco Group, Inc. ....................................... 8,800 58,300 *El Chico Restaurants, Inc. ............................. 2,900 28,275 Elco Industries, Inc. .................................. 4,300 73,100 *Elcor Corp. ............................................ 6,000 90,000 Eldorado Bancorp CA .................................... 700 7,000 *Electric & Gas Technology, Inc. ........................ 4,900 9,647 *Electro Rent Corp. ..................................... 4,000 67,500 *Electro Scientific Industries, Inc. .................... 4,500 87,750 *Electromagnetic Sciences, Inc. ......................... 11,500 132,969 Electronic Tele Communications, Inc. Class A ........... 1,000 4,500 *Electronics for Imaging, Inc. .......................... 7,600 178,600 *Elek-Tek, Inc. ......................................... 4,000 36,500 *Eljer Industries, Inc. ................................. 2,100 13,913 *Embrex, Inc. ........................................... 1,000 6,250 *Emcon .................................................. 3,200 14,400 *Emisphere Technologies, Inc. ........................... 2,200 6,325 *Empi, Inc. ............................................. 2,000 18,750
201 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Empire District Electric Co. ........................... 6,800 $106,250 *Employee Benefit Plans, Inc. ........................... 2,500 25,000 *Emulex Corp. ........................................... 4,450 50,063 *Encore Computer Corp. .................................. 3,100 11,577 Energen Corp. .......................................... 6,600 132,000 *Energy Biosystems Corp. ................................ 6,000 40,500 *Energy Ventures, Inc. .................................. 2,200 29,425 Energynorth, Inc. ...................................... 2,400 39,600 *Engineering Measurements Co. CO ........................ 1,000 3,375 Engle Homes, Inc. ...................................... 2,000 15,250 Enhance Financial Services Group, Inc. ................. 1,000 17,000 Ennis Business Forms, Inc. ............................. 4,600 60,950 *Ensys Environmental Products, Inc. ..................... 1,000 3,750 *Enterra Corp. DE ....................................... 7,500 148,125 *Environmental Elements Corp. ........................... 6,400 22,400 *Enviroq Corp. .......................................... 1,400 4,288 *Envirotest Systems Corp. Class A ....................... 7,200 49,500 *Envoy Corp. ............................................ 2,000 39,250 *Enzo Biochem, Inc. ..................................... 5,600 67,200 *Enzon, Inc. ............................................ 6,300 13,584 *Epitope, Inc. .......................................... 2,200 45,100 *Equinox Systems, Inc. .................................. 2,000 12,500 *Equitex, Inc. .......................................... 1,000 2,094 *Equity Oil Co. ......................................... 14,200 67,450 *Escagenetics Corp. ..................................... 3,500 4,813 *Escalade, Inc. ......................................... 3,335 15,841 Eskimo Pie Corp. ....................................... 1,600 27,600 Espey Manufacturing & Electronics Corp. ................ 1,700 22,313 *Essex Corp. ............................................ 1,000 2,000 *Esterline Technologies Corp. ........................... 3,000 34,875 *Evans & Sutherland Computer Corp. ...................... 3,800 53,675 *Evans, Inc. ............................................ 1,000 2,750 *Evergreen Media Corp. Class A .......................... 2,800 49,700 *Evergreen Resources, Inc. .............................. 1,500 9,938 *Exabyte Corp. .......................................... 6,400 136,400 *Exar Corp. ............................................. 8,100 173,138 *Excalibur Technologies Corp. ........................... 4,600 31,050 Excel Industries, Inc. ................................. 7,600 108,300 *Excel Technology, Inc. ................................. 1,700 8,181 *Executive Telecard, Ltd. ............................... 2,795 13,276 *Executone Information Systems, Inc. .................... 1,000 3,281 *Exide Electronics Group, Inc. .......................... 700 11,550 Expeditors International of Washington ........................................... 2,000 43,750 *Express America Holdings Corp. ......................... 2,400 9,750 *Ezcorp, Inc. Class A Non-Voting ........................ 4,900 56,350 *F & M Distributors, Inc. ............................... 3,000 5,063 F & M National Corp. ................................... 3,177 50,832 *FDP Corp. .............................................. 3,500 22,750 FMC Gold Co. ........................................... 33,400 104,375 *FPA Corp. .............................................. 2,000 2,500 *FRP Properties, Inc. ................................... 2,500 43,125 *FSI International, Inc. ................................ 2,700 76,275 Fab Industries, Inc. ................................... 5,600 174,300 *Fabri-Centers of America, Inc. ......................... 9,200 134,550 *Failure Group, Inc. .................................... 4,300 19,350 *Fairchild Corp. Class A ................................ 6,000 19,500 *Falcon Oil & Gas Co., Inc. ............................. 1,000 719 Falcon Products, Inc. .................................. 5,500 61,875
202 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Fansteel, Inc. ......................................... 4,000 $ 26,000 *Farah, Inc. ............................................ 8,000 65,000 *Farr Co. ............................................... 2,300 15,381 Farrel Corp. (New) ..................................... 1,800 10,125 *Fastcomm Communications Corp. .......................... 5,700 18,881 Fay's, Inc. ............................................ 5,075 31,719 *Fedders Corp. .......................................... 10,000 63,750 *Fedders Corp. Class A .................................. 5,000 27,188 Federal Screw Works .................................... 1,800 35,550 *Ferrofluidics Corp. .................................... 1,600 7,800 *Fibreboard Corp. ....................................... 1,200 34,350 Fidelity National Financial, Inc. ...................... 6,950 75,581 *Fieldcrest Cannon, Inc. ................................ 1,000 25,000 *Fifty-Off Stores, Inc. ................................. 5,600 24,500 Figgie International, Inc. Class A ..................... 4,000 27,000 Figgie International, Inc. Class B ..................... 1,000 6,375 *Filenes Basement Corp. ................................. 9,200 55,200 *Filenet Corp. .......................................... 3,200 81,600 *Financial Benefit Group, Inc. Class A .............................................. 4,000 10,500 *Financial Federal Corp. ................................ 2,700 47,925 *Finish Line, Inc. Class A .............................. 2,700 20,250 First American Financial Corp. ......................... 5,000 93,750 First Central Financial Corp. .......................... 9,300 60,450 *First Citizens Financial Corp. ......................... 1,050 14,700 First Colonial Bankshares Corp. Class A ................ 2,300 46,288 *First Commercial Bancorp, Inc. ......................... 2,100 1,969 First Commercial Corp. ................................. 8,150 182,866 First Essex Bancorp .................................... 2,300 16,963 First Federal Capital Corp. ............................ 1,100 16,225 First Federal Savings & Loan Association of East Hartford, CT ......................................... 1,500 22,875 First Federal Savings Bank of Colorado (Lakewood) ...... 1,800 39,150 First Financial Corp. WI ............................... 16,100 237,475 First Financial Holdings, Inc. ......................... 3,000 42,000 First Indiana Corp. .................................... 5,366 79,819 First Liberty Financial Corp. .......................... 600 7,875 First Michigan Bank Corp. .............................. 7,072 155,584 First Midwest Bancorp, Inc. ............................ 5,500 131,313 First Mississippi Corp. ................................ 13,600 300,900 First National Bancorp GA .............................. 4,700 80,194 *First Pacific Networks, Inc. ........................... 9,700 50,925 *First Republic Bancorp, Inc. ........................... 4,682 49,161 First Source Corp. ..................................... 2,310 54,863 First State Financial Services, Inc. ................... 1,000 7,000 *First Team Sports, Inc. ................................ 1,100 17,600 First Western Bancorp, Inc. ............................ 1,300 34,613 *FirstFed Financial Corp. DE ............................ 6,400 80,000 FirstFed Michigan Corp. ................................ 1,100 22,138 Firstbank of Illinois Co. .............................. 1,400 52,850 *Firstmiss Gold, Inc. ................................... 5,500 50,188 *Fischer Imaging Corp. .................................. 1,000 6,000 *Fisher Scientific International, Inc. .................. 3,200 82,000 *Flagstar Companies, Inc. ............................... 8,000 58,500 Flexsteel Industries, Inc. ............................. 6,200 70,525 Florida Public Utilities Co. ........................... 500 8,125 Florida Rock Industries, Inc. .......................... 4,300 109,113 *Flow International Corp. ............................... 14,400 92,700 Fluke Corp. ............................................ 2,100 59,063 *Foodarama Supermarkets, Inc. ........................... 1,500 17,063 *Foodmaker, Inc. ........................................ 28,000 147,000 Foote, Cone & Belding Communications, Inc. ................................. 6,300 260,663
203 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Foothill Group, Inc. Class A ........................... 10,700 $163,175 Foothill Independent Bancorp ........................... 1,050 8,925 Foremost Corp. of America .............................. 4,800 158,400 *Forest City Enterprises, Inc. Class A .............................................. 2,300 67,850 *Forest City Enterprises, Inc. Class B .............................................. 1,700 53,125 *Forest Oil Corp. ....................................... 17,700 44,250 *Forschner Group, Inc. .................................. 4,800 57,900 *Forstmann & Co., Inc. .................................. 1,000 5,625 Fort Wayne National Corp. .............................. 5,100 132,600 *Foster (L.B.) Co. Class A .............................. 20,900 70,538 *Foxmeyer Health Corp. .................................. 13,584 208,854 *Frame Technology Corp. ................................. 6,300 93,713 *Framingham Savings Bank MA ............................. 700 2,100 Franklin Electric Co., Inc. ............................ 3,300 104,775 *Franklin Electric Publishers, Inc. ..................... 4,700 90,475 Frederick's of Hollywood, Inc. Class A ................. 3,966 16,360 Frederick's of Hollywood, Inc. Class B ................. 7,933 33,715 Freds, Inc. Class A .................................... 1,000 9,375 Fremont General Corp. .................................. 3,750 86,719 *Fresenius USA, Inc. .................................... 9,200 74,750 *Fretter, Inc. (New) .................................... 4,284 12,584 *Freymiller Trucking, Inc. .............................. 1,500 3,656 Friedman Industries, Inc. .............................. 11,790 44,213 Frisch's Restaurants, Inc. ............................. 26,679 270,126 Frontier Adjusters of America, Inc. .................... 1,000 2,750 Frontier Insurance Group, Inc. ......................... 5,835 112,324 Frozen Food Express Industries, Inc. ................... 5,766 90,815 *Fruehauf Trailer Corp. ................................. 5,800 26,825 Fuller (H.B.) Co. ...................................... 2,800 91,000 Fulton Financial Corp. ................................. 8,237 141,059 *Funco, Inc. ............................................ 1,700 24,650 Furon Co. .............................................. 3,900 76,050 *Future Now, Inc. ....................................... 2,000 16,000 G & K Services, Inc. Class A ........................... 13,000 206,375 *G-III Apparel Group, Ltd. .............................. 3,685 5,988 GBC Bancorp ............................................ 1,000 12,250 *GBC Technologies, Inc. ................................. 3,000 22,688 *GMIS, Inc. ............................................. 2,300 44,275 *GNI Group, Inc. ........................................ 1,000 4,500 *GRC International, Inc. ................................ 9,100 133,088 *GTI Corp. .............................................. 5,600 85,400 *GZA Geoenvironmental Technologies, Inc. ................................... 1,700 7,225 Gainsco, Inc. .......................................... 9,119 76,372 *Galey & Lord, Inc. ..................................... 1,000 16,125 *Galileo Electro-Optics Corp. ........................... 3,900 15,600 Gallagher (Arthur J.) & Co. ............................ 3,000 93,750 *Galoob (Lewis) Toys, Inc. DE ........................... 9,600 60,000 Galveston-Houston Co. .................................. 12,400 20,150 Gamma Biologicals, Inc. ................................ 5,500 23,719 *Gander Mountain, Inc. .................................. 4,300 76,325 *Gantos, Inc. ........................................... 3,300 6,497 Garan, Inc. ............................................ 7,400 124,875 *Garnet Resources Corp. ................................. 2,800 10,500 Gateway Bancorp, Inc. .................................. 1,260 13,703 *Gaylord Container Corp. Class A ........................ 21,600 191,700 *Gehl Co. ............................................... 1,800 11,700 *Gelman Sciences, Inc. .................................. 11,475 160,650 *Gencare Health Systems, Inc. ........................... 2,800 130,550 Gencorp, Inc. .......................................... 6,000 62,250
204 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Genelabs Technologies, Inc. ............................ 9,800 $ 19,600 General Binding Corp. .................................. 7,200 141,300 *General Computer Corp. ................................. 500 3,313 *General Datacomm Industries, Inc. ...................... 7,700 212,713 General Host Corp. ..................................... 9,590 49,149 General Housewares Corp. ............................... 3,100 49,600 *General Kinetics, Inc. ................................. 5,000 2,813 General Parametrics Corp. .............................. 5,121 8,322 General Physics Corp. .................................. 3,200 8,800 *Genesco, Inc. .......................................... 11,035 20,691 *Genesis Health Ventures, Inc. .......................... 2,700 76,275 *Genetic Therapy, Inc. .................................. 6,800 50,150 *Genicom Corp. .......................................... 3,200 6,400 *Genlyte Group, Inc. .................................... 8,900 36,156 *Genome Therapeutics Corp. .............................. 6,300 13,584 Genovese Drug Stores, Inc. Class A .............................................. 1,100 11,138 *Genrad, Inc. ........................................... 12,000 52,500 *Gensia, Inc. ........................................... 2,500 12,344 *Genta, Inc. ............................................ 4,500 32,063 *Gentex Corp. ........................................... 24,300 525,488 *Genus, Inc. ............................................ 5,600 36,750 *Genzyme Transgenics Corp. .............................. 320 840 Geodynamics Corp. ...................................... 4,100 31,263 *Geotek Communications, Inc. ............................ 2,900 25,375 Gerber Scientific, Inc. ................................ 7,300 96,725 *Geriatric & Medical Companies, Inc. .................... 4,400 12,513 Germantown Savings Bank Bala Cynwyd, PA ................ 2,300 140,731 *Gerrity Oil and Gas Corp. .............................. 7,200 37,800 *Getty Petroleum Corp. .................................. 3,200 36,400 *Giant Group, Ltd. ...................................... 5,300 39,750 *Giant Industries, Inc. ................................. 7,900 65,175 *Gibraltar Packaging Group, Inc. ........................ 1,000 7,250 Gibson (C.R.) Co. ...................................... 4,300 31,175 Gibson Greetings, Inc. ................................. 9,700 128,525 Giddings & Lewis, Inc. ................................. 6,900 100,050 *Giga-Tronics, Inc. ..................................... 1,600 9,400 *Gilead Sciences, Inc. .................................. 10,000 102,500 *Gish Biomedical, Inc. .................................. 1,900 11,400 Gleason Corp. .......................................... 1,000 14,625 *Global Natural Resources, Inc. ......................... 19,000 163,875 *Glycomed, Inc. ......................................... 5,700 20,663 *Go Video, Inc. ......................................... 3,100 8,331 Golden Enterprises, Inc. ............................... 5,000 34,375 Golden Poultry Co., Inc. ............................... 2,783 17,220 *Goldwyn (Samuel) Co. (New) ............................. 3,300 21,450 *Good Guys, Inc. ........................................ 6,800 82,450 GoodMark Foods, Inc. ................................... 7,800 118,950 *Goodys Family Clothing, Inc. ........................... 9,700 81,238 Gorman-Rupp Co. ........................................ 11,575 202,563 *Gottschalks, Inc. ...................................... 5,800 47,850 Goulds Pumps, Inc. ..................................... 9,600 195,600 *Government Technology Services, Inc. ................... 2,000 25,750 Graco, Inc. ............................................ 5,300 100,038 *Gradco Systems, Inc. ................................... 4,700 17,331 *Graham-Field Health Products, Inc. ..................... 6,500 21,125 *Grancare, Inc. ......................................... 8,800 154,000 *Grand Casinos, Inc. .................................... 4,500 63,000 Granite Construction, Inc. ............................. 6,400 135,200 Granite State Bankshares, Inc. ......................... 800 9,250
205 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Grant Geophysical, Inc. ................................ 3,100 $ 7,847 Graphic Industries, Inc. ............................... 2,900 29,000 Great Bay Bankshares, Inc. ............................. 1,000 18,875 *Great Country Bank of Ansonia, CT .......................................... 1,000 2,438 *Great Lakes Bancorp, A Federal Savings Bank ............ 3,131 76,905 *Greater New York Savings Bank NY ....................... 6,500 54,438 Green (A.P.) Industries, Inc. .......................... 5,550 106,144 Green Mountain Power Corp. ............................. 19,300 513,863 Greenfield Industries, Inc. DE ......................... 3,000 60,000 *Greenman Brothers, Inc. ................................ 7,900 47,400 Greiner Engineering, Inc. .............................. 4,900 61,250 *Greyhound Lines, Inc. .................................. 3,000 6,563 *Grist Mill & Co. ....................................... 5,900 65,269 *Grossmans, Inc. ........................................ 7,900 20,984 *Ground Round Restaurants, Inc. ......................... 5,500 37,125 *Groundwater Technology, Inc. ........................... 2,400 32,400 *Group 1 Software, Inc. ................................. 3,000 29,250 Grow Group, Inc. ....................................... 7,300 101,288 Guaranty National Corp. (New) .......................... 5,500 85,938 *Guardian Bancorp Los Angeles, CA ....................... 2,500 1,406 Guardsman Products, Inc. ............................... 12,000 139,500 *Guest Supply, Inc. ..................................... 4,000 64,750 Guilford Mills, Inc. ................................... 6,700 134,838 *Gulfmark International, Inc. ........................... 1,700 29,113 *Gull Laboratories, Inc. (New) .......................... 3,000 13,125 *Gundle Environmental Systems, Inc. ..................... 7,200 37,800 *HPSC, Inc. ............................................. 2,600 9,263 HUBCO, Inc. ............................................ 3,020 57,380 Hach Co. ............................................... 2,125 29,219 *Hadco Corp. ............................................ 6,100 53,375 *Hallwood Group, Inc. ................................... 3,800 8,075 *Halsey Drug Co., Inc. .................................. 4,400 9,900 *Hamburger Hamlet Restaurants, Inc. ..................... 2,300 11,788 *Hampton Industries, Inc. ............................... 2,846 15,297 Hancock Fabrics, Inc. .................................. 12,900 96,750 Hancock Holding Co. .................................... 3,200 93,600 *Handex Environmental Recovery, Inc. .................... 3,100 22,669 Handleman Co. .......................................... 15,200 174,800 Handy & Harman ......................................... 9,100 127,400 *Hanger Orthopedic Group, Inc. .......................... 4,100 12,300 *Hanover Direct, Inc. ................................... 4,100 15,375 *Harding Associates, Inc. ............................... 5,000 34,375 *Harken Energy Corp. .................................... 5,100 9,881 Harleysville Group, Inc. ............................... 9,000 205,875 *Harlyn Products, Inc. .................................. 2,900 12,144 Harman International Industries, Inc. (New) ............ 3,300 113,850 Harmon Industries, Inc. (New) .......................... 5,100 90,206 *Harnischfeger Industries, Inc. ......................... 2,826 75,242 *Harolds Stores, Inc. ................................... 1,815 19,965 Harper Group, Inc. ..................................... 5,100 75,225 *Harris & Harris Group, Inc. ............................ 4,800 26,100 *Harry's Farmers Market, Inc. Class A .............................................. 1,100 11,550 *Hartmarx Corp. ......................................... 14,700 79,013 Hastings Manufacturing Co. ............................. 350 7,875 Hathaway Corp. ......................................... 2,700 8,606 *Hauser Chemical Research, Inc. ......................... 3,200 19,400
206 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Haverty Furniture Company, Inc. ........................ 5,300 $ 71,550 Hawkeye Bancorp ........................................ 8,000 143,000 Hawkins Chemical, Inc. ................................. 2,535 17,111 *Hawthorne Financial Corp. .............................. 700 3,806 Hayes Wheels International, Inc. ....................... 3,500 71,313 *He-Ro Group, Ltd. ...................................... 2,000 2,750 Health Images, Inc. .................................... 2,100 13,125 *Health Professionals, Inc. ............................. 12,500 7,031 *Health Risk Management, Inc. ........................... 1,000 6,750 *Health-Chem Corp. ...................................... 15,400 40,425 Health-Mor, Inc. ....................................... 5,400 85,050 *Healthcare Imaging Services, Inc. ...................... 1,200 2,175 *Healthcare Services Group, Inc. ........................ 9,200 106,375 *Healthdyne, Inc. ....................................... 10,100 87,113 *Heart Technology, Inc. ................................. 4,600 91,425 *Heartland Express, Inc. ................................ 6,875 198,516 Hechinger Co. Class A .................................. 6,000 60,750 Hechinger Co. Class B .................................. 1,500 15,188 *Hecla Mining Co. ....................................... 9,900 96,525 *Hector Communications Corp. ............................ 1,200 8,100 Heico Corp. ............................................ 1,100 10,588 *Hein-Werner Corp. ...................................... 2,776 13,880 *Heist (C.H.) Corp. ..................................... 2,100 14,963 Helene Curtis Industries, Inc. ......................... 3,000 95,250 *Helian Health Group, Inc. .............................. 1,500 8,719 *Helionetics, Inc. (New) ................................ 4,200 6,825 Helix Technology Corp. ................................. 14,800 223,850 Henry Jack & Associates, Inc. .......................... 1,000 10,000 Herbalife International, Inc. .......................... 5,900 93,663 Heritage Financial Services, Inc. ...................... 1,000 16,375 *Heritage Media Corp. Class A ........................... 3,300 79,200 *Hexcel Corp. ........................................... 5,000 21,250 *Hi-Lo Automotive, Inc. ................................. 3,300 33,825 *Hi-Shear Industries, Inc. .............................. 5,500 26,813 *Hi-Tech Pharmacal, Inc. ................................ 1,500 8,156 *High Plains Corp. ...................................... 2,160 24,165 Hilb Rogal Hamilton Co. ................................ 6,500 73,125 *Hillhaven Corp. (New) .................................. 6,100 129,625 *Hitox Corp. ............................................ 2,500 5,938 Hogan Systems, Inc. .................................... 12,000 73,500 Holly Corp. ............................................ 2,100 54,075 *Hollywood Casino Corp. Class A ......................... 15,000 78,750 *Hollywood Entertainment Corp. .......................... 2,800 93,100 *Hologic, Inc. .......................................... 1,000 13,313 *Holopak Technologies, Inc. ............................. 3,500 32,375 *Holson Burnes Group, Inc. .............................. 1,600 10,500 Home Port Bancorp, Inc. ................................ 900 11,700 *Home State Holdings, Inc. .............................. 5,000 63,750 *Homedco Group, Inc. .................................... 3,800 137,275 *Homeowners Group, Inc. ................................. 1,700 956 *Hondo Oil and Gas Co. .................................. 3,300 43,313 Hooper Holmes, Inc. .................................... 3,400 21,250 Horizon Bank Bellingham, WA ............................ 3,938 46,764 *Horizon Healthcare Corp. ............................... 12,050 320,831 *Hornbeck Offshore Services, Inc. ....................... 5,800 74,313 Horsehead Resource Development Co., Inc. ............... 16,500 80,438 *Hospital Staffing Services, Inc. ....................... 1,200 1,950 *House of Fabrics, Inc. ................................. 2,200 2,200 *Hovnanian Enterprises, Inc. Class A .............................................. 6,050 34,031 *Hovnanian Enterprises, Inc. Class B .............................................. 1,150 6,469 Howell Corp. ........................................... 4,700 61,100 Howell Industries, Inc. ................................ 1,600 43,800
207 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Howtek, Inc. ........................................... 3,600 $ 35,100 Hudson Foods, Inc. Class A ............................. 1,000 22,625 *Hudson General Corp. ................................... 1,700 29,644 *Huffman Koos, Inc. ..................................... 1,000 8,500 Huffy Corp. ............................................ 6,700 95,475 Hughes Supply, Inc. .................................... 5,100 90,525 Hunt Manufacturing Co. ................................. 7,600 109,250 Huntco, Inc. Class A ................................... 1,500 33,000 *Hurco Companies, Inc. .................................. 3,300 13,200 *Hutchinson Technology, Inc. ............................ 2,400 62,400 *Hycor Biomedical, Inc. ................................. 5,600 23,450 *Hyde Athletic Industries, Inc. Class B .............................................. 100 531 *Hydron Technologies, Inc. .............................. 9,800 49,919 *ICF Kaiser International, Inc. ......................... 6,000 21,750 *ICN Pharmaceuticals, Inc. .............................. 13,621 304,770 *ICO, Inc. .............................................. 1,000 4,938 *ICOS Corp. ............................................. 2,100 8,531 *ICU Medical, Inc. ...................................... 2,000 28,500 *IFR Systems, Inc. ...................................... 3,700 35,150 *IG Laboratories, Inc. .................................. 2,900 10,150 *IGI, Inc. .............................................. 8,700 117,450 *IHOP Corp. ............................................. 4,100 100,450 *ILC Technology, Inc. ................................... 2,900 26,825 *IMCO Recycling, Inc. ................................... 7,700 108,763 *IMRS, Inc. ............................................. 2,000 66,000 *IPL Systems, Inc. Class A .............................. 1,000 2,813 IWC Resources Corp. .................................... 1,200 23,400 *Ibah, Inc. ............................................. 1,000 2,813 *Icot Corp. ............................................. 11,800 11,800 *Identix, Inc. .......................................... 8,400 24,150 *Idex Corp. ............................................. 3,900 160,388 *Idexx Laboratories Corp. ............................... 3,100 106,950 *Ikos Systems, Inc. ..................................... 3,000 7,031 *Image Entertainment, Inc. (New) ........................ 6,200 44,563 *Image Industries, Inc. ................................. 4,000 46,250 *Imclone Systems, Inc. .................................. 2,800 4,113 *Imclone Systems, Inc. (Private Placement) .............. 7,000 9,253 *Immucor, Inc. .......................................... 2,000 12,000 *Immulogic Pharmaceutical Corp. ......................... 4,300 32,788 *Immune Response Corp. DE ............................... 4,700 34,663 *Immunogen, Inc. ........................................ 5,700 22,800 *Immunomedics, Inc. ..................................... 13,700 59,081 *Imo Industries, Inc. ................................... 7,700 76,038 *Imperial Bancorp ....................................... 2,262 31,385 *Imperial Credit Industries, Inc. ....................... 2,530 21,505 Imperial Holly Corp. ................................... 5,100 44,625 *In Focus Systems, Inc. ................................. 8,000 215,000 *In Home Health, Inc. ................................... 4,700 10,869 *Inacom Corp. ........................................... 3,700 36,075 *Incstar Corp. .......................................... 4,100 8,713 Independence Holding Co. (New) ......................... 1,000 3,063 Independent Bank Corp. MA .............................. 1,000 5,313 Independent Bank East .................................. 1,000 24,125 Independent Insurance Group, Inc. ...................... 3,400 35,700 Indiana Energy, Inc. ................................... 4,500 79,875 Indiana Federal Corp. .................................. 1,500 23,063 *Indresco, Inc. ......................................... 5,000 63,125 *Industrial Funding Corp. Class A ....................... 1,000 1,719 *Industrial Training Corp. .............................. 1,000 7,813 *Information Resources, Inc. ............................ 10,000 147,500 *Infrasonics, Inc. ...................................... 7,100 25,738 Ingles Market, Inc. Class A ............................ 400 4,050
208 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Inmac Corp. ............................................ 5,000 $ 25,313 *Innerdyne, Inc. ........................................ 3,200 11,400 Innovex, Inc. .......................................... 7,200 102,600 *Input/Output, Inc. ..................................... 6,000 116,250 *Insituform Technologies, Inc. Class A .............................................. 2,900 32,625 Insteel Industries, Inc. ............................... 3,770 27,804 Instron Corp. .......................................... 11,200 130,200 *Instrument Systems Corp. ............................... 51,500 431,313 *Insurance Auto Auctions, Inc. .......................... 4,300 125,238 Integon Corp. .......................................... 4,700 64,038 *Integrated Circuit Systems, Inc. ....................... 2,600 21,775 *Integrated Systems, Inc. ............................... 6,000 95,250 *Integrated Waste Services, Inc. ........................ 2,400 6,600 *Intellicall, Inc. ...................................... 2,200 8,525 Intelligent Electronics, Inc. .......................... 6,900 89,269 *Intelogic Trace, Inc. .................................. 3,200 800 Inter-Regional Financial Group, Inc. ................... 2,400 56,100 *Inter-Tel, Inc. ........................................ 4,400 30,525 *Interactive Network, Inc. .............................. 3,400 10,094 Intercargo Corp. ....................................... 1,600 13,800 Intercontinental Bank .................................. 1,000 19,000 *Interdigital Communications Corp. ...................... 9,500 29,094 Interface Systems, Inc. ................................ 3,400 29,113 Interface, Inc. Class A ................................ 13,000 144,625 *Interferon Sciences, Inc. .............................. 8,900 13,350 *Interferon Sciences, Inc. (Private Placement) .......... 7,000 9,450 *Intergraph Corp. ....................................... 20,000 160,000 *Interlake Corp. ........................................ 17,000 27,625 *Interleaf, Inc. ........................................ 9,000 37,125 *Intermagnetics General Corp. ........................... 10,382 151,837 *Intermedia Communications of Florida, Inc. ............. 2,600 31,200 *Intermet Corp. ......................................... 14,800 85,100 Intermetrics, Inc. ..................................... 3,400 17,000 International Aluminum Corp. ........................... 900 27,113 *International Cablecasting Technologies, Inc. ................................... 13,000 21,938 *International Dairy Queen, Inc. Class A ................ 7,100 120,700 *International Jensen, Inc. ............................. 1,700 15,725 International Multifoods Corp. ......................... 5,000 80,000 *International Power Machines Corp. ..................... 3,100 8,913 International Recovery Co. ............................. 3,000 46,875 *International Rectifier Corp. .......................... 9,300 202,275 *International Remote Imaging Systems, Inc. ........................................ 2,800 15,400 International Research & Development Corp. ............. 4,600 9,631 International Shipholding Corp. ........................ 2,700 56,700 *International Technology Corp. ......................... 15,300 47,813 *International Thoroughbred Breeders, Inc. ....................................... 1,200 3,900 *International Totalizator Systems ...................... 6,900 24,150 *Interneuron Pharmaceuticals, Inc. ...................... 2,500 10,156 *Interphase Corp. ....................................... 2,200 25,988 *Interpoint Corp. WA .................................... 3,000 26,438 *Interpool, Inc. ........................................ 5,000 68,750 *Interpore International ................................ 1,000 7,375 *Intersolv, Inc. ........................................ 5,700 94,763 Interstate Bakeries Corp. DE (New) ..................... 8,100 103,275
209 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Interstate Power Co. ................................... 2,400 $ 52,200 *Intertan, Inc. ......................................... 2,300 18,113 Intertrans Corp. ....................................... 82,800 1,086,750 *Intervisual Books, Inc. Class A ........................ 1,000 2,500 *Intervoice, Inc. ....................................... 9,300 120,900 Invacare Corp. ......................................... 2,000 65,000 Investors Bank Corp. (Minnetonka, MN) .................. 1,333 29,826 *Iomega Corp. ........................................... 16,000 53,500 *Ionics, Inc. ........................................... 4,300 231,663 Irwin Financial Corp. .................................. 1,000 27,125 Isco, Inc. ............................................. 43,935 395,415 *Isis Pharmaceuticals, Inc. ............................. 11,900 58,013 *Isomedix, Inc. ......................................... 4,900 80,238 *Ithaca Bancorp, Inc. ................................... 1,000 19,000 *Iwerks Entertainment, Inc. ............................. 424 2,544 *J & J Snack Foods Corp. ................................ 4,600 55,488 *JB's Restaurants, Inc. ................................. 2,900 12,688 JLG Industries, Inc. ................................... 2,600 104,975 *Jabil Circuit, Inc. .................................... 5,000 23,750 Jackpot Enterprises, Inc. .............................. 4,654 37,814 Jaclyn, Inc. ........................................... 1,700 10,200 *Jaco Electronics, Inc. ................................. 800 5,400 Jacobson Stores, Inc. .................................. 2,900 36,431 *Jacor Communications, Inc. ............................. 3,900 43,875 *Jamesway Corp. ......................................... 10,800 4,050 *Jan Bell Marketing, Inc. ............................... 18,800 92,825 *Jason, Inc. ............................................ 7,187 62,886 *Jean Philippe Fragrances, Inc. ......................... 2,250 16,453 Jefferson Bankshares, Inc. ............................. 5,800 104,038 *Jefferson Savings Bancorp, Inc. ........................ 3,000 47,250 *Jennifer Convertibles, Inc. ............................ 1,300 9,750 Johnston Industries, Inc. .............................. 10,800 110,700 *Jones Intercable, Inc. ................................. 1,000 14,563 *Jones Intercable, Inc. Class A ......................... 3,500 47,688 Jones Medical Industries, Inc. ......................... 8,000 64,000 *Jones Plumbing System, Inc. ............................ 1,500 2,250 Joslyn Manufacturing Co. ............................... 2,100 55,125 Juno Lighting, Inc. .................................... 5,600 100,800 *Just Toys, Inc. ........................................ 2,100 7,088 Justin Industries, Inc. ................................ 7,900 98,750 *K-Tron International, Inc. ............................. 6,200 69,750 *K-V Pharmaceutical Co. Class A ......................... 1,800 12,375 KCS Energy, Inc. ....................................... 3,200 46,400 *KLLM Transport Services, Inc. .......................... 2,766 43,219 Kahler Realty Corp. .................................... 1,000 9,500 *Kaiser Resources, Inc. ................................. 9,700 72,750 Kaman Corp. Class A .................................... 9,400 96,350 *Kaneb Services, Inc. ................................... 9,800 22,050 Kasler Holding Co. ..................................... 17,700 77,438 *Kaufman (H.W.) Financial Group, Inc. ................... 2,200 9,625 Kaydon Corp. ........................................... 2,700 61,425 *Keane, Inc. ............................................ 5,500 123,750 *Kelley Oil Corp. ....................................... 10,600 47,700 Kellwood Co. ........................................... 4,200 86,100 *Kemet Corp. ............................................ 5,000 108,750 *Kent Electronics Corp. ................................. 5,300 198,088 *Kenwin Shops, Inc. ..................................... 400 1,363 *Keptel, Inc. ........................................... 4,300 75,250 *Kerr Group, Inc. ....................................... 6,300 52,763 *Ketema, Inc. ........................................... 800 11,800 *Kewaunee Scientific Corp. .............................. 1,500 4,031 *Key Energy Group, Inc. ................................. 1,000 5,000 *Key Production Co., Inc. ............................... 3,000 14,813
210 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Key Technology, Inc. ................................... 3,000 $ 19,125 *Key Tronic Corp. ....................................... 13,000 138,125 *Keystone Consolidated Industries, Inc. ................. 5,600 81,900 *Kimball International, Inc. Class B .................... 500 11,938 *Kinark Corp. ........................................... 300 1,013 *Kinder-Care Learning Centers, Inc. (New) ............... 15,000 195,938 Kinetic Concepts, Inc. ................................. 22,000 129,250 *Kirschner Medical Corp. ................................ 6,100 63,669 *Kit Manufacturing Co. .................................. 2,700 30,713 *Kleinert's, Inc. ....................................... 2,000 34,250 *Knogo Corp. ............................................ 5,400 101,250 *Knowledgeware, Inc. .................................... 6,600 26,400 *Komag, Inc. ............................................ 5,600 136,500 *Kopin Corp. ............................................ 2,200 24,200 *Kronos, Inc. ........................................... 1,400 32,725 *Krug International Corp. ............................... 848 4,187 *Krystal Co. ............................................ 4,900 51,450 Kuhlman Corp. .......................................... 4,200 50,925 *Kulicke & Soffa Industries, Inc. ....................... 2,700 54,675 Kysor Industrial Corp. ................................. 1,700 37,188 *L.A. Gear, Inc. ........................................ 6,600 35,475 LCS Industries, Inc. ................................... 800 6,300 LDI Corp. .............................................. 3,100 14,725 LSB Industries, Inc. ................................... 9,100 53,463 LSI Industries, Inc. ................................... 7,245 77,884 *LTX Corp. .............................................. 9,600 42,000 *LVI Group, Inc. (New) .................................. 1,100 756 *LXE, Inc. .............................................. 2,400 34,800 *LaBarge, Inc. .......................................... 11,600 15,950 *LaCrosse Footwear, Inc. ................................ 3,000 34,125 Labone, Inc. ........................................... 3,300 54,038 Laclede Gas Co. ........................................ 4,800 100,200 *Laclede Steel Co. ...................................... 2,700 27,338 Ladd Furniture, Inc. ................................... 8,000 47,500 *Lakeland Industries, Inc. .............................. 1,000 3,875 *Lamson & Sessions Co. .................................. 11,100 62,438 *Lancer Corp. ........................................... 2,600 46,800 *Lancit Media Productions, Ltd. ......................... 4,300 61,006 Landauer, Inc. ......................................... 56,900 967,300 *Landmark Graphics Corp. ................................ 3,800 72,200 *Larizza Industries, Inc. ............................... 4,200 19,425 *Laser Precision Corp. .................................. 2,400 19,125 *Lasermaster Technologies, Inc. ......................... 3,000 41,063 *Laserscope ............................................. 2,000 9,000 *Lattice Semiconductor Corp. ............................ 4,350 74,494 Lawson Products, Inc. .................................. 3,500 88,375 Lawyers Title Corp. .................................... 3,800 42,750 *Layne, Inc. ............................................ 1,000 6,938 *Lazare Kaplan International, Inc. ...................... 7,700 74,113 *Learning Co. ........................................... 4,700 106,925 Learonal, Inc. ......................................... 2,500 44,688 *Lechters, Inc. ......................................... 5,100 85,425 *Lectec Corp. ........................................... 1,102 10,331 *Lee Pharmaceuticals, Inc. .............................. 1,200 825 Legg Mason, Inc. ....................................... 3,400 73,525 Lennar Corp. ........................................... 3,200 50,000 Lesco, Inc. ............................................ 6,225 90,263 *Leslie Building Products, Inc. ......................... 3,200 5,440 *Leslie Fay Companies, Inc. ............................. 7,000 8,750 *Leslie's Poolmart ...................................... 1,785 23,205 *Levitz Furniture, Inc. ................................. 10,000 80,000 Lexington Savings Bank MA .............................. 1,000 15,250 Liberty Bancorp, Inc. .................................. 4,300 128,463
211 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Liberty Corp. .......................................... 4,000 $102,000 *Life Quest Medical, Inc. ............................... 1,000 2,688 Life Re Corp. .......................................... 4,500 77,625 Life Technologies, Inc. ................................ 1,000 17,250 *Life USA Holdings, Inc. ................................ 5,600 44,100 *Lifecore Biomedical, Inc. .............................. 4,800 19,800 *Lifeline Systems, Inc. ................................. 2,500 14,688 Lillian Vernon Corp. ................................... 4,300 70,950 Lilly Industry, Inc. Class A ........................... 1,500 20,250 Lincoln Telecommunications Co. ......................... 4,800 69,600 *Lindal Cedar Homes, Inc. ............................... 4,482 15,687 Lindberg Corp. ......................................... 8,200 55,350 *Lindsay Manufacturer Co. ............................... 2,100 62,213 *Liposome Co., Inc. ..................................... 7,200 65,700 *Liposome Technology, Inc. .............................. 11,400 77,663 Liqui Box Corp. ........................................ 1,000 33,375 *Littlefuse, Inc. ....................................... 6,000 153,000 *Liuski International, Inc. ............................. 1,300 6,256 *Living Centers of America, Inc. ........................ 2,658 85,721 *Lodgenet Entertainment Corp. ........................... 3,000 24,375 *Logic Devices, Inc. .................................... 3,600 10,013 Logicon, Inc. .......................................... 1,900 56,525 *Lojack Corp. ........................................... 4,200 25,200 *Lomas Financial Corp. .................................. 4,000 14,500 *Lone Star Technologies, Inc. ........................... 9,300 70,331 *Longhorn Steaks, Inc. .................................. 3,300 28,875 *Louis Dreyfus Natural Gas Corp. ........................ 16,000 196,000 Loyola Capital Corp. ................................... 5,200 93,600 Lufkin Industries, Inc. ................................ 1,200 19,650 Lukens, Inc. DE ........................................ 2,900 80,475 *Lumex, Inc. ............................................ 4,300 54,825 *Lunar Corp. ............................................ 1,500 28,500 *Lund International Holdings, Inc. ...................... 1,300 22,750 *Lydall, Inc. DE ........................................ 6,900 231,150 *Lynch Corp. ............................................ 2,500 73,750 *M-Wave, Inc. ........................................... 1,000 14,875 *M.S. Carriers, Inc. .................................... 9,300 204,600 *M/A-COM, Inc. .......................................... 7,400 46,250 *M/A/R/C, Inc. .......................................... 1,018 12,089 MAF Bancorp, Inc. ...................................... 1,000 18,625 MDC Holdings, Inc. ..................................... 6,200 31,775 *MDT Corp. .............................................. 7,100 44,819 MDU Resources Group, Inc. .............................. 3,800 97,850 *MFRI, Inc. ............................................. 1,000 5,750 *MGI Pharma, Inc. ....................................... 11,400 84,075 *MRS Technology, Inc. ................................... 2,000 9,500 MTS Systems Corp. ...................................... 2,400 53,700 *MacFrugals Bargain Close-outs, Inc. .................... 10,000 195,000 MacNeal-Schwendler Corp. ............................... 3,000 32,625 *Macromedia, Inc. ....................................... 3,000 59,250 Madison Gas & Electric Co. ............................. 2,700 87,413 Magna Bancorp .......................................... 2,000 39,250 Magna Group, Inc. ...................................... 4,400 80,300 *Magnetek, Inc. ......................................... 7,000 94,500 *Mail Boxes, Etc. ....................................... 3,800 40,613 *Main Street & Main, Inc. ............................... 2,600 7,638 Maine Public Service Co. ............................... 2,700 60,413 *Mallon Resources Corp. ................................. 1,400 3,938 *Manatron, Inc. ......................................... 1,102 3,857 Manitowoc Co., Inc. .................................... 2,900 69,238 Marble Financial Corp. ................................. 1,000 10,813 *Marcam Corp. ........................................... 6,200 61,225 Marcus Corp. ........................................... 7,900 203,425 *Marine Drilling Companies, Inc. ........................ 23,000 79,063
