-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Eu8vOw+0N5Laz0HhLmwwxQUdBPWt++ivknxpfLYtrDpiIW6GYA59tLMsk/NnPI+g tQi0ipwKoPxbU55MUwA9KA== 0001047469-04-032577.txt : 20041029 0001047469-04-032577.hdr.sgml : 20041029 20041029164439 ACCESSION NUMBER: 0001047469-04-032577 CONFORMED SUBMISSION TYPE: N-CSRS/A PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040531 FILED AS OF DATE: 20041029 DATE AS OF CHANGE: 20041029 EFFECTIVENESS DATE: 20041029 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DIMENSIONAL INVESTMENT GROUP INC/ CENTRAL INDEX KEY: 0000861929 IRS NUMBER: 000000000 STATE OF INCORPORATION: MD FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: N-CSRS/A SEC ACT: 1940 Act SEC FILE NUMBER: 811-06067 FILM NUMBER: 041106914 BUSINESS ADDRESS: STREET 1: 1299 OCEAN AVE STREET 2: 11TH FLOOR CITY: SANTA MONICA STATE: CA ZIP: 90401 BUSINESS PHONE: 2133958005 FORMER COMPANY: FORMER CONFORMED NAME: DIMENSIONAL INVESTMENT GROUP INC DATE OF NAME CHANGE: 19930712 FORMER COMPANY: FORMER CONFORMED NAME: DFA US LARGE CAP INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: DFA US LARGE CAP PORTFOLIO INC DATE OF NAME CHANGE: 19920331 N-CSRS/A 1 a2145362zn-csrsa.txt N-CSRS/A UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR/A CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-6067 ---------------------------------------------- DIMENSIONAL INVESTMENT GROUP INC. - -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Catherine L. Newell, Esquire, Vice President and Secretary Dimensional Investment Group Inc., 1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 310-395-8005 Date of fiscal year end: November 30 Date of reporting period: May 31, 2004 EXPLANATORY NOTE - This Form N-CSR/A for Dimensional Investment Group Inc. (the "Fund") is being filed solely to reflect changes to the semi-annual report for the Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio (collectively, the "Global Portfolios"). The semi-annual reports for the other portfolios of the Fund are contained in the Form N-CSR filed on August 9, 2004 (Accession Number 0001047469-04-0257850) and are not amended or modified in any way by this Form N-CSR/A. This Form N-CSR/A also updates Item 10 "Controls and Procedures" and Item 11 "Exhibits" with respect to the Global Portfolios as required. Other than the aforementioned amendments, no other information or disclosures contained in the Form N-CSR filed on August 9, 2004 is being amended by this Form N-CSR/A. ITEM 1. REPORTS TO STOCKHOLDERS. DIMENSIONAL INVESTMENT GROUP INC. GLOBAL EQUITY PORTFOLIO GLOBAL 60/40 PORTFOLIO GLOBAL 25/75 PORTFOLIO CLASS R SHARES INSTITUTIONAL CLASS SHARES SEMI-ANNUAL REPORT PERIOD ENDED MAY 31, 2004 (UNAUDITED) DIMENSIONIAL INVESTMENT GROUP INC. SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE -------- DIMENSIONAL INVESTMENT GROUP INC. Schedules of Investments 1 Global Equity Portfolio 1 Global 60/40 Portfolio 3 Global 25/75 Portfolio 5 Statements of Assets and Liabilities 7 Statements of Operations 8 Statements of Changes in Net Assets 9 Financial Highlights 10 Notes to Financial Statements 12 THE DFA INVESTMENT TRUST COMPANY Schedules of Investments 17 The U.S. Large Company Series 17 The U.S. Large Cap Value Series 22 The U.S. Small Cap Series 25 The DFA International Value Series 53 The Japanese Small Company Series 61 The Pacific Rim Small Company Series 72 The United Kingdom Small Company Series 82 The Continental Small Company Series 88 The Emerging Markets Series 103 The Emerging Markets Small Cap Series 110 The DFA Two-Year Global Fixed Income Series 125 Statements of Assets and Liabilities 127 Statements of Operations 129 Statements of Changes in Net Assets 133 Financial Highlights 137 Notes to Financial Statements 143 DFA INVESTMENT DIMENSIONS GROUP INC. Schedules of Investments 149 DFA Real Estate Securities Portfolio 149 Large Cap International Portfolio 151 DFA Five-Year Global Fixed Income Portfolio 165 Statements of Assets and Liabilities 167 Statements of Operations 168 Statements of Changes in Net Assets 169 Financial Highlights 170 Notes to Financial Statements 172
i
PAGE -------- DIMENSIONAL EMERGING MARKETS VALUE FUND INC. Schedule of Investments 177 Statement of Assets and Liabilities 192 Statement of Operations 193 Statement of Changes in Net Assets 194 Financial Highlights 195 Notes to Financial Statements 196 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 200
This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. ii DIMENSIONAL INVESTMENT GROUP INC. SCHEDULES OF INVESTMENTS GLOBAL EQUITY PORTFOLIO MAY 31, 2004 (UNAUDITED)
VALUE+ ------------- Investment in The U.S. Large Company Series of The DFA Investment Trust Company (24.8%) (Cost $21,381,992) $ 21,631,049 Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (24.8%) (1,284,430 Shares, Cost $21,654,776) 21,642,645 Investment in The U.S. Small Cap Series of The DFA Investment Trust Company (17.9%) (1,071,485 Shares, Cost $15,804,160) 15,568,680 Investment in The DFA International Value Series of The DFA Investment Trust Company (9.9%) (623,137 Shares, Cost $8,621,287) 8,692,760 Investment in The Japanese Small Company Series of The DFA Investment Trust Company (2.8%) (Cost $2,299,440) 2,419,228 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (1.3%) (Cost $1,206,534) 1,122,461 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (1.9%) (Cost $1,656,835) 1,721,665 Investment in The Continental Small Company Series of The DFA Investment Trust Company (4.0%) (Cost $3,482,135) 3,454,033 Investment in The Emerging Markets Series of The DFA Investment Trust Company (2.0%) (Cost $1,773,646) 1,729,050 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company (1.0%) (Cost $902,700) 859,622 Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc. (2.0%) (92,062 Shares, Cost $1,742,457) 1,749,178 Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc. (5.0%) (273,845 Shares, Cost $4,332,850) 4,315,797 Investment in Dimensional Emerging Markets Value Fund Inc. (2.0%) (81,259 Shares, Cost $1,817,408) 1,729,192
See accompanying Notes to Financial Statements. 1
FACE AMOUNT (000) VALUE+ ------------- ------------- Temporary Cash Investments (0.60%) Repurchase Agreement, PNC Capital Markets Inc. 0.89%, 06/01/04 (Collateralized by $543,000 FHLB Notes 1.625%, 06/15/05, valued at $543,063) to be repurchased at $537,053 (Cost $537,000) $ 537 $ 537,000 ------------- Total Investments (100%) (Cost $87,213,220)++ $ 87,172,360 =============
- ---------- +See Note B to Financial Statements. ++The cost for federal income tax purposes is $87,309,050. See accompanying Notes to Financial Statements. 2 GLOBAL 60/40 PORTFOLIO MAY 31, 2004 (UNAUDITED)
VALUE+ ------------- Investment in The U.S. Large Company Series of The DFA Investment Trust Company (14.8%) (Cost $5,524,948) $ 5,588,564 Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (14.8%) (331,845 Shares, Cost $5,609,470) 5,591,580 Investment in The U.S. Small Cap Series of The DFA Investment Trust Company (10.7%) (276,865 Shares, Cost $4,089,981) 4,022,851 Investment in The DFA International Value Series of The DFA Investment Trust Company (5.9%) (160,300 Shares, Cost $2,224,448) 2,236,187 Investment in The Japanese Small Company Series of The DFA Investment Trust Company (1.7%) (Cost $601,744) 625,517 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (0.8%) (Cost $311,642) 290,689 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (1.2%) (Cost $429,785) 446,574 Investment in The Continental Small Company Series of The DFA Investment Trust Company (2.4%) (Cost $896,497) 891,202 Investment in The Emerging Markets Series of The DFA Investment Trust Company (1.2%) (Cost $461.633) 448,074 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company (0.6%) (Cost $236,386) 223,936 Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust Company (19.8%) (744,851 Shares, Cost $7,500,804) 7,448,515 Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc. (1.2%) (23,733 Shares, Cost $448,978) 450,932 Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc. (3.0%) (70,630 Shares, Cost $1,120,236) 1,113,127 Investment in DFA Five-Year Global Fixed Income Portfolio of DFA Investment Dimensions Group Inc. (19.7%) (718,308 Shares, Cost $7,591,171) 7,441,669
See accompanying Notes to Financial Statements. 3
VALUE+ ------------- Investment in Dimensional Emerging Markets Value Fund Inc. (1.2%) (21,077 Shares, Cost $475,961) $ 448,513 FACE AMOUNT (000) ------------- Temporary Cash Investments (1.0%) Repurchase Agreement, PNC Capital Markets Inc. 0.89%, 06/01/04 (Collateralized by $475,000 U.S. Treasury Notes 6.00%, 08/15/04, valued at $488,063) to be repurchased at $432,043 (Cost $432,000) $ 432 432,000 ------------- Total Investments(100%) (Cost $37,955,684)++ $ 37,699,930 =============
- ---------- +See Note B to Financial Statements. ++The cost for federal income tax purposes is $37,956,754 See accompanying Notes to Financial Statements. 4 GLOBAL 25/75 PORTFOLIO MAY 31, 2004 (UNAUDITED)
VALUE+ ------------- Investment in The U.S. Large Company Series of The DFA Investment Trust Company (6.1%) (Cost $673,627) $ 681,533 Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (6.2%) (40,642 Shares, Cost $684,397) 684,811 Investment in The U.S. Small Cap Series of The DFA Investment Trust Company (4.5%) (34,396 Shares, Cost $507,562) 499,772 Investment in The DFA International Value Series of The DFA Investment Trust Company (2.5%) (20,166 Shares, Cost $279,632) 281,320 Investment in The Japanese Small Company Series of The DFA Investment Trust Company (0.7%) (Cost $76,900) 79,105 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (0.3%) (Cost $39,149) 36,721 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (0.5%) (Cost $53,006) 55,111 Investment in The Continental Small Company Series of The DFA Investment Trust Company (1.0%) (Cost $109,815) 109,911 Investment in The Emerging Markets Series of The DFA Investment Trust Company (0.5%) (Cost $58,102) 56,349 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company (0.3%) (Cost $29,413) 27,871 Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust Company (37.1%) (411,534 Shares, Cost $4,141,175) 4,115,338 Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc. (0.5%) (3,012 Shares, Cost $56,708) 57,231 Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc. (1.2%) (8,800 Shares, Cost $139,689) 138,686 Investment in DFA Five-Year Global Fixed Income Portfolio of DFA Investment Dimensions Group Inc. (37.0%) (396,867 Shares, Cost $4,186,270) 4,111,545