212 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Maritrans, Inc. ........................................ 3,300 $ 18,563 Mark Twain Bancshares, Inc. ............................ 5,450 148,513 *Mark VII, Inc. ......................................... 3,400 35,275 *Markel Corp. ........................................... 2,200 91,025 *Marsam Pharmaceuticals, Inc. ........................... 5,000 58,750 Marsh Supermarkets, Inc. Class A ....................... 1,800 19,350 Marsh Supermarkets, Inc. Class B ....................... 1,300 13,000 *Marshall Industries .................................... 7,800 195,975 *Marten Transport, Ltd. ................................. 2,800 53,900 *Martin Lawrence Limited Editions, Inc. ................. 1,700 850 Maryland Federal Bancorp ............................... 1,000 23,500 Massbank Corp. Reading, MA ............................. 1,350 29,363 *Mastec, Inc. ........................................... 5,000 39,375 *Matec Corp. DE ......................................... 3,000 12,000 *Material Sciences Corp. ................................ 8,850 126,113 *Mathsoft, Inc. ......................................... 2,000 5,875 *Matlack Systems, Inc. .................................. 7,500 71,250 *Matrix Service Co. ..................................... 1,700 11,794 *Matthews Studio Equipment Group ........................ 2,500 6,406 *Maverick Tube Corp. .................................... 1,400 12,863 *Max & Ermas Restaurants, Inc. .......................... 1,125 7,734 *Maxco, Inc. ............................................ 1,900 16,031 *Maxicare Health Plans, Inc. (New) ...................... 2,600 40,788 *Maxtor Corp. ........................................... 8,400 33,600 *Maxwell Laboratories, Inc. ............................. 1,746 13,750 *Maxxam, Inc. ........................................... 4,000 132,500 *Maxxim Medical, Inc. ................................... 5,500 65,313 *Maynard Oil Co. ........................................ 2,400 12,150 *McAfee Associates, Inc. ................................ 3,300 48,056 *McFarland Energy, Inc. ................................. 6,100 38,888 McGrath Rent Corp. ..................................... 4,150 66,919 Measurex Corp. ......................................... 8,200 175,275 *Medalist Industries, Inc. .............................. 1,900 10,688 *Medalliance, Inc. ...................................... 2,800 5,338 *Medaphis Corp. ......................................... 3,800 150,100 *Medar, Inc. ............................................ 4,900 65,538 *Medarex, Inc. .......................................... 1,000 3,125 *Medchem Products, Inc. ................................. 4,600 25,300 *Medco Research, Inc. ................................... 2,800 30,800 Medex, Inc. ............................................ 3,000 47,625 Medford Savings Bank MA (New) .......................... 2,800 39,200 *Media Logic, Inc. ...................................... 1,000 2,375 *Medical Action Industries, Inc. ........................ 2,100 2,559 *Medical Graphics Corp. ................................. 1,000 5,750 *Medical Resource Companies America ..................... 800 800 *Medical Technology System, Inc. ........................ 800 5,350 Medicine Shoppe International, Inc. .................... 1,200 27,750 Medicus Systems Corp. .................................. 1,800 25,650 *Medimmune, Inc. ........................................ 8,000 36,000 *Medstat Group, Inc. .................................... 3,100 83,119 Medusa Corp. ........................................... 1,600 32,000 *Megacards, Inc. ........................................ 333 624 *Melamine Chemicals, Inc. ............................... 3,300 33,825 *Mem Co., Inc. .......................................... 2,700 11,813 *Mens Warehouse, Inc. ................................... 2,500 63,750 Mentor Corp. MN ........................................ 3,200 51,200 Merchants Group, Inc. .................................. 600 8,475 Meridian Diagnostics, Inc. ............................. 5,290 37,692 Meridian Insurance Group, Inc. ......................... 1,000 10,500 *Merisel, Inc. .......................................... 5,900 50,150 *Merit Medical Systems, Inc. ............................ 1,100 5,500
213 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Merrill Corp. .......................................... 3,650 $ 51,100 Merrimac Industries, Inc. .............................. 700 5,644 *Merry-Go-Round Enterprises, Inc. ....................... 11,000 13,750 *Mesa Airlines, Inc. .................................... 7,100 65,231 *Mesa, Inc. ............................................. 11,300 49,438 *Mestek, Inc. ........................................... 5,500 53,281 *Met-Coil Systems Corp. ................................. 1,000 3,125 Met-Pro Corp. .......................................... 6,300 104,738 Methode Electronics, Inc. Class A ...................... 3,300 46,613 *Metricom, Inc. ......................................... 2,300 36,800 Metro Bancshares, Inc. ................................. 1,500 34,313 *Metrocall, Inc. ........................................ 3,000 54,375 *Miami Subs Corp. ....................................... 6,200 13,756 *Michael Anthony Jewelers, Inc. ......................... 2,500 16,563 Michael Foods, Inc. .................................... 6,000 62,250 Mickelberry Communications, Inc. ....................... 5,600 17,850 *Micom Communications Corp. ............................. 3,333 47,495 *Micro Bio-Medics, Inc. ................................. 1,000 9,688 *Micro Healthsystems, Inc. .............................. 1,000 3,563 *Microage, Inc. ......................................... 5,450 64,378 *Microcom, Inc. ......................................... 9,100 91,000 *Microdyne Corp. ........................................ 5,600 46,550 *Micrografx, Inc. ....................................... 2,600 14,950 *Microlog Corp. ......................................... 1,500 1,031 *Micronics Computers, Inc. .............................. 3,300 15,675 *Micropolis Corp. ....................................... 8,400 74,550 *Micros Systems, Inc. ................................... 2,300 84,525 *Microsemi Corp. ........................................ 5,200 24,700 *Microtouch Systems, Inc. ............................... 2,000 80,500 Mid Am, Inc. ........................................... 3,410 44,969 Mid America Banccorp ................................... 2,113 37,770 Mid-Atlantic Realty Trust .............................. 666 5,162 *MidAmerican Waste System, Inc. ......................... 7,900 53,325 MidSouth Insurance Co. ................................. 4,320 39,420 Midconn Bank Kensington, CT ............................ 900 12,038 *Middleby Corp. ......................................... 1,100 5,088 Middlesex Water Co. .................................... 1,000 18,000 Midland Co. ............................................ 24,600 962,475 Midwest Grain Products, Inc. ........................... 2,500 67,500 *Miller Building Systems, Inc. .......................... 1,400 4,900 Millicom, Inc. (Escrow) ................................ 10,100 0 *Miltope Group, Inc. .................................... 11,000 50,188 *Milwaukee Insurance Group, Inc. ........................ 800 7,400 Mine Safety Appliances Co. ............................. 1,600 70,400 *Mission West Properties, Inc. .......................... 1,600 10,600 *Mitek Surgical Products, Inc. .......................... 2,600 54,600 Mobile Gas Service Corp. ............................... 2,000 41,500 *Mobley Environmental Services, Inc. Class A ............ 1,000 1,750 Modern Controls, Inc. .................................. 4,700 34,956 *Molecular Biosystems, Inc. ............................. 3,000 32,625 Monarch Machine Tool Co. ............................... 2,300 20,988 Money Store, Inc. ...................................... 3,600 63,000 Monk-Austin, Inc. ...................................... 2,100 28,350 *Monro Muffler Brake, Inc. .............................. 1,050 19,425 Moorco International, Inc. ............................. 3,100 43,400 *Moore Products Co. ..................................... 1,600 25,800 Morgan Keegan, Inc. .................................... 4,200 54,075 *Morgan Products, Ltd. .................................. 6,400 39,200 *Morgan's Foods, Inc. ................................... 5,200 7,475 *Morningstar Group, Inc. ................................ 1,200 8,400 *Morrison Knudsen Corp. ................................. 6,400 94,400 Moscom Corp. ........................................... 2,000 16,750 Mosinee Paper Corp. .................................... 4,700 122,788 *Motor Club of America .................................. 2,500 7,188
214 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Motts Holdings, Inc. ................................... 4,000 $ 16,500 *Movie Star, Inc. ....................................... 13,800 16,388 Mueller (Paul) Co. ..................................... 2,200 69,025 *Mueller Industries, Inc. ............................... 2,900 86,638 *Multi Color Corp. ...................................... 1,000 7,375 *Mutual Assurance, Inc. ................................. 2,310 65,258 *Mycogen Corp. .......................................... 7,700 75,075 Myers (L.E.) Co. Group ................................. 1,700 19,763 Myers Industries, Inc. ................................. 6,987 102,185 *Mylex Corp. ............................................ 3,100 27,125 NAC RE Corp. ........................................... 3,500 89,250 *NAI Technologies, Inc. ................................. 4,087 11,750 NBB Bancorp, Inc. ...................................... 5,200 248,300 NBSC Corp. ............................................. 1,400 40,775 NBT Bancorp ............................................ 1,103 17,089 *NCI Building Systems, Inc. ............................. 1,000 17,750 NFS Financial Corp. .................................... 1,000 21,000 *NMR of America, Inc. ................................... 1,700 7,650 NS Bancorp, Inc. ....................................... 2,200 57,338 *NS Group, Inc. ......................................... 6,300 30,713 NSC Corp. .............................................. 3,700 12,025 *NTN Communications, Inc. ............................... 5,000 28,750 NUI Corp. .............................................. 4,700 67,563 NYMAGIC, Inc. .......................................... 5,100 83,513 *Nabors Industries, Inc. DE ............................. 10,360 75,110 Nacco Industries, Inc. Class A ......................... 1,100 57,338 *Nahama Weagant Energy Co. (New) ........................ 4,000 625 *Namic USA Corp. ........................................ 2,400 44,400 *Nantucket Industries, Inc. ............................. 1,500 8,625 *Napco Security Systems, Inc. ........................... 4,850 14,550 Nash Finch Co. ......................................... 3,300 53,213 Nashua Corp. ........................................... 1,000 21,000 *Natec Resources, Inc. .................................. 5,300 828 *National Auto Credit, Inc. ............................. 11,600 121,800 National Bancorp of Alaska, Inc. ....................... 2,200 112,750 *National City Bancorp .................................. 1,210 18,150 National Computer Systems, Inc. ........................ 4,000 62,000 *National Convenience Stores, Inc. ...................... 1,700 12,113 National Data Corp. .................................... 3,100 66,650 *National Education Corp. ............................... 9,200 37,950 National Gas & Oil Co. ................................. 6,576 102,750 *National Home Health Care Corp. ........................ 900 2,081 *National Media Corp. ................................... 2,800 16,100 National Presto Industries, Inc. ....................... 3,000 123,750 *National Re Corp. ...................................... 1,800 42,525 *National Standard Co. .................................. 11,000 112,750 *National Techteam, Inc. ................................ 4,900 25,113 *National Vision Association, Ltd. ...................... 5,600 25,200 *National Western Life Insurance Co. Class A ............ 1,000 34,500 *Nationwide Cellular Service, Inc. ...................... 1,900 31,825 *Natural Alternatives International, Inc. ............... 3,400 17,000 *Natural Wonders, Inc. .................................. 2,200 10,450 *Nature's Bounty, Inc. .................................. 4,800 27,000 Natures Sunshine Products, Inc. ........................ 11,733 165,729 *Nautica Enterprises, Inc. .............................. 3,150 88,988 *Navigators Group, Inc. ................................. 1,600 24,000 *Nellcor, Inc. .......................................... 4,900 165,375 Nelson (Thomas), Inc. .................................. 3,000 64,125 *Neoprobe Corp. ......................................... 5,900 11,616 *Neorx Corp. ............................................ 4,525 26,584 *Netframe Systems, Inc. ................................. 2,700 21,769 *Network Computing Devices, Inc. ........................ 6,500 28,844
215 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Network Equipment Technologies, Inc. ................... 10,100 $209,575 *Network General Corp. .................................. 4,800 109,200 *Network Imaging Corp. .................................. 2,700 12,150 *Network Systems Corp. .................................. 9,300 70,913 *Neurogen Corp. ......................................... 2,000 13,250 *New Brunswick Scientific Co., Inc. ..................... 2,200 11,963 New England Business Services, Inc. .................... 7,000 127,750 *New Image Industries, Inc. ............................. 3,300 16,913 New Jersey Resources Corp. ............................. 4,600 105,225 *New Jersey Steel Corp. ................................. 1,700 27,094 *New Mexico & Arizona Land Co. .......................... 1,500 13,688 *New World Power Corp. .................................. 2,000 14,000 New York Bancorp, Inc. ................................. 1,485 27,844 Newcor, Inc. ........................................... 4,750 38,891 Newmil Bancorp, Inc. ................................... 3,500 15,313 *Newpark Resources, Inc. ................................ 5,000 113,750 Newport Corp. .......................................... 10,200 72,675 *Nichols Research Corp. ................................. 3,100 37,975 *Noble Drilling Corp. ................................... 23,575 147,344 *Noel Group, Inc. ....................................... 1,000 6,375 *Nord Resources Corp. ................................... 3,900 21,938 *Norstan, Inc. .......................................... 3,000 56,625 *Nortek, Inc. ........................................... 3,500 37,625 *North American Biologicals, Inc. ....................... 5,800 40,600 North American Mortgage Co. ............................ 4,500 74,250 *North American Recycling System, Inc. .................. 2,000 3,500 North Carolina Natural Gas Corp. ....................... 1,900 40,850 North Fork Bancorporation, Inc. ........................ 13,800 193,200 North Side Savings Bank NY ............................. 551 10,262 *North Star Universal, Inc. ............................. 4,300 23,113 *Northeast Federal Corp. ................................ 4,000 33,000 Northland Cranberries, Inc. Class A .............................................. 1,000 12,563 Northwest Natural Gas Co. .............................. 2,700 78,638 Northwestern Public Service Co. ........................ 2,300 59,513 *Northwestern Steel & Wire Co. .......................... 10,300 60,513 Norwich Financial Corp. ................................ 2,400 24,000 *Novametrix Medical Systems, Inc. ....................... 7,600 37,525 *Noven Pharmaceuticals, Inc. ............................ 4,000 60,000 *Novitron Internarional, Inc. ........................... 3,900 23,400 *Nu Horizons Electronics Corp. .......................... 6,118 50,856 *Nuclear Metals, Inc. ................................... 6,500 94,250 *Nuclear Support Services, Inc. ......................... 500 1,906 *Nuevo Energy Co. ....................................... 4,900 96,163 *Nutramax Products, Inc. ................................ 3,600 34,200 *Nuvision, Inc. ......................................... 1,800 6,750 *Nview Corp. ............................................ 1,000 8,125 *Nycor, Inc. (New) ...................................... 1,000 2,406 *Nycor, Inc. Class A (New) .............................. 1,000 2,375 *O Charleys, Inc. ....................................... 750 8,156 *O'Brien Environmental Energy, Inc. Class A ............. 3,600 1,125 O'Sullivan Corp. ....................................... 5,100 46,538 *O.I. Corp. ............................................. 500 2,313 *OEC Medical Systems, Inc. .............................. 3,700 23,125 *OESI Power Corp. ....................................... 1,000 1,000 *OHM Corp. .............................................. 4,400 30,250 *OMI Corp. .............................................. 14,000 85,750 *Oak Hill Sportswear Corp. .............................. 800 3,700 *Oak Industries, Inc. ................................... 4,700 131,013 Oakwood Homes Corp. .................................... 4,200 88,200 *Oceaneering International, Inc. ........................ 6,700 78,725
216 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Octel Communications Corp. ............................. 1,620 $ 35,033 *Odetics, Inc. Class A .................................. 300 1,913 *Offshore Logistics, Inc. ............................... 4,500 60,750 *Offshore Pipelines, Inc. ............................... 4,300 88,688 Oglebay Norton Co. ..................................... 2,200 66,550 Oil-Dri Corp. of America ............................... 1,000 19,000 *Old Dominion Freight Lines, Inc. ....................... 3,800 60,325 *Olympus Capital Corp. .................................. 1,000 14,625 *Omega Environmental, Inc. .............................. 8,000 45,500 Omnicare, Inc. ......................................... 4,200 174,825 *Oncogene Science, Inc. ................................. 4,600 12,363 *Oncor, Inc. ............................................ 4,100 18,450 *One Price Clothing Stores, Inc. ........................ 3,000 27,000 One Valley Bancorp of West Virginia ............................................. 3,800 108,300 Oneida, Ltd. ........................................... 2,700 35,100 *Oneita Industries, Inc. ................................ 4,220 43,255 Oneok, Inc. ............................................ 5,300 91,425 *Opta Food Ingredients, Inc. ............................ 1,000 5,313 Optical Coating Laboratory, Inc. ....................... 1,000 6,125 *Optical Data Systems, Inc. ............................. 1,000 24,875 *Option Care, Inc. ...................................... 2,900 7,794 Orange & Rockland Utilities, Inc. ...................... 2,700 79,313 *Orbit International Corp. .............................. 4,000 10,750 *Orbital Sciences Corp. ................................. 3,000 59,625 *Orchard Supply Hardware Stores Corp. ................... 2,000 19,000 *Oregon Metallurgical Corp. ............................. 3,200 20,800 Oregon Steel Mills, Inc. ............................... 3,900 56,550 *Organogenesis, Inc. .................................... 2,300 34,500 Orion Capital Corp. .................................... 4,400 140,800 *Ornda Healthcorp ....................................... 8,395 107,561 *Orphan Medical, Inc. ................................... 285 1,176 *Orthomet, Inc. ......................................... 700 7,569 *Osborn Communications Corp. ............................ 8,100 52,144 Oshkosh B'Gosh, Inc. Class A ........................... 2,400 32,400 Oshkosh B'Gosh, Inc. Class B ........................... 600 8,325 Oshkosh Truck Corp. Class B ............................ 2,300 24,869 *Oshman's Sporting Goods, Inc. .......................... 2,900 22,475 *Osmonics, Inc. ......................................... 8,250 113,438 *Osteotech, Inc. ........................................ 3,000 12,563 Otter Tail Power Co. ................................... 3,400 107,950 Outboard Marine Corp. .................................. 6,000 111,750 *Outlook Group Corp. .................................... 1,300 15,925 Owens & Minor, Inc. .................................... 9,075 137,259 Oxford Industries, Inc. ................................ 5,600 159,600 *Oxis International, Inc. ............................... 8,400 21,525 PCA International, Inc. ................................ 2,300 26,163 *PHP Healthcare Corp. ................................... 1,500 17,438 *PLM International, Inc. ................................ 2,500 6,875 *PSC, Inc. .............................................. 3,300 31,350 PXRE Corp. ............................................. 1,000 26,250 *Pacific Crest Capital, Inc. ............................ 1,060 4,770 *Pacific Physician Services, Inc. ....................... 3,200 51,200 *Pacific Rim Holding Corp. .............................. 2,700 6,581 Pacific Scientific Co. ................................. 8,000 309,000 Paco Pharmaceutical Services, Inc. ..................... 1,000 9,000 *Page America Group, Inc. ............................... 1,200 3,975 *Pages, Inc. ............................................ 1,000 4,688 *Palfed, Inc. ........................................... 2,000 15,125 *Pamida Holdings Corp. .................................. 1,000 6,125 Pancho's Mexican Buffet, Inc. .......................... 5,000 40,000 *Par Technology Corp. ................................... 6,000 39,000 *Parallan Computer, Inc. ................................ 4,200 20,869
217 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Parallel Petroleum Corp. ............................... 2,800 $ 8,400 *Park Communications, Inc. .............................. 100 2,800 Park Electrochemical Corp. ............................. 4,100 127,100 *Parker Drilling Co. .................................... 31,700 158,500 Parkvale Financial Corp. ............................... 1,250 27,500 *Patrick Industries, Inc. ............................... 2,000 17,250 *Patrick Petroleum Co. .................................. 8,400 10,500 *Patten Corp. ........................................... 5,624 19,684 *Paxar Corp. ............................................ 19,157 196,359 *Payco American Corp. ................................... 3,000 23,625 *Peer Review Analysis, Inc. ............................. 1,000 2,781 Penn Engineering & Manufacturing Corp. ................. 2,500 103,438 *Penn Traffic Co. (New) ................................. 3,400 134,300 *Penn Treaty American Corp. ............................. 2,400 36,600 Penn Virginia Corp. .................................... 1,100 37,125 Penncorp Financial Group, Inc. ......................... 5,400 71,550 Pennsylvania Enterprises, Inc. ......................... 1,200 33,750 Penril Datacomm Networks, Inc. ......................... 3,700 8,325 *Pentech International, Inc. ............................ 5,300 24,181 Penwest, Ltd. .......................................... 2,100 46,988 Peoples Bank of Connecticut ............................ 8,000 102,000 Peoples Heritage Financial Group, Inc. ................. 6,680 80,995 *Peoples Savings Bank of Brockton, MA ................... 1,000 5,438 Peoples Savings Financial Corp. ........................ 900 15,525 *Peoples Telephone Co., Inc. ............................ 3,650 14,828 *Perfumania, Inc. ....................................... 3,200 10,600 *Perini Corp. ........................................... 2,700 27,338 *Perry Drug Stores, Inc. ................................ 7,300 54,750 Petrolite Corp. ........................................ 3,400 92,225 *Pharmaceutical Marketing Services, Inc. ................ 5,800 55,825 *Pharmaceutical Resources, Inc. ......................... 5,800 63,075 *Pharmacy Management Services, Inc. ..................... 3,900 66,300 *Pharmchem Laboratories, Inc. ........................... 2,800 7,525 *Pharmos Corp. (Private Placement) ........................................... 9,000 10,378 Philadelphia Suburban Corp. ............................ 5,200 93,600 *Phoenix Laser Systems, Inc. (New) ...................... 2,000 2,000 Phoenix Resource Companies, Inc. ....................... 800 32,100 *Phoenix Technologies, Ltd. ............................. 3,100 22,088 *Photo Control Corp. .................................... 1,000 6,500 *Photronics, Inc. ....................................... 1,400 37,275 *Physician Computer Network, Inc. ....................... 6,700 39,781 *Physicians Insurance Co. of Ohio Class A ............... 1,000 5,313 Piccadilly Cafeterias, Inc. ............................ 2,900 23,200 *Picturetel Corp. ....................................... 3,800 84,788 Piedmont Natural Gas Co. ............................... 4,800 94,200 Pier 1 Imports, Inc. DE ................................ 11,500 90,563 Pilgrim Pride Corp. .................................... 12,600 126,000 *Pinkertons, Inc. ....................................... 2,000 36,000 Pioneer Financial Services, Inc. ....................... 3,700 36,075 Pioneer Standard Electronics, Inc. ..................... 10,875 178,078 Piper Jaffray Companies, Inc. .......................... 2,800 28,350 Pitt-Des Moines, Inc. .................................. 2,400 81,600 Plains Petroleum Co. ................................... 3,000 76,875 *Plains Resources, Inc. ................................. 5,900 32,450 *Platinum Technology, Inc. .............................. 10,600 208,688 *Playboy Enterprises, Inc. Class B ...................... 4,600 34,500
218 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Players International, Inc. ............................ 3,500 $ 71,531 Plenum Publishing Corp. ................................ 1,200 35,100 *Plexus Corp. ........................................... 4,400 43,450 Ply-Gem Industries, Inc. DE ............................ 2,700 50,963 *Polk Audio, Inc. ....................................... 500 5,188 *Polymedica Industries, Inc. ............................ 2,100 9,056 *Pool Energy Services Co. ............................... 8,700 62,531 Pope & Talbot, Inc. .................................... 3,500 56,438 *Porta Systems Corp. .................................... 4,400 25,300 *Portec, Inc. ........................................... 7,611 96,088 Portsmouth Bank Shares, Inc. ........................... 1,530 18,360 *Possis Medical, Inc. ................................... 5,800 34,438 *Poughkeepsie Savings Bank FSB NY ....................... 2,500 10,781 *Powell Industries, Inc. ................................ 2,700 15,188 Pratt & Lambert United, Inc. ........................... 3,400 66,725 *Pratt Hotel Corp. ...................................... 1,300 5,769 Precision Castparts Corp. .............................. 6,450 129,806 *Precision Standard, Inc. ............................... 3,800 7,600 Presidential Life Corp. ................................ 6,800 33,150 *Presidio Oil Co. Class A ............................... 3,200 1,200 *Presley Companies Class A .............................. 5,600 14,000 *Presstek, Inc. ......................................... 1,875 79,570 *Price Communications Corp. ............................. 3,400 23,375 *Pride Petroleum Services, Inc. ......................... 14,700 75,338 *Primark Corp. .......................................... 8,400 105,000 Prime Bancorp, Inc. .................................... 605 9,907 *Prime Hospitality Corp. ................................ 7,700 57,750 Primesource Corp. ...................................... 4,581 48,101 *Printronix, Inc. ....................................... 2,500 71,875 *Procyte Corp. .......................................... 8,000 23,375 Production Operators Corp. ............................. 2,600 56,225 *Proffitts, Inc. ........................................ 4,250 100,938 *Progress Financial Corp. ............................... 1,000 4,250 *Progress Software Corp. ................................ 1,000 36,250 Progressive Bank, Inc. ................................. 1,000 20,875 *Proler International Corp. ............................. 8,500 59,500 *Pronet, Inc. ........................................... 1,500 21,000 *Protein Design Labs, Inc. .............................. 3,600 56,250 *Proteon, Inc. .......................................... 4,400 26,400 *Protocol Systems, Inc. ................................. 5,100 45,900 Providence Energy Corp. ................................ 5,300 81,488 Provident Bankshares Corp. ............................. 5,300 110,638 *Proxima Corp. .......................................... 1,700 62,263 *Psicor, Inc. ........................................... 2,200 20,075 *Public Service Co. of New Mexico ....................... 3,000 38,625 Public Service Co. of North Carolina ............................................. 4,900 71,050 Pulaski Furniture Corp. ................................ 1,300 24,050 *Pulse Engineering, Inc. ................................ 1,700 9,563 *Pure Tech International, Inc. (Private Placement) .................................. 10,000 50,063 *Purepac, Inc. .......................................... 3,000 43,500 Puritan Bennett Corp. .................................. 8,000 172,000 Putnam Trust Co. Greenwich, CT ......................... 1,000 26,250 *Pyramid Technology Corp. ............................... 3,800 39,900 *Q Logic Corp. .......................................... 4,450 29,759 *QMS, Inc. .............................................. 6,500 57,688 Quaker Chemical Corp. .................................. 2,800 51,100 Quaker State Corp. ..................................... 14,900 204,875 Quality Food Centers, Inc. ............................. 3,900 84,338 Quanex Corp. ........................................... 3,300 74,250 *Quantum Restaurant Group, Inc. ......................... 3,000 31,125 *Quarterdeck Office Systems, Inc. ....................... 6,100 13,344 *Quest Medical, Inc. .................................... 8,109 36,491
219 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Quick & Reilly Group, Inc. DE .......................... 3,300 $ 81,675 *Quickresponse Services, Inc. ........................... 2,200 31,625 *Quidel Corp. ........................................... 4,000 11,250 *Quiksilver, Inc. ....................................... 2,900 46,944 Quixote Corp. .......................................... 7,700 120,313 *R & B, Inc. ............................................ 3,500 23,188 *RB & W Corp. ........................................... 1,600 12,200 RLI Corp. .............................................. 4,000 81,500 *RPC Energy Services, Inc. .............................. 22,800 159,600 RS Financial Corp. ..................................... 1,400 30,100 *Radius, Inc. ........................................... 5,819 54,553 *Rag Shops, Inc. ........................................ 2,300 5,463 *Ragan (Brad), Inc. ..................................... 3,800 125,400 *Railroad Financial Corp. ............................... 1,000 9,250 *Rainbow Technologies, Inc. ............................. 2,800 33,950 *Rally's Hamburgers, Inc. ............................... 3,100 10,850 *Ralston-Continental Baking Group ....................... 4,100 17,425 *Ramsay Health Care, Inc. (New) ......................... 3,500 25,813 *Ramtron International Corp. ............................ 3,500 18,156 Rauch Industries, Inc. ................................. 500 4,500 Raven Industries, Inc. ................................. 9,150 174,994 *Raymond Corp. .......................................... 5,565 97,388 Raymond James Financial, Inc. .......................... 4,000 57,500 Re Capital Corp. ....................................... 4,300 53,750 *Readicare, Inc. ........................................ 11,400 15,675 *Reading & Bates Corp. .................................. 6,000 35,250 *Reading Co. Class A .................................... 1,000 11,313 *Recognition International, Inc. ........................ 6,800 50,150 *Recoton Corp. .......................................... 9,066 160,922 Refac Technology Development Corp. ..................... 7,000 49,875 *Reflectone, Inc. ....................................... 1,000 8,000 Regal Beloit Corp. ..................................... 3,800 47,975 *Regency Health Services, Inc. .......................... 2,000 23,250 *Regeneron Pharmaceuticals, Inc. ........................ 3,200 13,200 *Regis Corp. ............................................ 1,000 14,625 *Rehabilicare, Inc. ..................................... 1,000 2,563 *Rehability Corp. ....................................... 1,000 7,313 *Reliability, Inc. ...................................... 1,000 2,250 *Relife, Inc. Class A ................................... 4,500 104,063 *Ren Corp.- USA ......................................... 4,900 67,069 *Rentrak Corp. .......................................... 2,300 17,106 *Repligen Corp. ......................................... 3,000 9,000 *Republic Automotive Parts, Inc. ........................ 4,100 58,425 Republic Bancorp, Inc. ................................. 1,997 21,962 Republic Gypsum Co. .................................... 13,300 121,363 *Republic Waste Industries, Inc. ........................ 2,200 8,388 *Research Industries Corp. .............................. 5,000 65,938 *Respironics, Inc. ...................................... 5,300 119,913 *Response Technologies, Inc. ............................ 11,900 23,056 *Retix, Inc. ............................................ 4,800 22,800 *Revell Monogram, Inc. .................................. 3,500 21,438 *Rex Stores Corp. ....................................... 5,600 94,500 *Rexhall Industries, Inc. ............................... 1,000 6,375 *Rexon, Inc. ............................................ 5,600 28,350 *Rexworks, Inc. ......................................... 1,000 4,375 *Rhodes, Inc. ........................................... 3,200 31,600 *Ribi Immunichem Research, Inc. ......................... 19,400 80,025 Richfood Holdings, Inc. ................................ 11,200 169,400 *Riddell Sports, Inc. ................................... 655 1,556 *Riggs National Corp. ................................... 13,800 118,163 *Right Management Consultants, Inc. ..................... 1,200 27,600 *Right Start, Inc. ...................................... 1,900 7,363 *Ringer Corp. ........................................... 6,500 10,359
220 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Rio Hotel & Casino, Inc. ............................... 5,700 $ 73,388 Rival Co. .............................................. 2,600 62,075 River Forest Bancorp ................................... 3,400 111,350 *River Oaks Furniture, Inc. ............................. 2,400 33,900 *Riverside Group, Inc. .................................. 1,000 6,375 *Riverside National Bank CA ............................. 1,000 7,375 *Roadmaster Industries, Inc. ............................ 7,500 30,469 Roanoke Electric Steel Corp. ........................... 800 12,600 Robbins & Myers, Inc. .................................. 3,900 68,250 *Robec, Inc. ............................................ 4,700 8,078 *Robert Half International, Inc. ........................ 5,400 134,325 *Roberts Pharmaceutical Corp. ........................... 1,000 30,625 *Robertson-Ceco Corp. ................................... 1,218 4,415 Robinson Nugent, Inc. .................................. 4,000 33,750 Rochester Community Savings Bank of New York ........... 4,100 68,163 *Rogers Corp. ........................................... 5,000 209,375 *Rohr, Inc. ............................................. 13,000 118,625 *Rollins Environmental Services, Inc. ................... 16,100 76,475 Roosevelt Financial Group, Inc. ........................ 17,345 252,587 *Ropak Corp. ............................................ 900 9,225 Roper Industries, Inc. ................................. 3,000 75,750 Ross Stores, Inc. ...................................... 7,000 95,375 *Ross Systems, Inc. ..................................... 3,800 20,425 *Rotech Medical Corp. ................................... 6,700 190,950 Roto-Rooter, Inc. ...................................... 3,600 83,700 *Rottlund, Inc. ......................................... 1,000 6,250 Rowe Furniture Corp. ................................... 2,475 22,275 *Royal Appliance Manufacturing Co. ...................... 7,200 27,900 Ruddick Corp. .......................................... 4,600 82,225 *Rule Industries, Inc. .................................. 2,700 37,294 Russ Berrie & Co., Inc. ................................ 9,800 138,425 *Ryans Family Steak Houses, Inc. ........................ 7,500 52,969 *Rykoff-Sexton, Inc. .................................... 3,000 61,875 Ryland Group, Inc. ..................................... 7,800 108,225 *Rymer Foods, Inc. ...................................... 5,400 18,900 S I Handling, Inc. ..................................... 700 5,950 *S&K Famous Brands, Inc. ................................ 1,000 8,125 *SBE, Inc. .............................................. 900 9,113 *SCI Systems, Inc. ...................................... 5,500 101,406 SCOR U.S. Corp. ........................................ 8,200 72,775 *SCS/COMPUTE, Inc. ...................................... 2,700 6,413 SEI Corp. .............................................. 1,000 18,875 SFFED Corp. ............................................ 3,500 46,813 SJW Corp. .............................................. 600 21,000 SKI, Ltd. .............................................. 1,000 16,000 SL Industries, Inc. .................................... 9,200 41,400 *SLM International, Inc. ................................ 5,200 20,150 *SPS Technologies, Inc. ................................. 2,600 59,150 SPX Corp. .............................................. 6,300 97,650 Safecard Services, Inc. ................................ 6,900 108,675 *Safeguard Health Enterprises, Inc. ..................... 6,900 64,256 *Safeguard Scientifics, Inc. ............................ 13,800 236,325 *Safetytek Corp. ........................................ 1,000 8,500 *Saga Communications, Inc. Class A .............................................. 1,300 19,500 Saint Ives Laboratories Corp. .......................... 3,500 29,969 Saint Joseph Light & Power Co. ......................... 27,200 724,200 Saint Paul Bancorp, Inc. ............................... 7,350 131,381 Salem Corp. ............................................ 2,950 45,356 *Salick Health Care, Inc. ............................... 5,700 142,500 San Filippo (John B.) & Son, Inc. ...................... 3,000 21,375 *San Francisco Co. Class A .............................. 400 2,900
221 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Sanderson Farms, Inc. .................................. 2,800 $ 55,300 Sands Regent Casino Hotel .............................. 2,000 14,250 Sandy Corp. ............................................ 1,000 6,125 *Sanifill, Inc. ......................................... 7,100 164,188 *Santa Cruz Operation, Inc. ............................. 2,000 18,625 *Santa Monica Bank CA ................................... 1,000 8,250 *Sarnia Corp. ........................................... 600 204 *Satellite Technology Management, Inc. .................. 1,300 13,650 Savannah Foods & Industries, Inc. ...................... 7,300 85,775 *Savoy Pictures Entertainment, Inc. ..................... 9,800 66,150 *Scan-Optics, Inc. ...................................... 14,900 96,850 *Schieb (Earl), Inc. .................................... 7,900 45,425 *Schuler Homes, Inc. .................................... 1,000 14,750 Schult Homes Corp. ..................................... 1,100 11,963 Schultz Sav-O Stores, Inc. ............................. 1,500 29,813 *Schwitzer, Inc. ........................................ 7,800 63,375 *Sciclone Pharmaceuticals, Inc. ......................... 4,400 28,050 *Science Dynamics Corp. ................................. 1,700 1,966 *Scientific Software-Intercomp, Inc. .................... 3,500 19,688 Scientific Technologies, Inc. .......................... 1,300 16,250 *Scios-Nova, Inc. ....................................... 10,687 64,790 Scope Industries, Inc. ................................. 3,500 84,438 *Score Board, Inc. ...................................... 3,200 13,400 Scotsman Industries, Inc. .............................. 3,000 51,750 *Scotts Co. Class A ..................................... 11,300 168,088 *Seacor Holdings, Inc. .................................. 1,200 25,650 Seafield Capital Corp. ................................. 1,700 58,438 Sealright Co., Inc. .................................... 2,800 48,650 *Seitel, Inc. ........................................... 6,767 156,487 Selas Corp. of America ................................. 700 6,825 Selective Insurance Group, Inc. ........................ 6,000 145,500 *Selfix, Inc. ........................................... 1,000 4,875 *Sepracor, Inc. ......................................... 5,300 21,531 *Sequent Computer Systems, Inc. ......................... 3,400 63,538 *Seragen, Inc. .......................................... 4,200 24,150 *Serv-Tech, Inc. ........................................ 2,600 17,550 *Servotronics, Inc. ..................................... 900 3,938 *Sharper Image Corp. .................................... 5,900 39,825 Shelby Williams Industries, Inc. ....................... 3,300 28,463 *Sheldahl, Inc. ......................................... 10,300 141,625 Shelter Components, Inc. ............................... 1,125 12,375 *Shiloh Industries, Inc. ................................ 1,000 7,250 *Shoe Carnival, Inc. .................................... 3,000 15,750 Shopko Stores, Inc. .................................... 14,400 144,000 *Shorewood Packaging Corp. .............................. 5,800 111,650 *Show Biz Pizza Time, Inc. .............................. 5,900 44,619 Showboat, Inc. ......................................... 6,800 83,300 *Showscan Corp. ......................................... 4,000 24,500 *Sierra Health Services, Inc. ........................... 3,000 92,250 *Sierra On-Line, Inc. ................................... 1,300 37,375 *Sierra Semiconductor Corp. ............................. 6,800 100,725 *Sierra Tucson Companies, Inc. .......................... 1,000 3,000 *Sifco Industries, Inc. ................................. 8,800 28,600 *Sigma Designs, Inc. .................................... 8,700 59,269 *Signal Apparel Co., Inc. Class A ....................... 2,700 15,525 *Silicon Valley Bancshares .............................. 4,200 51,450 *Silicon Valley Group, Inc. ............................. 15,200 304,000 *Siliconix, Inc. (New) .................................. 1,000 11,500 Simpson Industries, Inc. ............................... 7,650 77,456 Sizzler International, Inc. ............................ 13,200 74,250 *Skybox International, Inc. ............................. 4,700 55,519 Skyline Corp. .......................................... 3,400 62,900 Skywest, Inc. .......................................... 5,100 72,038 Smart & Final Food, Inc. ............................... 12,150 176,175
222 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Smithfield Foods, Inc. ................................. 5,000 $141,250 Snyder Oil Corp. ....................................... 7,000 108,500 *Sodak Gaming, Inc. ..................................... 3,000 41,250 *Sofamor/Danek Group, Inc. .............................. 4,900 79,013 *Softech, Inc. .......................................... 1,000 6,500 *Softkey International, Inc. ............................ 2,843 57,215 *Softnet Systems, Inc. (Private Placement) .............. 2,400 15,660 *Software Publishing Corp. .............................. 3,700 20,350 *Software Spectrum, Inc. ................................ 1,900 31,113 *Somatix Therapies Corp. ................................ 4,100 14,350 *Somatogen, Inc. ........................................ 4,300 31,444 *Sonic Corp. ............................................ 4,000 86,500 *Sound Advice, Inc. ..................................... 1,900 11,281 South Jersey Industries, Inc. .......................... 2,448 41,310 *Southdown, Inc. ........................................ 12,400 212,350 Southeastern Michigan Gas Enterprises, Inc. .................................... 735 13,414 Southern California Water Co. .......................... 3,900 61,913 *Southern Electronics Corp. ............................. 1,650 9,900 *Southern Energy Homes, Inc. ............................ 3,000 36,750 Southern Indiana Gas & Electric Co. .................... 2,100 54,075 *Southern Union Co. ..................................... 5,705 101,977 *Southwall Technologies, Inc. ........................... 3,500 10,281 Southwest Gas Corp. .................................... 6,300 96,075 Southwest Water Co. .................................... 1,000 9,375 Southwestern Energy Co. ................................ 6,600 104,775 *Southwestern Life Corp. ................................ 19,200 44,400 Sovereign Bancorp, Inc. ................................ 14,488 135,825 *Spacelabs Medical, Inc. ................................ 3,000 67,500 *Spaghetti Warehouse, Inc. .............................. 3,400 19,125 Span-American Medical System, Inc. ..................... 1,700 8,500 Spartan Motors, Inc. ................................... 3,900 55,088 *Spartech Corp. (New) ................................... 2,400 13,200 *Sparton Corp. .......................................... 7,700 38,500 *Spec's Music, Inc. ..................................... 5,300 29,813 *Special Devices, Inc. .................................. 2,900 49,663 *Specialty Chemical Resources, Inc. ..................... 2,600 8,450 *Spectran Corp. ......................................... 3,200 17,400 *Spectranetics Corp. .................................... 802 1,103 *Spectrum Control, Inc. ................................. 3,000 6,375 *Spectrum Holobyte, Inc. ................................ 1,000 13,250 *Speizman Industries, Inc. .............................. 800 3,300 *Spire Corp. ............................................ 3,200 8,600 Sport Supply Group, Inc. ............................... 1,250 12,969 *Sports & Recreation, Inc. .............................. 2,400 54,600 *Staar Surgical Co. (New) ............................... 3,700 38,850 *Stac Electronics ....................................... 3,000 16,125 *Stacey's Buffet, Inc. .................................. 3,700 4,625 *Staff Builders, Inc. ................................... 6,300 20,377 Stage II Apparel Corp. ................................. 500 2,000 Standard Commercial Corp. .............................. 2,222 31,941 *Standard Microsystems Corp. ............................ 8,800 210,100 Standard Motor Products, Inc. Class A .................. 3,900 71,175 Standard Pacific Corp. DE .............................. 8,600 51,600 Standard Products Co. .................................. 300 6,675 Standex International Corp. ............................ 4,400 139,150 *Stanford Telecommunications, Inc. ...................... 6,900 122,475 Stant Corp. ............................................ 5,000 70,000 Starret Housing Corp. .................................. 3,900 27,056 Starrett (L.S.) Co. Class A ............................ 1,400 29,225