See accompanying Notes to Financial Statements. 5
VALUE+ ------------- Investment in Dimensional Emerging Markets Value Fund Inc. (0.5%) (2,640 Shares, Cost $59,749) $ 56,177 FACE AMOUNT (000) ------------- Temporary Cash Investments (1.1%) Repurchase Agreement, PNC Capital Markets Inc. 0.89%, 06/01/04 (Collateralized by $195,000 FNMA Discount Notes 1.60%, 09/21/05, valued at $193,781) to be repurchased at $110,011 (Cost $110,000) $ 110 110,000 ------------- Total Investments (100%) (Cost $11,204,924)++ $ 11,101,481 =============
- ---------- +See Note B to Financial Statements ++The cost for federal income tax purposes is $11,206,365 See accompanying Notes to Financial Statements. 6 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) (UNAUDITED)
GLOBAL GLOBAL GLOBAL EQUITY 60/40 25/75 PORTFOLIO PORTFOLIO PORTFOLIO ---------- ---------- ---------- ASSETS: Investments at Value $ 87,172 $ 37,700 $ 11,101 Receivables: Fund Shares Sold 615 127 22 From Advisor 4 3 5 Prepaid Expenses and Other Assets 9 6 3 ---------- ---------- ---------- Total Assets 87,800 37,836 11,131 ---------- ---------- ---------- LIABILITIES: Payables: Investment Securities Purchased 528 422 100 Fund Shares Redeemed 5 -- -- Accrued Expenses and Other Liabilities 77 26 6 ---------- ---------- ---------- Total Liabilities 610 448 106 ---------- ---------- ---------- NET ASSETS $ 87,190 $ 37,388 $ 11,025 ========== ========== ========== NET ASSET VALUE OFFERING AND REDEMPTION PRICE PER SHARE: Class I - based on net assets of $73,743, $35,501, and $10,875 and 7,060,732, 3,495,754 and 1,082,609 shares outstanding, respectively (Authorized 100,000,000 shares) $ 10.44 $ 10.16 $ 10.05 ========== ========== ========== Class R - based on net assets of $13,447, $1,887, and $150 and 1,288,163, 185,866 and 14,931 shares outstanding, respectively (Authorized 100,000,000 shares) $ 10.44 $ 10.15 $ 10.04 ========== ========== ========== Investments at Cost $ 87,213 $ 37,956 $ 11,205 ========== ========== ==========
See accompanying Notes to Financial Statements. 7 STATEMENTS OF OPERATIONS FOR THE PERIOD DECEMBER 24, 2003 TO MAY 31, 2004 (AMOUNTS IN THOUSANDS) (UNAUDITED)
GLOBAL GLOBAL GLOBAL EQUITY 60/40 25/75 PORTFOLIO (1) PORTFOLIO (1) PORTFOLIO (1) ------------- ------------- ------------- INVESTMENT INCOME Income Distributions Received from Master Funds $ 26 $ 32 $ 14 Dividends (Net of Foreign Taxes Withheld of $11, $3, and $0, respectively) 172 42 6 Interest 2 1 -- Income from Securities Lending 5 1 -- Expenses Allocated from Master Funds (11) (2) (1) ------------- ------------- ------------- Total Investment Income 194 74 19 ------------- ------------- ------------- EXPENSES Administrative Services 60 20 5 Accounting & Transfer Agent Fees 8 8 7 Audit Fees 1 1 -- Shareholder Servicing Fees - Class R 11 2 -- Shareholders' Reports 7 1 -- Directors' Fees and Expenses 1 -- -- Filing Fees 3 1 -- ------------- ------------- ------------- Total Expenses 91 33 12 Fees Waived, Expenses Reimbursed and/or Previously Waived Fees Recovered by Advisor (Note C) (4) (3) (5) ------------- ------------- ------------- Net Expenses 87 30 7 ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS) 107 44 12 ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (596) (116) (12) Net Realized Gain (Loss) on Foreign Currency Transactions (2) -- -- Net Realized Gain (Loss) on Futures (100) (29) (5) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency (41) (256) (103) Deferred Thailand Capital Gains Tax 3 1 -- ------------- ------------- ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY (736) (400) (120) ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (629) $ (356) $ (108) ============= ============= =============
- ---------- (1) The Portfolio commenced operations on December 24, 2003. See accompanying Notes to Financial Statements. 8 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) (UNAUDITED)
GLOBAL GLOBAL GLOBAL EQUITY 60/40 25/75 PORTFOLIO PORTFOLIO PORTFOLIO ----------------- ----------------- ----------------- DEC. 24, 2003 (1) DEC. 24, 2003 (1) DEC. 24, 2003 (1) TO TO TO MAY 31, MAY 31, MAY 31, 2004 2004 2004 ----------------- ----------------- ----------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 107 $ 44 $ 12 Net Realized Gain (Loss) on Investment Securities Sold (596) (116) (12) Net Realized Gain (Loss) on Foreign Currency Transactions (2) -- -- Net Realized Gain (Loss) on Futures (100) (29) (5) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency (41) (256) (103) Deferred Thailand Capital Gains Tax 3 1 -- ----------------- ----------------- ----------------- Net Increase (Decrease) in Net Assets Resulting from Operations (629) (356) (108) ----------------- ----------------- ----------------- Distributions to Shareholders From: Net Investment Income Institutional Class (24) (27) (13) Retail Class (8) (4) -- ----------------- ----------------- ----------------- Total Distributions from Net Investment Income (32) (31) (13) Net Realized Gains Institutional Class -- -- -- Retail Class -- -- -- ----------------- ----------------- ----------------- Total Distributions from Net Realized Gains -- -- -- ----------------- ----------------- ----------------- Total Distributions to Shareholders (32) (31) (13) ----------------- ----------------- ----------------- Capital Share Transactions (1): Shares Issued 95,686 38,691 11,254 Shares Issued in Lieu of Cash Distributions 32 31 13 Shares Redeemed (7,867) (947) (121) ----------------- ----------------- ----------------- Net Increase (Decrease) From Capital Shares Transactions 87,851 37,775 11,146 ----------------- ----------------- ----------------- Total Increase (Decrease) 87,190 37,388 11,025 NET ASSETS Beginning of Period -- -- -- ----------------- ----------------- ----------------- End of Period $ 87,190 $ 37,388 $ 11,025 ================= ================= ================= (1) SHARES ISSUED AND REDEEMED: Shares Issued 9,096 3,772 1,109 Shares Issued in Lieu of Cash Distributions 3 3 1 Shares Redeemed (750) (93) (12) ----------------- ----------------- ----------------- 8,349 3,682 1,098 ================= ================= =================
- ---------- (1) Commencement of operations. See accompanying Notes to Financial Statements. 9 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) CLASS R SHARES (UNAUDITED)
GLOBAL GLOBAL GLOBAL EQUITY 60/40 25/75 PORTFOLIO PORTFOLIO PORTFOLIO ----------------- ----------------- ----------------- DEC. 24, 2003 (1) DEC. 24, 2003 (1) DEC. 24, 2003 (1) TO TO TO MAY 31, 2004 MAY 31, 2004 MAY 31, 2004 ----------------- ----------------- ----------------- Net Asset Value, Beginning of Period $ 10.00 $ 10.00 $ 10.00 ----------------- ----------------- ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.01 0.01 0.01 Net Gain (Loss) on Securities (Realized and Unrealized) 0.44 0.16 0.05 ----------------- ----------------- ----------------- Total from Investment Operations 0.45 0.17 0.06 ----------------- ----------------- ----------------- LESS DISTRIBUTIONS Net Investment Income (0.01) (0.02) (0.02) Net Realized Gains -- -- -- ----------------- ----------------- ----------------- Total Distributions (0.01) (0.02) (0.02) ----------------- ----------------- ----------------- Net Assets, End of Period $ 10.44 $ 10.15 $ 10.04 ================= ================= ================= Total Return 4.46%# 1.68%# 0.62%# Net Assets, End of Period (thousands) $ 13,447 $ 1,887 $ 150 Ratio of Expenses to Average Net Assets**(a) 0.73%* 0.74%* 0.82%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)**(a) 0.75%* 0.78%* 1.10%* Ratio of Net Investment Income to Average Net Assets 0.25%* 0.33%* (0.45)%* Ratio of Net Investment Income to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) 0.23%* 0.29%* (0.73)%* Portfolio Turnover Rate N/A N/A N/A
- ---------- * Annualized # Non-annualized (1) Commencement of operations. ** Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the respective Master Fund Series. (a) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. See accompanying Notes to Financial Statements. 10 INSTITUTIONAL CLASS SHARES (UNAUDITED)
GLOBAL GLOBAL GLOBAL EQUITY 60/40 25/75 PORTFOLIO PORTFOLIO PORTFOLIO ----------------- ----------------- ----------------- DEC. 24, 2003 (1) DEC. 24, 2003 (1) DEC. 24, 2003 (1) TO TO TO MAY 31, 2004 MAY 31, 2004 MAY 31, 2004 ----------------- ----------------- ----------------- Net Asset Value, Beginning of Period $ 10.00 $ 10.00 $ 10.00 ----------------- ----------------- ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.01 0.02 0.02 Net Gain (Loss) on Securities (Realized and Unrealized) 0.44 0.16 0.06 ----------------- ----------------- ----------------- Total from Investment Operations 0.45 0.18 0.08 ----------------- ----------------- ----------------- LESS DISTRIBUTIONS Net Investment Income (0.01) (0.02) (0.03) Net Realized Gains -- -- -- ----------------- ----------------- ----------------- Total Distributions (0.01) (0.02) (0.03) ----------------- ----------------- ----------------- Net Assets, End of Period $ 10.44 $ 10.16 $ 10.05 ================= ================= ================= Total Return 4.47%# 1.79%# 0.78%# Net Assets, End of Period (thousands) $ 73,743 $ 35,501 $ 10,875 Ratio of Expenses to Average Net Assets**(a) 0.52%* 0.53%* 0.60%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)**(a) 0.54%* 0.57%* 0.77%* Ratio of Net Investment Income to Average Net Assets 0.44%* 0.35%* 0.13%* Ratio of Net Investment Income to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) 0.42%* 0.31%* (0.04)%* Portfolio Turnover Rate N/A N/A N/A
- ---------- * Annualized # Non-annualized (1) Commencement of operations. ** Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the respective Master Fund Series. (a) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. See accompanying Notes to Financial Statements. 11 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: Dimensional Investment Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund currently offers twenty-five portfolios, of which three (the "Global Funds" or "Feeder Funds") are presented in this report. The Global Funds achieve their investment objectives by investing in other portfolios within The DFA Investment Trust Company ("ITC"), or DFA Investment Dimensions Group Inc. ("IDG") or Dimensional Emerging Markets Value Fund Inc. ("DEM") (collectively, the "Master Funds").