223 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *State of the Art, Inc. ................................. 5,200 $ 36,075 Statesman Group, Inc. (Escrow) ......................... 9,765 0 Steel Technologies, Inc. ............................... 3,100 34,100 *Steel of West Virginia, Inc. ........................... 4,400 41,800 *Stein Mart, Inc. ....................................... 6,200 99,975 Stepan Co. ............................................. 3,200 100,800 Sterling Bancorp ....................................... 3,900 26,325 *Sterling Electronics Corp. ............................. 4,800 54,600 *Stevens Graphics Corp. Class A ......................... 4,000 27,000 Stewart Information Services Corp. ..................... 1,500 22,125 *Stokely USA, Inc. ...................................... 10,100 90,900 Stone & Webster, Inc. .................................. 7,200 239,400 *Stratacom, Inc. ........................................ 7,100 398,488 *Structural Dynamics Research Corp. ..................... 3,300 19,181 *Struthers Industries, Inc. ............................. 2,100 3,806 *Stuart Entertainment, Inc. ............................. 1,000 4,563 Student Loan Corp. ..................................... 5,600 109,200 Sturm Ruger & Co., Inc. ................................ 8,500 231,625 *Suave Shoe Corp. ....................................... 2,500 6,406 Suffolk Bancorp ........................................ 1,000 27,750 *Sulcus Computer Corp. .................................. 4,100 10,763 *Sullivan Dental Products, Inc. ......................... 2,800 36,400 Sumitomo Bank of California ............................ 3,900 90,188 *Summagraphics Corp. .................................... 1,500 12,750 Summit Bancorp, Inc. WA ................................ 3,378 65,028 *Summit Technology, Inc. ................................ 6,400 193,600 *Sun Coast Plastics, Inc. (New) ......................... 1,000 15,500 *Sun Sportswear, Inc. ................................... 1,700 7,650 Sun Television and Appliances, Inc. .................... 8,600 76,863 *Sunair Electronics, Inc. ............................... 3,000 5,813 *Sunbelt Nursery Group, Inc. ............................ 2,600 6,013 *Sundance Homes, Inc. ................................... 4,300 10,750 *Sunrise Bancorp CA ..................................... 1,300 2,113 *Sunrise Technologies, Inc. ............................. 2,700 5,569 *Sunshine Mining Co. .................................... 3,000 5,250 Super Food Services, Inc. .............................. 7,300 81,213 *Super Rite Corp. ....................................... 2,700 30,375 *Supercuts, Inc. ........................................ 2,800 26,600 Superior Surgical Manufacturing Co., Inc. .............. 39,800 537,300 *Supertex, Inc. ......................................... 31,300 195,625 *Suprema Specialties, Inc. .............................. 1,000 3,188 *Surgical Laser Technologies, Inc. ...................... 2,500 7,188 *Surgical Technologies, Inc. ............................ 1,000 4,031 *Survival Technology, Inc. .............................. 700 6,213 Susquehanna Bancshares, Inc. ........................... 1,875 41,250 *Swift Energy Corp. ..................................... 6,820 68,200 *Swift Transportation, Inc. ............................. 7,200 130,500 *Swing-n-Slide Corp. .................................... 4,800 40,800 *Sylvan Foods Holdings, Inc. ............................ 69 750 *Symix Systems, Inc. .................................... 1,000 8,000 *Symmetricom, Inc. ...................................... 9,800 123,113 Syms Corp. ............................................. 9,900 68,063 Synalloy Corp. DE ...................................... 9,600 171,600 *Syncor International Corp. DE .......................... 1,000 8,438 *Synercom Technology, Inc. .............................. 7,500 38,438 *Synergen, Inc. ......................................... 7,600 68,994 *Synetic, Inc. .......................................... 3,600 56,700 *Syntellect, Inc. ....................................... 3,000 19,500 *Syntro Corp. ........................................... 2,900 5,981 *Syquest Technology, Inc. ............................... 3,100 49,600 System Software Associates, Inc. ....................... 8,100 117,956
224 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Systemed, Inc. ......................................... 17,976 $120,215 *Systemix, Inc. ......................................... 2,800 44,450 *Systems & Computer Technology Corp. .................... 16,700 319,388 *T Cell Sciences, Inc. .................................. 6,900 17,250 *TBC Corp. .............................................. 8,950 82,228 TCBY Enterprises, Inc. ................................. 7,900 45,425 *TCC Industries, Inc. ................................... 1,100 2,200 TCF Financial Corp. .................................... 5,625 207,422 *TCI International, Inc. ................................ 1,600 6,600 *TIE/Communications, Inc. (New) ......................... 1,100 6,188 *TII Industries, Inc. ................................... 160 940 TJ International, Inc. ................................. 1,000 16,625 TNP Enterprises, Inc. .................................. 3,200 45,200 *TPI Enterprises, Inc. .................................. 6,100 25,544 *TRC Companies, Inc. .................................... 4,600 40,825 *TRM Copy Centers Corp. ................................. 4,000 19,250 *TSF Communications Corp. ............................... 2,400 13,800 TSI, Inc. MN ........................................... 1,500 11,250 Tab Products Co. DE .................................... 2,400 19,800 *Taco Cabana Inc. ....................................... 3,100 26,738 *Talley Industries, Inc. ................................ 2,800 24,150 *Tandy Brand Accessories, Inc. .......................... 1,000 14,250 *Tandy Crafts, Inc. ..................................... 5,600 67,200 *Tanknology Environmental, Inc. ......................... 4,400 11,413 Tasty Baking Co. ....................................... 3,700 49,488 *Team, Inc. ............................................. 2,300 6,613 *Tech-Sym Corp. ......................................... 2,700 59,063 Tech/Ops Sevcon, Inc. .................................. 1,400 19,425 Technalysis Corp. ...................................... 500 5,375 *Techne Corp. ........................................... 2,700 29,025 *Technical Communications Corp. ......................... 1,000 7,500 Technitrol, Inc. ....................................... 4,200 61,425 *Technol Medical Products, Inc. ......................... 6,000 98,250 *Technology Solutions Corp. ............................. 1,000 7,875 *Tejas Power Corp. ...................................... 5,200 44,200 Tejon Ranch Co. ........................................ 9,100 110,338 *Tekelec ................................................ 2,100 50,925 *Teknekron Communication System, Inc. ................... 3,800 36,575 *Telco Systems, Inc. .................................... 5,800 97,150 *Telebit Corp. .......................................... 3,200 15,200 Telxon Corp. ........................................... 4,700 56,988 Tennant Co. ............................................ 1,100 48,813 *Terex Corp. (New) ...................................... 4,500 32,625 *Tesoro Petroleum Corp. ................................. 3,900 35,588 *Tetra Technologies, Inc. ............................... 12,200 115,138 Texas Industries, Inc. ................................. 2,800 92,750 *Texfi Industries, Inc. ................................. 3,800 9,975 *Thackeray Corp. ........................................ 3,600 14,400 *Theragenics Corp. ...................................... 2,800 7,175 *Theratech, Inc. UT ..................................... 3,000 33,750 *Thermedics, Inc. ....................................... 6,600 85,800 *Thermo Cardiosystems, Inc. ............................. 5,600 86,800 *Thermo Fibertek, Inc. .................................. 19,700 307,813 *Thermo Power Corp. ..................................... 5,600 49,700 *Thermo Process Systems, Inc. ........................... 4,300 33,325 *Thermo Voltek Corp. .................................... 1,100 8,388 *Thermotrex Corp. ....................................... 1,000 13,875 Thiokol Corp. .......................................... 3,700 98,513 Thomas Industries, Inc. ................................ 1,900 25,413 Thomaston Mills, Inc. .................................. 1,000 14,375 Thor Industries, Inc. .................................. 4,000 79,500 Thorn Apple Valley, Inc. ............................... 4,000 113,000 *Tipperary Corp. ........................................ 2,700 7,425
225 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Titan Corp. ............................................ 7,500 $ 41,250 Toastmaster, Inc. ...................................... 2,300 16,100 *Todays Man, Inc. ....................................... 4,900 76,563 *Todd Shipyards Corp. ................................... 3,100 14,338 *Todhunter International, Inc. (Private Placement) .................................. 3,600 49,613 *Tokheim Corp. .......................................... 2,200 18,425 *Tokos Medical Corp. .................................... 5,300 35,113 *Toll Brothers, Inc. .................................... 6,700 63,650 *Top Source Technologies, Inc. .......................... 6,600 46,200 Topps, Inc. ............................................ 20,000 121,250 *Tops Appliance City, Inc. .............................. 2,200 15,125 *Toreador Royalty Corp. ................................. 500 1,625 Toro Co. ............................................... 3,700 103,600 Tower Air, Inc. ........................................ 7,000 59,500 *Town & Country Corp. Class A ........................... 6,100 5,719 *Tracor, Inc. ........................................... 2,000 25,000 *Trak Auto Corp. ........................................ 3,000 48,375 *Trans World Entertainment Corp. ........................ 3,000 32,625 *Transmation, Inc. ...................................... 1,000 4,375 Transmedia Network, Inc. (New) ......................... 1,650 16,706 Transport Financial Bancorp, Inc. ...................... 1,000 13,625 *Transport Leasing International, Inc. .................. 1,200 4,163 Transtechnology Corp. .................................. 3,000 34,500 *Travel Ports of America, Inc. .......................... 1,500 3,469 Treadco, Inc. .......................................... 3,000 47,625 Tredegar Industries, Inc. .............................. 3,600 64,800 *Tremont Corp. DE ....................................... 4,700 51,113 Trenwick Group, Inc. ................................... 3,000 111,000 *Tri-Lite, Inc. ......................................... 29 65 *Triad Systems Corp. .................................... 4,500 22,781 *Trico Products Corp. ................................... 900 75,600 *Triconex Corp. ......................................... 2,500 43,906 *Tricord Systems, Inc. .................................. 1,500 9,094 *Tridex Corp. ........................................... 500 2,813 *Trimark Holdings, Inc. ................................. 1,000 7,500 *Trimble Navigation, Ltd. ............................... 5,200 70,525 *Trimedyne, Inc. ........................................ 2,300 9,631 *Trinzic Corp. .......................................... 12,300 63,806 *Trion, Inc. ............................................ 2,300 12,794 *Tripos, Inc. ........................................... 2,000 9,125 *Tristar Corp. .......................................... 1,000 5,500 Trust Company of New Jersey ............................ 4,500 54,281 Trustco Bank Corp. NY .................................. 6,820 130,859 Tseng Laboratories, Inc. ............................... 5,900 40,563 *Tuboscope Vetco International, Inc. .................... 8,400 60,375 *Tucker Drilling Co., Inc. .............................. 500 3,000 *Tuesday Morning Corp. .................................. 3,600 24,750 Tultex Corp. ........................................... 14,900 81,950 *Turner Corp. ........................................... 2,600 20,800 Tuscarora Plastics, Inc. ............................... 3,500 60,813 Twin Disc, Inc. ........................................ 1,400 28,350 *Tyco Toys, Inc. ........................................ 15,800 94,800 *Tyler Corp. ............................................ 5,800 21,025 U.S. Bancorp, Inc. ..................................... 1,000 21,500 *UDC Homes, Inc. ........................................ 2,600 4,550 *UNC, Inc. .............................................. 12,600 63,000 UNR Industries, Inc. ................................... 14,300 87,588 *URS Corp. (New) ........................................ 5,000 25,625 *US Can Corp. ........................................... 8,800 156,200 *USA Waste Services, Inc. ............................... 3,200 38,400 *USAir Group, Inc. ...................................... 10,000 48,750 USILICO Corp. .......................................... 4,900 98,000
226 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *USMX, Inc. ............................................. 4,600 $ 11,213 *UST Corp. .............................................. 7,900 83,444 *Ultra Pacific, Inc. .................................... 1,700 11,156 Unico American Corp. ................................... 3,000 12,563 Unifirst Corp. ......................................... 6,200 76,338 Uniforce Temporary Personnel, Inc. ..................... 2,700 31,388 *Unigene Laboratories, Inc. ............................. 5,100 14,184 *Unilab Corp. ........................................... 11,900 54,294 *Unimed, Inc. ........................................... 2,800 8,575 *Union Corp. DE ......................................... 3,900 54,600 Union Planters Corp. ................................... 14,117 291,163 *Union Switch & Signal, Inc. ............................ 4,000 62,000 *Uniphase Corp. ......................................... 3,000 43,500 *Unique Mobility, Inc. .................................. 2,400 12,300 *Unit Corp. ............................................. 5,400 16,875 *United American Healthcare Corp. ....................... 2,000 49,000 United Bankshares, Inc. WV ............................. 1,000 23,375 United Carolina Bancshares Corp. ....................... 6,300 151,200 United Cities Gas Co. .................................. 4,950 77,963 United Companies Financial Corp. ....................... 2,400 73,500 United Financial Corp. ................................. 2,000 26,000 *United Foods, Inc. Class A ............................. 1,000 2,125 *United Gaming, Inc. .................................... 3,700 19,888 *United Guardian, Inc. .................................. 1,000 1,750 United Illuminating Co. ................................ 1,300 39,000 United Industrial Corp. ................................ 5,300 25,838 *United Insurance Companies, Inc. ....................... 3,500 107,844 *United Retail Group, Inc. .............................. 5,500 37,813 *United States Alcohol Testing America, Inc. ............ 4,600 19,838 *United States Banknote Corp. ........................... 5,300 11,925 *United States Bioscience, Inc. ......................... 9,800 79,625 *United States Energy Corp. ............................. 1,000 4,063 *United States Facilities Corp. ......................... 5,700 57,000 *United States Filter Corp. (New) ....................... 1,000 20,000 *United States Home Corp. ............................... 2,600 40,950 *United States Homecare Corp. ........................... 3,800 8,550 *United States Intec, Inc. .............................. 2,500 14,063 *United States Long Distance Corp. (New) ................ 3,300 39,188 *United States Paging Corp. ............................. 1,000 7,125 *United States Robotics, Inc. ........................... 2,900 112,375 United Stationers, Inc. ................................ 3,500 35,875 *United Television, Inc. ................................ 200 10,600 United Water Resources, Inc. ........................... 13,300 172,900 United Wisconsin Services, Inc. ........................ 3,100 113,150 *Unitel Video, Inc. ..................................... 600 3,525 Unitog Co. ............................................. 1,500 27,188 *Unitrode Corp. ......................................... 3,800 71,250 Univar Corp. ........................................... 5,000 61,875 *Universal Health Services, Inc. Class B ................ 5,500 137,500 *Universal International, Inc. .......................... 1,500 3,375 *University Patents, Inc. ............................... 1,400 9,800 *Uno Restaurant Corp. ................................... 5,600 70,700 Upper Peninsula Energy Corp. ........................... 1,000 15,500 *Uranuim Resources, Inc. (New) .......................... 2,000 10,875 *Uromed Corp. ........................................... 10,000 48,125 *Utah Medical, Inc. ..................................... 3,000 24,750 *Utilx Corp. ............................................ 1,500 5,344 *V Band Systems, Inc. ................................... 1,000 4,125 *VLSI Technology, Inc. .................................. 9,700 113,369 *VTEL Corp. ............................................. 2,100 14,963 VWR Corp. .............................................. 3,300 25,163
227 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Valence Technology, Inc. ............................... 12,100 $ 33,653 *Vallen Corp. ........................................... 4,200 49,088 Valley Resources, Inc. ................................. 1,000 12,625 Vallicorp Holdings, Inc. ............................... 1,000 14,000 Valmont Industries, Inc. ............................... 3,200 54,000 *Value City Department Stores, Inc. ..................... 1,900 22,088 *Value-Added Communications, Inc. ....................... 2,400 3,900 *Valuevision International, Inc. Class A ................ 1,000 4,750 *Vans, Inc. ............................................. 5,000 30,313 *Varco International, Inc. .............................. 8,500 54,188 Varlen Corp. ........................................... 1,000 23,875 *Vectra Technologies, Inc. .............................. 2,700 8,438 *Ventritex, Inc. ........................................ 5,000 128,750 Venture Stores, Inc. ................................... 4,400 55,550 *Verifone, Inc. ......................................... 5,000 105,000 Vermont Financial Services Corp. ....................... 2,000 40,500 Versa Technologies, Inc. ............................... 1,100 14,575 *Versar, Inc. ........................................... 600 1,763 *Vertex Communications Corp. ............................ 1,000 13,500 *Vestar, Inc. ........................................... 1,700 7,756 *Vicorp Restaurants, Inc. ............................... 3,100 52,700 Victoria Bankshares, Inc. .............................. 2,000 46,750 *Video Display Corp. .................................... 700 1,838 *Video Lottery Technologies, Inc. ....................... 1,400 13,125 *Vie de France Corp. .................................... 4,200 15,488 *Viewlogic Systems, Inc. ................................ 3,900 82,875 Vintage Petroleum, Inc. ................................ 6,200 101,525 Virco Manufacturing Corp. .............................. 1,331 12,478 Virginia Beach Federal Financial Corp. ................. 1,200 7,650 *Vista Resources, Inc. .................................. 3,600 76,050 *Visx, Inc. DE .......................................... 2,500 28,125 Vital Signs, Inc. ...................................... 4,000 44,000 *Vitalink Pharmacy Services, Inc. ....................... 1,000 11,250 *Vitesse Semiconductor, Inc. ............................ 3,800 17,813 *Vivra, Inc. ............................................ 5,850 167,456 *Volt Information Sciences, Inc. ........................ 1,000 27,625 *Volunteer Capital Corp. (New) .......................... 1,800 12,600 WD-40 Co. .............................................. 2,000 84,000 *WHX Corp. .............................................. 20,300 289,275 WICOR, Inc. ............................................ 2,300 64,113 WLR Foods, Inc. ........................................ 1,200 30,600 *WMS Industries, Inc. ................................... 4,600 79,925 Wackenhut Corp. Class A ................................ 1,100 14,713 Wackenhut Corp. Class B Non-Voting ........................................... 600 6,900 *Wahlco Environmental System, Inc. ...................... 5,400 12,150 *Wainoco Oil Corp. ...................................... 8,100 39,488 Walbro Corp. ........................................... 2,600 44,200 *Walker Interactive Systems, Inc. ....................... 3,300 20,625 *Wall Street Deli, Inc. ................................. 1,500 15,938 Walshire Assurance Co. ................................. 1,050 10,566 Warner Insurance Services, Inc. ........................ 5,300 14,575 *Warrantech Corp. ....................................... 3,900 22,303 *Warren Bancorp, Inc. ................................... 1,000 8,000 Washington Energy Co. .................................. 2,000 26,750 Washington Homes, Inc. (New) ........................... 2,400 9,300 Washington Mutual Savings Bank of Seattle .............. 581 9,986 Washington National Corp. .............................. 7,300 146,000 Washington Savings Bank FSB Waldorf, MD ................ 1,100 4,228
228 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Washington Scientific Industries, Inc. ................. 1,000 $ 3,750 Waterhouse Investor Services, Inc. ..................... 2,600 37,050 Watkins-Johnson Co. .................................... 4,900 161,700 *Watson Pharmaceuticals, Inc. ........................... 4,600 117,875 Watts Industries, Inc. Class A ......................... 3,600 73,350 *Waxman Industries, Inc. ................................ 1,800 2,475 *Weatherford International, Inc. ........................ 394 3,645 Webb (Del) Corp. ....................................... 6,700 110,550 Webster Financial Corp. ................................ 1,000 18,750 *Wedco Technology, Inc. ................................. 1,155 11,622 *Weirton Steel Corp. .................................... 13,000 108,875 *Weitek Corp. ........................................... 6,000 19,125 *Wells-Gardner Electronics Corp. ........................ 800 2,400 *Wendt-Bristol Health Services Corp. .................... 1,000 500 Wesbanco, Inc. ......................................... 1,000 23,625 West, Inc. ............................................. 4,800 125,400 Westamerica Bancorporation ............................. 4,800 145,800 *Westbridge Capital Corp. ............................... 1,100 8,663 Westcorp DE ............................................ 6,405 55,243 *Westcott Communications, Inc. .......................... 5,800 70,325 Western Bank Coos Bay, OR .............................. 1,177 14,713 *Western Beef, Inc. ..................................... 1,000 7,313 *Western Co. North America (New) ........................ 5,100 86,700 *Western Micro Technology, Inc. ......................... 1,000 8,125 *Western Publishing Group, Inc. ......................... 6,400 72,400 *Western Waste Industries ............................... 10,400 158,600 *Westmoreland Coal Co. .................................. 3,800 19,950 *Weston (Roy F.), Inc. Class A .......................... 1,000 5,688 *Westwood One, Inc. ..................................... 13,800 125,063 *Wet Seal, Inc. Class A ................................. 1,200 5,850 Whitney Holdings Corp. ................................. 6,600 147,675 *Whittaker Corp. ........................................ 1,200 19,500 *Whole Foods Market, Inc. ............................... 3,800 57,000 *Wholesome & Hearty Foods, Inc. ......................... 2,100 26,513 *Willcox & Gibbs, Inc. .................................. 17,900 114,113 *Williams-Sonoma, Inc. .................................. 2,025 61,256 Wilshire Oil Co. of Texas .............................. 2,575 17,703 *Wilshire Technologies, Inc. ............................ 1,000 1,750 Windmere Corp. ......................................... 4,400 42,900 *Winnebago Industries, Inc. ............................. 8,300 75,738 Wiser Oil Co. .......................................... 2,300 33,350 Wolohan Lumber Co. ..................................... 2,200 33,550 *Wolverine Tube, Inc. ................................... 3,600 86,400 Wolverine World Wide, Inc. ............................. 2,250 50,063 *Wonderware Corp. ....................................... 3,000 89,625 Woodhead Industries, Inc. .............................. 1,000 14,750 *World Acceptance Corp. ................................. 4,100 90,200 *Worldcorp, Inc. ........................................ 12,200 97,600 *Worldtex, Inc. ......................................... 8,800 38,500 Worthen Banking Corp. .................................. 9,000 243,000 Worthington Foods, Inc. ................................ 1,500 13,031 Wyle Laboratories, Inc. ................................ 3,200 59,600 *Wyman-Gordon Co. ....................................... 5,500 30,938 Wynns International, Inc. .............................. 1,950 46,313 X-Rite, Inc. ........................................... 3,200 123,200 *Xicor, Inc. ............................................ 2,000 4,813 *Xircom, Inc. ........................................... 4,700 86,363 *Xoma Corp. ............................................. 6,600 22,275 *Xylogics, Inc. ......................................... 1,000 39,500 *Xytronyx, Inc. ......................................... 1,100 4,125 Yankee Energy Systems, Inc. ............................ 4,700 101,638 *Yes Clothing Co. ....................................... 1,000 1,813
229 THE U.S. 6-10 SMALL COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ *York Research Corp. .................................... 3,700 $ 16,650 *Younkers, Inc. ......................................... 2,500 43,438 *Zale Corp. ............................................. 7,000 90,125 *Zenith Electronics Corp. ............................... 10,200 124,950 *Zenith Laboratories, Inc. .............................. 4,200 99,750 Zenith National Insurance Corp. ........................ 8,500 183,813 *Zeos International, Ltd. ............................... 2,600 18,525 Zero Corp. ............................................. 4,800 63,000 *Zilog, Inc. ............................................ 3,700 103,600 *Zitel Corp. ............................................ 3,000 23,625 *Zoll Medical Corp. ..................................... 1,800 24,975 Zurn Industries, Inc. .................................. 3,800 66,500 ------------------ TOTAL COMMON STOCKS (Cost $129,626,934) ................... 139,064,179 ------------------ PREFERRED STOCKS -- (0.0%) *Alfin, Inc. ............................................ 1,200 1,050 *Comptronix Corp. 6% Convertible Series A ............... 629 0 ------------------ TOTAL PREFERRED STOCKS (Cost $1,950) ...................... 1,050 ------------------ RIGHTS/WARRANTS -- (0.0%) *Alta Energy Corp. Contingent Payment Rights ............ 10,000 0 *American Satellite Network, Inc. Warrants 06/30/99 ..... 2,525 0 *Patlex Corp. Contingent Payment Rights ................. 1,800 0 *SPS Technologies, Inc. Rights 12/16/94 ................. 260 14 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 14 ------------------
Face Amount ------------------ (000) BONDS -- (0.0%) MacNeal Schwendler Corp. 7.875%, 08/18/04 (Cost $910) ... $ 1 796 ------------------ TEMPORARY CASH INVESTMENTS -- (4.8%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $7,006,000) .......................... 7,006 7,006,000 ------------------ TOTAL INVESTMENTS -- (100.0%) (Cost $136,635,794) ......... $146,072,039 ==================
- ------ +See Note B to Financial Statements. *Non-Income Producing Securities See accompanying Notes to Financial Statements 230 SCHEDULE OF INVESTMENTS THE U.S LARGE COMPANY SERIES NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ COMMON STOCKS - (98.0%) AMP, Inc. .............................................. 1,600 $ 115,600 *AMR Corp. .............................................. 1,200 60,900 AT&T Corp. ............................................. 23,119 1,135,721 Abbott Laboratories, Inc. .............................. 12,000 382,500 *Advanced Micro Devices, Inc. ........................... 1,400 35,350 Aetna Life & Casualty Co. .............................. 1,700 76,075 Ahmanson (H.F.) & Co. .................................. 1,800 29,925 Air Products & Chemicals, Inc. ......................... 1,700 75,438 *Airtouch Communications ................................ 7,200 195,300 Alberto-Culver Co. Class B ............................. 200 5,125 Albertson's, Inc. ...................................... 3,800 109,250 Alcan Aluminium, Ltd. .................................. 3,400 84,150 Alco Standard Corp. .................................... 900 50,400 Alexander & Alexander Services, Inc. ................... 600 11,325 Allergan, Inc. ......................................... 1,000 30,125 Allied Signal, Inc. .................................... 4,200 137,025 Aluminium Co. of America (ALCOA) ....................... 1,400 114,275 *Alza Corp. ............................................. 1,300 25,025 *Amdahl Corp. ........................................... 1,700 16,575 Amerada Hess Corp. ..................................... 1,400 63,700 American Barrick Resources Corp. ....................... 5,200 108,550 American Brands, Inc. .................................. 2,900 102,588 American Electric Power Co., Inc. ...................... 2,700 89,100 American Express Co. ................................... 7,200 213,300 American General Corp. ................................. 3,000 78,750 American Greetings Corp. Class A ....................... 1,100 30,663 American Home Products Corp. ........................... 4,400 286,550 American International Group, Inc. ..................... 4,600 421,475 American Stores Co. (New) .............................. 2,100 55,388 Ameritech Corp. ........................................ 8,100 319,950 *Amgen, Inc. ............................................ 2,000 116,875 Amoco Corp. ............................................ 7,400 449,502 *Andrew Corp. ........................................... 300 14,550 Anheuser-Busch Companies, Inc. ......................... 3,900 191,588 Apple Computer, Inc. ................................... 1,800 66,825 Archer-Daniels Midland Co. ............................. 4,967 137,213 *Armco, Inc. ............................................ 1,600 9,800 Armstrong World Industries, Inc. ....................... 500 20,000 Asarco, Inc. ........................................... 600 16,425 Ashland Oil, Inc. ...................................... 1,000 34,000 Atlantic Richfield Co. ................................. 2,300 238,050 Autodesk, Inc. ......................................... 800 30,100 Automatic Data Processing, Inc. ........................ 2,100 117,338 Avery Dennison Corp. ................................... 900 29,025 Avon Products, Inc. .................................... 1,000 61,875 Baker Hughes, Inc. ..................................... 2,100 37,800 Ball Corp. ............................................. 400 11,250 *Bally Entertainment Corp. .............................. 600 3,525 Baltimore Gas & Electric Co. ........................... 2,150 48,644 Banc One Corp. ......................................... 5,902 158,616 Bank of Boston Corp. ................................... 1,600 42,800 BankAmerica Corp. ...................................... 5,556 227,796 Bankers Trust New York Corp. ........................... 1,100 65,175 Bard (C.R.), Inc. ...................................... 700 18,200 Barnett Banks, Inc. .................................... 1,500 59,063 Bassett Furniture Industries, Inc. ..................... 187 5,376 Bausch & Lomb, Inc. .................................... 800 26,700
231 THE U.S LARGE COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Baxter International, Inc. ............................. 4,100 $105,575 Becton, Dickinson & Co. ................................ 1,000 47,250 Bell Atlantic Corp. .................................... 6,400 320,800 BellSouth Corp. ........................................ 7,400 383,875 Bemis Co., Inc. ........................................ 700 15,488 Beneficial Corp. ....................................... 700 25,550 *Bethlehem Steel Corp. .................................. 1,600 28,400 *Beverly Enterprises, Inc. .............................. 1,300 18,363 *Biomet, Inc. ........................................... 1,700 21,038 Black & Decker Corp. ................................... 1,300 31,200 Block (H.& R.), Inc. ................................... 1,600 55,400 Boatmen's Bancshares, Inc. ............................. 1,600 44,500 Boeing Co. ............................................. 5,000 223,750 Boise Cascade Corp. .................................... 500 12,125 Borden, Inc. ........................................... 2,100 29,400 Briggs & Stratton Corp. ................................ 400 13,400 Bristol-Myers Squibb Co. ............................... 7,400 427,350 Brown Group, Inc. ...................................... 200 6,350 Brown-Forman Corp. Class B ............................. 600 17,925 Browning-Ferris Industries, Inc. ....................... 2,800 75,600 Bruno's, Inc. .......................................... 1,200 10,650 Brunswick Corp. ........................................ 1,500 25,875 Burlington Northern, Inc. .............................. 1,400 68,250 Burlington Resources, Inc. ............................. 1,900 67,925 CBS, Inc. .............................................. 1,260 69,930 CIGNA Corp. ............................................ 1,000 63,375 CPC International, Inc. ................................ 2,200 112,750 CSX Corp. .............................................. 1,600 111,200 Campbell Soup Co. ...................................... 3,600 154,800 Capital Cities ABC, Inc. ............................... 2,000 163,500 Carolina Power & Light Co. ............................. 2,400 64,200 Caterpillar, Inc. ...................................... 3,000 162,000 Centex Corp. ........................................... 400 8,150 Central & South West Corp. ............................. 2,700 57,375 *Ceridian Corp. ......................................... 600 15,000 Champion International Corp. ........................... 1,400 48,650 Charming Shoppes, Inc. ................................. 1,600 10,600 Chase Manhattan Corp. .................................. 2,700 96,525 Chemical Banking Corp. ................................. 3,798 138,152 Chevron Corp. .......................................... 9,500 414,438 Chrysler Corp. ......................................... 5,300 256,388 Chubb Corp. ............................................ 1,200 84,300 Cincinnati Milacron, Inc. .............................. 600 14,325 Cinergy Corp. .......................................... 818 18,201 Circuit City Stores, Inc. .............................. 1,500 36,938 *Cisco Sytems, Inc. ..................................... 3,800 122,788 Citicorp ............................................... 5,700 237,263 *Clark Equipment Co. .................................... 200 11,025 Clorox Co. ............................................. 700 40,775 Coastal Corp. .......................................... 1,600 41,200 Coca-Cola Co. .......................................... 19,000 971,375 Colgate-Palmolive Co. .................................. 2,200 132,000 *Columbia Gas System, Inc. .............................. 700 17,238 Columbia/HCA Healthcare Corp. .......................... 5,255 199,033 Comcast Corp. Class A Special .......................... 2,800 44,100 Community Psychiatric Centers .......................... 600 6,000 *Compaq Computer Corp. .................................. 3,800 148,675 Computer Associates International, Inc. ................ 2,400 109,200 *Computer Sciences Corp. ................................ 700 32,288
232 THE U.S LARGE COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ ConAgra, Inc. .......................................... 3,750 $ 115,781 Conrail, Inc. .......................................... 1,100 57,200 Consolidated Edison Co. of New York, Inc. .............. 3,500 90,563 *Consolidated Freightways, Inc. ......................... 500 9,688 Consolidated Natural Gas Co. ........................... 1,400 49,000 Continental Corp. ...................................... 900 13,050 Cooper Industries, Inc. ................................ 1,700 59,075 Cooper Tire & Rubber Co. ............................... 1,300 30,388 Coors (Adolph) Co. Class B ............................. 500 7,969 CoreStates Financial Corp. ............................. 2,000 49,500 Corning, Inc. .......................................... 3,200 96,000 Crane Co. .............................................. 400 10,400 *Cray Research, Inc. .................................... 300 5,513 *Crown Cork & Seal Co., Inc. ............................ 1,400 52,850 Cummins Engine Co., Inc. ............................... 600 26,100 Cyprus Amax Minerals Co., Inc. ......................... 1,400 35,000 *DSC Communications Corp. ............................... 1,700 53,019 Dana Corp. ............................................. 1,500 32,438 *Data General Corp. ..................................... 500 5,375 Dayton-Hudson Corp. .................................... 1,000 81,625 Dean Witter, Discover & Co. ............................ 2,466 86,310 Deere & Co. ............................................ 1,300 83,525 Delta Air Lines, Inc. .................................. 700 35,088 Deluxe Corp. ........................................... 1,300 36,075 Detroit Edison Co. ..................................... 2,200 58,850 Dial Corp. ............................................. 1,400 28,000 *Digital Equipment Corp. ................................ 2,000 68,000 Dillard Department Stores, Inc. Class A ................ 1,700 47,813 Disney (Walt) Co. ...................................... 7,800 340,275 Dominion Resources, Inc. VA ............................ 2,450 90,956 Donnelley (R.R.) & Sons Co. ............................ 2,300 65,838 Dover Corp. ............................................ 800 40,900 Dow Chemical Co. ....................................... 4,100 262,400 Dow Jones & Co., Inc. .................................. 1,500 43,500 Dresser Industries, Inc. ............................... 2,700 54,000 DuPont (EI) de Nemours & Co. ........................... 10,100 544,138 Duke Power Co. ......................................... 3,100 126,325 Dun & Bradstreet Corp. ................................. 2,500 132,188 E-Systems, Inc. ........................................ 600 21,975 EG & G, Inc. ........................................... 900 13,275 Eastern Enterprises .................................... 300 7,650 Eastman Chemical Co. ................................... 1,125 53,016 Eastman Kodak Co. ...................................... 5,000 228,125 Eaton Corp. ............................................ 1,200 57,150 Echlin, Inc. ........................................... 800 24,200 Echo Bay Mines, Ltd. ................................... 1,700 17,638 Ecolab, Inc. ........................................... 1,000 20,375 Emerson Electric Co. ................................... 3,200 188,800 Engelhard Corp. ........................................ 1,325 29,150 Enron Corp. ............................................ 3,700 99,900 Enserch Corp. .......................................... 900 11,363 Entergy Corp. .......................................... 3,300 74,250 Exxon Corp. ............................................ 18,200 1,098,825 *FMC Corp. .............................................. 500 29,125 FPL Group, Inc. ........................................ 2,700 95,513 *Federal Express Corp. .................................. 900 51,188 Federal Home Loan Mortgage Corp. ....................... 2,600 129,675 Federal National Mortgage Association .................. 4,100 291,613 Federal Paper Board Co., Inc. .......................... 600 16,275 First Chicago Corp. .................................... 1,300 60,450 First Data Corp. ....................................... 1,600 76,800
233 THE U.S LARGE COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ First Fidelity Bancorp ................................. 1,300 $ 58,500 First Interstate Bancorp ............................... 1,100 77,550 First Mississippi Corp. ................................ 300 6,638 First Union Corp. ...................................... 2,500 99,688 Fleet Financial Group, Inc. ............................ 2,000 62,250 Fleetwood Enterprises, Inc. ............................ 600 11,775 Fleming Companies, Inc. ................................ 500 11,500 Fluor Corp. ............................................ 1,300 55,738 Ford Motor Co. ......................................... 13,600 368,900 Foster Wheeler Corp. ................................... 500 14,313 GTE Corp. .............................................. 14,200 434,875 Gannett Co., Inc. ...................................... 2,200 104,225 Gap, Inc. .............................................. 2,100 74,025 General Dynamics Corp. ................................. 1,000 40,250 General Electric Corp. ................................. 25,300 1,163,800 General Mills, Inc. .................................... 2,300 123,625 General Motors Corp. ................................... 11,100 423,188 General Re Corp. ....................................... 1,300 152,588 General Signal Corp. ................................... 800 25,800 Genuine Parts Co. ...................................... 1,850 64,519 Georgia-Pacific Corp. .................................. 1,400 100,100 Giant Food, Inc. Class A ............................... 800 17,900 Giddings & Lewis, Inc. ................................. 500 7,250 Gillette Co. ........................................... 3,300 242,550 Golden West Financial Corp. ............................ 900 31,500 Goodrich (B.F.) Co. .................................... 300 13,350 Goodyear Tire & Rubber Co. ............................. 2,200 74,525 Grace (W.R.) & Co. ..................................... 1,400 51,800 Grainger (W.W.), Inc. .................................. 700 36,313 Great Atlantic & Pacific Tea Co., Inc. ................. 500 11,125 Great Lakes Chemical Corp. ............................. 1,100 58,300 Great Western Financial Corp. .......................... 2,000 34,000 Halliburton Co. ........................................ 1,700 59,288 Handleman Co. .......................................... 600 6,900 Harcourt General, Inc. ................................. 1,223 43,875 Harland (John H.) Co., Inc. ............................ 400 7,900 Harnischfeger Industries, Inc. ......................... 500 13,313 Harris Corp. ........................................... 500 20,500 *Hartmarx Corp. ......................................... 400 2,150 Hasbro, Inc. ........................................... 1,350 39,825 Heinz (H.J.) Co. ....................................... 3,700 134,588 Helmerich & Payne, Inc. ................................ 300 8,400 Hercules, Inc. ......................................... 500 57,188 Hershey Foods Corp. .................................... 1,000 46,750 Hewlett-Packard Co. .................................... 3,800 372,400 Hilton Hotels Corp. .................................... 800 55,600 Home Depot, Inc. ....................................... 6,566 303,678 Homestake Mining Co. ................................... 2,000 33,750 Honeywell, Inc. ........................................ 1,900 55,575 Household International, Inc. .......................... 1,500 57,750 Houston Industries, Inc. ............................... 1,900 64,600 ITT Corp. .............................................. 1,800 143,325 Illinois Tool Works, Inc. .............................. 1,700 68,850 Inco, Ltd. ............................................. 1,800 49,500 Ingersoll-Rand Co. ..................................... 1,600 51,600 *Inland Steel Industries, Inc. .......................... 700 22,925 Intel Corp. ............................................ 6,000 378,000 *Intergraph Corp. ....................................... 600 4,800 International Business Machines Corp. .................. 8,600 608,450 International Flavors & Fragrances, Inc. ............... 1,700 74,800 International Paper Co. ................................ 1,800 128,700
234 THE U.S LARGE COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Interpublic Group of Companies, Inc. ................... 1,200 $ 37,950 James River Corp. of Virginia .......................... 1,300 27,463 Jefferson-Pilot Corp. .................................. 650 32,906 Johnson & Johnson, Inc. ................................ 9,400 501,725 Johnson Controls, Inc. ................................. 700 33,950 Jostens, Inc. .......................................... 600 10,350 K Mart Corp. ........................................... 6,700 97,150 Kaufman & Broad Home Corp. ............................. 400 5,100 Kellogg Co. ............................................ 3,200 182,000 Kerr-McGee Corp. ....................................... 700 33,075 Keycorp ................................................ 3,600 87,750 Kimberly-Clark Corp. ................................... 2,400 120,300 *King World Productions, Inc.. .......................... 500 17,438 Knight Ridder, Inc. .................................... 700 33,688 *Kroger Co. ............................................. 1,600 38,600 Lilly (Eli) & Co. ...................................... 4,300 269,288 Limited, Inc. .......................................... 5,300 102,688 Lincoln National Corp. ................................. 1,300 50,538 Liz Claiborne, Inc. .................................... 1,200 27,150 Lockheed Corp. ......................................... 800 55,000 Longs Drug Stores Corp. ................................ 300 9,413 Loral Corp. ............................................ 1,300 51,513 *Lotus Development Corp. ................................ 800 35,900 Louisiana Land & Exploration Co. ....................... 400 16,400 Louisiana-Pacific Corp. ................................ 1,700 47,600 Lowe's Companies, Inc. ................................. 2,400 89,700 Luby's Cafeterias, Inc. ................................ 300 6,600 *M/A-COM, Inc. .......................................... 300 1,875 MBNA Corp. ............................................. 2,200 51,975 MCI Communications Corp. ............................... 9,500 186,438 MMM (Minnesota Mining & Manufacturing Co.) ............. 6,300 322,875 Mallinckrodt Group, Inc. ............................... 1,200 36,000 Manor Care, Inc. ....................................... 850 24,119 Marriott International, Inc. ........................... 1,900 49,875 Marsh & McLennan Companies, Inc. ....................... 1,000 72,125 Martin Marietta Corp. .................................. 1,300 56,388 Masco Corp. ............................................ 2,300 51,175 Mattel, Inc. ........................................... 2,600 69,550 *Maxus Energy Corp. ..................................... 2,000 7,500 May Department Stores Co. .............................. 3,700 134,125 Maytag Corp. ........................................... 1,600 23,800 McDermott International, Inc. .......................... 700 16,625 McDonald's Corp. ....................................... 10,400 295,100 McDonnell Douglas Corp. ................................ 500 69,750 McGraw-Hill, Inc. ...................................... 700 47,513 Mead Corp. ............................................. 800 36,600 Medtronic, Inc. ........................................ 1,600 84,800 Mellon Bank Corp. ...................................... 2,100 69,563 Melville Corp. ......................................... 1,600 50,400 Mercantile Stores Co., Inc. ............................ 500 20,250 Merck & Co., Inc. ...................................... 18,600 692,850 Meredith Corp. ......................................... 200 9,625 Merrill Lynch & Co., Inc. .............................. 2,900 110,200 *Micron Technology, Inc. ................................ 1,400 58,100 *Microsoft Corp. ........................................ 8,500 533,906 Millipore Corp. ........................................ 400 19,150 Mobil Corp. ............................................ 5,900 502,975 Monsanto Co. ........................................... 1,800 129,600 Moore Corp., Ltd. ...................................... 1,500 25,688 Morgan (J.P.) & Co., Inc. .............................. 2,800 164,500 Morrison Knudsen Corp. ................................. 400 5,900 Morton International, Inc. ............................. 2,100 57,750