GLOBAL FUND MASTER FUNDS (AT MAY 31, 2004) - ----------------------- ---------------------------------------------------- Global Equity Portfolio The U.S. Large Company Series (ITC) Global 60/40 Portfolio The U.S. Large Cap Value Series (ITC) Global 25/75 Portfolio The U.S. Small Cap Series (ITC) The DFA International Value Series (ITC) The Japanese Small Company Series (ITC) The Pacific Rim Small Company Series (ITC) The United Kingdom Small Company Series (ITC) The Continental Small Company Series (ITC) The Emerging Markets Series (ITC) The Emerging Markets Small Cap Series (ITC) The DFA Two-Year Global Fixed Income Series (ITC) DFA Real Estate Securities Portfolio (IDG) Large Cap International Portfolio (IDG) DFA Five-Year Global Fixed Income Portfolio (IDG) Dimensional Emerging Markets Value Fund Inc. (DEM)
The Global Equity Portfolio did not hold any shares of The DFA Two-Year Global Fixed Income Series or the DFA Five-Year Global Fixed Income Portfolio during the period ended May 31, 2004. At May 31, 2004 no one Global Fund owned more than 1% of any one Master Fund's total net assets. The financial statements of the Master Funds are included in this report and should be read in conjunction with the financial statements of the Global Funds. In the normal course of business, the Global Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnification. The Global Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Global Fund and/or its affiliates that have not yet occurred. However, based on experience, the Global Fund expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Global Funds in the preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 12 1. SECURITY VALUATION: The shares of the Master Funds held by the Global Funds are valued at their respective daily net asset values where the Master Funds are organized as regulated investment companies for federal income tax purposes. The U.S. Large Company Series, The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Emerging Markets Series and The Emerging Markets Small Cap Series are organized as partnerships (the "Partnerships"). The Global Funds reflect their proportionate interest in the net assets of those corresponding Master Funds. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Expenses directly attributable to a Global Fund are directly charged. Each class of shares has equal rights to assets and earnings of its Global Fund. Income, gains and losses on investments, and common expenses of each Global Fund are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. The Funds each accrue their respective share of income and expenses daily on their investment in their corresponding Partnerships. All of the net investment income and realized and unrealized gains and losses from the security transactions and foreign currency of the Partnerships are allocated pro-rata among its investors at the time of such determination. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Master Funds and the Feeder Funds. The Advisor also 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. The Global Funds are not subject to a management fee. For the Institutional and Class R shares, the Advisor has agreed to waive its administration fees to the extent necessary to limit the proportionate share of the total combined administration fees paid by each of the Global Funds and management fees paid by the Master Funds to the Advisor to 0.35% for the Global Equity Portfolio, 0.30% for the Global 60/40 Portfolio and to 0.25% for the Global 25/75 Portfolio. The expense waiver will remain in effect for a period of one year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. The Advisor has also agreed to assume the direct operating expenses of the Institutional Class shares of each Global Fund (excluding administration fees paid to the Advisor), up to an amount equal to the total fees paid to the Advisor by the Institutional Class shares (including the pass through of the management fees aid to the Advisor by the Master Funds), as is necessary to limit the total operating expense ratios (including the expenses that the Institutional Class shares of each such Global Fund bears as a shareholder of the Master Fund) of the Institutional Class shares of the Global Equity Portfolio to 0.70%, the Global 60/40 Portfolio to 0.65% and the Global 25/75 Portfolio to 0.60%. The expense waiver will remain in effect for a period of one year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. Also, for the Class R shares, the Advisor has agreed to assume the direct operating expenses of the Class R shares of each Global Fund (excluding administration fees paid to the Advisor) to the extent necessary to limit the total expense ratios (including the expenses that the Class R shares of each such Global Fund bears as a shareholder 13 of the Master Funds and including Shareholder Servicing Fees) of the Class R shares of each Global Fund to 0.95%. The expense waiver will remain in effect for a period of one year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. Certain officers of the Global Funds are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At May 31, 2004, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities as follows: Global Equity Portfolio $ 1,025 Global 60/40 Portfolio 451 Global 25/75 Portfolio 132
E. FEDERAL INCOME TAXES: No provision for federal income taxes is required since it is the intention of each of the Global Funds to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its taxable income and capital gains to shareholders. Because income tax regulations differ from accounting principles generally accepted in the United States of America, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At May 31, 2004, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands):
GROSS UNREALIZED GROSS UNREALIZED APPRECIATION DEPRECIATION NET ---------------- ---------------- ----------- Global Equity Portfolio $ 416 $ (553) $ (137) Global 60/40 Portfolio 92 (349) (257) Global 25/75 Portfolio 13 (118) (105)
F. CAPITAL SHARE TRANSACTIONS: The capital share transactions by class were as follows (in thousands):
DECEMBER 24, 2003 TO MAY 31, 2004 -------------------- AMOUNT SHARES --------- -------- GLOBAL EQUITY PORTFOLIO Institutional Class Shares Shares Issued $ 80,379 7,629 Shares Issued in Lieu of Cash Distributions 24 2 Shares Redeemed (5,991) (571) --------- -------- Net Increase (Decrease)--Institutional Shares $ 74,412 7,060 ========= ========
14
DECEMBER 24, 2003 TO MAY 31, 2004 ------------------------ AMOUNT SHARES ---------- ---------- Class R Shares Shares Issued $ 15,307 1,466 Shares Issued in Lieu of Cash Distributions 8 1 Shares Redeemed (1,876) (179) ---------- ---------- Net Increase (Decrease)--Class R Shares $ 13,439 1,288 ========== ========== GLOBAL 60/40 PORTFOLIO Insitutional Class Shares Shares Issued 36,294 3,537 Shares Issued in Lieu of Cash Distributions 27 3 Shares Redeemed (442) (44) ---------- ---------- Net Increase (Decrease)--Institutional Shares $ 35,879 3,496 ========== ========== Class R Shares Shares Issued 2,397 235 Shares Issued in Lieu of Cash Distributions 4 -- Shares Redeemed (505) (49) ---------- ---------- Net Increase (Decrease)--Class R Shares $ 1,896 186 ========== ========== GLOBAL 25/75 PORTFOLIO Institutional Class Shares Shares Issued 11,102 1,094 Shares Issued in Lieu of Cash Distributions 13 1 Shares Redeemed (121) (12) ---------- ---------- Net Increase (Decrease)--Institutional Shares $ 10,994 1,083 ========== ========== Class R Shares Shares Issued 152 15 Shares Issued in Lieu of Cash Distributions -- -- Shares Redeemed -- -- ---------- ---------- Net Increase (Decrease)--Class R Shares $ 152 15 ========== ==========
G. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2003 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. There were no borrowings under the discretionary line of credit by the Global Funds during the period from December 24, 2003 to May 31, 2004. The Global Funds, together with other Dimensional-advised portfolios, have also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The 15 agreement for the line of credit expires in April 2005. There were no borrowings by the Global Funds under the line of credit with the international custodian bank during the period from December 24, 2003 to May 31, 2004. H. COMPONENTS OF NET ASSETS: At May 31, 2004, net assets consisted of (amounts in thousands):
GLOBAL GLOBAL GLOBAL EQUITY 60/40 25/75 PORTFOLIO PORTFOLIO PORTFOLIO ---------- ---------- ---------- Paid-in Capital $ 87,851 $ 37,775 $ 11,146 Accumulated Net Investment Income (Loss) 75 13 (1) Accumulated Net Realized Gain (Loss) (696) (145) (17) Undistributed Realized Foreign Exchange Gain (Loss) (2) -- -- Unrealized Appreciation (Depreciation) of Investment Securities (41) (256) (103) Deferred Thailand Capital Gains Tax 3 1 -- ---------- ---------- ---------- Total Net Assets $ 87,190 $ 37,388 $ 11,025 ========== ========== ==========