235 THE U.S LARGE COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Motorola, Inc. ......................................... 8,300 $467,913 NBD Bancorp, Inc. ...................................... 2,250 61,031 Nacco Industries, Inc. Class A ......................... 100 5,213 Nalco Chemical Co. ..................................... 1,100 35,750 National City Corp. .................................... 2,200 55,275 *National Education Corp. ............................... 400 1,650 *National Medical Enterprises, Inc. ..................... 2,400 33,900 *National Semiconductor Corp. ........................... 1,800 33,075 National Service Industries, Inc. ...................... 700 17,850 NationsBank Corp. ...................................... 4,024 180,577 *Navistar International Corp. ........................... 1,150 15,094 New York Times Class A ................................. 1,600 38,000 Newell Co. ............................................. 2,400 51,600 Newmont Mining Corp. ................................... 1,323 48,455 Niagra Mohawk Power Corp. .............................. 2,100 29,138 Nicor, Inc. ............................................ 700 15,750 Nike, Inc. Class B ..................................... 700 44,713 Noram Energy Corp. ..................................... 1,800 10,125 Nordstrom, Inc. ........................................ 1,300 62,400 Norfolk Southern Corp. ................................. 2,100 127,050 Northern States Power Co. MN ........................... 900 40,613 Northern Telecom, Ltd. ................................. 3,800 121,600 Northrop Grumman Corp. ................................. 700 28,438 Norwest Corp. .......................................... 4,600 100,050 *Novell, Inc. ........................................... 5,500 109,656 Nucor Corp. ............................................ 1,200 65,400 Nynex Corp. ............................................ 6,100 229,513 Occidental Petroleum Corp. ............................. 4,500 88,313 Ogden Corp. ............................................ 600 11,850 Ohio Edison Co. ........................................ 2,200 40,700 Oneok, Inc. ............................................ 400 6,900 *Oracle Systems Corp. ................................... 4,300 177,644 Oryx Energy Co. ........................................ 1,500 18,188 Oshkosh B'Gosh, Inc. Class A ........................... 200 2,700 Outboard Marine Corp. .................................. 300 5,588 *Owens-Corning Fiberglass Corp. ......................... 600 17,400 PECO Energy Co. ........................................ 3,300 79,613 PNC Bank Corp. ......................................... 3,500 72,625 PPG Industries, Inc. ................................... 3,200 115,200 Paccar, Inc. ........................................... 560 23,030 PacifiCorp ............................................. 4,200 77,700 Pacific Enterprises .................................... 1,300 27,788 Pacific Gas & Electric Co. ............................. 6,300 150,413 Pacific Telesis Group .................................. 6,200 179,800 Pall Corp. ............................................. 1,700 30,175 Panhandle Eastern Corp. ................................ 1,800 38,025 Parker-Hannifin Corp. .................................. 700 30,713 Penney (J.C.) Co., Inc. ................................ 3,500 161,000 Pennzoil Co. ........................................... 600 29,025 Peoples Energy Corp. ................................... 500 12,250 Pep Boys (Manny, Moe & Jack) ........................... 1,000 32,375 PepsiCo, Inc. .......................................... 11,700 413,888 Perkin Elmer Corp. ..................................... 600 16,575 Pet, Inc. .............................................. 1,600 27,000 Pfizer, Inc. ........................................... 4,700 363,663 Phelps Dodge Corp. ..................................... 1,100 62,975 Philip Morris Companies, Inc. .......................... 12,700 758,825 Phillips Petroleum Co. ................................. 3,900 128,700 Pioneer Hi-Bred International, Inc. .................... 1,400 47,425 Pitney Bowes, Inc. ..................................... 2,300 76,475 Pittston Co. ........................................... 700 16,625 Placer Dome, Inc. ...................................... 3,600 67,500 Polaroid Corp. ......................................... 600 18,825 Potlatch Corp. ......................................... 400 15,000 Praxair, Inc. .......................................... 2,000 40,500
236 THE U.S LARGE COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Premark International, Inc. ............................ 1,000 $ 45,500 *Price/Costco, Inc. ..................................... 3,265 49,995 Procter & Gamble Co. ................................... 10,100 631,250 *Promus Companies, Inc. ................................. 1,600 44,400 Providian Corp. ........................................ 1,500 45,375 Public Service Enterprise Group, Inc. .................. 3,700 98,513 Pulte Corp. ............................................ 400 8,050 Quaker Oats Co. ........................................ 900 54,788 Ralston Purina Group ................................... 1,500 64,313 Raychem Corp. DE ....................................... 600 20,775 Raytheon Co. ........................................... 2,000 125,750 Reebok International, Ltd. ............................. 1,100 42,213 Reynolds Metals Co. .................................... 1,000 47,125 Rite Aid Corp. ......................................... 1,200 27,150 Roadway Services, Inc. ................................. 500 25,188 Rockwell International Corp. ........................... 3,200 108,400 Rohm & Haas Co. ........................................ 900 50,175 *Rollins Environmental Services, Inc. ................... 800 3,800 *Rowan Companies, Inc. .................................. 1,300 8,613 Royal Dutch Petroleum Co. .............................. 7,800 847,275 Rubbermaid, Inc. ....................................... 2,300 62,100 Russell Corp. .......................................... 500 15,188 *Ryans Family Steak Houses, Inc. ........................ 700 4,944 Ryder System, Inc. ..................................... 1,200 25,950 SCE Corp. .............................................. 6,600 92,400 SP Ventures, Inc. ...................................... 500 15,688 SPX Corp. .............................................. 200 3,100 Safeco Corp. ........................................... 1,000 49,125 Safety-Kleen Corp. ..................................... 800 11,600 Saint Jude Medical, Inc. ............................... 600 23,850 Saint Paul Companies, Inc. ............................. 1,300 53,625 Salomon, Inc.. ......................................... 1,500 54,375 *Santa Fe Energy Resources, Inc. ........................ 1,400 11,725 *Santa Fe Pacific Gold Corp. ............................ 1,903 24,025 *Santa Fe Southern Pacific Corp. ........................ 2,706 45,326 Sara Lee Corp. ......................................... 7,000 170,625 Schering-Plough Corp. .................................. 2,800 209,650 Schlumberger, Ltd. ..................................... 3,600 191,250 Scientific-Atlanta, Inc. ............................... 1,100 21,725 Scott Paper Co. ........................................ 1,000 65,250 Seagram Company, Ltd. .................................. 5,400 157,275 Sears, Roebuck & Co. ................................... 5,100 240,975 Service Corp. International ............................ 1,350 34,594 Shared Medical Systems Corp. ........................... 300 9,056 Shawmut National Corp. ................................. 1,800 31,950 Sherwin-Williams Co. ................................... 1,200 36,900 *Shoney's, Inc. ......................................... 700 9,625 Sigma-Aldrich Corp. .................................... 800 27,600 Skyline Corp. .......................................... 100 1,850 Snap-On Tools Corp. .................................... 600 18,900 Sonat, Inc. ............................................ 1,200 33,750 Southern Co. ........................................... 9,500 197,125 Southwest Airlines Co. ................................. 2,200 46,475 Southwestern Bell Corp. ................................ 8,800 364,100 Springs Industries, Inc. Class A ....................... 200 7,425 Sprint Corp. ........................................... 5,000 149,375 Stanley Works, Inc. .................................... 600 21,450 *Stone Container Corp. .................................. 1,414 23,154 Stride Rite Corp. ...................................... 700 8,663 Sun Company, Inc. ...................................... 1,600 46,600 *Sun Microsystems, Inc. ................................. 1,300 43,469 SunTrust Banks, Inc. ................................... 1,800 84,825 Super Valu Stores, Inc. ................................ 1,000 24,500
237 THE U.S LARGE COMPANY SERIES CONTINUED
Shares Value+ ------------------ ------------------ Sysco Corp. ............................................ 2,700 $ 69,525 TJX Companies, Inc. .................................... 1,000 15,125 TRW, Inc. .............................................. 900 57,150 *Tandem Computers, Inc. ................................. 1,700 28,900 Tandy Corp. ............................................ 1,015 46,817 Tektronix, Inc. ........................................ 400 14,950 *Tele-Communications, Inc. Class A ...................... 6,000 142,125 *Teledyne, Inc. ......................................... 900 15,525 Temple-Inland, Inc. .................................... 900 40,388 Tenneco, Inc. .......................................... 2,500 97,188 Texaco, Inc. ........................................... 3,800 236,075 Texas Instruments, Inc. ................................ 1,400 105,700 Texas Utilities Co. .................................... 3,400 110,925 Textron, Inc. .......................................... 1,400 65,800 Thomas & Betts Corp. ................................... 200 13,250 Time Warner, Inc. Class A .............................. 5,660 191,025 Times-Mirror, Inc. ..................................... 1,900 58,663 Timken Co. ............................................. 400 12,900 Torchmark Corp. ........................................ 1,150 38,094 *Toys "R" Us, Inc. ...................................... 4,100 150,163 Transamerica Corp. ..................................... 1,000 47,375 Transco Energy Co. ..................................... 700 8,750 Travelers, Inc. ........................................ 4,752 156,222 Tribune Co. ............................................ 900 45,113 Trinova Corp. .......................................... 400 11,850 Tyco Laboratories, Inc. ................................ 1,200 55,200 UNUM Corp. ............................................. 1,200 43,800 US West, Inc. .......................................... 6,700 236,175 US Bancorp Oregon ...................................... 1,550 35,456 US Healthcare, Inc. .................................... 2,400 107,100 *USAir Group, Inc. ...................................... 800 3,900 USF&G Corp. ............................................ 1,300 17,713 USLIFE Corp. ........................................... 300 9,675 UST, Inc. .............................................. 2,900 80,113 USX-Marathon Group, Inc. ............................... 4,200 75,600 USX-US Steel Group ..................................... 1,220 41,938 Unicom Corp., Inc. ..................................... 3,100 72,463 Unilever N.V. .......................................... 2,300 256,738 Union Camp Corp. ....................................... 1,100 51,013 Union Carbide Corp. .................................... 2,200 62,975 Union Electric Co. ..................................... 1,600 57,400 Union Pacific Corp. .................................... 3,100 144,150 *Unisys Corp. ........................................... 2,600 24,375 *United Healthcare Corp. ................................ 2,700 128,250 United States Surgical Corp. ........................... 900 19,575 United Technologies Corp. .............................. 1,900 111,150 Unocal Corp. ........................................... 3,600 95,850 Upjohn Co. ............................................. 2,500 80,313 V.F. Corp. ............................................. 900 43,650 *Varity Corp. ........................................... 600 22,350 *Viacom, Inc. Class B ................................... 4,321 166,359 WMX Technologies, Inc. ................................. 7,200 185,400 Wachovia Corp. ......................................... 2,500 81,562 Wal-Mart Stores, Inc. .................................. 33,800 781,625 Walgreen Co. ........................................... 1,800 74,700 Warner-Lambert Co. ..................................... 2,000 154,750 Wells Fargo & Co. ...................................... 700 101,063 Wendy's International, Inc. ............................ 1,400 19,600 *Western Atlas, Inc. .................................... 800 34,900 Westinghouse Electric Corp. ............................ 5,300 67,575 Westvaco Corp. ......................................... 900 30,938 Weyerhaeuser Co. ....................................... 3,100 118,963 Whirlpool Corp. ........................................ 1,000 49,875 Whitman Corp. .......................................... 1,600 25,400
238 THE U.S LARGE COMPANY SERIES CONTINUED
Shares Value+ -------- ------------ Williams Companies, Inc. .. 1,600 $ 45,200 Winn-Dixie Stores, Inc. ... 1,000 50,375 Woolworth (F.W.) Corp. .... 2,000 28,250 Worthington Industries, Inc. ...................... 1,375 27,156 Wrigley, Jr. (Wm.) Co. .... 1,700 79,475 Xerox Corp. ............... 1,600 157,200 Yellow Corp. .............. 400 7,875 *Zenith Electronics Corp. .. 600 7,350 Zurn Industries, Inc. ..... 200 3,500 ------------ TOTAL COMMON STOCKS (Cost $41,206,959) .............. 48,374,627 ------------
Face Amount ------------------ (000) TEMPORARY CASH INVESTMENTS - (2.0%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $973,000) .......................................... $973 973,000 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $42,179,959) ........... $49,347,627 ==================
- ------ + See Note B to Financial Statements. * Non-Income Producing Securities See accompanying Notes to Financial Statements 239 SCHEDULE OF INVESTMENTS THE U.S. SMALL CAP VALUE SERIES NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ COMMON STOCKS - (95.9%) AAR Corp. .............................................. 57,600 $ 756,000 *ACX Technologies, Inc. ................................. 32,700 1,189,463 *AEL Industries, Inc. Class A ........................... 11,400 102,600 AEP Industries, Inc. ................................... 13,050 210,431 *AG Services America, Inc. .............................. 2,900 20,663 *ARI Holdings Corp. ..................................... 7,700 41,380 *AST Research, Inc. ..................................... 73,500 1,102,500 *Accell International Corp. ............................. 8,000 20,500 *Acceptance Insurance Companies, Inc. ................... 23,000 330,625 Aceto Corp. ............................................ 11,500 166,750 *Acme Metals, Inc. ...................................... 19,000 301,625 *Acme United Corp. ...................................... 7,100 20,413 Acme-Cleveland Corp. ................................... 15,300 166,380 Actava Group, Inc. ..................................... 60,000 592,500 *Action Industries, Inc. ................................ 18,600 32,550 *Adage, Inc. ............................................ 18,400 87,400 *Addington Resources, Inc. .............................. 3,000 26,250 Adia Services, Inc. .................................... 6,700 242,038 *Advance Ross Corp. (New) ............................... 1,600 33,200 *Advanced Logic Research, Inc. .......................... 41,400 194,063 *Advanced Marketing Services, Inc. ...................... 19,300 120,625 *Advanced Technology Labs, Inc. ......................... 41,627 744,083 *Advantage Bancorp, Inc. ................................ 9,400 266,725 *Advest Group, Inc. ..................................... 31,300 164,325 *Aequitron Medical, Inc. ................................ 15,400 60,638 *Aeroflex, Inc. ......................................... 43,000 166,625 *Aerosonic Corp. DE ..................................... 3,200 6,400 *Aerovox, Inc. .......................................... 29,100 203,700 *Aileen, Inc. ........................................... 9,600 16,800 *Air & Water Technologies Corp. Class A ................. 100,000 587,500 *Air Methods Corp. (New) ................................ 21,400 42,800 Airborne Freight Corp. ................................. 18,000 355,500 Airtran Corp. .......................................... 3,000 23,625 *Alamco, Inc. (New) ..................................... 25,900 161,875 *Alaska Air Group, Inc. ................................. 48,300 790,913 *Alba-Waldensian, Inc. .................................. 3,800 40,850 *Alkermes, Inc. ......................................... 3,000 10,125 *Allegheny & Western Energy Corp. ....................... 26,300 284,369 *Allegiant Physician Services, Inc. ..................... 32,800 70,725 Allied Group, Inc. ..................................... 14,000 351,750 Allied Life Financial Corp. ............................ 20,000 285,000 *Allied Products Corp. .................................. 18,400 253,000 *Allied Research Corp. .................................. 20,000 110,000 *Allied Waste Industries, Inc. .......................... 42,900 193,050 *Allstate Financial Corp. ............................... 10,900 67,103 *Aloette Cosmetics, Inc. ................................ 5,300 11,925 *Alpha Industries, Inc. ................................. 24,200 154,275 *Alpha Microsystems, Inc. ............................... 19,400 24,250 *Ambar, Inc. ............................................ 20,000 125,000 *Ambers Stores, Inc. .................................... 8,400 14,700 Amcore Financial, Inc. ................................. 14,200 243,175 *Amdura Corp. (New) ..................................... 5,200 9,100 *America Services Group, Inc. ........................... 18,000 104,625 American Bankers Insurance Group, Inc. ................. 68,700 1,356,825 American Biltrite, Inc. ................................ 6,600 167,063
240 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *American Consumer Products, Inc. ....................... 9,500 $ 29,688 American Ecology Corp. ................................. 32,900 242,638 American Heritage Life Investment Corp. ................ 47,200 831,900 American Indemnity Financial Corp. ..................... 6,800 71,400 American Maize Products Co. Class A .................... 45,000 1,057,500 American Maize Products Co. Class B .................... 1,100 25,850 American Media, Inc. Class A ........................... 6,500 96,688 *American Medical Electronics, Inc. ..................... 15,100 97,206 *American Mobile Satellite Corp. ........................ 140,000 1,820,000 *American Pacific Corp. ................................. 29,100 261,900 American Recreation Centers, Inc. ...................... 17,100 102,600 *American Savings of Florida, FSB (New) ................. 44,300 714,338 *American Travellers Corp. .............................. 37,600 625,100 *American Vanguard Corp. ................................ 1,800 12,825 *American Waste Services, Inc. Class A .................. 84,700 158,813 *American White Cross, Inc. ............................. 55,200 179,400 *American Woodmark Corp. ................................ 10,010 50,050 Americana Bancorp, Inc. ................................ 8,850 131,644 *Americredit Corp. ...................................... 36,000 216,000 Amerifed Financial Corp. ............................... 10,000 443,750 *Ameriwood Industries International Corp. ............... 12,000 107,250 Ameron, Inc. ........................................... 14,100 458,250 Amfed Financial, Inc. .................................. 20,278 400,491 *Ampal-American Israel Corp. Class A .............................................. 15,400 111,650 Ampco-Pittsburgh Corp. ................................. 34,500 241,500 *Amrep Corp. (New) ...................................... 29,192 204,344 *Amsco International, Inc. .............................. 102,700 975,650 Amvestors Financial Corp. (New) ........................ 36,400 309,400 Amwest Insurance Group, Inc. ........................... 5,400 63,450 *Analogic Corp. ......................................... 43,200 826,200 Analysis & Technology, Inc. ............................ 7,200 109,800 *Anaren Microwave, Inc. ................................. 15,600 48,750 Anchor Bancorp Wisconsin, Inc. ......................... 11,200 319,200 *Anchor Bancorp, Inc. ................................... 61,400 859,600 Andover Bancorp, Inc. DE ............................... 15,100 218,006 *Andover Togs, Inc. ..................................... 3,600 9,450 Angelica Corp. ......................................... 31,500 799,313 *Apertus Technologies, Inc. ............................. 17,700 174,788 *Applied Extrusion Technologies, Inc. ................... 22,800 239,400 *Applied Immune Sciences, Inc. .......................... 9,200 50,600 *Applied Magnetics Corp. ................................ 111,300 319,988 *Applied Signal Technologies, Inc. ...................... 45,000 188,438 Aquarion Co. ........................................... 23,300 512,600 Arkansas Best Corp. .................................... 56,000 679,000 *Arrow Automotive Industries, Inc. ...................... 10,100 74,488 *Arrow Electronics, Inc. ................................ 22,050 802,069 Arrow Financial Corp. .................................. 4,576 67,496 Artistic Greetings, Inc. ............................... 6,500 26,813 Ashland Coal, Inc. ..................................... 48,900 1,418,100 *Astrosystems, Inc. ..................................... 27,100 108,400
241 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Astrotech International Corp. (New) .................... 35,100 $ 92,138 *Athey Products Corp. ................................... 7,140 49,088 *Atkinson (Guy F.) of California ........................ 53,200 551,950 Atlanfed Bancorp, Inc. ................................. 5,000 74,375 *Atlantic Tele-Network, Inc. ............................ 43,500 367,031 Atlantis Plastics, Inc. ................................ 22,800 136,800 *Atlas Corp. ............................................ 11,600 27,550 *Atwood Oceanics, Inc. .................................. 38,800 506,825 *Audiovox Corp. Class A ................................. 32,500 231,563 Augat, Inc. ............................................ 4,100 70,725 *Aurora Electronics, Inc. ............................... 24,000 109,500 Autoclave Engineers, Inc. .............................. 14,300 124,231 *Autoinfo, Inc. ......................................... 26,000 72,313 *Avatar Holdings, Inc. .................................. 22,400 770,000 Aviall, Inc. (New) ..................................... 115,000 1,049,375 *Avondale Industries, Inc. .............................. 84,100 604,469 *Aydin Corp. ............................................ 17,200 193,500 *Aztar Corp. ............................................ 134,700 808,200 Aztec Manufacturing Co. ................................ 14,900 64,256 *BE Aerospace, Inc. ..................................... 26,300 207,113 BEI Electronics, Inc. .................................. 22,600 117,238 *BF Enterprises, Inc. ................................... 2,300 10,494 *BI, Inc. (New) ......................................... 25,400 122,238 *BMJ Financial Corp. .................................... 6,900 75,900 BSB Bancorp, Inc. ...................................... 14,700 396,900 BT Financial Corp. ..................................... 8,500 242,250 *Bachman Information Systems, Inc. ...................... 52,100 192,119 *Back Bay Restaurant Group, Inc. ........................ 5,700 50,588 Badger Meter, Inc. ..................................... 3,800 91,675 *Badger Paper Mills, Inc. ............................... 6,600 68,475 Bairnco Corp. .......................................... 54,000 236,250 Baker (J), Inc. ........................................ 45,200 745,800 *Baker (Michael) Corp. .................................. 50,000 200,000 *Baldwin Piano & Organ Co. .............................. 20,000 260,000 *Baldwin Technology, Inc. Class A ....................... 70,900 341,206 *Bally Entertainment Corp. .............................. 140,700 826,613 *Baltek Corp. ........................................... 4,500 33,188 Bangor Hydro-Electric Co. .............................. 18,100 185,525 Bank of New Hampshire Corp. ............................ 12,200 244,000 BankNorth Group, Inc. DE (New) ......................... 21,300 508,538 Bankers Corp. .......................................... 37,060 481,780 Bankers First Corp. .................................... 15,200 288,800 *Banner Aerospace, Inc. ................................. 87,500 350,000 *Barry (R.G.) Corp. ..................................... 10,800 197,100 Bassett Furniture Industries, Inc. ..................... 1,000 28,750 Bay State Gas Co. ...................................... 21,100 487,938 Bay View Capital Corp. ................................. 25,100 486,313 *Bayou Steel Corp. Class A .............................. 36,700 121,569 Bearings, Inc. ......................................... 11,400 379,050 Beeba's Creations, Inc. ................................ 7,500 27,188 *Bel Fuse, Inc. ......................................... 16,700 127,338 *Belden & Blake Corp. ................................... 8,200 115,825 Bell Bancorp, Inc. ..................................... 34,200 825,075 *Bell Industries, Inc. .................................. 23,209 510,598 *Ben Franklin Retail Stores, Inc. ....................... 17,300 70,281 *Benson Eyecare Corp. ................................... 16,761 113,137 Berkshire Gas Co. ...................................... 6,100 90,738 *Berlitz International, Inc. (New) ...................... 36,300 456,019 *Bettis Corp. ........................................... 18,000 52,875 Bindley Western Industries, Inc. ....................... 39,500 523,375 Binks Manufacturing Co. ................................ 11,118 215,411 *Bird Corp. ............................................. 12,300 103,781 *Bird Medical Technologies, Inc. ........................ 20,600 74,675
242 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Birtcher Medical Systems, Inc. ......................... 7,700 $ 8,903 *Biscayne Apparel, Inc. ................................. 30,505 75,309 *Bon-Ton Stores, Inc. ................................... 38,800 475,300 *Boomtown, Inc. ......................................... 25,000 312,500 Bowne & Co., Inc. ...................................... 36,000 580,500 Bradlees, Inc. ......................................... 40,700 559,625 *Brauns Fashions Corp. .................................. 22,200 70,763 *Brite Voice Systems, Inc. .............................. 2,000 37,125 *Broadcast International, Inc. .......................... 33,400 183,700 *Brooktree Corp. ........................................ 49,000 428,750 *Brothers Gourmet Coffees, Inc. ......................... 5,000 63,125 *Brown & Sharpe Manufacturing Co. Class A ............... 16,000 92,000 Brush Wellman, Inc. .................................... 69,900 1,057,238 *Buffton Corp. .......................................... 7,200 11,700 *Builders Transport, Inc. ............................... 10,600 119,250 *Bull Run Corp. GA ...................................... 35,400 58,631 *Burlington Coat Factory Warehouse Corp. ...................................... 83,200 956,800 *Burr Brown Corp. ....................................... 30,800 442,750 *Butler International, Inc. ............................. 23,200 145,000 *Buttrey Food & Drug Stores Co. ......................... 26,900 196,706 *CBL Medical, Inc. ...................................... 1,100 275 CCP Insurance, Inc. .................................... 24,000 354,000 CFX Corp. .............................................. 12,970 230,218 CPB, Inc. .............................................. 16,700 384,100 CPI Corp. .............................................. 88,100 1,717,950 CRSS, Inc. ............................................. 47,900 526,900 *CSF Holdings, Inc. Class B ............................. 31,600 738,650 *CSP, Inc. .............................................. 9,300 79,050 *CSS Industries, Inc. ................................... 4,900 79,625 *CTL Credit, Inc. ....................................... 11,300 103,113 CTS Corp. .............................................. 18,500 536,500 *CU Bancorp ............................................. 16,300 118,175 *Cablemaxx, Inc. ........................................ 30,000 155,625 Cadmus Communications Corp. ............................ 10,700 169,863 California Financial Holding Corp. ..................... 16,330 216,373 California Water Service Co. ........................... 4,800 148,800 Calmat Co. ............................................. 80,300 1,525,700 *Canonie Environmental Services Corp. ................... 18,300 96,075 Cape Cod Bank & Trust Co. .............................. 3,600 90,900 Capital Re Corp. ....................................... 89,000 2,002,500 Capitol Bancorp, Ltd. .................................. 800 7,100 *Capsure Holdings Corp. ................................. 54,500 728,938 *Care Group, Inc. ....................................... 28,200 111,919 *Carlisle Plastics, Inc. Class A ........................ 60,400 245,375 *Carmike Cinemas, Inc. Class A .......................... 18,000 405,000 Carolina First Corp. ................................... 21,050 284,175 *Carolina Freight Corp. ................................. 23,500 220,313 Carpenter Technology Corp. ............................. 16,500 886,875 *Carr-Gottstein Foods Co. ............................... 84,500 623,188 *Carver Corp. WA ........................................ 12,900 39,506 Cash America International, Inc. ....................... 15,000 129,375 *Castle & Cooke Homes, Inc. ............................. 102,000 1,606,500 Castle (A.M.) & Co. .................................... 19,650 255,450 *Catherines Stores Corp. ................................ 26,000 201,500 *Cell Genesys, Inc. ..................................... 24,000 220,500 Cenfed Financial Corp. ................................. 14,400 239,400 Cenit Bancorp, Inc. .................................... 3,900 88,725 *Centigram Communications Corp. ......................... 15,500 306,125 Central & Southern Holding Co. ......................... 14,700 93,713 Central Hudson Gas & Electric Corp. .................... 6,200 150,350 Central Reserve Life Corp. ............................. 14,300 116,188
243 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Central Sprinkler Corp. ................................ 17,200 $ 172,000 Centura Banks, Inc. .................................... 25,000 537,500 *Cephalon, Inc. ......................................... 26,200 219,425 *Ceradyne, Inc. ......................................... 11,100 31,219 *Champion Parts, Inc. ................................... 12,100 43,106 Chaparral Steel Co. .................................... 149,500 1,027,813 *Chart House Enterprises, Inc. .......................... 42,300 438,863 Charter One Financial, Inc. ............................ 73,700 1,368,056 Charter Power Systems, Inc. ............................ 12,000 208,500 *Check Technology Corp. ................................. 7,600 39,900 *Checkers Drive-In Restaurant, Inc. ..................... 20,600 61,156 *Chemfab Corp. .......................................... 10,700 141,775 *Chempower, Inc. ........................................ 7,300 29,656 *Cherry Corp. Class A ................................... 10,000 142,500 *Cherry Corp. Class B ................................... 10,000 145,000 Chesapeake Utilities Corp. ............................. 10,800 136,350 Chester Valley Bancorp ................................. 551 11,158 Chicago Rivet & Machine Co. ............................ 1,100 29,150 *Chips & Technologies, Inc. ............................. 5,700 39,900 Chittenden Corp. ....................................... 19,725 401,897 *Chock Full O' Nuts Corp. ............................... 36,404 218,424 *Cimco, Inc. ............................................ 10,100 51,763 *Cincinnati Microwave, Inc. ............................. 22,000 99,000 *Circon Corp. ........................................... 26,500 318,000 *Citation Insurance Group ............................... 21,500 84,656 Citfed Bancorp, Inc. ................................... 3,900 107,738 Citizens Bancorp MD .................................... 15,100 403,925 Citizens Banking Corp. ................................. 3,000 82,125 City National Corp. .................................... 98,500 935,750 *Civic Bancorp .......................................... 14,900 87,538 *Clean Harbors, Inc. .................................... 32,100 194,606 *Cliffs Drilling Co. .................................... 14,700 174,563 *Clothestime, Inc. ...................................... 88,000 352,000 Co-Operative Bank of Concord, MA ....................... 20,400 277,950 *Coast Distribution System .............................. 17,600 140,800 *Coast Savings Financial, Inc. .......................... 66,900 928,238 *Cobra Electronic Corp. ................................. 21,400 41,463 Coca Cola Bottling Co. Consolidated .................... 9,700 236,438 *Code Alarm, Inc. ....................................... 4,500 47,813 Coeur d'Alene Mines Corp. ID ........................... 4,200 69,300 *Coherent Communications Systems Corp. .................. 7,734 116,977 *Coherent, Inc. ......................................... 36,800 533,600 *Coho Energy, Inc. ...................................... 37,500 187,500 Collective Bancorp, Inc. ............................... 16,600 291,538 *Collins Industries, Inc. ............................... 12,500 23,438 Colonial Gas Co. ....................................... 24,400 469,700 *Columbia First Bank, A Federal Savings Bank ............ 9,900 367,538 Commerce Bancorp, Inc. ................................. 12,000 213,000 *Commercial Federal Corp. ............................... 43,800 854,100 Commercial Metals Co. .................................. 17,200 430,000 Commonwealth Energy System ............................. 30,500 1,090,375 *Communication Cable, Inc. .............................. 14,000 173,250 Community Bankshares, Inc. NH .......................... 5,900 78,913 Community First Bankshares, Inc. ....................... 13,000 178,750 *Community Psychiatric Centers .......................... 12,000 120,000 *CompUSA, Inc. .......................................... 34,000 467,500 *Computer Horizons Corp. ................................ 1,500 22,313 Computer Task Group, Inc. .............................. 21,900 175,200 *Comshare, Inc. ......................................... 9,500 115,188 *Comstock Resources, Inc. ............................... 14,000 43,313
244 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Comtech Telecommunications Corp. (New) ................. 8,700 $ 28,819 *Concord Fabrics, Inc. Class A .......................... 7,400 61,975 *Condor Services, Inc. .................................. 4,500 11,250 Connecticut Energy Corp. ............................... 9,800 191,100 Connecticut Natural Gas Corp. .......................... 18,600 420,825 Connecticut Water Services, Inc. ....................... 9,700 227,950 Consumers Water Co. .................................... 27,600 448,500 *Continental Can, Inc. DE ............................... 10,400 232,700 Continental Homes Holding Corp. ........................ 27,848 379,429 *Continental Medical Systems, Inc. ...................... 131,600 937,650 *Control Data Systems, Inc. ............................. 81,800 490,800 *Convex Computer Corp. .................................. 74,300 455,088 Core Industries, Inc. .................................. 15,400 157,850 *Cornerstone Financial Corp. ............................ 7,000 43,750 *Cortech, Inc. .......................................... 18,900 57,881 Courier Corp. .......................................... 6,800 120,700 *Craig Corp. ............................................ 15,900 157,013 *Cray Computer Corp. .................................... 11,400 15,675 *Cray Research, Inc. .................................... 12,000 220,500 *Criticare Systems, Inc. ................................ 23,200 50,025 *Crosscomm Corp. ........................................ 29,200 275,575 *Crown Books Corp. ...................................... 18,200 304,850 *Crown Central Petroleum Corp. Class A .................. 14,600 219,000 *Crown Central Petroleum Corp. Class B .................. 25,700 353,375 *Crown-Andersen, Inc. ................................... 4,300 30,100 *Cruise America, Inc. ................................... 29,100 89,119 *Crystal Brands, Inc. ................................... 19,500 4,266 Cubic Corp. ............................................ 30,600 535,500 *Culbro Corp. ........................................... 15,400 213,675 Cullen Frost Bankers, Inc. ............................. 12,300 385,913 Curtiss-Wright Corp. ................................... 18,000 625,500 *Customedix Corp. (New) ................................. 11,300 31,075 *Cycare Systems, Inc. ................................... 14,800 173,900 *Cytocare, Inc. ......................................... 14,500 78,844 *DBA Systems, Inc. ...................................... 14,400 111,600 *DS Bancor, Inc. ........................................ 9,500 219,688 *DVI, Inc. .............................................. 11,800 120,950 *Dairy Mart Convenience Stores, Inc. Class A ............ 9,000 34,313 Daniel Industries, Inc. ................................ 43,500 549,188 *Danskin, Inc. .......................................... 29,600 111,000 Dart Group Corp. Class A ............................... 4,800 400,800 *Data General Corp. ..................................... 129,200 1,388,900 *Data I/O Corp. ......................................... 25,900 111,694 *Data Race, Inc. ........................................ 16,100 70,438 *Data Switch Corp. ...................................... 27,500 63,594 *Data Systems & Software, Inc. .......................... 15,300 83,194 *Data Translation, Inc. ................................. 4,500 69,188 *Dataflex Corp. ......................................... 19,800 181,913 *Datakey, Inc. .......................................... 800 2,900 *Dataram Corp. .......................................... 13,100 90,063 *Datron Systems, Inc. ................................... 9,200 104,650 *Datum, Inc. ............................................ 8,800 78,100 *Davis Water & Waste Industries, Inc. ................... 11,700 97,988 *Daxor Corp. ............................................ 17,100 100,463 *De Soto, Inc. .......................................... 16,800 65,100 DeKalb Genetics Corp. Class B .......................... 25,000 715,625 Deb Shops, Inc. ........................................ 75,300 400,031 *Defiance, Inc. ......................................... 15,600 110,175 Del Laboratories, Inc. ................................. 4,000 141,000 *Delaware Ostego Corp. .................................. 1,050 11,025
245 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Delchamps, Inc. ........................................ 42,300 $ 687,375 Delta Woodside Industries, Inc. (New) .................. 132,200 1,288,950 Deposit Guaranty Corp. ................................. 1,000 26,625 *Designatronics, Inc. ................................... 7,300 33,763 *Detection Systems, Inc. ................................ 9,400 76,375 *Detrex Corp. ........................................... 2,800 34,125 *Devcon International Corp. ............................. 15,300 128,138 Dexter Corp. CT ........................................ 12,000 247,500 *Dianon Systems, Inc. ................................... 12,400 48,825 *Digital Systems International, Inc. .................... 31,100 375,144 *Dime Bancorp, Inc. ..................................... 92,300 749,938 *Dime Financial Corp. ................................... 16,700 133,600 Dixie Yarns, Inc. ...................................... 42,000 296,625 Donegal Group, Inc. .................................... 19,400 235,225 *Doskocil Companies, Inc. ............................... 63,200 442,400 *Dotronix, Inc. ......................................... 1,000 1,313 Douglas & Lomason Co. .................................. 14,400 219,600 Downey Savings & Loan Association ...................... 57,700 894,350 *Drug Emporium, Inc. .................................... 46,400 226,200 *Dual Drilling Co. ...................................... 54,900 511,256 *Duplex Products, Inc. .................................. 26,900 235,375 Dyersburg Corp. ........................................ 19,800 118,800 Dynamics Corp. of America .............................. 13,900 253,675 *Dynamics Research Corp. ................................ 19,740 57,986 *Dynasty Classics Corp. ................................. 2,300 115 *Dynatech Corp. ......................................... 28,900 787,525 *E for M Corp. .......................................... 17,300 80,013 E'town Corp. ........................................... 21,600 548,100 *E-Z-Em, Inc. Class A ................................... 20,500 99,938 *E-Z-Em, Inc. Class B ................................... 156 683 *EA Engineering Science & Technology, Inc. ..................................... 10,125 75,938 *ECC International Corp. ................................ 13,200 133,650 EMC Insurance Group, Inc. .............................. 33,600 336,000 *ESCO Electronics Corp. Trust Receipts .................. 63,400 499,275 Eagle Bancshares, Inc. ................................. 4,000 80,500 Eagle Financial Corp. .................................. 9,670 188,565 *Eagle Food Centers, Inc. ............................... 62,100 124,200 Eastern Bancorp, Inc. .................................. 8,300 144,213 Eastern Co. ............................................ 9,700 128,525 *Eastex Energy, Inc. .................................... 22,500 50,625 *Ecoscience Corp. ....................................... 29,000 74,313 *Edisto Resources Corp. (New) ........................... 100,200 726,450 Edo Corp. .............................................. 18,600 62,775 *Egghead, Inc. .......................................... 87,100 903,663 *Ekco Group, Inc. ....................................... 65,300 432,613 Elco Industries, Inc. .................................. 17,100 290,700 Eldorado Bancorp CA .................................... 9,400 94,000 *Electric & Gas Technology, Inc. ........................ 3,000 5,906 *Electro Rent Corp. ..................................... 26,000 438,750 *Electro Scientific Industries, Inc. .................... 20,600 401,700 *Electromagnetic Sciences, Inc. ......................... 24,300 280,969 *Emcon .................................................. 38,000 171,000 *Emisphere Technologies, Inc. ........................... 17,000 48,875 Empire District Electric Co. ........................... 42,200 659,375 *Employee Benefit Plans, Inc. ........................... 23,000 230,000 *Emulex Corp. ........................................... 11,750 132,188 Energen Corp. .......................................... 14,700 294,000 Energynorth, Inc. ...................................... 10,400 171,600 Engle Homes, Inc. ...................................... 18,600 141,825 Enhance Financial Services Group, Inc. ................. 64,500 1,096,500
246 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Environmental Elements Corp. ........................... 17,200 $ 60,200 *Enviroq Corp. .......................................... 12,100 37,056 *Equinox Systems, Inc. .................................. 10,000 62,500 *Equitrac Corp. ......................................... 5,800 26,463 *Equity Oil Co. ......................................... 44,200 209,950 Espey Manufacturing & Electronics Corp. ................ 2,900 38,063 Essex County Gas Co. ................................... 5,300 131,175 *Esterline Technologies Corp. ........................... 23,100 268,538 *Evans & Sutherland Computer Corp. ...................... 51,000 720,375 *Evans, Inc. ............................................ 17,100 47,025 Evergreen Bancorp, Inc. DE ............................. 15,700 223,725 *Evergreen Resources, Inc. .............................. 8,900 58,963 Excel Industries, Inc. ................................. 16,200 230,850 *Executone Information Systems, Inc. .................... 78,600 257,906 *Express America Holdings Corp. ......................... 19,400 78,813 *F & M Distributors, Inc. ............................... 19,700 33,244 *FDP Corp. .............................................. 7,000 45,500 *FPA Corp. .............................................. 20,100 25,125 *Fabri-Centers of America, Inc. ......................... 32,800 479,700 *Failure Group, Inc. .................................... 23,200 104,400 *Fairchild Corp. Class A ................................ 72,200 234,650 Family Bancorp ......................................... 9,300 159,263 Fansteel, Inc. ......................................... 29,200 189,800 *Farr Co. ............................................... 13,000 86,938 Fay's, Inc. ............................................ 18,000 112,500 Federal Screw Works .................................... 2,000 39,500 *Fieldcrest Cannon, Inc. ................................ 12,600 315,000 *Fifty-Off Stores, Inc. ................................. 7,000 30,625 Figgie International, Inc. Class A ..................... 59,800 403,650 Figgie International, Inc. Class B ..................... 17,700 112,838 *Financial Benefit Group, Inc. Class A .................. 37,000 97,125 First American Financial Corp. ......................... 66,400 1,245,000 *First Cash, Inc. ....................................... 13,700 53,088 First Citizens Bancshares, Inc. NC ..................... 16,300 717,200 *First Citizens Financial Corp. ......................... 7,849 109,886 *First Commercial Bancorp, Inc. ......................... 15,100 14,156 First Essex Bancorp .................................... 21,600 159,300 *First Federal Alabama FSB Jasper ....................... 2,500 35,156 First Federal Capital Corp. ............................ 18,280 269,630 First Financial Corp. of Western Maryland .............. 6,700 136,513 First Financial Holdings, Inc. ......................... 18,900 264,600 First Indiana Corp. .................................... 25,833 384,266 First Liberty Financial Corp. .......................... 10,300 135,188 First Mississippi Corp. ................................ 40,100 887,213 First Northern Savings Bank S.A. Green Bay, WI ......... 10,800 141,750 *First Republic Bancorp, Inc. ........................... 27,953 293,507 First State Financial Services, Inc. ................... 10,300 72,100 *FirstFed Financial Corp. DE ............................ 38,200 477,500 FirstFed Michigan Corp. ................................ 67,150 1,351,394 Firstfed Bancshares, Inc. .............................. 15,000 260,625 *Fischer Imaging Corp. .................................. 17,300 103,800 Flexsteel Industries, Inc. ............................. 16,500 187,688 Florida Public Utilities Co. ........................... 5,100 82,875 Florida Rock Industries, Inc. .......................... 49,800 1,263,675 *Foodarama Supermarkets, Inc. ........................... 2,400 27,300 Foothill Group, Inc. Class A ........................... 44,500 678,625 Foothill Independent Bancorp ........................... 11,000 93,500 *Forschner Group, Inc. .................................. 11,700 141,131 *Forstmann & Co., Inc. .................................. 26,400 148,500
247 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Foster (L.B.) Co. Class A .............................. 35,400 $ 119,475 *Foxmeyer Health Corp. .................................. 106,987 1,644,925 Freds, Inc. Class A .................................... 63,500 595,313 Fremont General Corp. .................................. 83,200 1,924,000 *Fretter, Inc. (New) .................................... 19,500 57,281 *Freymiller Trucking, Inc. .............................. 4,500 10,969 Friedman Industries, Inc. .............................. 19,672 73,770 Frisch's Restaurants, Inc. ............................. 21,112 213,759 Furon Co. .............................................. 9,900 193,050 *Future Now, Inc. ....................................... 16,700 133,600 *G-III Apparel Group, Ltd. .............................. 23,000 37,375 GBC Bancorp ............................................ 22,600 276,850 *GBC Technologies, Inc. ................................. 30,000 226,875 *GNI Group, Inc. ........................................ 19,800 89,100 *GZA Geoenvironmental Technologies, Inc. ................................... 12,700 53,975 *Galileo Electro-Optics Corp. ........................... 23,200 92,800 Galveston-Houston Co. .................................. 43,000 69,875 Gamma Biologicals, Inc. ................................ 13,800 59,513 *Gantos, Inc. ........................................... 8,500 16,734 Garan, Inc. ............................................ 18,200 307,125 *Garnet Resources Corp. ................................. 50,000 187,500 *Gehl Co. ............................................... 22,100 143,650 General Host Corp. ..................................... 76,310 391,089 General Housewares Corp. ............................... 11,600 185,600 General Microwave Corp. ................................ 400 3,250 General Parametrics Corp. .............................. 12,200 19,825 General Physics Corp. .................................. 22,900 62,975 *Genesco, Inc. .......................................... 138,000 258,750 *Genetic Therapy, Inc. .................................. 15,300 112,838 *Genicom Corp. .......................................... 35,000 70,000 *Genlyte Group, Inc. .................................... 75,700 307,531 *Genus, Inc. ............................................ 25,800 169,313 Geodynamics Corp. ...................................... 7,900 60,238 *Gerrity Oil and Gas Corp. .............................. 49,800 261,450 *Giant Group, Ltd. ...................................... 18,600 139,500 *Giant Industries, Inc. ................................. 42,300 348,975 *Gibraltar Packaging Group, Inc. ........................ 28,400 205,900 Gibson Greetings, Inc. ................................. 56,500 748,625 *Giga-Tronics, Inc. ..................................... 5,300 31,138 Gilbert Associates, Inc. Class A ....................... 29,100 405,581 *Gish Biomedical, Inc. .................................. 17,500 105,000 Gleason Corp. .......................................... 17,700 258,863 *Glycomed, Inc. ......................................... 48,100 174,363 Golden Poultry Co., Inc. ............................... 69,150 427,866 *Good Guys, Inc. ........................................ 24,000 291,000 *Gottschalks, Inc. ...................................... 46,100 380,325 *Government Technology Services, Inc. ................... 500 6,438 *Gradco Systems, Inc. ................................... 60,000 221,250 *Graham Corp. ........................................... 2,300 24,869 *Graham-Field Health Products, Inc. ..................... 46,500 151,125 *Grand Casinos, Inc. .................................... 18,000 252,000 Granite Construction, Inc. ............................. 22,400 473,200 Granite State Bankshares, Inc. ......................... 7,300 84,406 *Grant Geophysical, Inc. ................................ 21,600 54,675 Graphic Industries, Inc. ............................... 34,200 342,000 Great Bay Bankshares, Inc. ............................. 8,100 152,888 *Great Country Bank of Ansonia, CT ...................... 16,900 41,194 *Great Lakes Bancorp, A Federal Savings Bank ............ 21,200 520,725 *Greater New York Savings Bank NY ....................... 46,900 392,788
248 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Green (A.P.) Industries, Inc. .......................... 13,700 $ 262,013 *Greenman Brothers, Inc. ................................ 18,700 112,200 Greiner Engineering, Inc. .............................. 25,000 312,500 Grenada Sunburst Systems Corp. ......................... 20,600 594,825 *Greyhound Lines, Inc. .................................. 53,200 116,375 *Grossmans, Inc. ........................................ 92,300 245,172 *Ground Round Restaurants, Inc. ......................... 62,400 421,200 *Groundwater Technology, Inc. ........................... 24,600 332,100 Grovebank for Savings .................................. 4,400 96,250 Guaranty National Corp. (New) .......................... 37,200 581,250 *Guardian Bancorp Los Angeles, CA ....................... 11,100 6,244 Guilford Mills, Inc. ................................... 78,100 1,571,763 *Gulfmark International, Inc. ........................... 11,100 190,088 *Gundle Environmental Systems, Inc. ..................... 56,700 297,675 HF Financial Corp. ..................................... 5,100 127,500 *HPSC, Inc. ............................................. 18,500 65,906 *Hadco Corp. ............................................ 43,900 384,125 *Hallwood Group, Inc. ................................... 8,300 17,638 *Hamburger Hamlet Restaurants, Inc. ..................... 14,800 75,850 *Hampshire Group, Ltd. .................................. 5,800 39,150 *Hampton Industries, Inc. ............................... 9,790 52,621 *Handex Environmental Recovery, Inc. .................... 23,800 174,038 Handleman Co. .......................................... 193,300 2,222,950 *Hanger Orthopedic Group, Inc. .......................... 27,900 83,700 *Harding Associates, Inc. ............................... 15,500 106,563 Harleysville Group, Inc. ............................... 45,300 1,036,238 *Harlyn Products, Inc. .................................. 22,200 92,963 Hastings Manufacturing Co. ............................. 850 19,125 Hathaway Corp. ......................................... 15,200 48,450 *Hauser Chemical Research, Inc. ......................... 37,700 228,556 Haverty Furniture Company, Inc. ........................ 50,000 675,000 Hawkeye Bancorp ........................................ 12,000 214,500 *Hawthorne Financial Corp. .............................. 8,700 47,306 Health Images, Inc. .................................... 41,500 259,375 *Health O Meter Products, Inc. .......................... 19,600 75,950 *Health Risk Management, Inc. ........................... 13,600 91,800 Health-Mor, Inc. ....................................... 9,000 141,750 Heico Corp. ............................................ 8,100 77,963 *Hein-Werner Corp. ...................................... 8,135 40,675 *Heist (C.H.) Corp. ..................................... 16,800 119,700 *Herley Industries, Inc. ................................ 15,400 54,863 *Hexcel Corp. ........................................... 11,100 47,175 *Hi-Lo Automotive, Inc. ................................. 69,300 710,325 *Hi-Shear Industries, Inc. .............................. 20,100 97,988 *Hitox Corp. ............................................ 9,100 21,613 *Holiday RV Superstores, Inc. ........................... 3,600 5,738 *Hologic, Inc. .......................................... 9,800 130,463 *Holson Burnes Group, Inc. .............................. 17,000 111,563 Home Federal Bancorp ................................... 7,100 154,425 Home Federal Financial Corp. ........................... 5,566 84,882 Home Port Bancorp, Inc. ................................ 6,500 84,500 *Homecorp, Inc. ......................................... 1,900 21,138 *Homeowners Group, Inc. ................................. 19,700 11,081 *Hometown Bancorp., Inc. ................................ 800 8,200 Hooper Holmes, Inc. .................................... 35,400 221,250 *Hospital Staffing Services, Inc. ....................... 20,200 32,825 *Hosposable Products, Inc. .............................. 600 4,800 *Hovnanian Enterprises, Inc. Class A .................... 53,284 299,723 Howell Corp. ........................................... 17,400 226,200 Howell Industries, Inc. ................................ 1,600 43,800
249 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Hudson Foods, Inc. Class A ............................. 25,000 $ 565,625 *Hudson General Corp. ................................... 2,500 43,594 Hughes Supply, Inc. .................................... 38,200 678,050 *Hurco Companies, Inc. .................................. 9,700 38,800 *Hyde Athletic Industries, Inc. Class A ................. 9,700 50,319 *Hyde Athletic Industries, Inc. Class B ................. 13,300 68,163 ICN Pharmaceuticals, Inc. .............................. 8,077 180,723 *ICO, Inc. .............................................. 37,300 184,169 *IFR Systems, Inc. ...................................... 17,000 161,500 IWC Resources Corp. .................................... 5,400 105,300 *Immulogic Pharmaceutical Corp. ......................... 44,500 339,313 *Imo Industries, Inc. ................................... 20,900 206,388 *Imperial Bancorp ....................................... 43,115 598,221 Imperial Holly Corp. ................................... 37,200 325,500 *In Home Health, Inc. ................................... 17,200 39,775 *Inacom Corp. ........................................... 32,500 316,875 *Inco Homes Corp. ....................................... 14,140 17,675 *Incstar Corp. .......................................... 17,200 36,550 Independence Holding Co. (New) ......................... 56,200 172,113 Independent Bank Corp. MA .............................. 61,200 325,125 Independent Bank East .................................. 8,000 193,000 Independent Insurance Group, Inc. ...................... 25,000 262,500 Indiana Federal Corp. .................................. 14,650 225,244 *Indresco, Inc. ......................................... 88,100 1,112,263 Industrial Acoustics Co., Inc. ......................... 700 11,113 *Information Resources, Inc. ............................ 4,500 66,375 *Infrasonics, Inc. ...................................... 90,000 326,250 Ingles Market, Inc. Class A ............................ 15,200 153,900 *Inmac Corp. ............................................ 32,000 162,000 Insituform East, Inc. .................................. 15,000 42,188 Insteel Industries, Inc. ............................... 29,800 219,775 *Integrated Waste Services, Inc. ........................ 29,700 81,675 *Intellicall, Inc. ...................................... 26,900 104,238 Inter-Regional Financial Group, Inc. ................... 27,500 642,813 Interface Systems, Inc. ................................ 14,900 127,581 Interface, Inc. Class A ................................ 84,300 937,838 *Intergraph Corp. ....................................... 161,100 1,288,800 Intermetrics, Inc. ..................................... 14,100 70,500 International Aluminum Corp. ........................... 8,000 241,000 *International Jensen, Inc. ............................. 18,000 166,500 International Multifoods Corp. ......................... 66,900 1,070,400 *International Rectifier Corp. .......................... 25,600 556,800 International Research & Development Corp. .................................... 18,600 38,944 International Shipholding Corp. ........................ 19,000 399,000 *International Technology Corp. ......................... 120,800 377,500 *International Thoroughbred Breeders, Inc. ....................................... 10,400 33,800 *International Totalizator Systems ...................... 14,800 51,800 *Interphase Corp. ....................................... 15,200 179,550 Interstate Bakeries Corp. DE (New) ..................... 114,500 1,459,875 Interstate Power Co. ................................... 15,900 345,825 *Intertan, Inc. ......................................... 34,700 273,263 Investors Title Co. .................................... 8,700 64,163 *Iomega Corp. ........................................... 64,875 216,926 *Ithaca Bancorp, Inc. ................................... 6,800 129,200 *J & J Snack Foods Corp. ................................ 49,700 599,506 *JB's Restaurants, Inc. ................................. 16,800 73,500 JSB Financial, Inc. .................................... 34,900 807,063 Jackpot Enterprises, Inc. .............................. 29,500 239,688
250 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Jaclyn, Inc. ........................................... 8,800 $ 52,800 *Jaco Electronics, Inc. ................................. 6,100 41,175 *Jacobs Jay, Inc. ....................................... 31,300 55,753 Jacobson Stores, Inc. .................................. 20,700 260,044 *Jamesway Corp. ......................................... 19,500 7,313 *Jan Bell Marketing, Inc. ............................... 149,900 740,131 *Jefferson Savings Bancorp, Inc. ........................ 20,000 315,000 Johnston Industries, Inc. .............................. 5,100 52,275 *Just Toys, Inc. ........................................ 14,000 47,250 *K-Tron International, Inc. ............................. 6,300 70,875 *KLLM Transport Services, Inc. .......................... 15,200 237,500 *Kaiser Resources, Inc. ................................. 31,100 233,250 Kaman Corp. Class A .................................... 60,700 622,175 Keithley Instruments, Inc. ............................. 500 4,938 Kenan Transport Co. .................................... 200 3,650 *Kentucky Medical Insurance Co. Class A ................. 6,500 39,813 *Kerr Group, Inc. ....................................... 7,900 66,163 *Ketema, Inc. ........................................... 7,900 116,525 *Kevlin Corp. ........................................... 700 1,641 *Kewaunee Scientific Corp. .............................. 700 1,881 *Key Production Co., Inc. ............................... 36,800 181,700 *Key Tronic Corp. ....................................... 26,500 281,563 *Kinder-Care Learning Centers, Inc. (New) ............... 28,200 368,363 Kinetic Concepts, Inc. ................................. 3,900 22,913 *Kirschner Medical Corp. ................................ 9,500 99,156 *Kit Manufacturing Co. .................................. 2,600 29,575 *Knogo Corp. ............................................ 17,300 324,375 *Krystal Co. ............................................ 2,000 21,000 LCS Industries, Inc. ................................... 6,000 47,250 LDI Corp. .............................................. 24,100 114,475 LSI Industries, Inc. ................................... 8,820 94,815 *LTX Corp. .............................................. 30,700 134,313 *Laclede Steel Co. ...................................... 8,700 88,088 Ladd Furniture, Inc. ................................... 79,400 471,438 *Lafayette American Bank & Trust Co. .................... 1,050 6,169 Lakeland First Financial Corp. ......................... 7,249 134,107 *Lamson & Sessions Co. .................................. 28,300 159,188 *Lancer Corp. ........................................... 4,800 86,400 *Laser Precision Corp. .................................. 15,500 123,516 *Laserscope ............................................. 40,000 180,000 Lawyers Title Corp. .................................... 30,300 340,875 *Layne, Inc. ............................................ 26,300 182,456 *Lazare Kaplan International, Inc. ...................... 11,300 108,763 *Leisure Concepts, Inc. ................................. 17,000 68,000 Lennar Corp. ........................................... 73,100 1,142,188 Lexington Savings Bank MA .............................. 6,400 97,600 Liberty Bancorp, Inc. .................................. 50,100 1,496,738 *Lifeline Systems, Inc. ................................. 19,500 114,563 *Lindal Cedar Homes, Inc. ............................... 8,000 28,000 Lindberg Corp. ......................................... 13,600 91,800 *Liposome Co., Inc. ..................................... 77,700 709,013 *Littlefield, Adams & Co. ............................... 12,000 73,500 *Liuski International, Inc. ............................. 10,900 52,456 *Live Entertainment, Inc. ............................... 33,700 23,085 *Lomas Financial Corp. .................................. 29,500 106,938 *Longhorn Steaks, Inc. .................................. 19,500 170,625 Loyola Capital Corp. ................................... 45,700 822,600 Lufkin Industries, Inc. ................................ 23,900 391,363 *Lumex, Inc. ............................................ 14,800 188,700 *Luria & Son, Inc. ...................................... 18,700 135,575 *Lynch Corp. ............................................ 2,300 67,850 *M/A-COM, Inc. .......................................... 46,800 292,500
251 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *M/A/R/C, Inc. .......................................... 3,335 $ 39,603 MAF Bancorp, Inc. ...................................... 17,600 327,800 MDC Holdings, Inc. ..................................... 75,788 388,414 *MDT Corp. .............................................. 23,300 147,081 *MHI Group, Inc. (New) .................................. 12,500 92,188 *MI Schottenstein Homes, Inc. ........................... 26,100 202,275 MMI Medical, Inc. ...................................... 12,200 48,800 MTS Systems Corp. ...................................... 13,200 295,350 Madison Gas & Electric Co. ............................. 6,600 213,675 Magna Group, Inc. ...................................... 18,700 341,275 Maine Public Service Co. ............................... 5,500 123,063 Marble Financial Corp. ................................. 11,100 120,019 *Marietta Corp. ......................................... 12,300 102,244 *Maritrans, Inc. ........................................ 43,300 243,563 *Mark VII, Inc. ......................................... 9,900 102,713 Marsh Supermarkets, Inc. Class A ....................... 14,100 151,575 Marsh Supermarkets, Inc. Class B ....................... 16,000 160,000 Maryland Federal Bancorp ............................... 10,700 251,450 Massbank Corp. Reading, MA ............................. 9,600 208,800 *Mastec, Inc. ........................................... 12,700 100,013 *Matec Corp. DE ......................................... 5,200 20,800 *Matlack Systems, Inc. .................................. 18,000 171,000 *Matrix Service Co. ..................................... 33,500 232,406 *Maverick Tube Corp. .................................... 22,000 202,125 *Maxtor Corp. ........................................... 38,600 154,400 *Maxwell Laboratories, Inc. ............................. 8,730 68,749 *Maxxam, Inc. ........................................... 31,200 1,033,500 *Maxxim Medical, Inc. ................................... 48,100 571,188 *Maynard Oil Co. ........................................ 17,400 88,088 McGrath Rent Corp. ..................................... 27,300 440,213 McRae Industries, Inc. Class A ......................... 1,000 7,375 *Medalist Industries, Inc. .............................. 13,700 77,063 *Medalliance, Inc. ...................................... 30,900 58,903 *Medchem Products, Inc. ................................. 47,800 262,900 Medex, Inc. ............................................ 27,500 436,563 *Media Logic, Inc. ...................................... 17,600 41,800 *Medical Diagnostics, Inc. .............................. 11,900 52,063 *Medical Graphics Corp. ................................. 3,200 18,400 Mediq, Inc. ............................................ 5,700 20,663 *Melamine Chemicals, Inc. ............................... 17,100 175,275 *Mem Co., Inc. .......................................... 5,300 23,188 *Mental Health Management, Inc. ......................... 712 2,314 Merchants Group, Inc. .................................. 11,400 161,025 Meridian Insurance Group, Inc. ......................... 24,100 253,050 *Merisel, Inc. .......................................... 23,600 200,600 Merrimac Industries, Inc. .............................. 5,700 45,956 *Mesa Airlines, Inc. .................................... 45,300 416,194 *Mestek, Inc. ........................................... 13,500 130,781 Metro Bancshares, Inc. ................................. 15,100 345,413 Metrobank .............................................. 6,600 115,500 *Michael Anthony Jewelers, Inc. ......................... 32,800 217,300 Michael Foods, Inc. .................................... 65,900 683,713 Mickelberry Communications, Inc. ....................... 20,100 64,069 *Micro Healthsystems, Inc. .............................. 17,900 63,769 *Microcom, Inc. ......................................... 13,800 138,000 *Micronics Computers, Inc. .............................. 44,200 209,950 *Micropolis Corp. ....................................... 51,300 455,288 Mid America Banccorp ................................... 22,373 399,917 *MidAmerican Waste System, Inc. ......................... 89,500 604,125 MidSouth Insurance Co. ................................. 3,000 27,375 Midconn Bank Kensington, CT ............................ 6,200 82,925 Middlesex Water Co. .................................... 13,100 235,800 Midland Co. ............................................ 5,400 211,275 *Miller Building Systems, Inc. .......................... 7,400 25,900 *Miltope Group, Inc. .................................... 20,800 94,900
252 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Milwaukee Insurance Group, Inc. ........................ 13,200 $ 122,100 Mine Safety Appliances Co. ............................. 21,200 932,800 *Mobley Environmental Services, Inc. Class A ............ 10,500 18,375 Monarch Machine Tool Co. ............................... 13,400 122,275 Money Store, Inc. ...................................... 18,750 328,125 *Moog, Inc. Class A ..................................... 14,000 119,000 *Moog, Inc. Class B ..................................... 1,800 24,975 *Moore Products Co. ..................................... 3,700 59,663 *Morgan Products, Ltd. .................................. 29,800 182,525 *Motts Holdings, Inc. ................................... 4,600 18,975 Mueller (Paul) Co. ..................................... 2,100 65,888 *Mueller Industries, Inc. ............................... 28,300 845,463 *Multi Color Corp. ...................................... 6,100 44,988 *Munsingwear, Inc. (New) ................................ 7,200 49,500 Myers (L.E.) Co. Group ................................. 7,600 88,350 NAC RE Corp. ........................................... 17,200 438,600 *NAI Technologies, Inc. ................................. 22,600 64,975 NBB Bancorp, Inc. ...................................... 18,200 869,050 NBT Bancorp ............................................ 5,460 84,630 NFS Financial Corp. .................................... 9,800 205,800 NS Bancorp, Inc. ....................................... 25,400 661,988 *NS Group, Inc. ......................................... 49,600 241,800 *NSA International, Inc. ................................ 5,600 28,000 NSC Corp. .............................................. 11,200 36,400 NUI Corp. .............................................. 24,600 353,625 NYMAGIC, Inc. .......................................... 56,300 921,913 *Nahama Weagant Energy Co. (New) ........................ 8,000 1,250 *Namic USA Corp. ........................................ 29,000 536,500 *Nantucket Industries, Inc. ............................. 6,500 37,375 *Napco Security Systems, Inc. ........................... 14,800 44,400 Nash Finch Co. ......................................... 38,200 615,975 Nashua Corp. ........................................... 5,300 111,300 *Nathans Famous, Inc. ................................... 17,400 85,913 *National City Bancorp .................................. 20,005 300,075 *National Convenience Stores, Inc. ...................... 36,000 256,500 *National Education Corp. ............................... 36,000 148,500 *National Home Centers, Inc. ............................ 17,700 71,906 *National Home Health Care Corp. ........................ 8,600 19,888 *National Mercantile Bancorp. ........................... 2,400 7,950 *National Patent Development Corp. ...................... 5,700 11,044 National Presto Industries, Inc. ....................... 20,000 825,000 *National Standard Co. .................................. 8,100 83,025 *National Western Life Insurance Co. Class A ............ 11,500 396,750 *Natural Wonders, Inc. .................................. 16,500 78,375 *Navigators Group, Inc. ................................. 2,100 31,500 *Netrix Corp. ........................................... 7,800 52,650 *Network Computing Devices, Inc. ........................ 62,400 276,900 *Network Systems Corp. .................................. 101,400 773,175 *New Brunswick Scientific Co., Inc. ..................... 12,700 69,056 New Jersey Resources Corp. ............................. 60,900 1,393,088 *New Jersey Steel Corp. ................................. 17,800 283,688 *New Mexico & Arizona Land Co. .......................... 7,200 65,700 Newcor, Inc. ........................................... 3,500 28,656 Newmil Bancorp, Inc. ................................... 28,000 122,500 Newport Corp. .......................................... 24,900 177,413 *Nichols Research Corp. ................................. 6,800 83,300 *Noble Drilling Corp. ................................... 9,675 60,469 Noland Co. ............................................. 2,000 41,250 *Nord Resources Corp. ................................... 64,100 360,563 *Nortek, Inc. ........................................... 47,200 507,400 North Fork Bancorporation, Inc. ........................ 46,500 651,000
253 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ North Side Savings Bank NY ............................. 16,145 $ 300,701 *North Star Universal, Inc. ............................. 33,800 181,675 Northbay Financial Corp. ............................... 9,432 141,480 *Northeast Federal Corp. ................................ 40,100 330,825 Northwestern Public Service Co. ........................ 20,900 540,788 Norwich Financial Corp. ................................ 18,600 186,000 *Nuclear Support Services, Inc. ......................... 5,700 21,731 *Nview Corp. ............................................ 16,200 131,625 *Nycor, Inc. (New) ...................................... 9,500 22,859 *Nycor, Inc. Class A (New) .............................. 24,000 57,000 O'Sullivan Corp. ....................................... 11,900 108,588 *OEC Medical Systems, Inc. .............................. 37,000 231,250 *OMI Corp. .............................................. 155,700 953,663 Oglebay Norton Co. ..................................... 7,500 226,875 *Olympus Capital Corp. .................................. 7,600 111,150 OnbanCorp, Inc. ........................................ 47,900 1,221,450 *Oncogene Science, Inc. ................................. 53,900 144,856 Oneida, Ltd. ........................................... 35,600 462,800 *Oneita Industries, Inc. ................................ 25,000 256,250 Optical Coating Laboratory, Inc. ....................... 31,900 195,388 *Option Care, Inc. ...................................... 9,000 24,188 *Orange Co., Inc. (New) FL .............................. 35,300 185,325 *Orbit International Corp. .............................. 20,300 54,556 *Orchard Supply Hardware Stores Corp. ................... 40,000 380,000 *Oregon Metallurgical Corp. ............................. 39,500 256,750 Oregon Steel Mills, Inc. ............................... 70,800 1,026,600 Oriole Homes Corp. Class B ............................. 7,300 48,363 Orion Capital Corp. .................................... 43,200 1,382,400 *Osborn Communications Corp. ............................ 6,300 40,556 Oshkosh B'Gosh, Inc. Class A ........................... 44,600 602,100 *Oshman's Sporting Goods, Inc. .......................... 20,700 160,425 Outboard Marine Corp. .................................. 53,600 998,300 *Outlook Group Corp. .................................... 10,200 124,950 *PCI Services, Inc. ..................................... 23,100 154,481 PXRE Corp. ............................................. 21,500 564,375 *Pacific Rim Holding Corp. .............................. 32,500 79,219 Pacific Scientific Co. ................................. 9,600 370,800 Paco Pharmaceutical Services, Inc. ..................... 24,100 216,900 *Palfed, Inc. ........................................... 600 4,538 Pancho's Mexican Buffet, Inc. .......................... 14,600 116,800 *Par Technology Corp. ................................... 26,700 173,550 *Parallan Computer, Inc. ................................ 20,000 99,375 Park Electrochemical Corp. ............................. 9,700 300,700 Parkvale Financial Corp. ............................... 8,862 194,964 *Patrick Industries, Inc. ............................... 36,800 317,400 *Patrick Petroleum Co. .................................. 26,800 33,500 *Patten Corp. ........................................... 74,028 259,098 *Peer Review Analysis, Inc. ............................. 7,400 20,581 *Penn Treaty American Corp. ............................. 11,200 170,800 Pennsylvania Enterprises, Inc. ......................... 11,400 320,625 Penril Datacomm Networks, Inc. ......................... 25,500 57,375 Peoples Heritage Financial Group, Inc. ................. 56,300 682,638 Peoples Savings Financial Corp. ........................ 7,200 124,200 *Peoples Telephone Co., Inc. ............................ 52,400 212,875 *Perfumania, Inc. ....................................... 33,800 111,963 *Perini Corp. ........................................... 25,800 261,225 *Perry Drug Stores, Inc. ................................ 40,600 304,500 *Pharmchem Laboratories, Inc. ........................... 18,900 50,794 Philadelphia Suburban Corp. ............................ 45,000 810,000 *Photo Control Corp. .................................... 4,200 27,300 *Photronics, Inc. ....................................... 3,700 98,513 Piccadilly Cafeterias, Inc. ............................ 36,700 293,600
254 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Pilgrim Pride Corp. .................................... 87,700 $877,000 Pioneer Financial Services, Inc. ....................... 24,300 236,925 Piper Jaffray Companies, Inc. .......................... 12,900 130,613 Pitt-Des Moines, Inc. .................................. 8,300 282,200 Pittway Corp. DE Class A ............................... 16,900 652,763 *Plains Resources, Inc. ................................. 31,300 172,150 Ply-Gem Industries, Inc. DE ............................ 16,100 303,888 *Polk Audio, Inc. ....................................... 4,900 50,838 *Polymedica Industries, Inc. ............................ 41,840 180,435 *Pool Energy Services Co. ............................... 49,100 352,906 Pope & Talbot, Inc. .................................... 47,900 772,388 *Porta Systems Corp. .................................... 11,300 64,975 Portsmouth Bank Shares, Inc. ........................... 19,721 236,652 *Powell Industries, Inc. ................................ 27,200 153,000 *Pre-Paid Legal Services, Inc. .......................... 8,900 17,800 Premier Financial Services, Inc. ....................... 14,800 101,750 Presidential Life Corp. ................................ 168,600 821,925 *Presley Companies Class A .............................. 74,000 185,000 *Pride Petroleum Services, Inc. ......................... 67,800 347,475 *Primark Corp. .......................................... 66,100 826,250 Prime Bancorp, Inc. .................................... 11,770 192,734 Primesource Corp. ...................................... 5,254 55,167 *Printronix, Inc. ....................................... 10,000 287,500 *Procyte Corp. .......................................... 64,000 187,000 *Progress Financial Corp. ............................... 9,800 41,650 Progressive Bank, Inc. ................................. 10,400 217,100 *Progroup, Inc. ......................................... 8,500 53,125 *Proler International Corp. ............................. 16,900 118,300 Providence Energy Corp. ................................ 16,700 256,763 Provident Bankshares Corp. ............................. 22,400 467,600 *Psicor, Inc. ........................................... 14,700 134,138 Pulaski Furniture Corp. ................................ 10,100 186,850 Pulse Bancorp, Inc. .................................... 10,700 141,775 *Pulse Engineering, Inc. ................................ 32,800 184,500 *Pyramid Technology Corp. ............................... 51,900 544,950 *QMS, Inc. .............................................. 62,600 555,575 Quaker State Corp. ..................................... 43,400 596,750 *Quality Products, Inc. ................................. 25,100 69,025 Quanex Corp. ........................................... 20,500 461,250 *Quarterdeck Office Systems, Inc. ....................... 71,900 157,281 *Quest Medical, Inc. .................................... 12,360 55,620 Quick & Reilly Group, Inc. DE .......................... 6,400 158,400 *Quiksilver, Inc. ....................................... 1,800 29,138 *R & B, Inc. ............................................ 27,000 178,875 RLI Corp. .............................................. 21,500 438,063 RS Financial Corp. ..................................... 10,500 225,750 *Radius, Inc. ........................................... 20,950 196,406 *Rag Shops, Inc. ........................................ 15,700 37,288 *Railroad Financial Corp. ............................... 7,300 67,525 *Rally's Hamburgers, Inc. ............................... 28,200 98,700 *Ramsay Health Care, Inc. (New) ......................... 28,000 206,500 *Random Access, Inc. .................................... 23,100 85,903 Raritan Bancorp, Inc. DE ............................... 1,050 18,375 *Rasterops .............................................. 31,700 95,100 Rauch Industries, Inc. ................................. 6,000 54,000 *Raymond Corp. .......................................... 3,780 66,150 Re Capital Corp. ....................................... 25,100 313,750 *Readicare, Inc. ........................................ 14,000 19,250 *Reading Co. Class A .................................... 19,836 224,395 *Recognition International, Inc. ........................ 47,700 351,788 Redwood Empire Bancorp ................................. 8,900 71,200 *Regeneron Pharmaceuticals, Inc. ........................ 47,000 193,875 *Rehability Corp. ....................................... 13,400 97,988 *Repligen Corp. ......................................... 23,200 69,600 *Republic Automotive Parts, Inc. ........................ 10,600 151,050
255 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Republic Bancorp, Inc. ................................. 23,760 $ 261,360 *Republic Waste Industries, Inc. ........................ 94,900 361,806 *Resource Recycling Technologies, Inc. .................. 7,000 35,000 *Revell Monogram, Inc. .................................. 27,100 165,988 *Rexene Corp. (New) ..................................... 21,600 243,000 *Rexon, Inc. ............................................ 34,400 174,150 Richardson Electronics, Ltd. ........................... 41,400 279,450 *Riddell Sports, Inc. ................................... 28,200 66,975 *Riggs National Corp. ................................... 167,600 1,435,075 *Riser Foods, Inc. Class A .............................. 24,800 173,600 *Riverside Group, Inc. .................................. 3,200 20,400 Roanoke Electric Steel Corp. ........................... 9,200 144,900 *Robec, Inc. ............................................ 11,400 19,594 Robinson Nugent, Inc. .................................. 18,900 159,469 Rochester Community Savings Bank of New York ........... 44,500 739,813 *Rohr, Inc. ............................................. 108,000 985,500 Roosevelt Financial Group, Inc. ........................ 20,200 294,163 *Ropak Corp. ............................................ 8,800 90,200 Russ Berrie & Co., Inc. ................................ 60,600 855,975 *Ryans Family Steak Houses, Inc. ........................ 18,700 132,069 *Rykoff-Sexton, Inc. .................................... 35,400 730,125 Ryland Group, Inc. ..................................... 61,664 855,588 *Rymer Foods, Inc. ...................................... 10,000 35,000 *S&K Famous Brands, Inc. ................................ 14,300 116,188 *SBE, Inc. .............................................. 6,900 69,863 SCOR U.S. Corp. ........................................ 64,500 572,438 SFFED Corp. ............................................ 28,200 377,175 SKI, Ltd. .............................................. 16,700 267,200 *SLM International, Inc. ................................ 36,000 139,500 *SPS Technologies, Inc. ................................. 18,300 416,325 SPX Corp. .............................................. 45,600 706,800 *Safeguard Scientifics, Inc. ............................ 27,000 462,375 Saint Ives Laboratories Corp. .......................... 12,500 107,031 Saint Joseph Light & Power Co. ......................... 11,700 311,513 Saint Paul Bancorp, Inc. ............................... 69,900 1,249,463 Salem Corp. ............................................ 6,600 101,475 *Salick Health Care, Inc. ............................... 15,000 375,000 Sands Regent Casino Hotel .............................. 16,000 114,000 *Santa Monica Bank CA ................................... 25,500 210,375 *Sarnia Corp. ........................................... 1,300 442 *Schieb (Earl), Inc. .................................... 15,400 88,550 Schultz Sav-O Stores, Inc. ............................. 5,100 101,363 *Scientific Software-Intercomp, Inc. .................... 22,200 124,875 *Scios-Nova, Inc. ....................................... 10,000 60,625 Scope Industries, Inc. ................................. 2,400 57,900 *Score Board, Inc. ...................................... 30,400 127,300 *Seacor Holdings, Inc. .................................. 35,000 748,125 Seafield Capital Corp. ................................. 8,100 278,438 *Secom General Corp. .................................... 5,800 16,675 Selas Corp. of America ................................. 12,300 119,925 Selective Insurance Group, Inc. ........................ 74,900 1,816,325 *Selfix, Inc. ........................................... 4,900 23,888 *Sequa Corp. Class A .................................... 18,500 393,125 *Serv-Tech, Inc. ........................................ 34,400 232,200 *Sharper Image Corp. .................................... 21,500 145,125 *Shiloh Industries, Inc. ................................ 11,400 82,650 *Shoe Carnival, Inc. .................................... 30,000 157,500 Shopko Stores, Inc. .................................... 191,600 1,916,000 *Show Biz Pizza Time, Inc. .............................. 29,400 222,338 Showboat, Inc. ......................................... 31,900 390,775 *Sierra Tucson Companies, Inc. .......................... 29,400 88,200 *Sifco Industries, Inc. ................................. 17,800 57,850 *Sigma Designs, Inc. .................................... 11,300 76,981
256 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Signal Technology Corp. ................................ 24,800 $ 80,600 *Silicon Valley Bancshares .............................. 26,700 327,075 *Silicon Valley Group, Inc. ............................. 30,700 614,000 Sizzler International, Inc. ............................ 148,700 836,438 Skyline Corp. .......................................... 37,000 684,500 *Softech, Inc. .......................................... 12,600 81,900 *Software Publishing Corp. .............................. 56,000 308,000 *Software Spectrum, Inc. ................................ 15,100 247,263 *Solo Serve Corp. ....................................... 9,200 9,200 *Sound Advice, Inc. ..................................... 13,100 77,781 South Jersey Industries, Inc. .......................... 37,500 632,813 *Southdown, Inc. ........................................ 100,000 1,712,500 Southern California Water Co. .......................... 26,200 415,925 *Southern Union Co. ..................................... 26,897 480,784 *Southwall Technologies, Inc. ........................... 20,700 60,806 Southwest Bancshares, Inc. DE .......................... 7,700 163,625 Southwest Gas Corp. .................................... 106,000 1,616,500 Southwest Water Co. .................................... 8,200 76,875 *Spacelabs Medical, Inc. ................................ 5,000 112,500 *Spaghetti Warehouse, Inc. .............................. 19,800 111,375 Span-American Medical System, Inc. ..................... 11,100 55,500 *Sparton Corp. .......................................... 27,600 138,000 *Spec's Music, Inc. ..................................... 18,000 101,250 *Specialty Chemical Resources, Inc. ..................... 23,000 74,750 *Spectran Corp. ......................................... 30,000 163,125 *Sport Chalet, Inc. ..................................... 9,100 35,263 *Sportstown, Inc. ....................................... 8,100 9,619 *Stacey's Buffet, Inc. .................................. 10,700 13,375 Stage II Apparel Corp. ................................. 14,800 59,200 Standard Commercial Corp. .............................. 31,108 447,178 Standard Motor Products, Inc. Class A .................. 42,700 779,275 Standard Pacific Corp. DE .............................. 122,472 734,832 *Stanford Telecommunications, Inc. ...................... 8,700 154,425 *Stanley Furniture, Inc. ................................ 18,100 183,263 Stant Corp. ............................................ 80,000 1,120,000 *Staodyn, Inc. .......................................... 2,100 3,150 Starret Housing Corp. .................................. 17,900 124,181 Starrett (L.S.) Co. Class A ............................ 23,700 494,738 Statesman Group, Inc. (Escrow) ......................... 37,500 0 Stepan Co. ............................................. 15,400 485,100 Sterling Bancorp ....................................... 22,800 153,900 *Sterling Financial Corp. WA ............................ 10,100 106,050 *Stevens Graphics Corp. Class A ......................... 8,000 54,000 Stewart Information Services Corp. ..................... 21,650 319,338 *Stokely USA, Inc. ...................................... 14,900 134,100 Stone & Webster, Inc. .................................. 42,300 1,406,475 Strawbridge & Clothier Class A ......................... 33,381 755,245 *Stuart Entertainment, Inc. ............................. 11,300 51,556 *Sulcus Computer Corp. .................................. 45,400 119,175 *Summagraphics Corp. .................................... 11,500 97,750 Summit Bancorp, Inc. WA ................................ 11,183 215,265 *Sun Sportswear, Inc. ................................... 20,400 91,800 Sun Television and Appliances, Inc. .................... 53,800 480,838 *Sunbelt Nursery Group, Inc. ............................ 22,700 52,494 *Suncoast Savings & Loan Association FSA ...................................... 1,200 6,900 *Sunrise Bancorp CA ..................................... 23,980 38,968 *Sunrise Leasing Corp. .................................. 13,900 66,025 Super Food Services, Inc. .............................. 58,600 651,925 Susquehanna Bancshares, Inc. ........................... 6,500 143,000