I. SHAREHOLDER SERVICING FEES: The Class R shares pay a shareholder servicing fee in the amount of 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in a Global Fund's Class R shares. 16 THE U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- COMMON STOCKS -- (87.5%) 3M Co. 244,400 $ 20,666,464 Abbott Laboratories 487,700 20,098,117 Ace, Ltd. 87,100 3,586,778 * ADC Telecommunications, Inc. 251,500 638,810 # Adobe Systems, Inc. 74,400 3,320,472 *# Advanced Micro Devices, Inc. 108,700 1,690,285 * AES Corp. 194,200 1,813,828 Aetna, Inc. 47,800 3,881,360 * Affiliated Computer Services, Inc. Class A 42,700 2,127,314 AFLAC, Inc. 159,900 6,491,940 * Agilent Technologies, Inc. 148,300 3,811,310 Air Products & Chemicals, Inc. 70,900 3,542,873 Alberto-Culver Co. Class B 28,300 1,330,666 # Albertson's, Inc. 114,400 2,680,392 Alcoa, Inc. 271,400 8,494,820 *# Allegheny Energy, Inc. 39,600 564,300 Allegheny Technologies, Inc. 25,200 302,652 Allergan, Inc. 40,900 3,636,010 * Allied Waste Industries, Inc. 99,900 1,324,674 # Allstate Corp. 219,400 9,649,212 Alltel Corp. 97,400 4,931,362 *# Altera Corp. 118,100 2,703,309 Altria Group, Inc. 638,400 30,624,048 Ambac Financial Group, Inc. 33,300 2,302,695 Amerada Hess Corp. 28,000 1,976,520 Ameren Corp. 56,700 2,506,140 # American Electric Power Co., Inc. 123,200 3,914,064 American Express Co. 401,200 20,340,840 American International Group, Inc. 813,800 59,651,540 American Power Conversion Corp. 61,900 1,120,390 * American Standard Companies, Inc. 67,500 2,532,600 AmerisourceBergen Corp. 35,000 2,099,300 *# Amgen, Inc. 402,400 22,011,280 AmSouth Bancorporation 109,500 2,790,060 Anadarko Petroleum Corp. 78,500 4,279,820 # Analog Devices, Inc. 116,600 5,730,890 *# Andrew Corp. 49,600 974,640 Anheuser-Busch Companies, Inc. 254,100 13,535,907 *# Anthem, Inc. 43,100 3,815,643 AON Corp. 97,900 2,704,977 Apache Corp. 101,100 4,080,396 Apartment Investment & Management Co. Class A 29,200 843,296 * Apollo Group, Inc. (Class A) 54,900 5,149,620 *# Apple Computer, Inc. 115,300 3,235,318 # Applera Corporation - Applied Biosystems Group 64,300 1,246,134 * Applied Materials, Inc. 524,500 10,469,020 * Applied Micro Circuits Corp. 96,900 522,291 Archer-Daniels Midland Co. 202,100 3,360,923 Ashland, Inc. 21,700 1,023,155 # AT&T Corp. 247,500 4,103,550 * AT&T Wireless Services, Inc. 849,800 12,033,168 # Autodesk, Inc. 35,200 1,262,272 Automatic Data Processing, Inc. 183,900 $ 8,170,677 *# AutoNation, Inc. 85,800 1,430,286 * Autozone, Inc. 27,200 2,359,600 *# Avaya, Inc. 132,500 2,097,475 Avery Dennison Corp. 34,500 2,036,880 Avon Products, Inc. 73,500 6,516,510 B B & T Corp. 170,500 6,424,440 Baker Hughes, Inc. 104,400 3,552,732 Ball Corp. 17,500 1,195,425 # Bank of America Corp. 640,659 53,257,983 Bank of New York Co., Inc. 241,300 7,255,891 Bank One Corp. 349,200 16,918,740 Bard (C.R.), Inc. 16,200 1,817,154 Bausch & Lomb, Inc. 16,400 1,000,728 # Baxter International, Inc. 190,300 5,983,032 Bear Stearns Companies, Inc. 32,400 2,626,344 Becton Dickinson & Co. 78,800 3,965,216 * Bed, Bath and Beyond, Inc. 93,100 3,467,975 Bellsouth Corp. 571,100 14,254,656 Bemis Co., Inc. 33,500 922,925 # Best Buy Co., Inc. 101,300 5,344,588 * Big Lots, Inc. 36,400 532,168 *# Biogen Idec, Inc. 102,200 6,351,730 # Biomet, Inc. 79,800 3,201,576 * BJ Services, Co. 49,700 2,081,933 Black & Decker Corp. 24,500 1,468,285 # Block (H.&R.), Inc. 55,600 2,716,060 *# BMC Software, Inc. 70,200 1,238,328 # Boeing Co. 262,800 12,036,240 Boise Cascade Corp. 27,200 956,080 * Boston Scientific Corp. 255,400 11,314,220 Bristol Myers Squibb Co. 605,400 15,298,458 *# Broadcom Corp. 94,400 3,984,624 Brown-Forman Corp. Class B 37,800 1,816,290 Brunswick Corp. 29,200 1,182,600 Burlington Northern Santa Fe Corp. 116,100 3,824,334 Burlington Resources, Inc. 61,700 4,130,198 *# Calpine Corp. 128,900 488,531 # Campbell Soup Co. 128,200 3,270,382 # Capital One Financial Corp. 72,000 5,044,320 Cardinal Health, Inc. 135,700 9,188,247 * Caremark Rx, Inc. 142,200 4,436,640 # Carnival Corp. 196,500 8,372,865 # Caterpillar, Inc. 108,300 8,160,405 # Cendant Corp. 314,300 7,210,042 CenterPoint Energy, Inc. 95,500 1,035,220 Centex Corp. 39,000 1,891,110 CenturyTel, Inc. 45,000 1,345,050 Charter One Financial, Inc. 69,400 3,050,824 # ChevronTexaco Corp. 333,600 30,157,440 *# Chiron Corp. 58,500 2,617,875 Chubb Corp. 58,600 3,947,882 *# CIENA Corp. 179,900 647,640 # CIGNA Corp. 44,000 2,983,200 Cincinnati Financial Corp. 52,605 2,248,864 Cinergy Corp. 55,500 2,081,805
17
SHARES VALUE+ --------------- --------------- Cintas Corp. 53,400 $ 2,423,292 Circuit City Stores, Inc. 65,600 785,232 * Cisco Sytems, Inc. 2,143,400 47,476,310 # Citigroup, Inc. 1,606,500 74,589,795 * Citizens Communications Co. 88,700 1,126,490 * Citrix Systems, Inc. 51,200 1,077,760 # Clear Channel Communications, Inc. 192,000 7,622,400 Clorox Co. 65,500 3,429,580 *# CMS Energy Corp. 50,200 432,724 Coca-Cola Co. 762,600 39,159,510 Coca-Cola Enterprises, Inc. 143,100 3,942,405 Colgate-Palmolive Co. 166,100 9,500,920 * Comcast Corp. Class A 702,100 20,325,795 Comerica, Inc. 54,700 3,096,567 Computer Associates International, Inc. 181,500 4,911,390 * Computer Sciences Corp. 58,500 2,550,015 * Compuware Corp. 119,900 953,205 * Comverse Technology, Inc. 60,100 1,061,967 Conagra, Inc. 167,500 4,710,100 ConocoPhilips 213,500 15,655,955 Consolidated Edison, Inc. 75,000 2,944,500 Constellation Energy Group 52,200 1,996,128 * Convergys Corp. 44,700 656,196 Cooper Industries, Ltd. 28,700 1,633,030 Cooper Tire & Rubber Co. 23,000 485,070 # Coors (Adolph) Co. Class B 11,400 734,730 *# Corning, Inc. 420,500 5,209,995 # Costco Wholesale Corp. 142,900 5,398,762 Countrywide Financial Corp. 86,100 5,553,450 # Crane Co. 18,500 558,515 # CSX Corp. 66,700 2,107,720 # Cummins, Inc. 13,300 774,592 CVS Corp. 123,600 5,151,648 # Dana Corp. 46,400 865,360 # Danaher Corp. 96,000 4,514,880 Darden Restaurants, Inc. 51,400 1,156,500 Deere & Co. 75,900 4,986,630 * Dell, Inc. 798,600 28,094,748 Delphi Automotive Systems Corp. 174,700 1,780,193 *# Delta Air Lines, Inc. 38,500 234,850 Deluxe Corp. 15,800 676,556 Devon Energy Corp. 72,600 4,309,536 Dillards, Inc. Class A 26,000 520,260 Disney (Walt) Co. 638,600 14,987,942 # Dollar General Corp. 105,100 2,038,940 Dominion Resources, Inc. 101,200 6,372,564 Donnelley (R.R.) & Sons Co. 68,200 2,063,732 Dover Corp. 63,400 2,470,064 Dow Chemical Co. 290,700 11,598,930 # Dow Jones & Co., Inc. 25,500 1,222,215 DTE Energy Co. 52,700 2,119,067 Duke Energy Corp. 283,100 5,645,014 DuPont (E.I.) de Nemours & Co., Inc. 311,200 13,443,840 *# Dynegy, Inc. 117,500 515,825 * E Trade Group, Inc. 116,600 1,330,406 # Eastman Chemical Co. 24,100 1,116,794 Eastman Kodak Co. 89,400 2,340,492 Eaton Corp. 47,900 2,794,965 * eBay, Inc. 201,500 17,893,200 Ecolab, Inc. 80,200 2,446,902 Edison International 101,600 $ 2,452,624 El Paso Corp. 200,100 1,442,721 *# Electronic Arts, Inc. 93,300 4,742,439 # Electronic Data Systems Corp. 149,900 2,450,865 * EMC Corp. 754,400 8,479,456 # Emerson Electric Co. 131,500 7,850,550 Engelhard Corp. 39,100 1,183,557 Entergy Corp. 71,400 3,899,154 # EOG Resources, Inc. 35,800 1,912,794 # Equifax, Inc. 43,400 1,063,734 Equity Office Properties Trust 124,700 3,360,665 Equity Residential Corp. 86,900 2,558,336 Exelon Corp. 205,400 6,839,820 * Express Scripts, Inc. Class A 24,200 1,893,892 # Exxon Mobil Corp. 2,044,900 88,441,925 # Family Dollar Stores, Inc. 53,700 1,684,032 Federal Home Loan Mortgage Corporation 214,700 12,536,333 Federal National Mortgage Association 303,000 20,513,100 Federated Department Stores, Inc. 56,400 2,690,844 Federated Investors, Inc. 33,900 1,009,542 FedEx Corp. 93,100 6,850,298 Fifth Third Bancorp 176,200 9,565,898 # First Data Corp. 277,800 12,025,962 # First Horizon National Corp. 39,200 1,825,544 # FirstEnergy Corp. 102,800 4,009,200 * Fiserv, Inc. 60,700 2,295,674 # Fluor Corp. 25,600 1,034,752 # Ford Motor Co. 571,200 8,482,320 * Forest Laboratories, Inc. 114,700 7,270,833 Fortune Brands, Inc. 45,400 3,418,620 FPL Group, Inc. 57,500 3,665,625 Franklin Resources, Inc. 77,800 3,911,784 # Freeport McMoran Copper & Gold, Inc. Class B 61,100 2,054,793 Gannett Co., Inc. 84,500 7,419,100 Gap, Inc. 279,400 6,747,510 * Gateway, Inc. 117,100 474,255 # General Dynamics Corp. 61,800 5,909,934 General Electric Co. 3,181,800 99,017,616 # General Mills, Inc. 117,000 5,387,850 # General Motors Corp. 175,300 7,956,867 # Genuine Parts Co. 54,300 2,043,852 * Genzyme Corp. 69,900 3,046,242 Georgia-Pacific Corp. 79,100 2,833,362 Gillette Co. 314,100 13,534,569 Golden West Financial Corp. 47,400 5,155,698 Goodrich (B.F.) Co. 36,600 1,025,898 *# Goodyear Tire & Rubber Co. 54,700 475,890 Grainger (W.W.), Inc. 28,500 1,551,825 Great Lakes Chemical Corp. 15,800 391,524 Guidant Corp. 97,200 5,281,848 Halliburton Co. 136,600 3,966,864 Harley-Davidson, Inc. 94,500 5,432,805 Harrahs Entertainment, Inc. 34,700 1,783,580 Hartford Financial Services Group, Inc. 91,000 6,016,920 Hasbro, Inc. 54,500 1,071,470 # HCA, Inc. 154,600 6,003,118 Health Management Associates, Inc. 75,800 1,666,842
18
SHARES VALUE+ --------------- --------------- Heinz (H.J.) Co. 109,800 $ 4,099,932 * Hercules, Inc. 34,600 366,068 Hershey Foods Corp. 40,500 3,593,565 # Hewlett-Packard Co. 951,500 20,209,860 Hilton Hotels Corp. 118,300 2,052,505 # Home Depot, Inc. 709,600 25,488,832 Honeywell International, Inc. 267,900 9,028,230 * Hospira, Inc. 48,770 1,250,463 * Humana, Inc. 50,500 862,035 # Huntington Bancshares, Inc. 71,500 1,620,905 # Illinois Tool Works, Inc. 96,100 8,637,468 IMS Health, Inc. 74,700 1,858,536 Ingersoll-Rand Co., Ltd. Class A 54,700 3,571,910 Intel Corp. 2,022,000 57,728,100 International Business Machines Corp. 529,900 46,943,841 International Flavors & Fragrances, Inc. 29,200 1,050,616 International Game Technology 108,100 4,248,330 International Paper Co. 149,900 6,285,307 *# Interpublic Group of Companies, Inc. 129,400 1,860,772 * Intuit, Inc. 61,900 2,425,242 ITT Industries, Inc. 28,800 2,319,840 * Jabil Circuit, Inc. 62,400 1,766,544 Janus Capital Group, Inc. 75,000 1,227,750 * JDS Uniphase Corp. 447,900 1,545,255 Jefferson-Pilot Corp. 44,000 2,258,520 # Johnson & Johnson 925,600 51,565,176 Johnson Controls, Inc. 58,800 3,170,496 Jones Apparel Group, Inc. 39,400 1,515,718 JP Morgan Chase & Co. 642,100 23,654,964 KB Home Corp. 14,600 961,848 # Kellogg Co. 128,600 5,452,640 # Kerr-McGee Corp. 31,400 1,546,450 KeyCorp 130,800 4,108,428 # KeySpan Corp. 49,600 1,755,840 Kimberly Clark Corp. 156,400 10,306,760 Kinder Morgan, Inc. 38,400 2,304,000 * King Pharmaceuticals, Inc. 75,200 1,004,672 * KLA-Tencor Corp. 61,200 2,948,616 Knight Ridder, Inc. 24,900 1,891,902 * Kohls Corp. 106,100 5,046,116 *# Kroger Co. 232,300 3,877,087 # Leggett and Platt, Inc. 59,800 1,511,744 # Lehman Brothers Holdings, Inc. 86,500 6,543,725 * Lexmark International Group, Inc. 40,100 3,782,232 Lilly (Eli) & Co. 350,500 25,821,335 # Limited Brands, Inc. 145,200 2,802,360 Lincoln National Corp. 55,500 2,635,695 Linear Technology Corp. 97,400 3,862,884 Liz Claiborne, Inc. 34,000 1,166,200 Lockheed Martin Corp. 140,700 6,970,278 Loews Corp. 57,900 3,336,777 # Louisiana-Pacific Corp. 33,000 762,300 # Lowe's Companies, Inc. 245,300 13,140,721 * LSI Logic Corp. 118,200 969,240 *# Lucent Technologies, Inc. 1,329,100 4,744,887 M & T Bank Corp. 38,000 3,441,660 Manor Care, Inc. 27,900 874,107 Marathon Oil Corp. 106,200 3,540,708 # Marriott International, Inc. Class A 71,800 3,541,894 Marsh & McLennan Co., Inc. 165,300 $ 7,293,036 Marshall & Isley Corp. 70,600 2,905,190 Masco Corp. 141,100 4,084,845 # Mattel, Inc. 134,100 2,344,068 # Maxim Integrated Products, Inc. 102,300 5,199,909 # May Department Stores Co. 90,000 2,579,400 Maytag Corp. 24,500 638,960 MBIA, Inc. 45,000 2,492,550 MBNA Corp. 398,500 10,121,900 # McCormick & Co., Inc. 42,800 1,517,260 McDonalds Corp. 393,500 10,388,400 # McGraw-Hill Companies, Inc. 59,600 4,644,032 McKesson Corp. 90,800 3,123,520 # MeadWestavco Corp. 62,700 1,731,774 * Medco Health Solutions, Inc. 84,300 2,953,029 * Medimmune, Inc. 77,200 1,858,204 # Medtronic, Inc. 378,100 18,110,990 Mellon Financial Corp. 134,200 3,950,848 Merck & Co., Inc. 693,800 32,816,740 * Mercury Interactive Corp. 28,100 1,347,114 Meredith Corp. 15,700 823,622 Merrill Lynch & Co., Inc. 302,800 17,199,040 MetLife, Inc. 237,100 8,428,905 MGIC Investment Corp. 30,700 2,241,100 * Micron Technology, Inc. 190,000 2,855,700 # Microsoft Corp. 3,366,600 88,709,910 * Millipore Corp. 15,200 835,848 Molex, Inc. 59,400 1,743,984 Monsanto Co. 82,900 2,860,050 * Monster Worldwide, Inc. 35,300 893,443 # Moody's Corp. 46,400 3,034,096 Morgan Stanley Dean Witter & Co. 342,200 18,311,122 # Motorola, Inc. 730,100 14,434,077 Mylan Laboratories, Inc. 85,400 1,905,274 * Nabors Industries, Ltd. 45,700 1,891,980 National City Corp. 189,000 6,707,610 * National Semiconductor Corp. 111,000 2,405,370 *# Navistar International Corp. 21,500 815,925 * NCR Corp. 29,500 1,423,080 *# Network Appliance Corp. 107,600 2,130,480 New York Times Class A 46,700 2,177,621 # Newell Rubbermaid, Inc. 85,600 2,017,592 Newmont Mining Corp. 134,800 5,352,908 * Nextel Communications Corp. Class A 342,900 7,931,277 # Nicor, Inc. 13,700 455,936 Nike, Inc. Class B 82,100 5,841,415 # NiSource, Inc. 81,900 1,659,294 * Noble Corp. 41,900 1,443,874 # Nordstrom, Inc. 42,900 1,739,595 Norfolk Southern Corp. 121,900 2,953,637 # North Fork Bancorporation, Inc. 53,200 2,048,200 Northern Trust Corp. 68,800 2,954,960 Northrop Grumman Corp. 58,200 6,002,166 * Novell, Inc. 117,500 1,070,425 * Novellus Systems, Inc. 47,800 1,591,262 Nucor Corp. 24,400 1,606,740 *# Nvidia Corp. 50,500 1,190,790 Occidental Petroleum Corp. 121,100 5,352,620 * Office Depot, Inc. 96,900 1,583,346 Omnicom Group, Inc. 59,300 4,736,291
19
SHARES VALUE+ --------------- --------------- * Oracle Systems Corp. 1,630,400 $ 18,456,128 Paccar, Inc. 54,600 3,046,680 * Pactiv Corp. 49,100 1,157,778 Pall Corp. 39,200 947,856 * Parametric Technology Corp. 83,200 403,520 Parker-Hannifin Corp. 37,000 2,055,720 Paychex, Inc. 117,700 4,414,927 # Penney (J.C.) Co., Inc. 85,100 3,044,878 # Peoples Energy Corp. 11,700 484,614 * Peoplesoft, Inc. 113,400 2,027,592 # Pepsi Bottling Group, Inc. 81,000 2,349,000 Pepsico, Inc. 533,400 28,467,558 PerkinElmer, Inc. 39,600 772,596 Pfizer, Inc. 2,378,100 84,042,054 *# PG&E Corp. (Holding Co.) 130,700 3,724,950 * Phelps Dodge Corp. 28,900 1,962,310 Pinnacle West Capital Corp. 28,500 1,148,265 # Pitney Bowes, Inc. 72,900 3,231,657 # Plum Creek Timber Co., Inc. 57,100 1,788,372 * PMC Sierra, Inc. 53,900 759,990 PNC Financial Services Group 86,500 4,775,665 * Power-One, Inc. 26,000 262,080 PPG Industries, Inc. 53,400 3,193,320 PPL Corp. 55,300 2,386,195 Praxair, Inc. 101,400 3,750,786 Principal Financial Group, Inc. 100,000 3,495,000 Procter & Gamble Co. 403,000 43,451,460 # Progress Energy, Inc. 76,400 3,255,404 Progressive Corp. 67,700 5,806,629 ProLogis 56,500 1,811,390 * Providian Financial Corp. 90,500 1,230,800 # Prudential Financial, Inc. 168,600 7,468,980 Public Service Enterprise Group, Inc. 73,700 3,107,192 Pulte Homes Inc. 39,100 2,062,525 *# Q Logic Corp. 29,600 908,720 Qualcomm, Inc. 251,200 16,847,984 Quest Diagnostics, Inc. 32,300 2,782,645 *# Qwest Communications International, Inc. 550,800 2,065,500 Radioshack Corp. 51,200 1,555,968 Raytheon Co. 138,400 4,601,800 Reebok International, Ltd. 18,400 667,000 Regions Financial Corp. 69,200 2,630,984 # RJ Reynolds Tobacco Holdings, Inc. 26,300 1,478,060 Robert Half International, Inc. 53,400 1,494,132 Rockwell Collins, Inc. 55,600 1,670,224 Rockwell International Corp. 58,400 1,977,424 Rohm & Haas Co. 69,400 2,674,676 *# Rowan Companies, Inc. 32,500 714,350 Ryder System, Inc. 20,300 754,145 Sabre Holdings Corp. 43,700 1,114,350 # Safeco Corp. 43,200 1,812,240 *# Safeway, Inc. 137,900 3,111,024 * Saint Jude Medical, Inc. 53,800 4,102,788 Saint Paul Companies, Inc. 211,227 8,381,487 * Sanmina Corp. 161,800 1,711,844 # Sara Lee Corp. 246,700 5,649,430 SBC Communications, Inc. 1,031,700 24,451,290 Schering-Plough Corp. 458,900 7,755,410 Schlumberger, Ltd. 183,600 10,496,412 # Schwab (Charles) Corp. 423,100 4,146,380 # Scientific-Atlanta, Inc. 47,600 $ 1,638,392 * Sealed Air Corp. 26,500 1,332,155 # Sears, Roebuck & Co. 69,300 2,633,400 Sempra Energy 70,900 2,365,933 # Sherwin-Williams Co. 45,400 1,784,220 * Siebel Systems, Inc. 154,700 1,670,760 Sigma-Aldrich Corp. 21,600 1,233,576 Simon Property Group, Inc. 63,600 3,279,852 SLM Corp. 140,700 5,393,031 Snap-On, Inc. 18,200 612,066 * Solectron Corp. 299,900 1,649,450 # Southern Co. 228,400 6,605,328 SouthTrust Corp. 103,000 3,488,610 Southwest Airlines Co. 246,300 3,820,113 # Sprint Corp. 443,300 7,873,008 # Stanley Works 25,300 1,101,815 Staples, Inc. 155,800 4,296,964 * Starbucks Corp. 123,500 5,019,040 Starwood Hotels and Resorts Worldwide, Inc. 63,700 2,686,866 State Street Corp. 104,600 5,064,732 Stryker Corp. 124,400 6,325,740 * Sun Microsystems, Inc. 1,025,300 4,337,019 * Sungard Data Systems, Inc. 89,600 2,482,816 Sunoco, Inc. 24,100 1,482,873 # Suntrust Banks, Inc. 88,100 5,733,548 Supervalu, Inc. 41,900 1,299,738 * Symantec Corp. 97,100 4,447,180 Symbol Technologies, Inc. 72,100 1,062,033 Synovus Financial Corp. 94,100 2,423,075 Sysco Corp. 201,100 7,541,250 T. Rowe Price Group, Inc. 39,300 1,892,688 Target Corp. 284,200 12,703,740 # Teco Energy, Inc. 58,600 712,576 Tektronix, Inc. 26,400 833,184 * Tellabs, Inc. 129,600 1,029,024 Temple-Inland, Inc. 17,000 1,110,440 * Tenet Healthcare Corp. 145,000 1,728,400 * Teradyne, Inc. 59,600 1,328,484 Texas Instruments, Inc. 540,300 14,107,233 # Textron, Inc. 43,000 2,349,950 The Goldman Sachs Group, Inc. 150,800 14,161,628 * Thermo-Electron Corp. 51,600 1,588,248 # Thomas & Betts Corp. 18,200 445,172 Tiffany & Co. 45,700 1,616,409 * Time Warner, Inc. 1,420,300 24,201,912 TJX Companies, Inc. 157,000 3,910,870 Torchmark Corp. 35,300 1,912,907 * Toys R Us, Inc. 66,600 1,046,952 * Transocean, Inc. 99,800 2,667,654 Tribune Co. 103,100 4,978,699 TXU Corp. 101,000 3,774,370 # Tyco International, Ltd. 623,700 19,203,723 U.S. Bancorp 598,800 16,826,280 Union Pacific Corp. 80,700 4,706,424 Union Planters Corp. 58,800 1,770,468 * Unisys Corp. 103,400 1,402,104 United Parcel Service, Inc. 352,200 25,259,784 # United States Steel Corp. 35,300 1,071,708 United Technologies Corp. 161,100 13,630,671 # Unitedhealth Group, Inc. 195,200 12,736,800
20
SHARES VALUE+ --------------- --------------- * Univision Communications, Inc. Class A 100,600 $ 3,274,530 Unocal Corp. 80,800 2,878,904 # UnumProvident Corp. 92,400 1,345,344 # UST, Inc. 51,700 1,931,512 # Valero Energy Corp. 40,500 2,677,455 *# Veritas Software Co. 133,500 3,551,100 Verizon Communications, Inc. 861,400 29,787,212 # VF Corp. 33,700 1,583,226 Viacom, Inc. Class B 545,600 20,127,184 Visteon Corp. 40,700 446,072 # Vulcan Materials Co. 31,700 1,418,892 Wachovia Corp. 410,000 19,356,100 Walgreen Co. 319,700 11,192,697 Wal-Mart Stores, Inc. 1,349,800 75,224,354 Washington Mutual, Inc. 280,500 12,252,240 # Waste Management, Inc. 179,900 5,173,924 * Waters Corp. 37,900 1,746,432 * Watson Pharmaceuticals, Inc. 33,700 1,258,695 * Wellpoint Health Networks, Inc. 48,400 5,398,536 # Wells Fargo & Co. 527,700 31,028,760 Wendy's International, Inc. 35,600 1,345,324 Weyerhaeuser Co. 73,200 4,427,136 # Whirlpool Corp. 21,700 1,443,701 Williams Companies, Inc. 161,600 1,924,656 # Winn-Dixie Stores, Inc. 44,200 279,786 Worthington Industries, Inc. 26,900 514,866 # Wrigley (Wm.) Jr. Co. 70,100 4,402,280 Wyeth 415,400 14,954,400 XCEL Energy, Inc. 124,400 2,113,556 *# Xerox Corp. 248,800 3,368,752 # Xilinx, Inc. 107,600 3,925,248 # XL Capital, Ltd. 42,800 3,195,020 *# Yahoo!, Inc. 415,000 12,723,900 * Yum! Brands, Inc. 91,800 3,442,500 * Zimmer Holdings, Inc. 75,400 6,435,390 Zions Bancorp 28,000 1,716,400 --------------- TOTAL COMMON STOCKS (Cost $2,587,575,053) 3,253,108,973 --------------- FACE AMOUNT VALUE+ --------------- --------------- (000) TEMPORARY CASH INVESTMENTS -- (12.5%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $65,199,000 FHLB Floating Rate Notes, 10/03/05, valued at $65,117,501) to be repurchased at $64,161,344 (Cost $64,155,000) $ 64,155 $ 64,155,000 Repurchase Agreement, Merrill Lynch Triparty Repo 0.96%, 06/01/04 (Collateralized by $392,750,000 U.S. Treasury Obligations rates ranging from 1.875% to 6.75%, maturities ranging from 05/15/05 to 11/30/05, valued at $410,731,038) to be repurchased at $402,719,403 (Cost $402,676,451)^ 402,676 402,676,451 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $466,831,451) 466,831,451 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,054,406,505)++ $ 3,719,940,424 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. ++ The cost for federal income tax purposes is $3,216,721,011. See accompanying Notes to Financial Statements. 