257 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Swift Energy Corp. ..................................... 23,470 $ 234,700 *Symix Systems, Inc. .................................... 4,300 34,400 Syms Corp. ............................................. 62,900 432,438 *Syncor International Corp. DE .......................... 32,200 271,688 *Synercom Technology, Inc. .............................. 3,200 16,400 *Synergen, Inc. ......................................... 151,800 1,378,059 *Syntellect, Inc. ....................................... 49,700 323,050 *Syquest Technology, Inc. ............................... 34,800 556,800 TCBY Enterprises, Inc. ................................. 54,800 315,100 *TCC Industries, Inc. ................................... 6,500 13,000 TCF Financial Corp. .................................... 30,600 1,128,375 *TCI International, Inc. ................................ 11,700 48,263 *TIE/Communications, Inc. (New) ......................... 9,500 53,438 TJ International, Inc. ................................. 11,300 187,863 *TPI Enterprises, Inc. .................................. 79,400 332,488 *TRM Copy Centers Corp. ................................. 38,000 182,875 *TSF Communications Corp. ............................... 2,000 11,500 Tab Products Co. DE .................................... 17,300 142,725 *Tanknology Environmental, Inc. ......................... 50,100 129,947 *Team, Inc. ............................................. 17,800 51,175 *Tech-Sym Corp. ......................................... 20,800 455,000 Technitrol, Inc. ....................................... 3,000 43,875 *Technology Solutions Corp. ............................. 34,400 270,900 *Tekelec ................................................ 8,800 213,400 *Telco Systems, Inc. .................................... 16,700 279,725 Telxon Corp. ........................................... 22,500 272,813 *Tetra Technologies, Inc. ............................... 37,900 357,681 Texas Industries, Inc. ................................. 38,400 1,272,000 *Texfi Industries, Inc. ................................. 28,500 74,813 Thiokol Corp. .......................................... 61,800 1,645,425 Thomas Industries, Inc. ................................ 69,200 925,550 Thorn Apple Valley, Inc. ............................... 13,000 367,250 *Tipperary Corp. ........................................ 39,900 109,725 Titan Holdings, Inc. ................................... 19,600 188,650 Toastmaster, Inc. ...................................... 25,100 175,700 *Todd Shipyards Corp. ................................... 38,200 176,675 Todd-AO Corp. Class A .................................. 3,400 17,425 *Tokos Medical Corp. .................................... 22,800 151,050 *Town & Country Corp. Class A ........................... 50,000 46,875 *Tracor, Inc. ........................................... 25,800 322,500 *Trak Auto Corp. ........................................ 18,200 293,475 *Transport Leasing International, Inc. .................. 15,700 54,459 Transtechnology Corp. .................................. 18,700 215,050 Treadco, Inc. .......................................... 10,000 158,750 Tredegar Industries, Inc. .............................. 36,200 651,600 *Tremont Corp. DE ....................................... 25,600 278,400 Trenwick Group, Inc. ................................... 19,400 717,800 *Tricare, Inc. .......................................... 20,100 40,200 *Trico Products Corp. ................................... 2,000 168,000 *Tricord Systems, Inc. .................................. 34,100 206,731 *Trimark Holdings, Inc. ................................. 13,900 104,250 *Tripos, Inc. ........................................... 16,166 73,757 *Tuboscope Vetco International, Inc. .................... 109,900 789,906 *Tucker Drilling Co., Inc. .............................. 6,200 37,200 *Tuesday Morning Corp. .................................. 47,500 326,563 Tultex Corp. ........................................... 106,200 584,100 *Turner Corp. ........................................... 20,532 164,256 Twin Disc, Inc. ........................................ 10,000 202,500 *Tyco Toys, Inc. ........................................ 155,500 933,000 *Tyler Corp. ............................................ 72,500 262,813 U.S. Bancorp, Inc. ..................................... 16,600 356,900 *UNC, Inc. .............................................. 106,400 532,000 UNR Industries, Inc. ................................... 83,800 513,275
258 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ *URS Corp. (New) ........................................ 13,800 $ 70,725 USILICO Corp. .......................................... 35,800 716,000 *UST Corp. .............................................. 25,500 269,344 Uni-Marts, Inc. ........................................ 24,300 130,613 Unico American Corp. ................................... 20,200 84,588 *Union Corp. DE ......................................... 35,200 492,800 Union Planters Corp. ................................... 34,900 719,813 *Unit Corp. ............................................. 65,800 205,625 United Carolina Bancshares Corp. ....................... 34,600 830,400 United Financial Corp. ................................. 11,800 153,400 United Industrial Corp. ................................ 42,900 209,138 *United Inns, Inc. ...................................... 4,800 117,000 *United Retail Group, Inc. .............................. 14,000 96,250 *United States Banknote Corp. ........................... 68,700 154,575 *United States Energy Corp. ............................. 15,700 63,781 *United States Facilities Corp. ......................... 14,500 145,000 *United States Home Corp. ............................... 40,800 642,600 *United States Homecare Corp. ........................... 29,400 66,150 *United States Intec, Inc. .............................. 6,100 34,313 United Stationers, Inc. ................................ 73,400 752,350 United Water Resources, Inc. ........................... 71,184 925,392 *Unitel Video, Inc. ..................................... 9,100 53,463 Unitil Corp. ........................................... 5,500 99,000 *Universal Health Services, Inc. Class B ................ 31,000 775,000 *Universal International, Inc. .......................... 13,000 29,250 Upper Peninsula Energy Corp. ........................... 8,100 125,550 *Uranuim Resources, Inc. (New) .......................... 21,300 115,819 *Utilx Corp. ............................................ 24,500 87,281 *V Band Systems, Inc. ................................... 18,400 75,900 *Valence Technology, Inc. ............................... 120,000 333,750 *Vallen Corp. ........................................... 47,800 558,663 Valley Forge Corp. ..................................... 5,800 103,675 Vallicorp Holdings, Inc. ............................... 7,200 100,800 *Vans, Inc. ............................................. 35,900 217,644 *Varco International, Inc. .............................. 91,800 585,225 *Varitronic Systems, Inc. ............................... 8,600 76,325 Varlen Corp. ........................................... 1,800 42,975 *Ventura County National Bancorp ........................ 21,900 49,275 Venture Stores, Inc. ................................... 103,400 1,305,425 Vermont Financial Services Corp. ....................... 7,300 147,825 *Versar, Inc. ........................................... 1,300 3,819 *Vertex Communications Corp. ............................ 25,000 337,500 *Vestar, Inc. ........................................... 46,100 210,331 *Vicorp Restaurants, Inc. ............................... 7,700 130,900 Victoria Bankshares, Inc. .............................. 18,200 425,425 *Victoria Financial Corp. ............................... 10,200 72,675 *Video Display Corp. .................................... 14,100 37,013 *Video Lottery Technologies, Inc. ....................... 33,400 313,125 Virco Manufacturing Corp. .............................. 10,406 97,556 Virginia Beach Federal Financial Corp. ................. 17,500 111,563 *Vista Resources, Inc. .................................. 5,900 124,638 *Volt Information Sciences, Inc. ........................ 6,300 174,038 *WHX Corp. .............................................. 59,700 850,725 WICOR, Inc. ............................................ 21,700 604,888 *WSMP, Inc. ............................................. 1,600 11,000 Walbro Corp. ........................................... 8,900 151,300 *Walker Interactive Systems, Inc. ....................... 41,300 258,125 Walshire Assurance Co. ................................. 10,395 104,600 Warner Insurance Services, Inc. ........................ 50,000 137,500 *Warren Bancorp, Inc. ................................... 11,800 94,400 Washington Homes, Inc. (New) ........................... 41,800 161,975 Washington National Corp. .............................. 73,400 1,468,000
259 THE U.S. SMALL CAP VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Washington Savings Bank FSB Waldorf, MD .................. 14,100 $ 54,638 Watkins-Johnson Co. ...................................... 11,900 392,700 Watsco, Inc. Class A ..................................... 2,300 37,375 Watts Industries, Inc. Class A ........................... 18,600 378,975 Webb (Del) Corp. ......................................... 58,788 970,002 Webster Financial Corp. .................................. 12,880 241,500 *Weirton Steel Corp. ...................................... 39,800 333,325 *Weitek Corp. ............................................. 12,000 38,250 Wellco Enterprises, Inc. ................................. 1,600 26,900 *Wells-Gardner Electronics Corp. .......................... 13,800 41,400 Westco Bancorp, Inc. ..................................... 6,100 107,513 Westcorp DE .............................................. 40,500 349,313 *Western Beef, Inc. ....................................... 9,200 67,275 *Western Co. North America (New) .......................... 9,000 153,000 *Western Micro Technology, Inc. ........................... 6,600 53,625 *Western Waste Industries ................................. 21,000 320,250 *Westmoreland Coal Co. .................................... 20,600 108,150 *Weston (Roy F.), Inc. Class A ............................ 26,400 150,150 Weyco Group, Inc. ........................................ 800 28,600 *Whitehall Corp. .......................................... 700 13,125 Whitney Holdings Corp. ................................... 41,000 917,375 *Whittaker Corp. .......................................... 17,800 289,250 *Willcox & Gibbs, Inc. .................................... 60,600 386,325 Wilshire Oil Co. of Texas ................................ 400 2,750 Windmere Corp. ........................................... 57,000 555,750 Wolohan Lumber Co. ....................................... 24,600 375,150 Wolverine World Wide, Inc. ............................... 15,300 340,425 *Worldtex, Inc. ........................................... 91,100 398,563 *Worthington Foods, Inc. .................................. 7,900 68,631 Wyle Laboratories, Inc. .................................. 33,200 618,350 *Wyman-Gordon Co. ......................................... 50,800 285,750 Wynns International, Inc. ................................ 18,100 429,875 *Xicor, Inc. .............................................. 54,800 131,863 Yankee Energy Systems, Inc. .............................. 37,100 802,288 *Yes Clothing Co. ......................................... 3,400 6,163 *Younkers, Inc. ........................................... 52,900 919,030 *Zaring Homes, Inc. ....................................... 13,000 74,750 *Zenith Electronics Corp. ................................. 29,900 366,275 Zenith National Insurance Corp. .......................... 39,900 862,830 *Zeos International, Ltd. ................................. 28,600 203,775 Ziegler Co., Inc. ........................................ 1,700 27,413 *Zitel Corp. .............................................. 37,000 291,375 Zurn Industries, Inc. .................................... 27,200 476,000 *Zygo Corp. ............................................... 8,400 63,000 *Zynaxis, Inc. ............................................ 31,000 38,750 ------------------ TOTAL COMMON STOCKS (Cost $346,312,288) ................... 343,511,190 ------------------ RIGHTS/WARRANTS - (0.0%) *SPS Technologies, Inc. Rights 12/16/94 (Cost $0) ......... 1,830 100 ------------------
Face Amount ------------------ (000) TEMPORARY CASH INVESTMENTS - (4.1%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $14,792,000) ....................................... $14,792 14,792,000 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $361,104,288) .......... $358,303,290 ==================
- ------ +See Note B to Financial Statements. *Non-Income Producing Securities See accompanying Notes to Financial Statements 260 SCHEDULE OF INVESTMENTS THE U.S. LARGE CAP VALUE SERIES NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ COMMON STOCKS - (95.1%) AFLAC, Inc. ............................................ 15,700 $ 531,838 *AMR Corp. .............................................. 30,900 1,568,175 Aetna Life & Casualty Co. .............................. 45,926 2,055,189 Ahmanson (H.F.) & Co. .................................. 47,700 793,013 Alexander & Baldwin, Inc. .............................. 18,800 446,500 *Alleghany Corp. (DE) ................................... 2,632 389,536 Allstate Corp. ......................................... 183,500 4,335,188 Aluminium Co. of America (ALCOA) ....................... 22,840 1,864,315 Ambac, Inc. ............................................ 15,000 519,375 *Amdahl Corp. ........................................... 47,233 460,522 Amerada Hess Corp. ..................................... 37,900 1,724,450 American General Corp. ................................. 85,300 2,239,125 American National Insurance Co. ........................ 10,800 511,650 American Premier Underwriters, Inc. .................... 18,800 430,050 American President Companies, Ltd. ..................... 10,700 238,075 American Water Works Co., Inc. ......................... 13,100 343,875 Apple Computer, Inc. ................................... 35,500 1,317,938 Argonaut Group, Inc. ................................... 10,500 294,000 Arvin Industries, Inc. ................................. 9,100 219,538 Asarco, Inc. ........................................... 17,100 468,113 Atlanta Gas Light Co. .................................. 10,300 305,138 Avnet, Inc. ............................................ 12,200 437,675 *BHC Communications, Inc. Class A .............................................. 3,100 227,075 Ball Corp. ............................................. 7,900 222,188 Bancorp Hawaii, Inc. ................................... 2,400 60,300 Bank of Boston Corp. ................................... 43,600 1,166,300 BankAmerica Corp. ...................................... 151,575 6,214,575 Bankers Trust New York Corp. ........................... 32,200 1,907,850 Berkley (W.R.) Corp. ................................... 7,100 236,075 Black & Decker Corp. ................................... 25,200 604,800 Block Drug Co., Inc. Class A ........................... 4,738 160,500 Boatmen's Bancshares, Inc. ............................. 40,000 1,112,500 Boise Cascade Corp. .................................... 15,500 375,875 Bowater, Inc. .......................................... 14,900 378,088 *Broadway Stores, Inc. .................................. 18,598 190,630 Bruno's, Inc. .......................................... 23,400 207,675 CCP Insurance, Inc. .................................... 11,000 162,250 CIGNA Corp. ............................................ 29,508 1,870,070 *CNA Financial Corp. .................................... 25,200 1,565,550 CSX Corp. .............................................. 41,000 2,849,500 Centerior Energy Corp. ................................. 16,900 147,875 Centex Corp. ........................................... 12,400 252,650 Champion International Corp. ........................... 37,900 1,317,025 Chase Manhattan Corp. .................................. 75,500 2,699,125 Chemical Banking Corp. ................................. 103,400 3,761,175 Chesapeake Corp. ....................................... 5,900 193,225 Chiquita Brands International, Inc. .................... 19,900 258,700 *Chris-Craft Industries, Inc. ........................... 8,499 290,028 *Chrysler Corp. ......................................... 128,800 6,230,700 Cincinnati Financial Corp. ............................. 20,300 974,400 Cinergy Corp. .......................................... 12,071 268,580 Citicorp ............................................... 56,400 2,347,650 Coca-Cola Enterprises, Inc. ............................ 51,000 949,875 Comdicso, Inc. ......................................... 15,200 324,900 Comerica, Inc. ......................................... 15,000 395,625
261 THE U.S LARGE CAP VALUE SERIES -- CONTINUED
Shares Value+ ------------------ ------------------ Commerce Bancshares, Inc. .............................. 1,800 $ 52,538 Comsat Corp. Series 1 .................................. 6,400 124,000 Conrail, Inc. .......................................... 32,100 1,669,200 Consolidated Natural Gas Co. ........................... 37,900 1,326,500 Continental Corp. ...................................... 22,658 328,541 Coors (Adolph) Co. Class B ............................. 14,500 231,094 Countrywide Credit Industries, Inc. .................... 5,200 73,450 *Cray Research, Inc. .................................... 10,500 192,938 Cyprus Amax Minerals Co., Inc. ......................... 35,000 875,000 Delta Air Lines, Inc. .................................. 8,300 416,038 Diamond Shamrock, Inc. ................................. 11,600 298,700 *Digital Equipment Corp. ................................ 56,200 1,910,800 Dillard Department Stores, Inc. Class A ................ 40,000 1,125,000 Dole Food, Inc. ........................................ 24,300 571,050 Eastern Enterprises .................................... 8,400 214,200 Eastern Utilities Associates ........................... 3,900 85,800 Enserch Corp. .......................................... 27,300 344,663 Equitable Companies, Inc. .............................. 33,100 579,250 Equitable Resources, Inc. .............................. 11,700 315,900 Federal Paper Board Co., Inc. .......................... 17,200 466,550 *Federated Department Stores, Inc. ...................... 51,300 1,051,650 Fina, Inc. Class A ..................................... 5,700 374,775 First Chicago Corp. .................................... 37,800 1,757,700 First Colony Corp. ..................................... 20,100 386,925 First Union Corp. ...................................... 9,800 390,775 First of America Bank Corp. ............................ 3,300 103,950 Fleming Companies, Inc. ................................ 15,197 349,531 Florida East Coast Industries, Inc. .................... 3,500 250,250 Ford Motor Co. ......................................... 379,500 10,293,938 Fourth Financial Corp. ................................. 5,100 153,638 *Fund American Enterprises Holdings, Inc. ............... 3,400 249,050 GATX Corp. ............................................. 8,100 324,000 GFC Financial Corp. .................................... 6,700 197,650 General Motors Corp. ................................... 300,000 11,437,500 General Motors Corp. Class H ........................... 37,646 1,256,435 Glatfelter (P.H.) Co. .................................. 16,300 252,650 Golden West Financial Corp. ............................ 25,200 882,000 Goodrich (B.F.) Co. .................................... 10,100 449,450 *Goodyear Tire & Rubber Co. ............................. 30,000 1,016,250 Great Atlantic & Pacific Tea Co., Inc. ................. 15,600 347,100 Great Western Financial Corp. .......................... 54,200 921,400 Harnischfeger Industries, Inc. ......................... 8,400 223,650 Hawaiian Electric Industries, Inc. ..................... 11,500 365,125 Helmerich & Payne, Inc. ................................ 10,100 282,800 Houston Industries, Inc. ............................... 53,600 1,822,400 IES Industries, Inc. ................................... 11,700 305,663 *IMC Fertilizer Group, Inc. ............................. 3,400 128,350 ITT Corp. .............................................. 25,900 2,062,288 *Intergraph Corp. ....................................... 9,000 72,000 International Business Machines Corp. .................. 89,800 6,353,350 International Paper Co. ................................ 50,900 3,639,350 International Speciality Products, Inc. ................ 40,700 274,725 James River Corp. of Virginia .......................... 33,300 703,463 *Jefferson-Pilot Corp. .................................. 2,800 141,750 K Mart Corp. ........................................... 179,600 2,604,200
262 THE U.S LARGE CAP VALUE SERIES -- CONTINUED
Shares Value+ ------------------ ------------------ *Kaiser Aluminum Corp. .................................. 23,700 $ 251,813 *Kerr-McGee Corp. ....................................... 15,000 708,750 Lafarge Corp. .......................................... 20,600 365,650 Lennar Corp. ........................................... 9,550 149,219 Liberty Corp. .......................................... 8,100 206,550 Lincoln National Corp. ................................. 38,750 1,506,406 Loews Corp. ............................................ 24,500 2,116,188 Longs Drug Stores Corp. ................................ 4,800 150,600 *MBIA, Inc. ............................................. 15,000 787,500 *Magma Copper Co. ....................................... 17,300 278,963 McDonnell Douglas Corp. ................................ 16,140 2,251,530 Mellon Bank Corp. ...................................... 22,500 745,313 Mercantile Stores Co., Inc. ............................ 15,012 607,986 Metropolitan Financial Corp. ........................... 8,500 191,250 Michigan National Corp. ................................ 3,500 265,563 Midlantic Corp. ........................................ 3,000 79,875 Midwest Resources, Inc. ................................ 22,416 291,408 Mitchell Energy & Development Corp. Class A ............ 6,100 99,125 Mitchell Energy & Development Corp. Class B ............ 7,800 125,775 Montana Power Co. ...................................... 21,700 512,663 *Morgan (J.P.) & Co., Inc. .............................. 85,800 5,040,750 Murphy Oil Corp. ....................................... 7,000 313,250 NWNL Companies, Inc. ................................... 12,100 334,263 National Fuel Gas Co. .................................. 14,500 377,000 NationsBank Corp. ...................................... 75,700 3,397,038 Noram Energy Corp. ..................................... 31,700 178,313 *Norfolk Southern Corp. ................................. 24,500 1,482,250 Northrop Grumman Corp. ................................. 12,700 515,938 Nynex Corp. ............................................ 159,700 6,008,713 Occidental Petroleum Corp. ............................. 122,600 2,406,025 Ogden Corp. ............................................ 2,500 49,375 *Ogden Projects, Inc. ................................... 14,400 237,600 Ohio Casualty Corp. .................................... 14,700 422,625 Old Republic International Corp. ....................... 21,200 405,450 Oneok, Inc. ............................................ 1,300 22,425 Oryx Energy Co. ........................................ 39,500 478,938 Overseas Shipholding Group, Inc. ....................... 14,800 312,650 PHH Corp. .............................................. 7,000 245,875 PNC Bank Corp. ......................................... 50,000 1,037,500 Pacific Telecom, Inc. .................................. 15,600 475,800 Panhandle Eastern Corp. ................................ 49,064 1,036,477 Pennzoil Co. ........................................... 18,800 909,450 Peoples Energy Corp. ................................... 14,200 347,900 *Petrie Stores Corp. .................................... 20,000 527,500 Pinnacle West Capital Corp. ............................ 3,100 60,063 Pittway Corp. DE Class A ............................... 800 30,900 Potlatch Corp. ......................................... 11,900 446,250 Providian Corp. ........................................ 36,600 1,107,150 Pulte Corp. ............................................ 10,800 217,350 *RJR Nabisco Holdings Corp. ............................. 435,400 2,721,250 Republic New York Corp. ................................ 21,400 914,850 Reynolds Metals Co. .................................... 16,200 763,425 *Rust International, Inc. ............................... 4,700 50,525 Ryder System, Inc. ..................................... 21,400 462,775 Safeco Corp. ........................................... 25,700 1,262,513 Saint Paul Companies, Inc. ............................. 33,000 1,361,250 Scana Corp. ............................................ 19,300 837,138
263 THE U.S LARGE CAP VALUE SERIES -- CONTINUED
Shares Value+ ------------------ ------------------ *Seagate Technology, Inc. ............................... 29,200 $ 693,500 Smiths Food & Drug Centers, Inc. Class B ............... 6,400 161,600 Southern Indiana Gas & Electric Co. .................... 3,200 82,000 Southern New England Telecommunications Corp. .......... 15,400 508,200 Springs Industries, Inc. Class A ....................... 7,300 271,013 Standard Federal Bank MI ............................... 12,800 316,800 Stone & Webster, Inc. .................................. 6,100 202,825 Sun Company, Inc. ...................................... 43,480 1,266,355 *Sun Microsystems, Inc. ................................. 25,000 835,938 Super Valu Stores, Inc. ................................ 4,100 100,450 *TIG Holdings, Inc. ..................................... 3,600 63,000 Tecumseh Products Co. Class A .......................... 4,600 202,400 Textron, Inc. .......................................... 5,000 235,000 Timken Co. ............................................. 11,500 370,875 Transamerica Corp. ..................................... 28,700 1,359,663 Transco Energy Co. ..................................... 16,700 208,750 Travelers, Inc. ........................................ 128,400 4,221,150 Tyson Foods, Inc. Class A .............................. 32,300 730,788 UMB Financial Corp. .................................... 7,900 241,938 *UNUM Corp. ............................................. 30,000 1,095,000 *USAir Group, Inc. ...................................... 12,300 59,963 USF&G Corp. ............................................ 31,500 429,188 USLIFE Corp. ........................................... 9,400 303,150 USX-Marathon Group, Inc. ............................... 116,850 2,103,300 USX-US Steel Group ..................................... 30,000 1,031,250 Union Bank San Francisco, CA ........................... 14,500 415,063 Union Camp Corp. ....................................... 15,900 737,363 Union Pacific Corp. .................................... 54,500 2,534,250 Unitrin, Inc. .......................................... 21,100 917,850 Valero Energy Corp. .................................... 17,000 323,000 *Vons Companies, Inc. ................................... 17,700 358,425 WPL Holdings, Inc. ..................................... 12,550 346,694 Wesco Financial Corp. .................................. 400 47,200 Westinghouse Electric Corp. ............................ 26,600 339,150 Westvaco Corp. ......................................... 27,400 941,875 Yellow Corp. ........................................... 11,500 226,406 ------------------ TOTAL COMMON STOCKS (Cost $200,627,238) ................... 196,815,598 ------------------
Face Amount --------- (000) TEMPORARY CASH INVESTMENTS - (4.9%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $10,222,000) .............. $10,222 10,222,000 ------------- TOTAL INVESTMENTS - (100.0%) (Cost $210,849,238) .......... $207,037,598 =============
- ------ +See Note B to Financial Statements. *Non-Income Producing Securities See accompanying Notes to Financial Statements 264 SCHEDULE OF INVESTMENTS THE DFA ONE-YEAR FIXED INCOME SERIES NOVEMBER 30, 1994
Face Amount Value+ ------------------ ------------------ (000) BONDS AND CERTIFICATES OF DEPOSIT -- (54.6%) AT&T Capital Corp. Medium Term Notes 6.640%, 05/22/96 ......................................... $ 9,500 $ 9,396,536 AT&T Corp. Corporate Bonds 4.500%, 02/15/96 ......................................... 6,000 5,806,422 American International Group Medium Term Notes 7.700%, 03/15/96 ......................................... 3,200 3,212,109 Associates Corp. of North America Medium Term Note 4.500%, 02/15/96 ......................................... 4,900 4,733,748 8.800%, 03/01/96 ......................................... 5,000 5,071,190 8.730%, 04/05/96 ......................................... 2,100 2,130,080 8.625%, 06/17/96 ......................................... 5,000 5,071,470 Bankers Trust N.Y., Inc. Corporate Bonds 4.700%, 07/01/96 ......................................... 11,200 10,703,291 Bayerische Landesbank Medium Term Notes 6.430%, 07/19/96 ......................................... 17,000 16,708,960 Bellsouth Capital Funding Medium Term Notes 4.450%, 12/07/95 ......................................... 4,000 3,895,236 7.550%, 11/29/96 ......................................... 3,000 2,996,052 Canadian Imperial Bank of Commerce 4.940%, 12/12/94 ......................................... 2,000 1,999,554 Cola-Cola Co. Corporate Bonds 7.750%, 02/15/96 ......................................... 17,000 17,058,854 Du Pont (E.I.) de Nemours & Co. Medium Term Notes 8.480%, 11/20/95 ......................................... 5,000 5,063,420 Exxon Capital Corp. Corporate Bonds 7.750%, 02/14/96 ......................................... 17,000 17,052,921 Gannet Co., Inc. Corporate Bonds 9.550%, 02/01/96 ......................................... 3,300 3,384,068 General Electric Capital Corp. Medium Term Notes 6.970%, 10/28/96 ......................................... 17,000 16,805,962 Johnson & Johnson Medium Term Notes 8.000%, 03/20/96 ......................................... 7,000 7,046,809 KFW International Finance, Inc. Medium Term Notes 6.750%, 01/10/96 ......................................... 11,000 10,922,637 NBD Bank N.A. Bank Notes 4.150%, 01/31/96 ......................................... 11,000 10,602,416 4.150%, 02/01/96 ......................................... 6,000 5,783,778 Norwest Financial, Inc. Corporate Bonds 7.250%, 11/01/95 ......................................... 10,000 9,997,380 Paccar Financial Corp. Medium Term Notes 4.500%, 07/01/96 ......................................... 5,000 4,765,270 4.800%, 08/20/96 ......................................... 5,000 4,768,390 5.150%, 11/15/96 ......................................... 3,000 2,859,645
265 THE DFA ONE-YEAR FIXED INCOME SERIES CONTINUED
Face Amount Value+ ------------------ ------------------ (000) Pepsico, Inc. Medium Term Notes 4.600%, 06/30/96 ......................................... $13,700 $ 13,081,185 Province of Ontario Corporate Bonds 8.250%, 04/08/96 ......................................... 15,000 15,122,925 Rabobank Nederland Deposit Notes 6.040%, 01/25/96 ......................................... 4,000 3,940,700 6.390%, 06/25/96 ......................................... 4,000 3,929,704 Republic National Bank of New York Bank Notes 4.750%, 10/15/95 ......................................... 7,700 7,543,413 8.375%, 05/01/96 ......................................... 4,000 4,046,108 Shell Oil Co. Corporate Bonds 7.000%, 09/15/95 ......................................... 5,000 4,998,510 7.700%, 02/01/96 ......................................... 10,000 10,029,250 Smithkline Beecham Corp. Corporate Bonds 5.250%, 01/19/96 ......................................... 5,000 4,887,415 5.250%, 01/26/96 ......................................... 2,000 1,954,068 Society National Bank, Cleveland Deposit Note 6.875%, 10/15/96 ......................................... 16,260 16,017,807 Toyota Motor Credit Corp. Medium Term Notes 5.700%, 04/15/96 ......................................... 15,000 14,668,935 WMX Technologies, Inc. Corporate Bonds 4.875%, 06/15/96 ......................................... 15,000 14,388,120 Wachovia Bank Notes 7.150%, 11/07/96 ......................................... 17,000 16,837,293 Waste Management, Inc. Corporate Bonds 4.625%, 04/14/96 ......................................... 2,000 1,922,918 ------------------ TOTAL BONDS AND CERTIFICATES OF DEPOSIT (Cost $327,058,200) 321,204,549 ------------------ COMMERCIAL PAPER -- (34.9%) AIG Funding Inc. C.P. 5.350%, 01/17/95 ......................................... 9,000 8,928,599 Bayerische Vereinsbank AG C.P. 5.440%, 01/23/95 ......................................... 5,000 4,955,375 Beta Finance C.P. 5.770%, 02/16/95 ......................................... 5,000 4,935,000 5.730%, 02/16/95 ......................................... 8,000 7,896,000 Caisse Centrale Desjardins du Quebec C.P. 4.900%, 12/12/94 ......................................... 8,000 7,985,066 Caisse Nationale des Telecommunications C.P. 4.850%, 12/09/94 ......................................... 8,000 7,988,800 Caisse des Depots et Consignations C.P. 5.370%, 01/20/95 ......................................... 3,000 2,974,712 Canadian Wheat Board C.P. 4.800%, 12/05/94 ......................................... 2,000 1,998,444 Cargill, Inc. 4.830%, 12/16/94 ......................................... 3,000 2,992,533
266 THE DFA ONE-YEAR FIXED INCOME SERIES CONTINUED
Face Amount Value+ ------------------ ------------------ (000) Ciesco L.P. C.P. 4.800%, 12/05/94 ......................................... $ 2,000 $ 1,998,444 5.480%, 01/11/95 ......................................... 4,000 3,972,233 5.400%, 01/24/95 ......................................... 2,000 1,981,819 5.600%, 02/06/95 ......................................... 8,000 7,910,089 Corporate Asset Funding Co. C.P. 5.450%, 01/24/95 ......................................... 7,700 7,630,005 5.750%, 02/17/95 ......................................... 3,000 2,960,500 Halifax Building Society C.P. 5.240%, 01/04/95 ......................................... 4,000 3,976,861 5.300%, 01/19/95 ......................................... 13,000 12,892,569 Hypo U.S. Finance C.P. 5.380%, 01/04/95 ......................................... 4,000 3,976,861 MCA Funding Corp. C.P. 5.450%, 01/11/95 ......................................... 12,000 11,916,700 5.450%, 01/25/95 ......................................... 5,000 4,953,722 Matterhorn Capital Corp. C.P. 5.620%, 01/12/95 ......................................... 7,000 6,950,251 5.650%, 01/18/95 ......................................... 6,000 5,951,408 McKenna Triangle C.P. 5.480%, 01/23/95 ......................................... 15,000 14,866,125 Metlife Funding, Inc. C.P. 4.800%, 12/05/94 ......................................... 11,000 10,991,444 Minolta Corp. C.P. 4.930%, 12/16/94 ......................................... 4,000 3,989,955 Safeco Corp. C.P. 5.400%, 01/04/95 ......................................... 3,000 2,982,646 5.500%, 01/06/95 ......................................... 4,000 3,975,539 Sandoz Corp. C.P. 5.400%, 01/12/95 ......................................... 4,000 3,971,572 Sheffield Receivables Corp. C.P. 5.800%, 02/21/95 ......................................... 6,000 5,917,000 Societe Generale N.A. C.P. 5.480%, 01/05/95 ......................................... 6,000 5,964,300 St. Michael Finance, Ltd. C.P. 4.830%, 12/01/94 ......................................... 4,000 3,999,378 5.820%, 02/21/95 ......................................... 4,060 4,003,836
267 THE DFA ONE-YEAR FIXED INCOME SERIES CONTINUED
Face Amount Value+ ------------------ ------------------ (000) Toronto-Dominion Bank C.P. 5.020%, 12/29/94 ......................................... $ 6,000 $ 5,972,933 5.720%, 02/22/95 ......................................... 11,000 10,846,000 ------------------ TOTAL COMMERCIAL PAPER (Cost $205,349,067) ...................................... 205,206,719 ------------------ AGENCY OBLIGATIONS -- (5.2%) Federal Home Loan Bank 6.125%, 08/05/96 ......................................... 7,000 6,875,316 6.540%, 10/03/96 ......................................... 10,000 9,865,630 Federal National Mortgage Association 6.270%, 07/19/96 ......................................... 14,000 13,702,500 ------------------ TOTAL AGENCY OBLIGATIONS (Cost $30,882,268) ............... 30,443,446 ------------------ U.S. TREASURY OBLIGATIONS -- (2.8%) U.S. Treasury Notes 7.875%, 07/15/96 ......................................... 1,000 1,008,594 6.500%, 09/30/96 ......................................... 16,000 15,760,000 ------------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,978,296) ........ 16,768,594 ------------------ SUPRANATIONAL OBLIGATIONS -- (1.8%) African Development Bank (Cost $11,075,650) 10.500%, 11/01/95 ........................................ 10,500 10,810,842 ------------------ TEMPORARY CASH INVESTMENTS -- (0.7%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $4,039,000) ........................................ 4,039 4,039,000 ------------------ TOTAL INVESTMENTS -- (100.0%) (Cost $595,382,481) ......... $588,473,150 ==================
- ------ + See Note B to Financial Statements. See accompanying Notes to Financial Statements 268 SCHEDULE OF INVESTMENTS THE DFA INTERNATIONAL VALUE SERIES NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ JAPAN -- (36.8%) COMMON STOCKS -- (36.8%) Aica Kogyo Co., Ltd. ................................... 10,000 $ 67,780 Aichi Machine Industry Co., Ltd. ....................... 17,000 111,442 Aichi Steel Works, Ltd. ................................ 31,000 200,395 Aida Engineering, Ltd. ................................. 14,000 124,633 Aisin Seiki Co., Ltd. .................................. 40,000 586,748 *Alps Electric Co., Ltd. ................................ 26,000 352,453 Amada Co., Ltd. ........................................ 42,000 522,610 Amada Metrecs Co., Ltd. ................................ 11,000 185,837 Amada Sonoike Co., Ltd. ................................ 12,000 104,886 Ando Corp. ............................................. 12,000 67,982 Aoki Corp. ............................................. 62,000 251,512 Aomori Bank, Ltd. ...................................... 30,000 174,507 Asahi Breweries, Ltd. .................................. 65,000 729,894 Asahi Denka Kogyo KK ................................... 10,000 77,997 Ashikaga Bank, Ltd. .................................... 88,000 649,874 Asics Corp. ............................................ 34,000 127,608 Atsugi Nylon Industrial Co., Ltd. ...................... 42,000 246,434 Awa Bank, Ltd. ......................................... 26,000 182,802 Bandai Co., Ltd. ....................................... 1,000 40,465 Bank of Iwate, Ltd. .................................... 3,000 168,437 Bank of Osaka, Ltd. .................................... 33,000 132,534 Bank of the Ryukyus, Ltd. .............................. 2,000 108,245 Banyu Pharmaceutical Co., Ltd. ......................... 37,000 350,723 Best Denki Co., Ltd. ................................... 3,000 44,310 Brother Industries, Ltd. ............................... 39,000 265,129 Bunka Shutter Co., Ltd. ................................ 12,000 91,775 CSK Corp. .............................................. 9,000 277,693 Calpis Food Industry Co., Ltd. ......................... 6,000 52,443 Calsonic Corp. ......................................... 19,000 155,114 *Central Glass Co., Ltd. ................................ 30,000 124,734 Chiba Bank, Ltd. ....................................... 113,000 1,051,695 Chiba Kogyo Bank, Ltd. ................................. 3,000 132,018 *Chichibu Onoda Cement Corp. ............................ 21,000 120,455 Chiyoda Fire and Marine Insurance Co., Ltd. ............ 46,000 289,449 *Chuetsu Pulp and Paper Co., Ltd. ....................... 16,000 90,319 Chugoku Bank, Ltd. ..................................... 29,000 513,404 Chukyo Sogo Bank, Ltd. ................................. 29,000 187,466 Citizen Watch Co., Ltd. ................................ 43,000 321,032 *Clarion Co., Ltd. ...................................... 5,000 24,077 *Cosmo Securities Co., Ltd. ............................. 56,000 241,335 *Dai-Ichi Securities Co., Ltd. .......................... 20,000 85,180 Dai-Tokyo Fire and Marine Insurance Co., Ltd. .......... 55,000 378,907 Daicel Chemical Industries, Ltd. ....................... 58,000 340,314 Daido Steel Co., Ltd. .................................. 66,000 375,235 Daiichi Corp., Hiroshima ............................... 7,000 138,796 Daikin Industries, Ltd. ................................ 37,000 337,248 Daikyo, Inc. ........................................... 27,000 209,772 *Dainippon Screen Manufacturing Co., Ltd. ............... 23,000 166,596 Daio Paper Corp. ....................................... 13,000 165,706 Daisan Sogo Bank, Ltd. ................................. 21,000 130,440 *Daiwa Danchi Co., Ltd. ................................. 21,000 104,097 Daiwa Securities Co., Ltd. ............................. 92,000 1,200,607 *Daiwa Spinning Co., Ltd. ............................... 22,000 62,317 *Denki Kagaku Kogyo KK .................................. 29,000 121,163 Eighteenth Bank, Ltd. .................................. 26,000 247,243
269 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Ezaki Glico Co., Ltd. .................................. 22,000 $ 229,236 Fuji Denki Reiki Co., Ltd. ............................. 6,000 90,440 *Fuji Heavy Industries, Ltd. ............................ 82,000 360,020 Fuji Oil Co., Ltd. ..................................... 12,000 103,308 Fuji Photo Film Co., Ltd. .............................. 79,000 1,758,220 Fujita Corp. ........................................... 68,000 368,032 Fujitsu, Ltd. .......................................... 265,000 2,761,254 Fukuda Corp. ........................................... 6,000 76,480 Fukuoka City Bank, Ltd. ................................ 30,000 236,722 Fukutoku Bank, Ltd. .................................... 27,000 91,775 Futaba Corp. ........................................... 7,000 371,775 *Gakken Co., Ltd. ....................................... 13,000 97,582 Godo Steel, Ltd. ....................................... 24,000 178,938 Gun-Ei Chemical Industry Co., Ltd. ..................... 14,000 69,681 Gunze, Ltd. ............................................ 31,000 207,921 Hanwa Co., Ltd. ........................................ 53,000 199,454 Haseko Corp. ........................................... 59,000 364,087 Hazama Corp. ........................................... 51,000 203,794 Higo Bank, Ltd. ........................................ 37,000 310,673 Hiroshima Bank, Ltd. ................................... 89,000 531,209 Hitachi Construction Machinery Co., Ltd. ............... 9,000 111,077 Hitachi Koki Co., Ltd. ................................. 22,000 220,556 Hitachi Maxell, Ltd. ................................... 16,000 278,402 Hitachi Plant Engineering & Construction Co., Ltd. ............................... 10,000 68,791 Hitachi Sales Corp. .................................... 26,000 173,596 Hitachi Transport System, Ltd. ......................... 14,000 141,345 Hitachi, Ltd. .......................................... 508,000 5,020,900 Hokkai Can Co., Ltd., Tokyo ............................ 10,000 93,576 Hokkaido Bank, Ltd. .................................... 55,000 222,559 Hokkaido Takushoku Bank, Ltd. .......................... 133,000 573,171 Hokuriku Bank, Ltd. .................................... 100,000 738,493 Hokuriku Pharmaceutical Co., Ltd. ...................... 7,000 118,260 Honda Motor Co., Ltd. .................................. 150,000 2,518,968 Horiba, Ltd. ........................................... 4,000 65,959 Hyakugo Bank, Ltd. (105th Bank) ........................ 42,000 246,434 Hyakujushi Bank, Ltd. .................................. 44,000 294,669 *Hyogo Bank, Ltd. ....................................... 7,000 21,315 Ibiden Co., Ltd. ....................................... 14,000 108,346 Ikegami Tsushinki Co., Ltd. ............................ 8,000 75,266 Inax Corp. ............................................. 35,000 371,775 *Ines Corp. ............................................. 7,000 78,604 Intec, Inc. ............................................ 7,000 100,556 *Ishihara Sangyo Kaisha, Ltd. ........................... 24,000 97,360 Itochu Corp. ........................................... 94,000 688,477 Itochu Fuel Corp. ...................................... 13,000 129,803 Itoham Foods, Inc. ..................................... 32,000 248,943 Izumiya Co., Ltd. ...................................... 15,000 277,693 Japan Pulp and Paper Co., Ltd. ......................... 3,000 18,209 Japan Synthetic Rubber Co., Ltd. ....................... 38,000 244,107 Japan Vilene Co., Ltd. ................................. 10,000 69,499 Joshin Denki Co., Ltd. ................................. 11,000 140,212 Juroku Bank, Ltd. ...................................... 20,000 113,505 Kagoshima Bank, Ltd. ................................... 33,000 262,064 Kaneka Corp. ........................................... 49,000 391,603 Kanematsu Corp. ........................................ 46,000 244,775 *Kankaku Securities Co., Ltd. ........................... 56,000 262,296 Kansai Paint Co., Ltd., Osaka .......................... 18,000 107,436
270 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Kanto Auto Works, Ltd., Yokosuka ....................... 10,000 $ 68,488 Kanto Natural Gas Development Co., Ltd. ................ 11,000 89,024 Kasumi Co., Ltd. ....................................... 10,000 89,024 Katokichi Co., Ltd. .................................... 9,000 206,677 *Kawasho Corp. .......................................... 21,000 96,237 Keiyo Bank, Ltd. ....................................... 39,000 239,484 Kinden Corp. ........................................... 31,000 514,315 Kinseki, Ltd. .......................................... 6,000 105,008 Kitz Corp. ............................................. 20,000 101,770 Kiyo Bank, Ltd. ........................................ 19,000 138,392 Koa Oil Co., Ltd. ...................................... 4,000 28,447 Kokusai Securities Co., Ltd. ........................... 37,000 542,742 Komatsu Forklift Co., Ltd. ............................. 17,000 138,098 Komatsu, Ltd. .......................................... 68,000 632,190 Komori Corp. ........................................... 11,000 307,132 Konica Corp. ........................................... 51,000 391,593 Kosei Securities Co., Ltd. ............................. 4,000 21,932 Koyo Seiko Co., Ltd. ................................... 29,000 278,705 Kumagai Gumi Co., Ltd. ................................. 99,000 455,690 Kurabo Industries, Ltd. ................................ 48,000 202,003 Kureha Chemical Industry Co., Ltd. ..................... 39,000 211,472 Kurimoto, Ltd. ......................................... 19,000 209,509 Kyudenko Corp. ......................................... 11,000 137,987 Lintec Corp. ........................................... 11,000 184,724 Long Term Credit Bank of Japan, Ltd. ................... 161,000 1,742,742 Maeda Corp. ............................................ 27,000 269,044 *Makino Milling Machine Co., Ltd. ....................... 16,000 142,600 Makita Corp. ........................................... 5,000 86,495 Marubeni Corp. ......................................... 100,000 560,445 Marudai Food Co., Ltd. ................................. 25,000 191,705 Maruetsu, Inc. ......................................... 25,000 250,885 Marui Co., Ltd. ........................................ 57,000 962,974 Maruichi Steel Tube, Ltd. .............................. 14,000 254,932 Maruzen Showa Unyu Co., Ltd. ........................... 14,000 75,913 Matsushita Electric Industrial Co., Ltd. ............... 324,000 5,014,871 Matsushita Electric Works, Ltd. ........................ 113,000 1,154,578 Matsushita Refrigeration Co., Ltd. ..................... 4,000 33,343 Matsushita Seiko Co., Ltd. ............................. 4,000 29,337 *Mazda Motor Corp. ...................................... 167,000 939,322 Meija Seika Kaisha, Ltd. Tokyo ......................... 60,000 390,895 Michinoku Bank, Ltd. ................................... 18,000 139,666 *Mitsubishi Chemical Corp. Em 94 ........................ 85,800 471,314 Mitsubishi Electric Corp. .............................. 313,000 2,206,990 Mitsubishi Gas Chemical Co., Inc. ...................... 71,000 356,975 Mitsubishi Materials Corp. ............................. 81,000 442,489 Mitsubishi Paper Mills, Ltd. ........................... 27,000 204,856 Mitsubishi Trust & Banking Corp. ....................... 89,000 1,260,496 Mitsui & Co., Ltd. ..................................... 61,000 530,086 Mitsui Fudosan Co., Ltd. ............................... 115,000 1,186,646 Mitsui Petrochemical Industries, Ltd. .................. 44,000 395,711 Mitsui Toatsu Chemicals, Inc. .......................... 61,000 255,478 Mitsui Trust & Banking Co., Ltd. ....................... 81,000 827,618 Mizuno Corp. ........................................... 18,000 180,273 NHK Spring Co., Ltd. ................................... 34,000 188,832 NOK Corp. .............................................. 12,000 114,355 NSK, Ltd. .............................................. 36,000 270,228 NTN Corp. .............................................. 30,000 206,677 Nagase & Co., Ltd. ..................................... 25,000 242,792 Naigai Co., Ltd. ....................................... 12,000 76,358 Nakayama Steel Works, Ltd. ............................. 17,000 128,811