21 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- COMMON STOCKS -- (85.3%) * 3COM Corp. 606,100 $ 3,921,467 A. G. Edwards, Inc. 17,500 654,500 *# Advanced Micro Devices, Inc. 504,800 7,849,640 Aetna, Inc. 539,626 43,817,631 * Agere Systems, Inc. Class A 8,652 21,976 * Agere Systems, Inc. Class B 212,364 520,292 # Albertson's, Inc. 538,100 12,607,683 * Allegheny Corp. 17,934 4,779,411 Alliant Energy Corp. 212,900 5,318,242 * Allied Waste Industries, Inc. 255,800 3,391,908 * Allmerica Financial Corp. 98,000 3,150,700 Allstate Corp. 1,618,800 71,194,824 Ambac Financial Group, Inc. 23,200 1,604,280 Amerada Hess Corp. 196,432 13,866,135 American Financial Group, Inc. 177,400 5,359,254 American National Insurance Co. 46,700 4,380,927 *# American Tower Corp. 336,000 4,646,880 *# Americredit Corp. 374,000 6,619,800 Anadarko Petroleum Corp. 627,078 34,188,293 Apache Corp. 129,990 5,246,396 * Apple Computer, Inc. 197,300 5,536,238 * Applied Micro Circuits Corp. 213,200 1,149,148 Archer-Daniels Midland Co. 2,475,260 41,163,574 * Arrow Electronics, Inc. 308,200 8,392,286 Ashland, Inc. 297,600 14,031,840 Astoria Financial Corp. 40,500 1,549,935 AT&T Corp. 1,937,780 32,128,392 * AT&T Wireless Services, Inc. 5,388,737 76,304,516 *# AutoNation, Inc. 2,057,600 34,300,192 * Avnet, Inc. 199,900 4,677,660 AVX Corp. 125,400 1,986,336 Bank of America Corp. 82,170 6,830,792 Bank of Hawaii Corp. 327,500 14,229,875 * Barnes & Noble, Inc. 13,000 389,220 Bausch & Lomb, Inc. 11,800 720,036 Bear Stearns Companies, Inc. 373,770 30,297,796 Belo Corp. Class A 324,200 9,537,964 * Big Lots, Inc. 253,500 3,706,170 # Blockbuster, Inc. Class A 23,300 364,878 Boise Cascade Corp. 213,400 7,501,010 Borders Group, Inc. 34,000 776,220 Borg-Warner, Inc. 201,600 8,354,304 Bowater, Inc. 168,400 7,111,532 Burlington Northern Santa Fe Corp. 1,283,000 42,262,020 * Caesars Entertainment, Inc. 845,900 11,648,043 * Cavco Industries, Inc. 11,450 434,402 # Cendant Corp. 311,800 7,152,692 *# CheckFree Corp. 56,200 1,723,092 Chubb Corp. 258,900 17,442,093 *# CIENA Corp. 164,600 592,560 Cincinnati Financial Corp. 579,159 24,759,047 Circuit City Stores, Inc. 531,900 6,366,843 Clear Channel Communications, Inc. 1,428,466 56,710,100 *# CNA Financial Corp. 635,600 19,080,712 Coca-Cola Enterprises, Inc. 1,785,400 49,187,770 * Comcast Corp. Class A 2,432,666 $ 70,425,681 * Comcast Corp. Special Class A Non-Voting 927,100 26,283,285 Commerce Group, Inc. 93,100 4,219,292 Commercial Federal Corp. 98,900 2,771,178 * Compuware Corp. 35,800 284,610 * Comverse Technology, Inc. 111,500 1,970,205 ConocoPhilips 220,400 16,161,932 *# Corning, Inc. 998,300 12,368,937 Countrywide Financial Corp. 819,999 52,889,935 *# Cox Communications, Inc. 1,421,400 44,646,174 *# Crown Castle International Corp. 468,900 6,906,897 # CSX Corp. 577,800 18,258,480 # Cummins, Inc. 143,100 8,334,144 Curtiss-Wright Corp-Cl B W/I 27,130 1,214,067 # Dana Corp. 510,700 9,524,555 *# Delta Air Lines, Inc. 402,500 2,455,250 # Diamond Offshore Drilling, Inc. 298,241 6,737,264 Dillards, Inc. Class A 48,900 978,489 Disney (Walt) Co. 906,600 21,277,902 # Eastman Chemical Co. 108,200 5,013,988 Electronic Data Systems Corp. 746,200 12,200,370 Federated Department Stores, Inc. 618,200 29,494,322 First American Financial Corp. 156,500 4,062,740 First Citizens Bancshares, Inc. 10,300 1,194,800 Florida East Coast Industries, Inc. 68,139 2,465,269 Foot Locker, Inc. 175,000 4,130,000 # Ford Motor Co. 4,185,900 62,160,615 # General Motors Corp. 1,395,700 63,350,823 Georgia-Pacific Corp. 684,200 24,508,044 *# Goodyear Tire & Rubber Co. 203,900 1,773,930 Harris Corp. 151,400 7,000,736 Hartford Financial Services Group, Inc. 487,000 32,200,440 Hearst-Argyle Television, Inc. 238,600 6,239,390 Helmerich & Payne, Inc. 146,800 3,662,660 Hibernia Corp. 274,500 6,588,000 Hollinger International, Inc. Class A 257,600 4,533,760 Horton (D.R.), Inc. 818,872 23,665,401 * Human Genome Sciences, Inc. 23,900 259,793 * Humana, Inc. 618,900 10,564,623 Ikon Office Solutions, Inc. 123,700 1,363,174 Independence Community Bank Corp. 12,500 469,000 * Ingram Micro, Inc. 336,900 4,868,205 * Instinet Group, Inc. 15,200 100,168 *# InterActiveCorp 1,496,500 46,780,590 International Paper Co. 1,215,775 50,977,446 *# Invitrogen Corp. 50,100 3,479,445 * JDS Uniphase Corp. 1,095,700 3,780,165 JP Morgan Chase & Co. 2,244,400 82,683,696 # Kerr-McGee Corp. 207,658 10,227,156 KeyCorp 941,600 29,575,656 # Labranche & Co., Inc. 19,700 176,512 LaFarge North America, Inc. 257,500 11,345,450 Lear Corp. 110,900 6,568,607 *# Level 3 Communications, Inc. 195,500 762,450
22
SHARES VALUE+ --------------- --------------- * Liberty Media Corp. 6,276,100 $ 68,911,578 Lincoln National Corp. 418,500 19,874,565 Loews Corp. 636,800 36,698,784 # Louisiana-Pacific Corp. 94,500 2,182,950 * LSI Logic Corp. 647,300 5,307,860 Lubrizol Corp. 182,000 6,026,020 *# Lucent Technologies, Inc. 1,193,800 4,261,866 Lyondell Chemical Co. 447,200 7,387,744 Manulife Financial Corp. 425,285 16,509,564 Marathon Oil Corp. 961,450 32,054,743 # May Department Stores Co. 63,100 1,808,446 MBIA, Inc. 327,250 18,126,378 # MeadWestavco Corp. 758,431 20,947,864 MetLife, Inc. 1,830,500 65,074,275 *# Metro-Goldwyn-Mayer, Inc. 261,100 3,104,479 MGIC Investment Corp. 116,900 8,533,700 * MGM Grand, Inc. 390,100 17,324,341 * Micron Technology, Inc. 767,000 11,528,010 *# Mony Group, Inc. 51,200 1,599,488 Nationwide Financial Services, Inc. 94,300 3,446,665 Norfolk Southern Corp. 1,537,600 37,256,048 Northrop Grumman Corp. 427,771 44,116,023 Nucor Corp. 15,000 987,750 Occidental Petroleum Corp. 650,800 28,765,360 # Odyssey Re Holdings Corp. 50,500 1,275,125 Old Republic International Corp. 501,412 11,412,137 * Owens-Illinois, Inc. 314,400 4,662,552 * Pacificare Health Systems, Inc. 50,000 1,846,500 * Pactiv Corp. 55,100 1,299,258 *# PanAmSat Corp. 350,100 8,132,823 # Peabody Energy Corp. 54,600 2,715,804 # Penney (J.C.) Co., Inc. 1,120,000 40,073,600 PepsiAmericas, Inc. 192,000 4,078,080 * Phelps Dodge Corp. 287,085 19,493,072 # PMI Group, Inc. 191,100 8,249,787 Pogo Producing Co. 69,200 3,147,216 *# Pride International, Inc. 303,400 4,769,448 Principal Financial Group, Inc. 746,100 26,076,195 Protective Life Corp. 141,500 5,232,670 * Providian Financial Corp. 483,100 6,570,160 Pulte Homes Inc. 248,400 13,103,100 # Questar Corp. 251,000 9,199,150 *# Qwest Communications International, Inc. 2,000,600 7,502,250 Radian Group, Inc. 211,300 9,719,800 * Radio One, Inc. 22,900 395,712 Rayonier, Inc. 500 21,000 Raytheon Co. 1,311,300 43,600,725 Reinsurance Group of America, Inc. 114,100 4,535,475 * Rite Aid Corp. 969,800 4,868,396 # RJ Reynolds Tobacco Holdings, Inc. 251,326 14,124,521 Ryder System, Inc. 275,400 10,231,110 # Safeco Corp. 486,400 20,404,480 Saint Paul Companies, Inc. 695,326 27,590,536 Saks, Inc. 743,200 11,155,432 * Sanmina Corp. 639,900 6,770,142 SBC Communications, Inc. 430,200 10,195,740 # Sears, Roebuck & Co. 493,500 18,753,000 * Service Corp. International 237,100 1,707,120 * Smithfield Foods, Inc. 68,400 1,982,916 *# Smurfit-Stone Container Corp. 617,026 11,205,192 * Solectron Corp. 1,155,300 $ 6,354,150 # Sovereign Bancorp, Inc. 781,020 16,987,185 # Sprint Corp. 2,161,500 38,388,240 StanCorp Financial Group, Inc. 20,000 1,281,800 Starwood Hotels and Resorts Worldwide, Inc. 573,500 24,190,230 Steelcase, Inc. Class A 47,400 559,320 * Sun Microsystems, Inc. 2,143,700 9,067,851 Sunoco, Inc. 298,800 18,385,164 Supervalu, Inc. 565,200 17,532,504 *# Tech Data Corp. 119,000 4,776,660 # Telephone & Data Systems, Inc. 89,300 6,398,345 * Tellabs, Inc. 716,800 5,691,392 Temple-Inland, Inc. 131,300 8,576,516 * Tenet Healthcare Corp. 1,047,300 12,483,816 # Textron, Inc. 123,000 6,721,950 * The DIRECTV Group, Inc. 680,337 11,980,735 # Thomas & Betts Corp. 46,900 1,147,174 Tidewater, Inc. 100,900 2,788,876 * Time Warner, Inc. 7,039,080 119,945,923 Torchmark Corp. 127,200 6,892,968 * Toys R Us, Inc. 819,300 12,879,396 * Triad Hospitals, Inc. 147,000 5,197,920 # Tyson Foods, Inc. Class A 912,556 18,725,649 Union Pacific Corp. 824,200 48,067,344 Unionbancal Corp. 86,600 4,987,294 * Unisys Corp. 113,200 1,534,992 * United States Cellular Corp. 122,800 4,372,908 # United States Steel Corp. 326,200 9,903,432 Unitrin, Inc. 223,800 8,974,380 # UnumProvident Corp. 913,089 13,294,576 # Valero Energy Corp. 306,800 20,282,548 Valhi, Inc. 158,500 1,759,350 * VeriSign, Inc. 166,300 3,016,682 Viacom, Inc. Class B 3,061,100 112,923,979 *# Vishay Intertechnology, Inc. 315,716 5,957,561 * Vitesse Semiconductor, Inc. 2,800 15,288 * WebMD Corp. 25,800 228,588 Weis Markets, Inc. 20,800 710,320 Wesco Financial Corp. 13,540 5,103,903 * Westport Resources Corp. 30,800 1,065,680 # Weyerhaeuser Co. 565,400 34,195,392 Worthington Industries, Inc. 133,200 2,549,448 *# Xerox Corp. 75,000 1,015,500 --------------- TOTAL COMMON STOCKS (Cost $2,572,821,731) 3,122,322,882 --------------- FACE AMOUNT (000) --------------- TEMPORARY CASH INVESTMENTS -- (14.7%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $67,332,000 FNMA Discount Notes, 12/10/04, valued at $66,827,010) to be repurchased at $65,845,511 (Cost $65,839,000) $ 65,839 65,839,000
23
FACE AMOUNT VALUE+ --------------- --------------- (000) Repurchase Agreement, Merrill Lynch Triparty Repo 0.96%, 06/01/04 (Collateralized by $471,136,000 U.S. Treasury Obligations rates ranging from 1.625% to 6.00%, maturities ranging from 08/15/04 to 02/15/12, valued at $483,699,189) to be repurchased at $474,263,981 (Cost $474,213,398)^ $ 474,213 $ 474,213,398 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $540,052,398) 540,052,398 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,112,874,129)++ $ 3,662,375,280 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. ++ The cost for federal income tax purposes is $3,112,874,157. See accompanying Notes to Financial Statements. 24 THE U.S. SMALL CAP SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- COMMON STOCKS -- (92.0%) * 1-800 CONTACTS, Inc. 23,636 $ 347,449 * 1-800-FLOWERS.COM, Inc. 47,097 451,660 1st Source Corp. 34,441 781,811 # 21st Century Holding Co. 1,100 21,461 21st Century Insurance Group 76,800 1,005,312 * 24/7 Real Media, Inc. 3,180 18,476 * 3-D Systems Corp. 22,000 265,958 * 4Kids Entertainment, Inc. 23,500 508,775 * 7-Eleven, Inc. 16,600 285,022 *# 8X8, Inc. 19,200 50,880 * 99 Cents Only Stores 5,500 106,755 * @Road, Inc. 94,700 841,883 * A. B. Watley Group, Inc. 9,400 1,880 * A.C. Moore Arts & Crafts, Inc. 34,900 924,850 * A.D.A.M., Inc. 700 1,470 *# aaiPharma, Inc. 47,250 217,822 * Aames Financial Corp. 240 706 * AAON, Inc. 13,100 250,996 * AAR Corp. 58,083 556,435 Aaron Rents, Inc. Class A 5,700 151,050 Aaron Rents, Inc. Class B 21,600 642,600 * Abaxis, Inc. 18,300 341,661 ABC Bancorp 8,310 163,458 * Abgenix, Inc. 150,134 2,270,026 *# Abiomed, Inc. 38,270 472,634 * Able Laboratories, Inc. 30,200 561,720 * Ablest, Inc. 2,100 11,130 ABM Industries, Inc. 87,600 1,666,152 Abrams Industries, Inc. 200 840 * ABX Air, Inc. 66,600 299,700 * Acacia Research-Acacia Technologies Common Stock 20,960 129,952 * Acacia Research-CombiMatrix Corp. 10,434 41,214 * Accelrys, Inc. 52,900 528,471 * Access Pharmaceuticals, Inc. 26,300 147,543 *# Acclaim Entertainment, Inc. 55,700 23,450 * Accredo Health, Inc. 44,343 1,613,198 * Ace Cash Express, Inc. 23,042 548,400 * Ace Comm Corp. 7,500 18,300 Aceto Corp. 28,550 458,798 * Aclara Biosciences, Inc. 60,171 228,650 * Acme Communications, Inc. 28,600 221,364 * Acme United Corp. 3,400 23,800 * ACT Manufacturing, Inc. 4,600 25 * ACT Teleconferencing, Inc. 25,700 66,075 * Actel Corp. 46,200 922,152 * Acterna Corp. 122,100 3,052 Action Performance Companies, Inc. 33,000 499,950 * ActivCard Corp. 74,043 473,135 * Active Power, Inc. 76,200 266,700 * Activision, Inc. 97,214 1,537,925 * Actuant Corp. 42,480 1,454,090 * Actuate Corp. 110,500 413,270 Acuity Brands, Inc. 27,700 683,082 Adams Resources & Energy, Inc. 4,200 58,380 * Adaptec, Inc. 187,800 $ 1,538,082 *# Addvantage Technologies Group, Inc. 1,700 9,222 * ADE Corp. 13,300 279,300 * Adept Technology, Inc. 7,000 6,650 * Administaff, Inc. 47,800 790,612 * Adolor Corp. 69,800 974,408 * Advanced Digital Information Corp. 115,500 1,033,725 * Advanced Energy Industries, Inc. 55,300 847,749 * Advanced Magnetics, Inc. 12,300 120,663 Advanced Marketing Services, Inc. 32,350 358,114 * Advanced Materials Group, Inc. 237 115 * Advanced Medical Optics, Inc. 52,400 1,839,240 * Advanced Neuromodulation Systems, Inc. 33,200 1,083,316 * Advanced Nutraceuticals, Inc. 700 3,150 *# Advanced Photonix, Inc. Class A 9,000 21,240 * Advanced Power Technology, Inc. 18,195 240,356 Advanta Corp. Class A 18,317 296,003 Advanta Corp. Class B Non-Voting 30,994 491,565 * Advent Software, Inc. 59,400 1,123,848 Advo, Inc. 53,850 1,724,277 * Aehr Test Systems 7,100 28,400 * AEP Industries, Inc. 13,000 138,437 * AeroCentury Corp. 300 771 * Aeroflex, Inc. 133,450 1,702,822 * Aeropostale, Inc. 102,250 2,688,152 * Aerosonic Corp. 3,900 27,300 * Aether Systems, Inc. 74,742 254,870 * Aetrium, Inc. 9,300 85,374 * AFC Enterprises, Inc. 39,800 805,950 *# Affiliated Managers Group, Inc. 39,150 1,908,562 * Affinity Technology Group, Inc. 29,100 2,386 * Aftermarket Technology Corp. 41,150 602,436 * Agile Software Corp. 89,900 719,200 *# Agility Capital, Inc. 5,900 38 Agilysys, Inc. 57,788 711,370 * Air Methods Corp. 19,470 154,592 Airgas, Inc. 62,500 1,361,250 * Airnet Systems, Inc. 17,400 74,472 * Airspan Networks, Inc. 62,500 346,875 * Airtran Holdings, Inc. 151,400 2,107,488 * AK Steel Holding Corp. 195,400 894,932 *# Akamai Technologies, Inc. 165,213 2,455,065 *# Akorn, Inc. 19,500 64,350 *# Aksys, Ltd. 53,000 322,240 Alabama National Bancorporation 27,689 1,421,553 Alamo Group, Inc. 12,500 195,625 * Alaris Medical, Inc. 114,300 2,540,889 * Alaska Air Group, Inc. 48,200 992,920 * Alaska Communications Systems Group, Inc. 22,200 143,190 Albany International Corp. Class A 50,272 1,532,793 * Albany Molecular Research, Inc. 56,978 720,202 Albemarle Corp. 74,581 2,146,441 * Alcide Corp. 2,300 47,288 * Alderwoods Group, Inc. 6,000 77,460
25
SHARES VALUE+ --------------- --------------- Aldila, Inc. 4,633 $ 70,468 Alexander & Baldwin, Inc. 58,000 1,848,460 * Alexion Pharmaceuticals, Inc. 39,500 791,975 Alfa Corp. 144,161 1,967,798 Alico, Inc. 7,000 247,100 * Align Technology, Inc. 106,612 2,032,025 * Alkermes, Inc. 157,411 2,266,718 * All American Semiconductor, Inc. 4,000 36,440 *# Allegheny Energy, Inc. 151,400 2,157,450 Allegheny Technologies, Inc. 145,700 1,749,857 Allen Organ Co. Class B 800 40,000 * Alliance Gaming Corp. 90,860 1,971,662 * Alliance Imaging, Inc. 86,400 331,776 * Alliance Semiconductor Corp. 62,500 373,125 * Allied Defense Group, Inc. 12,400 217,496 * Allied Healthcare International, Inc. 36,000 181,080 * Allied Healthcare Products, Inc. 6,700 36,381 * Allied Holdings, Inc. 8,300 42,330 * Allied Motion Technologies, Inc. 2,900 14,993 * Allmerica Financial Corp. 40,600 1,305,290 *# Allos Therapeutics, Inc. 55,700 103,045 * Allou Health Care, Inc. Class A 7,100 1 * Alloy, Inc. 71,200 356,712 * Allscripts Healthcare Solutions, Inc. 66,000 543,774 * Almost Family, Inc. 1,600 12,648 * Alpha Technologies Group, Inc. 7,100 9,940 Alpharma, Inc. Class A 70,700 1,384,306 * Alpine Group, Inc. 13,500 27,567 * Alteon, Inc. 61,700 80,210 *# Alterra Healthcare Corp. 4,900 0 * Altiris, Inc. 47,200 1,262,600 Ambassadors Group, Inc. 9,800 201,782 Ambassadors, Inc. 9,800 125,734 * AMC Entertainment, Inc. 60,600 915,060 * Amcast Industrial Corp. 8,500 34,425 Amcol International Corp. 52,700 880,090 Amcore Financial, Inc. 45,460 1,321,522 * Amedisys, Inc. 20,993 523,146 * AMEN Properties, Inc. 1,975 4,916 * Amerco, Inc. 13,900 347,639 * America Services Group, Inc. 12,700 457,200 * America West Holdings Corp. Class B 60,100 602,202 * American Banknote Corp. 88 25 American Biltrite, Inc. 3,400 33,150 * American Building Control, Inc. 14,000 26,180 *# American Business Financial Services, Inc. 5,074 16,644 * American Claims Evaluation, Inc. 1,000 2,890 * American Dental Partners, Inc. 10,500 179,025 * American Eagle Outfitters, Inc. 40,860 1,183,306 * American Ecology Corp. 14,350 125,562 * American Greetings Corp. Class A 89,600 1,881,600 *# American Healthways, Inc. 57,800 1,187,790 * American Indemnity Financial Escrow 800 800 * American Independence Corp. 8,400 130,872 American Italian Pasta Co. 30,600 895,356 * American Locker Group, Inc. 300 3,396 * American Medical Electronics, Inc. (Escrow-Bonus) 4,400 0 * American Medical Electronics, Inc. (Escrow-Earnings) 4,400 $ 0 * American Medical Security Group, Inc. 24,200 625,086 * American Medical Systems Holdings, Inc. 59,500 1,864,135 American Pacific Corp. 7,100 51,830 * American Physicians Capital, Inc. 14,800 341,140 * American Physicians Services Group, Inc. 100 980 * American Retirement Corp. 42,900 193,050 * American Science & Engineering, Inc. 12,400 214,024 American Shared Hospital Services 5,100 28,968 American Software, Inc. Class A 32,300 206,397 American States Water Co. 27,450 642,330 * American Superconductor Corp. 49,300 619,208 * American Technical Ceramics Corp. 8,000 70,800 American Vanguard Corp. 621 23,846 * American West Bancorporation 3,552 63,652 American Woodmark Corp. 13,700 788,298 Americana Bancorp, Inc. 2,712 44,070 * America's Car-Mart, Inc. 12,900 380,550 * AMERIGROUP Corp. 44,300 1,868,131 * AmeriServe Financial, Inc. 24,000 138,000 Ameristar Casinos, Inc. 48,500 1,592,740 Ameron International Corp. 13,700 426,207 # AmerUs Group Co. 46,844 1,843,311 * Ames Department Stores, Inc. 12,800 22 Ametek, Inc. 400 10,804 * Amistar Corp. 1,600 3,608 * AML Communications, Inc. 7,800 11,310 * AMN Healthcare Services, Inc. 58,700 892,240 Ampco-Pittsburgh Corp. 9,600 124,512 * Ampex Corp. Class A 5,925 10,369 Amrep Corp. 6,500 111,670 * Amsurg Corp. 54,333 1,230,654 * Amtech Systems, Inc. 1,900 9,652 * AMX Corp. 11,000 109,890 * Anacomp, Inc. 0 12 * Anadigics, Inc. 54,600 269,178 * Analex Corp. 25,800 92,880 Analogic Corp. 24,500 1,130,185 * Analysts International Corp. 41,200 123,188 *# Analytical Surveys, Inc. 730 1,825 * Anaren, Inc. 36,800 585,856 Anchor Bancorp Wisconsin, Inc. 41,240 1,087,499 Andersons, Inc. 8,200 141,532 *# Andrew Corp. 3,409 66,987 * Angeion Corp. 215 318 Angelica Corp. 16,100 359,030 * Angelo & Maxie's, Inc. 2,016 2,157 * Anika Therapeutics, Inc. 9,900 139,600 Anixter International, Inc. 65,900 2,009,950 * Ansoft Corp. 22,500 334,350 * AnswerThink, Inc. 84,800 543,653 * Ansys, Inc. 27,600 1,189,008 * Anteon International Corp. 63,500 1,870,710 * Anthony and Sylvan Pools Corp. 3,768 15,826 *# Antigenics, Inc. 81,113 654,582 * AP Pharma, Inc. 37,123 123,248
26