271 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ New Japan Securities Co., Ltd. ......................... 58,000 $ 395,468 New Oji Paper Co., Ltd. ................................ 2,000 21,042 Nichicon Corp. ......................................... 13,000 186,748 Nichido Fire & Marine Insurance Co., Ltd. .............. 31,000 259,980 Nichiei Construction Co., Ltd. ......................... 11,000 116,844 Nichimen Corp. ......................................... 63,000 280,425 Nifco, Inc. ............................................ 7,000 104,097 Nihon Cement Co., Ltd. ................................. 47,000 339,009 Nikko Securities Co., Ltd. ............................. 98,000 1,040,971 *Nippon Chemi-Con Corp. ................................. 22,000 131,533 Nippon Credit Bank, Ltd. ............................... 253,000 1,494,709 Nippon Flour Mills Co., Ltd. ........................... 12,000 63,126 Nippon Hodo Co., Ltd. .................................. 16,000 278,402 Nippon Oil Co., Ltd. ................................... 190,000 1,305,109 Nippon Paint Co., Ltd., Osaka .......................... 37,000 260,890 Nippon Sanso Corp. ..................................... 27,000 138,756 Nippon Sheet Glass Co., Ltd. ........................... 62,000 321,760 Nippon Shinpan Co., Ltd. Tokyo ......................... 43,000 335,822 *Nippon Steel Chemical Co., Ltd. ........................ 25,000 100,405 *Nippon Suisan Kaisha, Ltd. ............................. 49,000 229,014 Nippon Synthetic Chemical Industry Co., Ltd. ................................... 12,000 66,161 Nippon Trust & Banking Co., Ltd. ....................... 39,000 158,998 *Nippon Yakin Kogyo Co., Ltd. ........................... 29,000 162,529 *Nissan Diesel Motor Co., Ltd. .......................... 23,000 117,501 Nissan Motor Co., Ltd. ................................. 388,000 3,277,491 Nissan Shatai Co., Ltd. ................................ 24,000 148,832 Nisshin Oil Mills, Ltd. ................................ 22,000 176,267 Nisshin Steel Co., Ltd. ................................ 66,000 319,150 Nisshinbo Industries, Inc. ............................. 33,000 367,223 Nitsuko, Ltd. .......................................... 4,000 49,772 Nittetsu Mining Co., Ltd. .............................. 11,000 102,711 *Nitto Boseki Co., Ltd. ................................. 36,000 102,337 Nitto Denko Corp. ...................................... 22,000 356,095 Noritz Corp. ........................................... 9,000 171,168 OSG Manufacturing Co., Ltd. ............................ 14,000 95,599 Obayishi Corp. ......................................... 55,000 353,313 Oita Bank, Ltd. ........................................ 3,510 31,531 Okamura Corp. .......................................... 16,000 138,230 Okasan Securities Co., Ltd. ............................ 13,000 76,803 *Okuma Corp. ............................................ 21,000 196,085 Okumura Corp. .......................................... 32,000 245,706 Okura Industrial Co., Ltd. ............................. 12,000 97,845 Omron Corp. ............................................ 34,000 588,164 Onward Kashiyama Co., Ltd. ............................. 22,000 298,230 Optec Dai-Ichi Denko Co., Ltd. ......................... 13,000 77,724 *Pacific Metals Co., Ltd. ............................... 23,000 111,917 Parco Co., Ltd. ........................................ 6,000 67,375 Pioneer Electronic Corp. ............................... 26,000 578,655 Rengo Co., Ltd. ........................................ 14,000 115,711 *Renown, Inc. ........................................... 38,000 167,223 Rhythm Watch Co., Ltd. ................................. 19,000 70,541 Ricoh Co. Ltd., Tokyo .................................. 101,000 960,445 Royal Co., Ltd. ........................................ 6,000 86,191 Ryosan Co., Ltd. ....................................... 7,000 189,074 SXL Corp. .............................................. 13,000 130,460 Sakai Chemical Industry Co., Ltd. ...................... 14,000 93,475 San-In Godo Bank, Ltd. ................................. 23,000 204,987 Sanden Corp. ........................................... 24,000 158,543 Sankyo Aluminum Industry Co., Ltd. ..................... 38,000 240,263 *Sankyo Seiki Manufacturing Co., Ltd. ................... 18,000 126,555 Sanrio Co., Ltd. ....................................... 5,000 68,791
272 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Sanyo Electric Co., Ltd. ............................... 301,000 $1,766,110 Sanyo Shokai, Ltd. ..................................... 8,000 45,321 Sanyo Special Steel Co., Ltd. .......................... 34,000 155,468 Seino Transportation Co., Ltd. ......................... 24,000 454,021 Seiren Co., Ltd. ....................................... 8,000 75,347 Seiyo Food Systems, Inc. ............................... 14,000 155,792 Sekisui Chemical Co., Ltd. ............................. 80,000 784,219 Sekisui House, Ltd. .................................... 105,000 1,221,548 Sekisui Plastics Co., Ltd. ............................. 19,000 115,519 *Settsu Corp. ........................................... 46,000 188,467 Sharp Corp., Osaka ..................................... 13,000 226,201 Shiga Bank, Ltd. ....................................... 11,000 75,114 Shinmaywa Industries, Ltd. ............................. 19,000 197,977 Shinwa Bank, Ltd. ...................................... 22,000 153,343 Shionogi & Co., Ltd. ................................... 54,000 471,988 Shiseido Co., Ltd. ..................................... 62,000 752,656 *Shokusan Jutaku Sogo Co., Ltd. ......................... 21,000 81,791 Showa Sangyo Co., Ltd. ................................. 29,000 140,233 Sogo Co., Ltd. ......................................... 22,000 131,978 Sony Corp. ............................................. 57,700 3,064,492 Stanley Electric Co., Ltd. ............................. 25,000 184,623 Star Micronics Co., Ltd. ............................... 10,000 92,059 Sumitomo Bakelite Co., Ltd. ............................ 16,000 113,465 Sumitomo Corp. ......................................... 164,000 1,659,079 *Sumitomo Metal Industries, Ltd., Osaka ................. 458,000 1,496,550 Sumitomo Osaka Cement Co., Ltd. ........................ 19,000 90,723 Sumitomo Realty & Development Co., Ltd. ................ 57,000 338,483 Sumitomo Trust & Banking Co., Ltd. ..................... 85,000 1,092,059 Sun Wave Corp. ......................................... 4,000 60,293 TDK Corp. .............................................. 19,000 903,389 *TEC Corp. .............................................. 35,000 171,017 Tadano, Ltd. ........................................... 22,000 202,529 *Taiheiyo Securities Co., Ltd. .......................... 21,000 99,848 Taikisha, Ltd. ......................................... 6,000 98,331 Taisei Corp. ........................................... 157,000 952,959 Taiyo Yuden Co., Ltd. .................................. 19,000 199,899 Takeda Chemical Industries, Ltd. ....................... 135,000 1,679,818 Tamura Corp. ........................................... 18,000 134,568 Teijin, Ltd. ........................................... 142,000 795,832 Tenma Corp. ............................................ 2,000 51,391 Toa Steel Co., Ltd. .................................... 23,000 161,244 Tochigi Sogo Bank, Ltd. ................................ 11,000 113,505 Toda Corp. ............................................. 45,000 403,338 Toenec Corp. ........................................... 14,000 150,127 Toho Bank, Ltd. ........................................ 35,000 256,702 Tokai Carbon Co., Ltd. ................................. 27,000 114,719 Tokai Rika Co., Ltd. ................................... 17,000 192,615 Tokico, Ltd. ........................................... 19,000 97,451 Tokio Marine & Fire Insurance Co., Ltd. ................ 29,000 334,446 Toko, Inc. ............................................. 8,000 58,918 Tokuyama Corp. ......................................... 37,000 219,342 Tokyo Broadcasting System, Inc. ........................ 25,000 422,357 Tokyo Securities Co., Ltd. ............................. 23,000 128,670 Tokyo Sowa Bank, Ltd. .................................. 27,000 137,117 Tokyo Style Co., Ltd. .................................. 16,000 275,164 Tokyo Tatemono Co., Ltd. ............................... 31,000 180,324 Tokyo Tekko Co., Ltd. .................................. 9,000 93,779 *Tokyu Car Corp. ........................................ 14,000 83,561 Tokyu Construction Co., Ltd. ........................... 34,000 174,041 Tokyu Department Store Co., Ltd. ....................... 39,000 240,668
273 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Tokyu Land Corp. ....................................... 14,000 $ 65,716 Tokyu Store Chain Corp. ................................ 11,000 87,800 Tonami Transportation Co., Ltd. ........................ 16,000 123,986 Toshiba Engineering & Construction Co., Ltd. ........... 11,000 111,057 Toshiba Machine Co., Ltd. .............................. 27,000 195,296 Toyo Engineering Corp. ................................. 25,000 187,152 Toyo Ink Manufacturing Co., Ltd. ....................... 42,000 272,777 Toyo Seikan Kaisha, Ltd ................................ 31,000 1,047,446 *Toyo Tire & Rubber Co., Ltd. ........................... 33,000 148,558 Toyo Trust & Banking Co., Ltd. ......................... 113,000 1,143,146 Toyoda Machine Works, Ltd. ............................. 20,000 163,075 Toyota Auto Body Co., Ltd. ............................. 14,000 134,547 Toyota Motor Corp. ..................................... 510,000 10,886,191 Toyota Tsusho Corp. .................................... 34,000 239,737 Tsubakimoto Chain Co., Ltd. ............................ 30,000 165,402 UNY Co., Ltd. .......................................... 26,000 397,167 *Victor Co. of Japan, Ltd. .............................. 39,000 532,625 Wacoal Corp. ........................................... 21,000 235,812 Yakult Honsha Co., Ltd. ................................ 24,000 371,472 Yamagata Bank, Ltd. .................................... 27,000 152,140 Yamaguchi Bank, Ltd. ................................... 27,000 439,757 Yamaha Corp. ........................................... 27,000 338,695 Yamaichi Securities Co., Ltd. .......................... 176,000 1,292,625 Yamamura Glass Co., Ltd. ............................... 7,000 55,660 Yamatake Honeywell Co., Ltd. ........................... 11,000 164,694 Yamato Kogyo Co., Ltd. ................................. 16,000 160,405 Yasuda Trust & Banking Co., Ltd. ....................... 161,000 1,302,984 Yodogawa Steel Works, Ltd. ............................. 32,000 252,504 Yokogawa Bridge Corp. .................................. 10,000 137,582 Yokogawa Electric Corp. ................................ 36,000 367,830 Yokohama Reito Co., Ltd. ............................... 6,000 78,907 Zexel Corp. ............................................ 16,000 108,933 ------------------ TOTAL COMMON STOCKS (Cost $127,862,384) ..................................... 128,762,490 ------------------ RIGHTS/WARRANTS -- (0.0%) *Shinwa Bank, Ltd. Rights 01/18/95 (Cost $0) ............ 3,300 11,150 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *Japanese Yen (Cost $9,511) ............................. 9,476 ------------------ TOTAL -- JAPAN (Cost $127,871,895) ..................................... 128,783,116 ------------------ UNITED KINGDOM -- (21.1%) COMMON STOCKS -- (20.8%) ASDA Group P.L.C. ...................................... 829,600 847,968 Abbey National P.L.C. .................................. 369,200 2,423,294 Anglian Water P.L.C. ................................... 84,000 646,087 Argyll Group P.L.C. .................................... 317,200 1,267,079 Arjo Wiggins Appleton P.L.C. ........................... 118,700 486,242 Associated British Foods P.L.C. ........................ 107,100 922,747 Associated British Ports Holdings P.L.C. ............... 112,900 496,970 Attwoods P.L.C. ........................................ 88,400 162,020 Bank of Scotland (Governor & Company of the) ........... 92,100 297,927 Barclays P.L.C. ........................................ 467,904 4,449,138 Bass P.L.C. ............................................ 245,300 2,036,591 Blenheim Group P.L.C. .................................. 26,200 103,837 Britannic Assurance P.L.C. ............................. 10,800 69,026 British Aerospace P.L.C. ............................... 47,000 329,106 British Gas P.L.C. ..................................... 657,700 3,173,284 British Land Co. P.L.C. ................................ 87,200 498,586
274 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ British Petroleum Co. P.L.C. ........................... 868,904 $5,771,226 British Steel P.L.C. ................................... 567,200 1,399,417 British Vita P.L.C. .................................... 21,500 75,443 Brixton Estate P.L.C. .................................. 64,600 181,141 Burton Group P.L.C. .................................... 370,700 406,491 *Camas P.L.C. ........................................... 37,100 45,041 Charter P.L.C. ......................................... 23,600 279,119 Commercial Union P.L.C. ................................ 189,875 1,591,300 Courtaulds Textiles P.L.C. ............................. 10,200 71,583 English China Clays P.L.C. ............................. 88,700 476,593 First Leisure Corp. P.L.C. ............................. 16,900 68,832 Fisons P.L.C. .......................................... 92,200 176,206 Forte P.L.C. ........................................... 243,412 896,066 General Accident P.L.C. ................................ 126,100 1,052,865 Great Portland Estates P.L.C. .......................... 96,275 259,401 Great Universal Stores P.L.C. .......................... 283,000 2,473,723 Greenalls Group P.L.C. ................................. 62,400 408,593 Guardian Royal Exchange P.L.C. ......................... 247,100 704,489 Hambros P.L.C. ......................................... 8,500 30,359 Hammerson P.L.C. ....................................... 26,012 132,430 Hillsdown Holdings P.L.C. .............................. 97,100 250,977 ICI (Imperial Chemical Industries P.L.C.) .............. 207,800 2,467,432 Invesco P.L.C. ......................................... 25,700 70,856 Kleinwort Benson Group P.L.C. .......................... 35,000 257,689 Ladbroke Group P.L.C. .................................. 321,171 804,983 Laird Group P.L.C. ..................................... 12,600 67,701 *Lasmo P.L.C. ........................................... 275,535 632,331 Lex Service P.L.C. ..................................... 26,900 139,058 Lonrho P.L.C. .......................................... 226,533 557,136 Lucas Industries P.L.C. ................................ 105,233 336,289 MFI Furniture Group P.L.C. ............................. 175,300 376,212 Manweb P.L.C. .......................................... 34,900 431,900 Marley P.L.C. .......................................... 14,258 31,269 Mersey Docks & Harbour Co. P.L.C. ...................... 26,590 169,945 National Westminster Bank P.L.C. ....................... 498,736 4,062,604 North West Water Group P.L.C. .......................... 108,762 923,436 Northumbrian Water Group P.L.C. ........................ 20,507 222,300 Ocean Group P.L.C. ..................................... 43,600 185,091 Peel Holdings P.L.C. ................................... 32,500 117,096 Pilkington P.L.C. ...................................... 227,824 597,785 Racal Electronics P.L.C. ............................... 86,100 308,865 Rolls-Royce P.L.C. ..................................... 77,682 216,606 Royal Bank of Scotland Group P.L.C. .................... 64,756 425,035 Royal Insurance Holdings P.L.C. ........................ 87,500 402,982 Scottish & Newcastle P.L.C. ............................ 31,700 256,732 Sears P.L.C. ........................................... 426,000 717,379 Seeboard P.L.C. ........................................ 76,500 508,110 Severn Trent P.L.C. .................................... 102,227 855,140 Shell Transport & Trading Co. P.L.C. ................... 889,400 9,926,871 Slough Estates P.L.C. .................................. 113,800 393,972 South West Water P.L.C. ................................ 38,735 297,931 South Western Electricity P.L.C. ....................... 32,400 394,363 Southern Water P.L.C. .................................. 50,494 438,999 Stakis P.L.C. .......................................... 133,000 181,260 Sun Alliance Group P.L.C. .............................. 232,240 1,171,449 TSB Group P.L.C. ....................................... 116,400 418,472 Tarmac P.L.C. .......................................... 263,250 498,981 Tate & Lyle P.L.C. ..................................... 54,100 355,940 Taylor Woodrow P.L.C. .................................. 110,865 203,194 Telegraph P.L.C. ....................................... 7,700 42,217 Tesco P.L.C. ........................................... 577,300 2,206,591
275 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Thames Water P.L.C. .................................... 110,685 $ 847,868 *Tiphook P.L.C. ......................................... 5,500 3,532 Trafalgar House P.L.C. ................................. 73,440 92,035 Transport Development Group P.L.C. ..................... 49,200 161,851 Unigate P.L.C. ......................................... 69,500 370,164 United Biscuits Holdings P.L.C. ........................ 149,467 742,224 VSEL P.L.C. ............................................ 11,610 280,626 Vaux Group P.L.C. ...................................... 44,000 163,355 Vickers P.L.C. ......................................... 16,000 46,118 WPP Group P.L.C. ....................................... 206,900 367,864 Welsh Water P.L.C. ..................................... 43,500 429,981 Wessex Water P.L.C. .................................... 84,996 382,130 Whitbread P.L.C. ....................................... 25,600 220,964 Wimpey (George) P.L.C. ................................. 116,550 241,000 Wolverhampton & Dudley Breweries P.L.C. ................ 22,800 189,296 Yorkshire Water P.L.C. ................................. 59,691 475,010 ------------------ TOTAL COMMON STOCKS (Cost $69,104,086) ...................................... 72,647,417 ------------------ INVESTMENT IN CURRENCY -- (0.3%) *British Pound Sterling (Cost $1,263,410) ............... 1,266,879 ------------------ RIGHTS/WARRANTS -- (0.0%) *British Aerospace P.L.C. Rights 12/13/94 ............... 15,666 4,908 *Laird Group P.L.C. Rights 12/13/94 ..................... 2,520 1,737 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ............................................... 6,645 ------------------ TOTAL -- UNITED KINGDOM (Cost $70,367,496) ...................................... 73,920,941 ------------------ FRANCE -- (8.8%) COMMON STOCKS -- (8.4%) Accor SA ............................................... 2,700 294,728 Agache (Societe Financiere) ............................ 800 193,398 Alcatel Alsthom Cie Generale d'Electricite SA .......... 29,500 2,496,048 Au Bon Marche SA ....................................... 2,500 418,875 Axa SA ................................................. 32,400 1,596,050 *CERUS (Compagnies Europeenes Reunis SA) ................ 4,100 76,244 *Cap Gemini Sogeti SA ................................... 5,850 201,038 Carnaudmetalbox SA ..................................... 17,100 594,008 Chargeurs SA ........................................... 1,500 357,043 Ciments Francais ....................................... 335 10,354 Ciments Francais Series B .............................. 4,600 215,565 Ciments Vicat .......................................... 800 77,359 *Club Mediterranee SA ................................... 2,000 167,364 Credit Commercial de France ............................ 12,877 561,535 Credit National ........................................ 2,500 186,518 Dassault Aviation SA ................................... 2,500 201,302 Dior (Christian) SA .................................... 8,800 706,946 ECIA (Equipements et Composants pour l'Industrie Automobile) .......................................... 1,100 153,008 Elf Aquitaine SA ....................................... 53,091 3,633,192 Eridania Beghin-Say SA ................................. 5,400 749,121 Financiere de Paribas SA Series A ...................... 22,859 1,626,379 Generale d'Industrie et de Participation ............... 1,200 286,750 Hutchinson SA .......................................... 22 6,141
276 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Imetal ................................................. 1,219 $ 116,969 Labinal SA ............................................. 1,000 131,288 Navigation Mixte SA .................................... 3,086 562,969 Pechiney International SA .............................. 16,950 510,628 *Peugeot SA ............................................. 9,850 1,456,206 Poliet SA .............................................. 5,222 379,693 Rhone-Poullenc SA Series A ............................. 26,800 669,813 Saint Louis (SLB) ...................................... 1,400 384,007 Saint-Gobain ........................................... 8,650 1,040,735 Schneider SA ........................................... 11,880 860,485 Scor SA ................................................ 4,624 101,810 Societe Generale Paris ................................. 16,301 1,852,145 Sommer-Allibert SA ..................................... 300 100,920 Sophia SA .............................................. 400 30,788 Sovac SA ............................................... 2,500 206,416 Suez SA ................................................ 30,600 1,505,105 *Thomson CSF ............................................ 24,100 743,952 Total SA Series B ...................................... 45,150 2,827,805 UAP (Compagnie UAP SA) ................................. 29,200 825,365 Worms et Compagnie SA .................................. 2,900 133,742 ------------------ TOTAL COMMON STOCKS (Cost $29,658,235) ...................................... 29,249,807 ------------------ INVESTMENT IN CURRENCY -- (0.4%) *French Francs (Cost $1,526,183) ........................ 1,504,853 ------------------ RIGHTS/WARRANTS -- (0.0%) *Sophia SA Warrants 03/31/99 (Cost $0) .................. 400 442 ------------------ TOTAL -- FRANCE (Cost $31,184,418) ...................................... 30,755,102 ------------------ GERMANY -- (8.4%) COMMON STOCKS -- (8.4%) AGIV AG fuer Industrie & Verkehrswesen ................. 750 237,799 AMB (Aachener und Muenchener Beteiligungs AG) .......... 420 278,124 BASF AG ................................................ 10,850 2,105,627 BHF Bank (Berliner Handels und Frankfurter Bank) ....... 1,500 364,593 BMW (Bayerische Motorenwerke AG), Muenchen ............. 2,086 1,004,740 Badenwerk AG ........................................... 950 300,909 Bankgesellschaft Berlin AG ............................. 2,600 605,423 Bayer AG ............................................... 12,650 2,774,526 Bayerische Hypotheken und Wechselbank AG ....................................... 4,200 1,098,565 *Bayerische Hypotheken und Wechselbank AG Em 94 ................................. 70 17,818 Bayerische Vereinsbank AG .............................. 3,837 1,119,890 Berliner Kraft & Licht Bewag AG Series A ............... 1,550 291,707 *Bremer Vulkan Verbund AG ............................... 2,750 174,035 Colonia Konzern AG ..................................... 200 162,041 Commerzbank AG ......................................... 4,125 852,105 DEPFA (Deutsche Pfandbrief und Hypothekenbank AG) ...... 550 257,895 Deutsche Hypothekenbank Frankfurt AG ................... 300 156,938 *Deutsche Lufthansa AG .................................. 6,500 823,126 Dresdner Bank AG, Frankfurt ............................ 8,150 2,126,539 Hamburgische Electricitaetswerke AG, Hamburg ........... 950 133,333 Hoechst AG ............................................. 10,700 2,146,826
277 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Karstadt AG ............................................ 1,550 $ 548,804 Man AG, Muenchen ....................................... 2,450 659,585 Mannesmann AG .......................................... 2,756 720,868 *Metallgesellschaft AG, Frankfurt ....................... 2,600 207,337 *PWA (Papierwerke Waldhof- Aschaffenburg AG) ............ 300 45,742 Preussag AG ............................................ 2,900 801,084 Ruetgerswerke AG ....................................... 467 87,293 Siemens AG ............................................. 10,250 3,992,105 Thuega AG .............................................. 557 179,448 *Thyssen AG ............................................. 2,450 436,858 *Thyssen Industrie AG, Essen ............................ 500 52,313 Veba AG ................................................ 9,050 2,973,365 Vereins & Westbank AG .................................. 457 95,919 Volkswagen AG .......................................... 5,350 1,459,091 ------------------ TOTAL COMMON STOCKS (Cost $27,480,334) .................... 29,292,371 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *German Marks (Cost $155) ............................... 162 ------------------ TOTAL -- GERMANY (Cost $27,480,489) ...................................... 29,292,533 ------------------ SWITZERLAND -- (5.7%) COMMON STOCKS -- (5.7%) BBC Brown Boveri AG, Baden ............................. 1,680 1,411,200 Baloise Holding, Basel ................................. 495 935,830 Banque Cantonale Vaudoise .............................. 500 254,717 Bobst SA, Prilly ....................................... 255 298,302 Ciba-Geigy SA, Basel ................................... 13,150 7,651,811 *Fischer (Georg) AG, Schaffhausen ....................... 275 315,472 Forbo Holding AG, Eglisau .............................. 70 124,679 Intershop Holding AG, Zuerich .......................... 850 344,491 Landis & Gyr AG, Zug ................................... 400 220,377 *Oerlikon-Buehrle Holding AG, Zuerich ................... 5,000 490,566 Pargesa Holding SA, Geneve ............................. 300 332,830 *Pirelli SA, Basel ...................................... 300 39,623 Rieter Holding AG, Winterthur .......................... 225 283,585 SBSI Holding SA, Lugano ................................ 125 141,981 SBV (Schweizerische Bankverein) ........................ 16,700 4,600,377 SIG (Schweizerische Industrie Gesellschaft Holding AG), Neuhausen am Rheinfall ............................... 130 243,321 *Sandoz AG, Basel ....................................... 1,400 750,189 *Saurer AG, Arbon ....................................... 400 134,340 Schindler Holding AG, Hergiswell ....................... 10 56,981 Sulzer AG, Winterthur .................................. 1,175 802,547 Sulzer AG, Winterthur (Participating) .................. 175 117,943 *Swissair Schweizerische Luftverkehr AG, Zuerich ........ 900 553,585 ------------------ TOTAL COMMON STOCKS (Cost $21,026,824) ...................................... 20,104,747 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *Swiss Francs (Cost $212) ............................... 216 ------------------ RIGHTS/WARRANTS -- (0.0%) *Baloise Holding, Basel Warrants 08/30/95 345 4,491 *Forbo Holding AG Warrants 11/01/95 ..................... 140 370 ------------------
278 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ TOTAL RIGHTS/WARRANTS (Cost $1,001) ........................................... $ 4,861 ------------------ TOTAL -- SWITZERLAND (Cost $21,028,037) ...................................... 20,109,824 ------------------ NETHERLANDS -- (4.3%) COMMON STOCKS -- (4.3%) ABN AMRO Holding NV .................................... 24,953 864,222 Akzo Nobel NV .......................................... 2,900 322,131 DSM NV ................................................. 21,500 1,604,386 Fortis Amev NV ......................................... 42,358 1,766,224 Hollandsche Beton Groep NV ............................. 1,750 266,662 Internationale Nederlanden Groep NV .................... 166,502 7,834,272 *KLM (Koninklijke Luchtvaart Mij NV) .................... 18,200 447,872 *Nedlloyd Groep NV, Rotterdam ........................... 12,200 368,328 Oce van der Grinten NV, Venlo .......................... 8,800 385,486 Philips Electronics NV ................................. 22,900 693,979 Stad Rotterdam ......................................... 17,600 376,964 ------------------ TOTAL COMMON STOCKS (Cost $13,974,058) ...................................... 14,930,526 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *Netherlands Guilder (Cost $23,823) ..................... 23,648 ------------------ RIGHTS/WARRANTS -- (0.0%) *Stad Rotterdam Rights 01/30/95 (Cost $0) ............... 15,600 0 ------------------ TOTAL -- NETHERLANDS (Cost $13,997,881) ...................................... 14,954,174 ------------------ HONG KONG -- (4.1%) COMMON STOCKS -- (4.1%) Allied Properties (Hong Kong), Ltd. .................... 1,226,000 187,127 Amoy Properties, Ltd. .................................. 1,356,000 1,350,563 CDL Hotels International, Ltd. ......................... 875,710 370,968 Century City International Holdings, Ltd. .............. 911,600 218,143 Great Eagle Holdings, Ltd. ............................. 1,200,000 539,387 HKR International, Ltd. ................................ 491,200 419,340 Hang Lung Development Co., Ltd. ........................ 739,000 1,127,953 Hongkong & Shanghai Hotels, Ltd. ....................... 647,000 707,172 Lai Sun Development Co., Ltd. .......................... 1,380,000 210,633 Lai Sun Garment (International), Ltd. .................. 114,000 159,255 New World Development Co., Ltd. ........................ 912,739 2,567,853 *Orient Telecom & Technology Holdings, Ltd. ............. 1,178,000 396,171 Paliburg International Holdings, Ltd. .................. 712,500 336,389 Realty Development Corp., Ltd. Class A ................. 98,000 329,582 Regal Hotels International Holdings, Ltd. .............. 1,518,000 323,981 Semi-Tech (Global) Co., Ltd. ........................... 208,000 345,725 Sino Land Co., Ltd. .................................... 1,289,200 1,117,273 Stelux Holdings, Ltd. .................................. 474,552 174,941 Wharf Holdings, Ltd. ................................... 986,000 3,430,785 ------------------ TOTAL COMMON STOCKS (Cost $17,480,266) ...................................... 14,313,241 ------------------
279 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ INVESTMENT IN CURRENCY -- (0.0%) *Hong Kong Dollars (Cost $1,109) ........................ $ 1,110 ------------------ RIGHTS/WARRANTS -- (0.0%) *Century City International Holdings, Ltd. Warrants 12/31/95 ............................................. 71,760 2,320 *Century City International Holdings, Ltd. Warrants 12/31/96 ............................................. 35,880 910 *Hang Lung Development Co., Ltd. Warrants 10/31/97 ...... 73,900 0 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ............................................... 3,230 ------------------ TOTAL -- HONG KONG (Cost $17,481,375) ...................................... 14,317,581 ------------------ AUSTRALIA -- (3.6%) COMMON STOCKS -- (3.4%) Australia and New Zealand Banking Group, Ltd. .......... 291,240 887,592 Australian Gas Light Co. ............................... 59,093 190,554 Boral, Ltd. ............................................ 252,700 651,504 Brambles Industries, Ltd. .............................. 20,400 195,935 Burns Philp & Co., Ltd. ................................ 93,165 225,138 CSR, Ltd. .............................................. 213,141 729,952 Commonwealth Bank of Australia ......................... 101,631 575,667 Fosters Brewing Group, Ltd. ............................ 753,600 637,971 Goodman Fielder, Ltd. .................................. 252,107 221,186 Hardie (James) Industries, Ltd. ........................ 102,459 152,186 MIM Holdings, Ltd. ..................................... 365,374 683,299 National Australia Bank, Ltd ........................... 294,499 2,388,865 News Corp., Ltd. ....................................... 429,435 1,725,183 North, Ltd. ............................................ 48,639 126,897 *Pasminco, Ltd. ......................................... 75,500 109,237 Pioneer International, Ltd. ............................ 190,000 462,070 QCT Resources, Ltd. .................................... 115,952 115,116 *Renison Goldfields Consolidated, Ltd. .................. 36,700 137,550 Santos, Ltd. ........................................... 108,857 300,758 Southcorp Holdings, Ltd. ............................... 117,608 250,717 Westpac Banking Corp. .................................. 387,310 1,251,916 ------------------ TOTAL COMMON STOCKS (Cost $12,131,848) ...................................... 12,019,293 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *Australian Dollar (Cost $7,179) ........................ 7,344 ------------------ PREFERRED STOCK -- (0.2%) *News Corp., Ltd. ....................................... 191,868 667,434 Publishing and Broadcasting, Ltd. 11/29/96 ............. 32,900 94,697 ------------------ TOTAL PREFERRED STOCK (Cost $882,346) ......................................... 762,131 ------------------ TOTAL -- AUSTRALIA (Cost $13,021,373) ...................................... 12,788,768 ------------------ SWEDEN -- (2.1%) COMMON STOCKS -- (2.1%) *Avesta Sheffield AB Series B ........................... 51,500 523,034 Electrolux AB Series B ................................. 8,900 454,895 *MODO (Mo Och Domsjoe AB) Series B ...................... 8,800 413,568 SSAB Swedish Steel Series A ............................ 10,400 459,077 *Skandinaviska Enskilda Banken Series A ................. 172,800 1,048,385
280 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ Stora Kopparbergs Bergslags AB Series A ................ 17,500 $1,084,965 Svenska Cellulosa AB Series B .......................... 67,300 1,072,154 Svenska Handelsbanken Series A ......................... 77,400 1,063,511 *Trelleborg AB Series B ................................. 14,400 210,289 Trygg Hansa AB Series B ................................ 17,100 174,803 Volvo AB Series B ...................................... 50,000 962,496 ------------------ TOTAL COMMON STOCKS (Cost $7,144,289) ....................................... 7,467,177 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *Swedish Krona (Cost $10) ............................... 10 ------------------ TOTAL - SWEDEN (Cost $7,144,299) ....................................... 7,467,187 ------------------ BELGIUM -- (1.5%) COMMON STOCKS -- (1.5%) Banque Bruxelles Lambert ............................... 4,500 605,943 *Banque Bruxelles Lambert (Precompte Reduit) ............ 128 16,839 *CMB (Cie Martime Belge) ................................ 2,300 185,467 COBEPA SA (Cie Belge de Participation Parabas) ......... 4,000 132,735 Electrafina SA ......................................... 6,600 579,198 *Electrafina SA (Precompte Reduit) ...................... 387 33,543 Generale de Belgique SA ................................ 17,280 1,150,039 Gevaert Photo-Producten NV ............................. 1,100 317,350 Glaverbel SA ........................................... 900 118,403 Groupe Bruxelles Lambert SA, Bruxelles ................. 800 95,341 Kredietbank NV ......................................... 1,000 202,755 Powerfin SA ............................................ 5,700 503,746 Sofina SA .............................................. 500 203,142 Solvay SA .............................................. 2,000 930,196 ------------------ TOTAL COMMON STOCKS (Cost $4,909,961) ....................................... 5,074,697 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *Belgian Francs (Cost $44,388) .......................... 42,675 ------------------ TOTAL -- BELGIUM (Cost $4,954,349) ....................................... 5,117,372 ------------------ SINGAPORE -- (1.4%) COMMON STOCKS -- (1.4%) Hotel Properties, Ltd. ................................. 192,000 346,348 Marco Polo Developments, Ltd. .......................... 218,000 318,770 Neptune Orient Lines, Ltd. ............................. 352,000 471,418 Shangri-la Hotel, Ltd. ................................. 73,000 286,812 Singapore Land, Ltd. ................................... 180,000 1,026,990 Straits Steamship Land, Ltd. ........................... 266,000 886,970 Straits Trading Co., Ltd. .............................. 149,000 366,519 United Industrial Corp., Ltd. .......................... 815,000 740,656 United Overseas Land, Ltd. ............................. 253,000 449,470 ------------------ TOTAL COMMON STOCKS (Cost $4,430,593) ....................................... 4,893,953 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *Singapore Dollars (Cost $6,392) ........................ 6,452 ------------------ TOTAL -- SINGAPORE (Cost $4,436,985) .................................... 4,900,405 ------------------
281 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value+ ------------------ ------------------ ITALY -- (0.5%) COMMON STOCKS -- (0.5%) Banca Toscana .......................................... 16,000 $ 29,856 *FERFIN (Ferruzzi Finanziaria SpA) ...................... 435 351 *Fiat SpA ............................................... 163,000 608,823 Fidis SpA .............................................. 19,500 45,921 *Gaic SpA ............................................... 61,000 27,560 Italcementi Fabbriche Riunite Cemento SpA, Bergamo ..... 12,000 76,348 Italmobiliare SpA, Milano .............................. 1,330 27,699 *Olivetti & C SpA, Ivrea ................................ 56,000 66,892 *Pirelli SpA ............................................ 74,000 99,155 Stet SpA (Financiaria Telefonica Torino) ............... 59,000 171,441 Telecom Italia SpA ..................................... 183,500 475,856 Unipol SpA ............................................. 7,000 48,327 ------------------ TOTAL COMMON STOCKS (Cost $1,236,729) ....................................... 1,678,229 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *Italian Lira (Cost $116) ................................. 110 ------------------ TOTAL -- ITALY (Cost $1,236,845) ....................................... 1,678,339 ------------------ SPAIN -- (0.4%) COMMON STOCKS -- (0.4%) *BANESTO (Banco Espanol de Credito SA) .................. 7,733 56,176 *BANESTO (Banco Espanol de Credito SA) Em 94 ............ 3,866 27,111 DRACONSA (Dragados y Construcciones SA) ................ 5,400 80,557 FECSA (Fuerzas Electricas de Cataluna SA) Series A ..... 17,100 95,254 Iberdrola SA ........................................... 155,700 1,038,396 Sevillana de Electricidad .............................. 24,100 117,879 Union Electrica Fenosa SA .............................. 23,700 101,274 ------------------ TOTAL COMMON STOCKS (Cost $1,516,349) ....................................... 1,516,647 ------------------ INVESTMENT IN CURRENCY -- (0.0%) *Spanish Peseta (Cost $6,518) ........................... 6,229 ------------------ TOTAL -- SPAIN (Cost $1,522,867) ....................................... 1,522,876 ------------------
Face Amount Value+ ------------------ ------------------ TEMPORARY CASH INVESTMENTS -- (1.3%) Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost $4,442,000)............................ $4,442 4,442,000 ------------------ TOTAL INVESTMENTS -- (100.0%) (Cost $346,170,309) ..................................... $350,050,218 ==================
- ------ + See Note B to Financial Statements. * Non-Income Producing Securities See accompanying Notes to Financial Statements 282 SCHEDULE OF INVESTMENTS THE EMERGING MARKETS SERIES NOVEMBER 30, 1994
Shares Value+ ------------------ ------------------ MALAYSIA - (18.0%) COMMON STOCKS - (14.3%) *AMMB Holdings Berhad ................................... 3,000 $ 29,348 *AMMB Holdings Berhad 7.5% Unsecured Loan Stock 1999 .... 2,000 783 Amalgamated Steel Mills Berhad ......................... 15,000 25,005 Aokam Perdana Berhad ................................... 2,000 14,792 Aokam Perdana Berhad 'A' ............................... 2,000 13,774 Asiatic Development Berhad ............................. 17,000 19,890 Berjaya Leisure Berhad ................................. 10,000 11,113 Commerce Asset Holding Berhad .......................... 4,000 15,653 Development and Commercial Bank Berhad ................. 14,000 16,983 Edaran Otomobil Nasional Berhad ........................ 4,000 28,801 Ekran Berhad ........................................... 2,000 6,965 *Ekran Berhad 'A' ....................................... 2,000 6,457 Genting Berhad ......................................... 16,000 127,098 Golden Hope Plantations Berhad ......................... 23,000 42,661 Guinness Anchor Berhad ................................. 9,000 15,144 Highlands and Lowlands Berhad .......................... 10,000 18,626 Hong Leong Credit Berhad ............................... 8,000 41,010 Hong Leong Industries Berhad ........................... 2,000 10,800 Hume Industries (Malaysia) Berhad ...................... 6,000 26,061 Kamunting Corp. Berhad ................................. 11,000 9,814 Kedah Cement Holdings Berhad ........................... 7,000 10,025 Kuala Lumpur Kepong Berhad ............................. 11,000 28,840 Leader Universal Holdings Berhad ....................... 6,000 33,809 Lion Land Berhad ....................................... 1,000 1,205 Magnum Corp. Berhad .................................... 23,000 45,901 Malayan Banking Berhad ................................. 27,000 175,386 Malayan Cement Berhad .................................. 6,000 10,331 Malayan United Industries Berhad ....................... 9,000 13,735 *Malaysia Mining Corp. Berhad ........................... 6,000 11,082 Malaysian Airlines System .............................. 16,000 43,827 Malaysian International Shipping Corp. (Foreign) ....... 23,666 70,847 Nestle (Malaysia) Berhad ............................... 4,000 26,453 New Straits Times Press (M) Berhad ..................... 3,000 11,035 Oriental Holdings Berhad ............................... 2,000 11,035 Perusahaan Otomobil Nasional Berhad .................... 12,000 42,262 Public Bank Berhad (Foreign) ........................... 8,000 16,905 Resorts World Berhad ................................... 26,000 147,525 Rothmans of Pall Mall Malaysia Berhad .................. 7,000 46,019 Shell Refining Co. Federation of Malaysia Berhad ....... 5,000 15,848 Sime Darby Berhad (Malaysia) ........................... 41,500 112,864 Sime UEP Properties Berhad ............................. 9,000 20,427 Tan Chong Motor Holdings Berhad ........................ 12,000 14,087 Telekom Malaysia Berhad ................................ 46,000 338,408 Tenaga Nasional Berhad ................................. 71,000 305,615 Tractors Malaysia Berhad ............................... 8,000 11,270 UMW Holdings Berhad .................................... 6,000 15,261 United Engineers (Malaysia) Berhad ..................... 13,000 68,675 ------------------ TOTAL COMMON STOCKS (Cost $2,196,547) ..................... 2,129,455 ------------------
283 THE EMERGING MARKETS SERIES CONTINUED
Shares Value+ ------------------ ------------------ INVESTMENT IN CURRENCY - (3.7%) *Malaysian Ringetts (Cost $550,226) ..................... $ 549,473 ------------------ RIGHTS/WARRANTS - (0.0%) .................................. Development & Commercial Bank Berhad Rights (Cost $0) .. 14,000 0 ------------------ TOTAL - MALAYSIA (Cost $2,746,773) ........................ 2,678,928 ------------------ PORTUGAL - (15.1%) COMMON STOCKS - (15.1%) BCP (Banco Comercial Portugues SA) ..................... 26,400 352,933 *BIC (Banco Internacional de Credito) ................... 2,700 36,988 BPI (Banco Portugues de Investimentos SA) .................................... 10,600 166,241 Banco Potugues do Atlantico SA ......................... 21,920 288,529 Banco Totta & Acores SA ................................ 3,900 79,679 *Corticeira Amorim Sociedad Gestora Participacoes Sociais SA ................................................... 4,100 72,127 EFACEC (Empresa Fabril de Maquinas Electricas) ......... 2,000 28,821 *EFACEC (Empresa Fabril de Maquinas Electricas) Em 94 ... 200 2,820 *Filmes Lusomundo SA .................................... 300 4,155 Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) .. 3,300 153,965 *Jeronimo Martins (Estabelecumentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) Em 94 ................................................... 500 22,470 *Lusotur Sociedad Financeira de Turismo SA .............. 1,500 30,880 Mague-Gestao e Participacoes SA ........................ 1,300 28,080 Modelo Continente SGPS SA .............................. 2,700 246,756 Modelo Sociedade Gestora de Participacoes Sociais SGPS SA ................................................... 4,100 123,026 Mota e Companhia SA .................................... 1,700 32,229 Radio Marconi SA (Cia Portuguesa) ...................... 3,600 124,619 Salvador Caetano Industrias Metalurgicas e Veiculos de Transporte SA ........................................ 1,800 40,396 *Sociedad Construcoes Soares da Costa SA ................ 1,100 18,322 Sociedad Construcoes Soares da Costa SA Em 94 .......... 110 1,812 Sonae Investimentos Sociedade Gestora de Participacoes Sociais SA ........................................... 11,600 277,155 Uniceruniao Cervejeira SA .............................. 5,700 86,051 *Uniceruniao Cervejeira SA Em 94 ........................ 1,300 18,328 ------------------ TOTAL COMMON STOCKS (Cost $2,298,813) ..................... 2,236,382 ------------------
284 THE EMERGING MARKETS SERIES CONTINUED
Shares Value+ ------------------ ------------------ INVESTMENT IN CURRENCY - (0.0%) *Portuguese Escudos (Cost $1,376) ....................... $ 1,373 ------------------ RIGHTS/WARRANTS - (0.0%) *Sociedad Construcoes Soares da Costa SA Rights 12/12/94 (Cost $0) ............................................ 1,100 3,664 ------------------ TOTAL - PORTUGAL (Cost $2,300,189) ........................ 2,241,419 ------------------ MEXICO - (13.6%) COMMON STOCKS - (13.6%) Apasco S.A. Series A ................................... 4,000 37,965 CEMEX (Cementos de Mexico S.A. de C.V.) Series B ....... 13,000 124,709 COMERCI (Controladora Comercial Mexicana S.A. de C.V.) Series B ............................................. 15,000 26,250 Cifra S.A. de C.V. Series C ............................ 40,000 108,605 El Puerto de Liverpool S.A. Series C-1 ................. 10,000 14,826 Empresas ICA Sociedad Controladora S.A. de C.V. ........ 3,000 93,837 Empresas la Moderna S.A. de C.V. Series A .............. 13,000 92,398 FEMSA (Fomento Economico Mexicano S.A. de C.V.) Series B 18,000 76,395 *Grupo Carso S.A. de C.V. Series A-1 .................... 26,000 292,500 Grupo Financiero GBM Atlantico S.A. de C.V. Series C ... 5,000 23,983 Grupo Financiero Invermexico S.A. de C.V. Series B ..... 5,000 6,250 *Grupo Financiero Invermexico S.A. de C.V. Series L ..... 500 625 Grupo Financiero Serfin S.A. de C.V. Series B .......... 5,000 18,169 *Grupo Gigante S.A. Series B ............................ 30,000 15,698 Grupo Industrial Alfa S.A. Series A .................... 4,000 64,070 Grupo Industrial Bimbo S.A. de C.V. Series A ........... 10,000 77,035 Grupo Televisa SA (Certificate Representing Series A, Series D, + Series L) ................................ 7,000 158,924 Kimberly Clark de Mexico S.A. de C.V. Series A ......... 3,000 58,430 Telefonos de Mexico S.A. Series L ...................... 230,000 620,465 Tolmex S.A. de C.V. Series B-2 ......................... 4,000 58,256 Vitro S.A. ............................................. 8,000 56,744 ------------------ TOTAL - MEXICO (Cost $2,032,150) .......................... 2,026,134 ------------------ TURKEY - (13.3%) COMMON STOCKS - (13.3%) Akbank ................................................. 827,000 260,490 Akcimento .............................................. 11,000 17,475 Aksa ................................................... 84,800 65,034 Alarko Holding ......................................... 29,500 25,048 Arcelik A.S. ........................................... 516,840 152,178 *Aygaz .................................................. 69,000 16,064 Bekoteknik Sanayi A.S. ................................. 50,000 10,134 Brisa Bridgestone Sanbanci Lastik San & Tic A.S. ....... 120,000 25,308 *CIMSA A.S. (Cimento Sanayi ve Ticaret) ................. 7,000 17,256 *Cimentas A.S. .......................................... 33,000 23,952
285 THE EMERGING MARKETS SERIES CONTINUED
Shares Value+ ------------------ ------------------ Cukurova Elektrik A.S. ................................. 50,000 $ 11,915 Dogan Sirketler Grubu Holdings AS ...................... 312,000 28,200 *Doktas ................................................. 17,000 5,704 Eczacibasi Ilac ........................................ 209,150 26,351 Ege Biracilik ve Malt Sanayi A.S. ...................... 142,800 105,604 Eregli Demir ve Celik Fabrikalari Turk A.S. ............ 737,000 72,671 Ericyas Biracilik ...................................... 38,400 33,131 Guney Biracilik ........................................ 58,000 23,035 Izmir Demir Celik ...................................... 956,160 66,782 Koc Holding A.S. ....................................... 310,000 229,252 Migros Turkey A.S. ..................................... 5,000 11,230 Netas Northern Electric Telekomunikasyon A.S. .......... 62,000 22,925 Otosan Otomobil A.S. ................................... 112,000 29,143 TOFAS (Turk Otomobil Fabrikasi A.S.) ................... 248,000 207,176 *Tat Konserve ........................................... 23,000 38,428 *Teletas ................................................ 25,000 9,073 Trakya Cam Sanayi A.S. ................................. 98,000 26,305 *Tuborg Bira ve Malt Sanayi A.S. ........................ 13,000 8,724 *Turcas Petrolculuk A.S. ................................ 49,450 15,914 Turk Demir Dokum ....................................... 72,000 12,030 *Turk Siemens Kablo ve Elektrik Sanayi A.S. ............. 30,000 15,612 *Turk Sise Cam .......................................... 200,000 20,542 *Turkiye Garanti Bankasi A.S. ........................... 817,000 210,348 *Turkiye IS Bankasi A.S. Series C ....................... 314,000 65,363 USAS (Ucak Servisi A.S.) ............................... 3,000 25,062 Yapi ve Kredi Bankasi A.S. ............................. 237,000 22,071 *Yapi ve Kredi Bankasi A.S. Em 94 ....................... 260,700 20,350 ------------------ TOTAL - TURKEY (Cost $1,698,903) .......................... 1,975,880 ------------------ ARGENTINA - (12.4%) COMMON STOCKS - (12.4%) *Acindar Industria Argentina de Aceros SA Series A ...... 12,000 11,468 *Alpargatas SA Industrial y Comercial (Argentina) ....... 23,000 14,960 *Astra Cia Argentina de Petroleos SA .................... 28,000 54,358 Bagley y Cia, Ltd. SA Series B ......................... 6,000 24,017 Banco Frances del Rio de la Plata SA ................... 8,000 69,649 Banco de Galicia y Buenos Aires SA Series A ............ 17,250 101,847 CIADEA SA .............................................. 5,000 56,790 *Celulosa Argentina SA Series B ......................... 22,000 7,375 *Corporacion Cementera Argentina SA Series B ............ 4,078 31,602 *IRSA (Inversiones y Representaciones) SA ............... 6,000 17,772 *Ipako SA ............................................... 3,000 10,657 Ledesma SA Agricola Industrial ......................... 15,000 25,398 Minetti (Juan) SA ...................................... 2,200 11,778 *Molinos Rio de la Plata SA Series B .................... 5,447 36,058 Naviera Perez Companc SA Series A ...................... 19,000 94,876 Naviera Perez Companc SA Series B ...................... 20,000 97,068 *Nobleza-Piccardo Sdad Industrial Comercial y Financiera Pica ................................................. 3,000 14,788 Sevel Argentina SA Series C ............................ 7,034 35,763 Siderca SA Series A .................................... 86,000 64,975
286 THE EMERGING MARKETS SERIES CONTINUED
Shares Value+ ------------------ ------------------ Sociedad Comercial del Plata ........................... 12,000 $ 41,069 Telecom Argentina Stet-France SA Series B .............. 59,000 330,632 Telefonica de Argentina SA Series B .................... 62,000 350,545 YPF (Sociedad Anonima Yacimientos Petroliferos Fiscales) Series D ............................................. 15,000 340,739 ------------------ TOTAL - ARGENTINA (Cost $2,037,477) ....................... 1,844,184 ------------------ BRAZIL - (10.2%) COMMON STOCKS - (3.5%) Lojas Americanas SA .................................... 820,000 28,637 Mannesmann SA .......................................... 29,000 13,041 *Souza Cruz Industria e Comericio ....................... 20,000 191,716 Telecomunicacoes Brasileiras SA ........................ 6,050,000 232,048 VSMA (Cia Vidraria Santa Marina) ....................... 10,000 60,592 ------------------ TOTAL COMMON STOCKS (Cost $372,879) ....................... 526,034 ------------------ PREFERRED STOCK - (6.7%) *Aracruz Celulose SA Series B ........................... 30,000 79,704 Banco Bradesco SA ...................................... 5,089,888 41,562 Banco do Brasil SA ..................................... 2,390,000 48,083 Brahma (Cia Cervejaria) ................................ 250,000 87,870 Brasmotor SA ........................................... 60,000 25,562 COFAP (Cia Fabricadora De Pecas) ....................... 600,000 9,799 Duratex SA ............................................. 380,000 26,488 Embraco SA ............................................. 30,000 26,982 IKPC SA (Industrias Klabin de Papel e Celulose) ........ 29,500 51,669 ITAUBANCO (Banco Itau SA) .............................. 180,000 51,124 ITAUSA (Investimentos Itau SA) ......................... 110,000 75,503 Multibras Eletrodomesticos SA .......................... 30,000 49,704 Sadia Concordia SA ..................................... 20,000 29,941 Telecomunicacoes Brasileiras SA ........................ 137,922 6,610 USIMINAS (Usinas Siderurgicas de Minas Gerais SA) ...... 39,390,000 62,465 Vale Rio Doce .......................................... 1,650,000 316,331 ------------------ TOTAL PREFERRED STOCK (Cost $614,490) ..................... 989,397 ------------------ TOTAL - BRAZIL (Cost $987,369) ............................ 1,515,431 ------------------ INDONESIA - (9.0%) COMMON STOCKS - (9.0%) PT Charoen Pokphand Indonesia .......................... 11,000 45,700 PT Dankos Laboratories (Foreign) ....................... 3,000 16,389 PT Gadjah Tunggal ...................................... 6,000 8,676 PT Gadjah Tunggal (Foreign) ............................ 35,000 50,612 PT Hadtex Indosyntec (Foreign) ......................... 14,000 7,070 PT Hanjaya Mandala Sampoerna ........................... 38,250 181,737 PT Hanjaya Mandala Sampoerna (Foreign) ................. 11,000 52,264 PT Hero Supermarket .................................... 5,000 10,099 PT Indah Kiat Pulp & Paper Corp. (Foreign) ............. 266,700 269,351 PT Indocement Tunggal Prakarsa ......................... 21,000 69,410 PT Indorama Synthetics (Foreign) ....................... 5,500 21,398 PT Inti Indorayon Utama ................................ 40,000 103,748 PT Inti Indorayon Utama (Foreign) ...................... 48,000 124,498 PT Jakarta International Hotel and Development ......... 71,000 85,558
287 THE EMERGING MARKETS SERIES CONTINUED
Shares Value+ ------------------ ------------------ PT Jakarta International Hotel and Development (Foreign) 13,000 $ 15,666 PT Japfa Comfeed Indonesia (Foreign) ................... 13,000 17,903 PT Kabelmetal Indonesia (Foreign) ............................................ 14,000 17,513 PT Kalbe Farma (Foreign) ............................... 18,000 71,063 PT Lippo Land Development .............................. 8,000 12,028 PT Lippo Land Development (Foreign) .................... 8,000 12,027 PT Mayora Indah ........................................ 7,120 34,973 PT Mayora Indah (Foreign) .............................. 3,000 14,736 PT Pakuwon Jati ........................................ 23,000 21,909 PT Polysindo Eka Perkasa ............................... 7,000 13,175 PT Tigaraksa Satria (Foreign) .......................... 4,000 17,444 PT Unggul Indah Corp. .................................. 14,000 19,281 PT Unggul Indah Corp. (Foreign) ........................ 12,000 16,526 ------------------ TOTAL - INDONESIA (Cost $1,342,513) ....................... 1,330,754 ------------------ THAILAND - (8.4%) COMMON STOCKS - (8.0%) Adkinson Securities Public Co., Ltd. (Foreign) ......... 2,100 5,628 Advanced Info Service Public Co., Ltd. ................. 5,000 76,400 Advanced Info Service Public Co., Ltd. (Foreign) ....... 1,000 15,360 Amarin Plaza Public Co., Ltd. (Foreign) ................ 7,400 9,102 Asia Securities Trading Public Co., Ltd ................ 3,000 9,240 Asia Securities Trading Public Co., Ltd. (Foreign) ..... 2,300 7,084 Ayudhya Insurance Public Co., Ltd. ..................... 1,000 7,920 Bangkok Land Public Co., Ltd. (Foreign) ................ 20,200 42,016 Bank of Asia Public Co., Ltd. (Foreign) ................ 3,000 7,140 Bank of Ayudhya Public Co., Ltd. ....................... 8,000 29,920 Bank of Ayudhya Public Co., Ltd. (Foreign) ............. 7,400 29,896 Banpu Public Co., Ltd. ................................. 1,000 24,640 Banpu Public Co., Ltd. (Foreign) ....................... 800 19,456 *CMIC Finance and Securities Public Co., Ltd. (Foreign) ........................... 2,100 18,648 *Capital Nomura Securities Public Co., Ltd. (Foreign) ... 1,000 4,800 Christiani and Nielsen (Thai) Public Co., Ltd. ......... 2,000 14,640 *Dhana Siam Finance and Securities Public Co., Ltd. (Foreign) Rights ......... 2,000 12,800 First Bangkok City Bank Public Co., Ltd. ............... 14,000 11,900 First Bangkok City Bank Public Co., Ltd. (Foreign) ..... 32,000 27,200 General Finance and Securities Public Co., Ltd. ........ 2,700 11,448 Hana Microelectronics Co., Ltd. (Foreign) .............. 1,000 6,520 Industrial Finance Corp. of Thailand ................... 8,500 15,980
288 THE EMERGING MARKETS SERIES CONTINUED
Shares Value+ ------------------ ------------------ International Broadcasting Corp. Public Co., Ltd. ...... 1,500 $ 9,480 International Broadcasting Corp. Public Co., Ltd. (Foreign) ............................................ 1,400 8,848 International Engineering Public Co., Ltd. (Foreign) ... 2,000 17,920 Juldis Develop Public Co., Ltd. (Foreign) .............. 1,000 4,600 *Kiatnakin Finance and Securities Public Co., Ltd. (Foreign) ............................................ 2,800 12,992 Krung Thai Bank Public Co., Ltd. ....................... 9,100 29,484 Land and House Public Co., Ltd. (Foreign) .............. 1,000 18,080 MK Real Estate Development Public Co., Ltd. (Foreign) .. 2,600 10,244 Mutual Fund Public Co., Ltd. (Foreign) ................. 500 10,760 NTS Steel Group Public Co., Ltd. (Foreign) ............. 8,500 17,510 *Nakornthon Bank Public Co., Ltd. (Foreign) ............. 3,400 10,200 National Finance and Securities Public Co., Ltd. ....... 3,000 15,480 Nava Finance and Securities Public Co., Ltd. (Foreign) ........................... 1,300 7,956 Padaeng Industry Public Co., Ltd (Foreign) ............. 5,200 11,232 Phatra Thanakit Public Co., Ltd. ....................... 1,000 8,480 Phatra Thanakit Public Co., Ltd. (Foreign) ............. 5,000 43,200 *Power-P Public Co., Ltd. ............................... 1,600 10,368 Quality Houses Public Co., Ltd. (Foreign) .............. 1,000 5,600 *Robinson Department Store Public Co., Ltd. ............. 5,700 12,426 *Robinson Department Store Public Co., Ltd. (Foreign) ... 4,000 8,720 *Saha-Union Public Co. Ltd. (Foreign) ................... 12,000 13,080 Securities One Public Co., Ltd. (Foreign) .............. 1,500 12,840 *Serm Suk Public Co., Ltd. (Foreign) .................... 1,000 9,680 Shinawatra Computer and Communications Public Co., Ltd. (Foreign) ............ 2,400 68,736 Siam City Bank Public Co., Ltd. (Foreign) .............. 37,000 46,620 Siam City Cement Public Co., Ltd. (Foreign) ............ 4,600 82,800 Siam Commercial Bank Public Co., Ltd. (Foreign) ........ 5,000 46,000 Sino-Thai Engineering and Construction Public Co., Ltd. (Foreign) ............................................ 900 11,376
289 THE EMERGING MARKETS SERIES CONTINUED
Shares Value+ ------------------ ------------------ *Srithai Superware Public Co., Ltd. (Foreign) ........... 1,400 $ 8,512 *TPI Polene Public Co., Ltd. (Foreign) .................. 3,500 31,360 *TPI Polene Public Co., Ltd. (Foreign) Em 94 ............ 875 8,120 Tanayong Public Co., Ltd. (Foreign) ............................................ 11,000 22,440 Thai German Ceramic Industry Public Co., Ltd. .......... 2,000 6,120 Thai German Ceramic Industry Public Co., Ltd. (Foreign) 1,000 3,060 Thai Glass Industries Public Co., Ltd. ................. 1,000 4,200 Thai Military Bank Public Co., Ltd. (Foreign) .......... 10,000 37,200 Thai Plastic and Chemicals Public Co., Ltd. ............ 3,000 35,760 Thai Plastic and Chemicals Public Co., Ltd. (Foreign) .. 1,000 11,920 Tipco Asphalt Public Co., Ltd. ......................... 3,100 24,304 Union Asia Finance Public Co., Ltd. .................... 1,400 8,008 Union Asia Finance Public Co., Ltd. (Foreign) .......... 3,000 18,480 ------------------ TOTAL COMMON STOCKS (Cost $1,261,884) ..................... 1,191,934 ------------------ INVESTMENT IN CURRENCY - (0.0%) *Thailand Baht (cost $4,680) ............................ 4,666 ------------------ RIGHTS/WARRANTS - (0.4%) *Dhana Siam Finance and Securities Public Co., Ltd. (Foreign) Rights ......... 6,000 33,600 *General Finance and Securities Public Co., Ltd. Rights 03/10/95 ............................................. 5,400 15,336 *Kiatnakin Finance and Securities Public Co., Ltd. Warrants ............................................. 70 0 *Securities One Public Co., Ltd. (Foreign) Rights ....... 500 0 *Thai Glass Industries Public Co., Ltd. Rights 12/23/94 . 2,000 7,600 ------------------ TOTAL RIGHTS/WARRANTS (Cost $0) ............................................... 56,536 ------------------ TOTAL - THAILAND (Cost $1,266,564) ........................ 1,253,136 ------------------ TOTAL INVESTMENTS - (100.0%) (Cost $14,411,938) ........... $14,865,866 ==================
- ------ +See Note B to Financial Statements. *Non-Income Producing Securities See accompanying Notes to Financial Statements 290 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 1994
The U.S. The U.S. The U.S. The U.S. 6-10 Small Large Small Cap Large Cap Company Company Value Value Series Series Series Series ------------ ----------- ------------ ------------ (Amounts in thousands, except share amounts) ASSETS: Investments at Value ....................... $ 146,072 $ 49,348 $ 358,303 $ 207,037 Cash ....................................... - - - 1 Receivables Dividends and Interest ................ 140 169 582 826 Investment Securities Sold ............ 140 - 1,376 4,521 Fund Shares Sold ...................... - 70 700 942 Prepaid Expenses and Other Assets .......... 14 22 31 18 ------------ ----------- ------------ ------------ Total Assets ..................... 146,366 49,609 360,992 213,345 ------------- ----------- ------------ ------------ LIABILITIES: Payable for Investment Securities Purchased 2,673 907 10,584 14,412 Payable for Fund Shares Redeemed ........... - - 24 33 Accrued Expenses and Other Liabilities ..... 63 45 107 52 ------------ ----------- ------------ ------------ Total Liabilities ................ 2,736 952 10,715 14,497 ------------ ----------- ------------ ------------ NET ASSETS ................................. $ 143,630 $ 48,657 $ 350,277 $ 198,848 ============ =========== ============ ============ SHARES OUTSTANDING, $.01 PAR VALUE ......... 15,052,182 4,814,004 31,423,970 20,053,372 ============ =========== ============ ============ NET ASSET VALUE AND REDEMPTION PRICE PER SHARE .................................... $ 9.54 $ 10.11 $ 11.15 $ 9.92 ============ =========== ============ ============ PUBLIC OFFERING PRICE PER SHARE ............ $ 9.54 $ 10.11 $ 11.15 $ 9.92 ============ =========== ============ ============ Investments at Cost ........................ $ 136,636 $ 42,180 $ 361,104 $ 210,849 ============ =========== ============ ============
The DFA The DFA The One-Year International Emerging Fixed Income Value Markets Series Series Series -------------- --------------- ------------- (Amounts in thousands, except share amounts) ASSETS: Investments at Value ....................... $ 588,473 $ 350,050 $14,866 Cash ....................................... - 1,623 2,357 Receivables Dividends and Interest ................ 5,446 1,203 4 Investment Securities Sold ............ 5,440 Fund Shares Sold ...................... -- 1,123 17 Prepaid Expenses and Other Assets .......... 50 30 13 -------------- --------------- ------------- Total Assets ..................... 599,409 354,029 17,257 -------------- --------------- ------------- LIABILITIES: Payable for Investment Securities Purchased 5,957 5,467 1,495 Payable for Fund Shares Redeemed ........... 1,080 11 - Accrued Expenses and Other Liabilities ..... 86 170 38 -------------- --------------- ------------- Total Liabilities ................ 7,123 5,648 1,533 -------------- --------------- ------------- NET ASSETS ................................. $ 592,286 $ 348,381 $15,724 ============== =============== ============= SHARES OUTSTANDING, $.01 PAR VALUE ......... 6,022,301 34,623,392 N/A + ============== =============== ============= NET ASSET VALUE AND REDEMPTION PRICE PER SHARE .................................... $ 98.35 $ 10.06 N/A + ============== =============== ============= PUBLIC OFFERING PRICE PER SHARE ............ $ 98.35 $ 10.06 N/A + ============== =============== ============= Investments at Cost ........................ $ 595,382 $ 346,170 $14,412 ============== =============== =============
+ Not applicable as The Emerging Markets Series is organized as a partnership. See accompanying Notes to Financial Statements 291 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 1994
The U.S. The U.S. The U.S. The U.S. 6-10 Small Large Small Cap Large Cap Company Company Value Value Series Series Series Series ------------ ---------- ----------- ----------- (000) (000) (000) (000) Investment Income Dividends ........................................ $ 1,870 $1,217 $ 3,763 $ 5,418 Interest ......................................... 105 18 412 203 ------------ ---------- ----------- ----------- Total Investment Income ......................... 1,975 1,235 4,175 5,621 ------------ ---------- ----------- ----------- Expenses Investment Advisory Services .................... 46 11 459 143 Accounting & Transfer Agent Fees ................ 133 75 197 122 Custodian's Fee ................................. 29 30 43 27 Legal Fees ...................................... 11 6 7 7 Audit Fees ...................................... 12 6 7 6 Shareholders' Reports ........................... 10 5 6 6 Trustees' Fees and Expenses ..................... 6 4 4 4 Other ........................................... 19 6 10 5 ------------ ---------- ----------- ----------- Total Expenses ................................. 266 143 733 320 Less: Expenses Reimbursed ....................... - (132) - - ------------ ---------- ----------- ----------- Net Expenses .................................... 266 11 733 320 ------------ ---------- ----------- ----------- Net Investment Income ........................... 1,709 1,224 3,442 5,301 ------------ ---------- ----------- ----------- Net Realized and Unrealized Gain (Loss) on Investments Net Realized Gain (Loss) on Investment Securities . 10,407 (43) 2,206 (5,273) Change in Unrealized Appreciation (Depreciation) of Investment Securities ........................... (10,836) (687) (10,764) (5,746) ------------ ---------- ----------- ----------- Net Loss on Investment Securities ................ (429) (730) (8,558) (11,019) ------------ ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations ................................. $ 1,280 $ 494 $ (5,116) $ (5,718) ============ ========== =========== ===========
See accompanying Notes to Financial Statements 292 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR (OR PERIOD) ENDED NOVEMBER 30, 1994
The DFA The DFA The One-Year International Emerging Fixed Income Value Markets Series Series(1) Series(2) -------------- --------------- ---------- (000) (000) (000) Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $416,089 and $2,421, respectively) ............ $ - $ 3,972 $ 61 Interest ......................................... 28,019 362 55 -------------- --------------- ---------- Total Investment Income ....................... 28,019 4,334 116 -------------- --------------- ---------- Expenses Investment Advisory Services ..................... 311 380 6 Accounting & Transfer Agent Fees ................. 168 227 9 Custodian's Fee .................................. 77 264 39 Legal Fees ....................................... 12 7 12 Audit Fees ....................................... 13 7 5 Shareholders' Reports ............................ 11 6 3 Trustees' Fees and Expenses ...................... 7 4 2 Other ............................................ 7 14 8 -------------- --------------- ---------- Total Expenses ................................ 606 909 84 Less: Fees Waived ................................ - (53) - -------------- --------------- ---------- Net Expenses ..................................... 606 856 84 -------------- --------------- ---------- Net Investment Income ............................ 27,413 3,478 32 -------------- --------------- ---------- Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Net Realized Gain (Loss) on Investment Securities .. (5,023) 465 20 Net Realized Foreign Exchange Loss on Foreign Currency Transactions ............................ - (279) (6) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ....... (6,783) (5,057) 453 Translation of Foreign Currency Denominated Amounts ....................................... - 44 1 -------------- --------------- ---------- Net Gain (Loss) on Investment Securities and Foreign Currency ......................................... (11,806) (4,827) 468 -------------- --------------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations ....................................... $ 15,607 $(1,349) $500 ============== =============== ==========
- ------ (1) For the period February 15, (commencement of operations) to November 30, 1994. (2) For the period April 25, (commencement of operations) to November 30, 1994. See accompanying Notes to Financial Statements 293 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS
The U.S. 6-10 Small The U.S. Large Company Series Company Series --------------------------- --------------------------- Year Ended Feb. 3 to Year Ended Feb. 8 to Nov. 30, Nov. 30, Nov. 30, Nov. 30, 1994 1993 1994 1993 ------------ ----------- ------------ ----------- (000) (000) (000) (000) Increase (Decrease) in Net Assets Operations: Net Investment Income ......................... $ 1,709 $ 1,578 $ 1,224 $ 827 Net Realized Gain (Loss) on Investment Securities ................................. 10,407 12,297 (43) (772) Change in Unrealized Appreciation (Depreciation) of Investment Securities .... (10,836) (3,369) (687) 1,239 ------------ ----------- ------------ ----------- Net Increase in Net Assets Resulting from Operations ................................. 1,280 10,506 494 1,294 ------------ ----------- ------------ ----------- Distributions From: Net Investment Income ......................... (1,700) (1,525) (1,252) (781) Net Realized Gain ............................. (12,200) (2,288) (33) - ------------ ----------- ------------ ----------- Total Distributions .......................... (13,900) (3,813) (1,285) (781) ------------ ----------- ------------ ----------- Capital Share Transactions (1): Shares Issued ................................. 30,430 179,416 16,588 59,200 Shares Issued in Lieu of Cash Distributions ... 12,416 2,816 1,173 773 Shares Redeemed ............................... (48,521) (27,000) (6,166) (22,633) ------------ ----------- ------------ ----------- Net Increase (Decrease) From Capital Share Transactions ............................. (5,675) 155,232 11,595 37,340 ------------ ----------- ------------ ----------- Total Increase (Decrease) .................. (18,295) 161,925 10,804 37,853 Net Assets Beginning of Period ........................... 161,925 - 37,853 - ------------ ----------- ------------ ----------- End of Period ................................. $143,630 $161,925 $48,657 $ 37,853 ============ =========== ============ =========== (1) Shares Issued and Redeemed: Shares Issued ................................. 3,052 17,967 1,612 5,907 Shares Issued in Lieu of Cash Distributions ... 1,284 266 114 76 Shares Redeemed ............................... (4,868) (2,649) (597) (2,298) ------------ ----------- ------------ ----------- (532) 15,584 1,129 3,685 ============ =========== ============ ===========
See accompanying Notes to Financial Statements 294 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS
The U.S. Small Cap The U.S. Large Cap Value Series Value Series ---------------------------- ---------------------------- Year Ended March 2 to Year Ended Feb. 19 to Nov. 30, Nov. 30, Nov. 30, Nov. 30, 1994 1993 1994 1993 ------------ ------------ ------------ ------------ (000) (000) (000) (000) Increase (Decrease) in Net Assets Operations: Net Investment Income ......................... $ 3,442 $ 632 $ 5,301 $ 1,623 Net Realized Gain (Loss) on Investment Securities ................................. 2,206 555 (5,273) 53 Change in Unrealized Appreciation (Depreciation) of Investment Securities .... (10,764) 7,963 (5,746) 1,934 ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations ................ (5,116) 9,150 (5,718) 3,610 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income ......................... (3,415) (592) (5,305) (1,472) Net Realized Gain ............................. (1,292) (507) - (82) ------------ ------------ ------------ ------------ Total Distributions .......................... (4,707) (1,099) (5,305) (1,554) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued ................................. 264,190 87,302 124,500 87,248 Shares Issued in Lieu of Cash Distributions ... 3,765 673 4,545 1,241 Shares Redeemed ............................... (3,536) (345) (9,445) (274) ------------ ------------ ------------ ------------ Net Increase From Capital Share Transactions 264,419 87,630 119,600 88,215 ------------ ------------ ------------ ------------ Total Increase ............................ 254,596 95,681 108,577 90,271 Net Assets Beginning of Period ............................ 95,681 - 90,271 - ------------ ------------ ------------ ------------ End of Period .................................. $350,277 $95,681 $198,848 $90,271 ============ ============ ============ ============ (1) Shares Issued and Redeemed: Shares Issued .............................. 22,720 8,640 11,986 8,431 Shares Issued in Lieu of Cash Distributions 340 99 446 117 Shares Redeemed ............................ (304) (71) (900) (27) ------------ ------------ ------------ ------------ 22,756 8,668 11,532 8,521 ============ ============ ============ ============
See accompanying Notes to Financial Statements 295 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS
The DFA The The DFA One-Year International Emerging Fixed Income Series Value Series Markets Series ---------------------------- --------------- -------------- Year Ended March 2 to Feb. 15 April 25 Nov. 30, Nov. 30, to to 1994 1993 Nov.30,1994 Nov.30,1994 ------------ ------------ --------------- -------------- (000) (000) (000) (000) Increase (Decrease) in Net Assets Operations: Net Investment Income .................... $ 27,413 $ 18,159 $ 3,478 $ 32 Net Realized Gain (Loss) on Investment Securities ............................ (5,023) 3,146 465 20 Net Realized Loss on Foreign Currency Transactions .......................... - - (279) (6) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ............................. (6,783) 1,579 (5,057) 453 Translation of Foreign Currency Denominated Amounts ................. - - 44 1 ------------ ------------ --------------- -------------- Net Increase (Decrease) in Net Assets Resulting from Operations ........... 15,607 22,884 (1,349) 500 ------------ ------------ --------------- -------------- Distributions From: Net Investment Income .................... (26,524) (16,252) (3,176) - Net Realized Gain ........................ (3,154) - (480) - ------------ ------------ --------------- -------------- Total Distributions ................... (29,678) (16,252) (3,656) - ------------ ------------ --------------- -------------- Capital Share Transactions (1): Shares Issued ............................ 205,242 694,655 355,615 - Shares Issued in Lieu of Cash Distributions ......................... 23,866 16,252 3,656 - Shares Redeemed .......................... (231,179) (109,111) (5,885) - ------------ ------------ --------------- -------------- Net Increase (Decrease) From Capital Share Transactions .................. (2,071) 601,796 353,386 - ------------ ------------ --------------- -------------- Transactions In Interest Contributions ............................ - - - 15,298 Withdrawals .............................. - - - (74) ------------ ------------ --------------- -------------- Net Increase from Transactions in Interest ............................ - - - 15,224 ------------ ------------ --------------- -------------- Total Increase (Decrease) ............. (16,142) 608,428 348,381 15,724 Net Assets Beginning of Period ...................... 608,428 - - - ------------ ------------ --------------- -------------- End of Period ............................ $ 592,286 $ 608,428 $348,381 $15,724 ============ ============ =============== ============== (1) Shares Issued and Redeemed: Shares Issued ......................... 2,064 6,972 34,842 N/A Shares Issued in Lieu of Cash Distributions ....................... 241 162 355 Shares Redeemed ....................... (2,332) (1,085) (574) ------------ ------------ --------------- (27) 6,049 34,623 ============ ============ ===============
See accompanying Notes to Financial Statements 296 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
The U.S. 6-10 Small The U.S. Large Company Series Company Series ------------------------ ------------------------- Year Feb. 3 Year Feb. 8 Ended to Ended to Nov. 30, Nov. 30, Nov. 30, Nov. 30, 1994 1993 1994 1993 - ---------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period ......................... $10.39 $10.00 $10.27 $10.00 ---------- ---------- ---------- ----------- Income From Investment Operations Net Investment Income ......... 0.12 0.10 0.28 0.24 Net Gains (Losses) on Securities (Realized and Unrealized) ................ (0.07) 0.54 (0.14) 0.26 ---------- ---------- ---------- ----------- Total From Investment Operations ............... 0.05 0.64 0.14 0.50 - ---------------------------------------------------------------------------------------- Less Distributions Net Investment Income ......... (0.11) (0.10) (0.29) (0.23) Net Realized Gains ............ (0.79) (0.15) (0.01) - ---------- ---------- ---------- ----------- Total Distributions ........... (0.90) (0.25) (0.30) (0.23) - ---------------------------------------------------------------------------------------- Net Asset Value, End of Period .. $ 9.54 $10.39 $10.11 $10.27 ======================================================================================== Total Return .................... 0.59% 6.35%# 1.30% 5.05%# - ---------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ................... $143,630 $161,925 $48,657 $37,853 Ratio of Expenses to Average Net Assets ........................ 0.17% 0.17%* 0.02%(a) 0.02%*(a) Ratio of Net Investment Income to Average Net Assets ............ 1.11% 1.18%* 2.83%(a) 2.87%*(a) Portfolio Turnover Rate ......... 27.65% 32.88%* 8.52% 34.36%* - ------------------------------------------------------------------------------------------
The U.S. Small Cap The U.S. Large Cap Value Series Value Series ------------------------ ------------------------ Year March 2 Year Feb. 19 Ended to Ended to Nov. 30, Nov. 30, Nov. 30, Nov. 30, 1994 1993 1994 1993 - --------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period ......................... $11.04 $10.00 $10.59 $10.00 ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income ......... 0.12 0.08 0.33 0.20 Net Gains (Losses) on Securities (Realized and Unrealized) ................ 0.16 1.09 (0.65) 0.58 ---------- ---------- ---------- ---------- Total From Investment Operations ............... 0.28 1.17 (0.32) 0.78 - ---------------------------------------------------------------------------------------- Less Distributions Net Investment Income ......... (0.12) (0.07) (0.35) (0.18) Net Realized Gains ............ (0.05) (0.06) - (0.01) ---------- ---------- ---------- ---------- Total Distributions ........... (0.17) (0.13) (0.35) (0.19) - ---------------------------------------------------------------------------------------- Net Asset Value, End of Period .. $11.15 $11.04 $ 9.92 $10.59 ======================================================================================== Total Return .................... 2.52% 11.69%# (3.13)% 7.79%# - ---------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) ................... $350,277 $95,681 $198,848 $90,271 Ratio of Expenses to Average Net Assets ........................ 0.32% 0.33%* 0.22% 0.23%* Ratio of Net Investment Income to Average Net Assets ............ 1.50% 1.35%* 3.72% 3.75%* Portfolio Turnover Rate ......... 8.22% 1.07%* 39.33% 0.75%* - -----------------------------------------------------------------------------------------
* Annualized # Non-annualized (a) Had certain reimbursements not been in effect the annualized ratios of expenses to average net assets for the periods ended November 30, 1994 and 1993 would have been .33% and 0.48%, respectively, and the ratios of net investment income for the periods ended November 30, 1994 and 1993, would have been 2.52% and 2.41%, respectively. See accompanying Notes to Financial Statements 297 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
The DFA The The DFA One-Year International Emerging Fixed Income Value Markets Series Series Series -------------------------- --------------- ----------- Feb. 8 Feb. 15 April 25 Year Ended to to to Nov. 30, Nov. 30, Nov. 30, Nov. 30, 1994 1993 1994 1994 ------------ ---------- --------------- ----------- Net Asset Value, Beginning of Period .... $100.58 $100.00 $10.00 N/A ------------ ---------- --------------- ----------- Income From Investment Operations Net Investment Income ................. 4.41 3.09 0.13 - Net Gains (Losses) on Securities (Realized and Unrealized) .......... (1.86) 0.26 0.07 - ------------ ---------- --------------- ----------- Total From Investment Operations . 2.55 3.35 0.20 - ------------ ---------- --------------- ----------- Less Distributions Net Investment Income ................. (4.26) (2.77) (0.13) - Net Realized Gains .................... (0.52) - (0.01) - ------------ ---------- --------------- ----------- Total Distributions ..................... (4.78) (2.77) (0.14) - ------------ ---------- --------------- ----------- Net Asset Value, End of Period .......... $ 98.35 $100.58 $10.06 N/A+ ============ ========== =============== =========== Total Return ............................ 2.61% 3.39%# 1.99%# N/A+ ------------ ---------- --------------- ----------- Net Assets, End of Period (thousands) ... $592,286 $608,428 $348,381 $15,724 Ratio of Expenses to Average Net Assets . 0.10% 0.10%* 0.45%*(a) 1.49%*(b) Ratio of Net Investment Income to Average Net Assets ............................ 4.41% 3.80%* 1.84%*(a) 0.56%*(b) Portfolio Turnover Rate ................. 140.82% 111.67%* 1.90%* 1.28%* ------------ ---------- --------------- -----------
* Annualized # Non-annualized (a) Had certain waivers not been in effect the annualized ratios of expenses and of net investment income for the period ended would have been 0.48% and 1.81%, respectively. (b) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. + Not applicable as The Emerging Markets Series is organized as a partnership See accompanying Notes to Financial Statements 298 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, 1994, The Trust consisted of seven investment portfolios: The U.S. 6-10 Small Company Series, The U.S. Large Company Series, The U.S. Small Cap Value Series, The U.S. Large Cap Value Series ("the Domestic Equity Portfolios"), The DFA One-Year Fixed Income Series ("the Fixed Income Portfolio"), The DFA International Value Series and The Emerging Markets Series ("the International Equity Portfolios") (collectively, "the Series"). On February 3, 1993 and February 8, 1993, three portfolios of DFA Investment Dimensions Group Inc. ("the Fund"); The U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio and The DFA One-Year Fixed Income Portfolio, respectively, transferred their investable assets for shares with equal values of a corresponding Series of the Trust. On February 15, 1994, the DFA International High Book to Market Portfolio transferred its investable assets for shares with equal value of The DFA International Value Series (the "Exchanges"). These four Portfolios, along with The U.S. Small Cap Value Portfolio, The U.S. Large Cap Value Portfolio and The Emerging Markets Portfolio of the Fund (collectively, "the Feeder Funds") invest solely in a corresponding Series in the Trust. Although these portfolios of the Fund invest in the Trust, the Trust also issues its shares to other investors. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with generally accepted accounting principles for investment companies. Such policies are consistently followed by the Trust in preparation of its financial statements. 1. Security Valuation: Securities held by the Domestic Equity Portfolios which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day, or if there is no such reported sale, at the mean between the most recent bid and asked prices. Securities held by the International Equity Portfolios which are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. The value of securities for which no quotations are readily available are determined in good faith at fair value using methods determined by the Board of Directors. Securities held by the Fixed Income Portfolio are valued on the basis of prices provided by a pricing service when such prices are believed to reflect the fair market value of such securities. 2. Foreign Currency Translation: Securities, other assets and liabilities of The International Equity Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars at the bid price of such currency against U.S. dollars last quoted by a major bank. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. 3. Federal Income Taxes: It is each Series' intention, except for The Emerging Markets Series, to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal taxes is required in the financial statements. The Emerging Markets Series is treated as a partnership for federal income tax purposes. Any interest, dividends and gains or losses of the Series will be deemed to have been "passed through" to its Feeder Funds. 4. Repurchase Agreements: The Series may purchase money market instruments subject to the seller's agreement to repurchase them at an agreed upon date and price. The seller will be required on a daily basis to maintain the value 299 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 Series' custodian or a third party sub-custodian. All repurchase agreements were entered into on November 30, 1994. 5. Reclassifications: As of December 1, 1993, the Series implemented AICPA Statement of Position 93-2 - Determination, Disclosure and Financial Statement Presentation of Income, Capital Gain, and Return of Capital Distributions by Investment Companies. Adoption of this standard results in the reclassification to paid-in capital of permanent differences between tax and financial reporting of net investment income and net realized gain/(loss). The change has had no material effect on paid in capital or other components of net assets at December 1, 1993. Distributions to shareholders and net asset values were not affected by this change. 6. Other: Security transactions are accounted for on the date the securities are purchased or sold. Costs used in determining realized gains and losses on the sale of investment securities are those of specific securities sold. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities. Expenses directly attributable to a Series are directly charged. Common expenses are allocated using methods determined by the Board of Directors. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("the Advisor") provides investment advisory services to the Trust. For the period ended November 30, 1994, the Series' advisory fees were computed daily and paid monthly to the Advisor based on the following effective annual rates: The U.S. 6-10 Small Company Series ..... .03 of 1% The U.S. Large Company Series .......... .025 of 1% The U.S. Small Cap Value Series ........ .20 of 1% The U.S. Large Cap Value Series ........ .10 of 1% The DFA One-Year Fixed Income Series ... .05 of 1% The DFA International Value Series ..... .20 of 1% The Emerging Markets Series ............ .10 of 1% The Advisor has agreed to bear all of the ordinary operating expenses of The U.S. Large Company Series except for the advisory fee. With respect to The DFA International Value Series, the Advisor has also agreed to waive its advisory fees to the extent necessary to keep the cumulative annual expenses to not more than 0.45% of average daily net assets. Certain officers of the Series are also officers, directors and shareholders of the Advisor. D. PURCHASE AND SALES OF SECURITIES: For the year (or period) ended November 30, 1994, the Series made the following purchases and sales of investment securities:
Other U.S. Government Investment Securities Securities ------------------------- ------------------------ Purchases Sales Purchases Sales (000) (000) (000) (000) ----------- ---------- ----------- --------- The U.S. 6-10 Small Company Series . - - $ 45,862 $ 66,191 The U.S. Large Company Series ...... - - 15,852 4,220 The U.S. Small Cap Value Series .... - - 284,491 25,862 The U.S. Large Cap Value Series .... - - 176,069 54,799 The DFA One-Year Fixed Income Series $118,231 $86,617 474,602 462,155 The DFA International Value Series . - - 274,213 3,772 The Emerging Markets Series ........ - - 13,902 67
300 E. INVESTMENT TRANSACTIONS: At November 30, 1994, gross unrealized appreciation and depreciation for financial reporting and federal income tax purposes of investment securities and foreign currencies for each Series were as follows:
Gross Unrealized Gross Unrealized Appreciation Depreciation Net ---------------- ---------------- --------- (000) (000) (000) The U.S. 6-10 Small Company Series .. $26,617 $(17,181) $ 9,436 The U.S. Large Company Series ....... 8,078 (910) 7,168 The U.S. Small Cap Value Series ..... 27,422 (30,223) (2,801) The U.S. Large Cap Value Series ..... 6,616 (10,428) (3,812) The DFA One-Year Fixed Income Series - (6,909) (6,909) The DFA International Value Series .. 17,823 (13,943) 3,880 The Emerging Markets Series ......... 1,337 (883) 454
At November 30, 1994, The following Series had capital loss carryovers for federal income tax purposes:
Expires on November 30 ---------------------------- (Amounts in Thousands) 2001 2002 Total ------ -------- ------- The U.S. Large Company Series ...... $364 -- $ 364 The U.S. Large Cap Value Series .... - $5,273 5,273 The DFA One-Year Fixed Income Series - 5,023 5,023
At November 30, 1994, the unrealized appreciation (depreciation) of investment securities for The U.S. 6-10 Small Company Series, The U.S. Large Company Series, The DFA One-Year Fixed Income Series and The DFA International Value Series includes approximately $23,641,000, $6,616,000, $(1,705,000) and $8,937,000, respectively, of unrealized appreciation (depreciation) at time of tax-free Exchange. F. COMPONENTS OF NET ASSETS: At November 30, 1994, net assets consisted of (amounts in thousands):
The U.S. The U.S. The U.S. 6-10 Small Large Small Cap Company Company Value Series Series Series ------------ ---------- ----------- Paid-In Capital .................................... $125,916 $42,319 $352,049 Undistributed Net Investment Income ................ 62 18 67 Undistributed Realized Gain (Loss) ................. 8,216 (848) 962 Unrealized Appreciation (Depreciation) of Investment Securities ........................................ 9,436 7,168 (2,801) ------------ ---------- ----------- $143,630 $48,657 $350,277 ============ ========== ===========
The U.S. The DFA The DFA Large Cap One-Year International Value Fixed Income Value Series Series Series ----------- -------------- --------------- Paid-In Capital .................................... $207,815 $601,430 $344,449 Undistributed Net Investment Income ................ 147 2,796 302 Undistributed Realized Loss ........................ (5,302) (5,031) (15) Undistributed Net Realized Foreign Exchange Loss ... - - (279) Unrealized Net Foreign Exchange Gain ............... - - 44 Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency ................... (3,812) (6,909) 3,880 ----------- -------------- --------------- $198,848 $592,286 $348,381 =========== ============== ===============
301 REPORT OF INDEPENDENT ACCOUNTANTS TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY: We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of The DFA Investment Trust Company (comprising, respectively, The U.S. 6-10 Small Company Series, The U.S. Large Company Series, The U.S. Small Cap Value Series, The U.S. Large Cap Value Series, The DFA One-Year Fixed Income Series, The DFA International Value Series, and The Emerging Market Series) as of November 30, 1994, and the related statements of operations for the year then ended and the statements of changes in net assets and financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of investments owned as of November 30, 1994, by correspondence with the custodians and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective portfolios constituting The DFA Investment Trust Company as of November 30, 1994, and the results of their operations for the year then ended and the changes in their net assets and their financial highlights for each of the two years in the period then ended, in conformity with generally accepted accounting principles. COOPERS & LYBRAND L.L.P. 2400 Eleven Penn Center Philadelphia, Pennsylvania January 23, 1995 302 -----END PRIVACY-ENHANCED MESSAGE-----