SHARES VALUE+ --------------- --------------- * APA Optics, Inc. 11,800 $ 29,500 * APAC Teleservices, Inc. 106,450 237,383 * Aphton Corp. 63,639 287,012 Apogee Enterprises, Inc. 49,500 493,020 * Apogee Technology, Inc. 1,300 11,479 * Applica, Inc. 42,800 420,296 * Applied Extrusion Technologies, Inc. 22,600 23,730 * Applied Films Corp. 26,361 713,065 * Applied Imaging Corp. 15,800 18,486 Applied Industrial Technologies, Inc. 34,000 909,500 * Applied Innovation, Inc. 15,100 60,400 Applied Signal Technologies, Inc. 19,700 615,625 * Applix, Inc. 23,900 105,160 * Apria Healthcare Group, Inc. 54,100 1,519,128 * Apropos Technology, Inc. 30,400 123,424 Aptargroup, Inc. 38,500 1,565,025 * aQuantive, Inc. 108,925 1,095,785 * Aquila, Inc. 331,800 1,330,518 *# Aradigm Corp. 92,337 100,647 * Arch Capital Group, Ltd. 5,900 227,622 Arch Chemicals, Inc. 40,622 1,077,702 Arch Coal, Inc. 73,400 2,385,500 * Arch Wireless, Inc. 35,100 1,112,319 Arctic Cat, Inc. 26,830 618,431 *# Ardent Communications, Inc. 12,900 32 * Arena Pharmaceuticals, Inc. 45,878 268,845 * Argonaut Group, Inc. 46,301 804,711 * Argonaut Technologies, Inc. 12,000 19,560 * Argosy Gaming Corp. 52,900 1,881,124 * Ariad Pharmaceuticals, Inc. 92,800 996,672 *# Ariba, Inc. 532,400 1,160,632 * Ark Restaurants Corp. 2,700 59,670 Arkansas Best Corp. 44,900 1,337,571 * Arlington Hospitality, Inc. 4,900 16,660 * Armor Holdings, Inc. 51,400 1,922,360 *# Armstrong Holdings, Inc. 4,400 3,872 *# Arotech Corp 57,100 145,034 * Arqule, Inc. 51,674 299,709 * Array BioPharma, Inc. 51,415 487,414 # Arrhythmia Research Technology, Inc. 3,900 49,608 * Arris Group, Inc. 147,400 931,568 Arrow Financial Corp. 9,941 292,265 Arrow International, Inc. 73,300 2,211,461 * Art Technology Group, Inc. 100,500 137,685 Artesian Resources Corp. Class A 700 19,096 * Artesyn Technologies, Inc. 69,300 633,402 * Arthrocare Corp. 38,310 937,829 * Artisan Components, Inc. 40,500 1,025,865 * Artisoft, Inc 2,400 6,264 * Arts Way Manufacturing Co., Inc. 200 1,036 * ASA International. Ltd. 640 2,880 ASB Financial Corp. 1,000 23,000 * Asbury Automotive Group, Inc. 98,100 1,402,830 * Ascential Software Corp. 66,079 1,060,568 * Ashworth, Inc. 23,371 186,734 *# Ask Jeeves, Inc. 78,400 3,167,360 * Aspect Communications Corp. 105,200 1,350,768 * Aspect Medical Systems, Inc. 35,000 532,700 * Aspen Technology, Inc. 73,579 464,283 * Aspeon, Inc. 900 9 *# Astea International, Inc. 2,900 30,189 * Astec Industries, Inc. 35,500 $ 614,505 Astro-Med, Inc. 9,130 96,778 * Astronics Corp. 5,500 27,830 * Astronics Corp. Class B 2,225 10,680 *# AstroPower, Inc. 6,550 262 * ASV, Inc. 22,800 690,156 * Asyst Technologies, Inc. 84,500 864,435 *# ATA Holdings Corp. 21,179 134,487 * Atari, Inc. 209,809 583,269 * AtheroGenics, Inc. 66,600 1,564,434 * Atlantic American Corp. 21,100 62,667 * Atlantic Coast Airlines, Inc. 68,000 383,520 * Atlantic Premium Brands, Ltd. 2,000 2,600 * Atlantis Plastics, Inc. 4,400 67,980 * Atlas Air Worldwide Holdings, Inc. 11,000 572 * ATMI, Inc. 55,900 1,432,158 # Atmos Energy Corp. 93,300 2,312,907 * ATP Oil & Gas Corp. 53,900 319,088 Atrion Corp. 1,700 73,508 * Atrix Labs, Inc. 38,900 1,061,581 * ATS Medical, Inc. 2,200 10,340 * Atwood Oceanics, Inc. 24,900 991,518 * Audiovox Corp. Class A 34,300 477,456 * August Technology Corp. 31,800 427,710 * Ault, Inc. 4,500 13,410 * Aura Systems, Inc. 5,295 199 * Aurora Foods, Inc. 44 0 *# Authentidate Holding Corp. 50,900 641,340 * autobytel.com, Inc. 73,800 771,210 * Avalon Holding Corp. Class A 1,550 4,115 * Avanex Corp. 229,116 710,260 * Avanir Pharmaceuticals Class A 58,000 80,620 * Avant Immunotherapeutics, Inc. 133,134 323,516 * Avatar Holdings, Inc. 8,700 364,008 Avatech Solutions, Inc 1,851 1,481 * Avi Biopharma, Inc. 61,400 138,764 * Aviall, Inc. 57,700 1,001,672 * Avici Systems Inc. 21,343 225,382 *# Avid Technology, Inc. 45,100 2,346,102 * Avigen, Inc. 37,800 133,812 Avista Corp. 87,000 1,475,520 * Avocent Corp. 52,600 1,802,602 * Avteam, Inc. Class A 11,400 17 * Aware, Inc. 40,959 133,117 * Axcelis Technologies, Inc. 177,900 2,143,695 * Axonyx, Inc. 1,300 6,448 *# AXS-One, Inc. 50,400 149,184 * Axsys Technologies, Inc. 4,700 90,945 * AXT, Inc. 38,200 80,984 * Aztar Corp. 62,100 1,497,231 * AZZ, Inc. 8,200 122,180 Badger Meter, Inc. 3,200 134,464 * Badger Paper Mills, Inc. 1,000 5,135 Bairnco Corp. 7,300 59,130 * Baker (Michael) Corp. 7,600 109,060 Balchem Corp. 4,700 122,670 Baldor Electric Co. 59,233 1,371,836 Baldwin & Lyons, Inc. Class B 12,625 304,894 * Baldwin Technology, Inc. Class A 13,300 49,210 * Ballantyne Omaha, Inc. 11,900 34,748 * Bally Total Fitness Holding Corp. 57,800 265,880
27
SHARES VALUE+ --------------- --------------- * Bancinsurance Corp. 5,700 $ 46,797 Bandag, Inc. 16,400 694,868 Bandag, Inc. Class A 9,600 380,832 Bank of Granite Corp. 16,400 317,668 Bank of The Ozarks 15,200 367,840 BankAtlantic Bancorp, Inc. Class A 11,285 180,560 * Bankrate, Inc. 7,000 79,450 * BankUnited Financial Corp. Class A 51,400 1,341,026 Banner Corp. 20,197 589,752 Banta Corp. 46,600 2,033,624 Barnes Group, Inc. 41,400 1,099,998 Barnwell Industries, Inc. 400 18,384 Barra, Inc. 33,000 1,350,030 * Barrett Business Services, Inc. 5,800 78,532 * Barry (R.G.) Corp. 9,500 20,235 Bassett Furniture Industries, Inc. 20,815 396,089 * Bay View Capital Corp. 92,550 188,802 * Baycorp Holdings, Ltd. 484 6,423 * BE Aerospace, Inc. 65,700 419,166 * Beasley Broadcast Group, Inc. 12,303 188,482 # Beazer Homes USA, Inc. 12,553 1,264,966 * Bebe Stores, Inc. 69,900 1,396,602 BEI Technologies, Inc. 26,500 706,755 Bel Fuse, Inc. Class A 2,600 78,679 Bel Fuse, Inc. Class B 5,250 190,785 Belden, Inc. 40,696 687,762 * Bell Industries, Inc. 8,900 26,255 * Bell Microproducts, Inc. 48,900 311,493 * Benchmark Electronics, Inc. 74,000 2,155,620 * Benihana, Inc. 1,000 14,500 * Benihana, Inc. Class A 150 2,196 * Bentley Pharmaceuticals, Inc. 37,060 466,956 Berry Petroleum Corp. Class A 44,700 1,218,075 *# Bethlehem Steel Corp. 37,300 119 * Beverly Enterprises 193,200 1,638,336 * Beyond.com Corp. 3,140 44 BHA Group Holdings, Inc. Class A 6,100 199,043 * Big 4 Ranch, Inc. 3,200 0 * Big City Radio, Inc. 6,400 832 * Big Dog Holdings, Inc. 1,500 7,216 * BindView Development Corp. 84,700 258,335 * Bio Imaging Technologies, Inc. 18,500 104,340 * Bioanalytical Systems, Inc. 4,600 18,515 * Biocryst Pharmaceuticals, Inc. 38,700 417,960 *# BioLase Technology, Inc. 43,200 509,328 * Bio-Logic Systems Corp. 4,200 26,082 * BioMarin Pharmaceutical, Inc. 112,885 689,727 * Bio-Rad Laboratories, Inc. Class A 20,000 1,122,400 * Bio-Reference Laboratories, Inc. 20,912 319,744 * BioSante Pharmaceuticals, Inc. 25,300 192,280 *# Biosite, Inc. 28,100 1,117,537 * Biosource International, Inc. 9,600 69,226 * Biospecifics Technologies Corp. 4,500 6,750 * BioSphere Medical, Inc. 24,600 75,768 * BioTime, Inc. 11,000 19,800 * Bioveris Corp. 30,900 388,104 * Bitstream, Inc. 8,400 19,152 BIW, Ltd. 800 15,588 Black Box Corp. 32,300 1,471,265 Black Hills Corp. 57,559 1,686,479 Blair Corp. 13,700 352,090 * Blonder Tongue Laboratories, Inc. 9,800 $ 30,870 * Blount International, Inc. 43,400 433,132 * Blue Coat Systems, Inc. 18,786 522,251 * Blue Martini Software, Inc. 19,500 87,535 * Bluegreen Corp. 45,665 547,067 Blyth, Inc. 38,100 1,243,965 * BMC Industries, Inc. 14,000 875 * BNS Co. Class A 4,120 25,338 Bob Evans Farms, Inc. 63,338 1,627,153 * Boca Resorts, Inc. 68,745 1,236,035 * Bogen Communications International, Inc. 12,500 62,812 * Bolt Technology Corp. 5,400 24,840 * Bombay Co., Inc. 62,900 366,078 * Bone Care International, Inc. 25,821 551,278 * Bontex, Inc. 200 30 Bon-Ton Stores, Inc. 20,900 267,311 * Bookham Technologies P.L.C. 98,279 103,193 * Books-a-Million, Inc. 18,300 109,800 * Borland Software Corp. 145,900 1,283,920 Boston Acoustics, Inc. 4,600 50,600 * Boston Beer Company, Inc. Class A 16,400 313,240 * Boston Biomedical, Inc. 6,700 21,172 * Boston Communications Group, Inc. 33,000 349,800 Boston Private Financial Holdings, Inc. 49,100 1,123,899 Bostonfed Bancorp, Inc. 4,300 144,480 * Bottomline Technologies, Inc. 27,904 267,878 Bowne & Co., Inc. 62,000 987,040 # Boyd Gaming Corp. 103,200 2,399,400 * Boyds Collection, Ltd. 121,517 347,539 * Bradley Pharmaceuticals, Inc. Class A 25,251 587,843 Brady (W.H.) Co. Class A 37,400 1,543,872 * Braun Consulting, Inc. 30,100 50,568 * Breed Technologies, Inc. 36,800 975 Bridgford Foods Corp. 10,400 80,080 Briggs & Stratton Corp. 27,300 2,071,524 * Brigham Exploration Co. 60,182 512,811 * Bright Horizons Family Solutions, Inc. 6,600 326,106 * Brightpoint, Inc. 34,700 386,558 * BrightStar Information Technology Group, Inc. 10,700 385 * Brillian Corp. 7,049 59,571 * Brilliant Digital Entertainment, Inc. 18,000 1,278 *# BriteSmile, Inc. 785 8,635 * Broadview Media, Inc. 200 1,220 * BroadVision, Inc. 59,800 206,848 * Brocade Communications Systems, Inc. 17,800 106,622 # Brookline Bancorp, Inc. 106,091 1,534,076 * Brooks Automation, Inc. 75,239 1,554,438 * Brookstone, Inc. 35,875 692,746 * Brooktrout, Inc. 23,462 225,704 Brown Shoe Company, Inc. 32,500 1,343,225 * Bruker BioSciences Corp. 166,445 792,278 * Brush Engineered Materials, Inc. 30,100 524,342 Bryn Mawr Bank Corp. 1,600 32,960 BSB Bancorp, Inc. 16,785 583,279 * BSQUARE Corp. 19,000 18,411 * BTU International, Inc. 11,900 62,832
28
SHARES VALUE+ --------------- --------------- * Buca, Inc. 33,971 $ 179,027 * Buckeye Technology, Inc. 65,183 657,696 Buckle, Inc. 30,000 842,700 Building Materials Holding Corp. 24,100 414,761 * Bull Run Corp. 3,700 2,016 Burlington Coat Factory Warehouse Corp. 75,549 1,438,453 * Bush Industries, Inc. Class A 6,500 4,355 * Butler International, Inc. 8,400 20,832 C & D Technologies, Inc. 49,600 809,968 C & F Financial Corp. 300 11,280 * C-COR.net Corp. 75,800 673,862 *# C-Phone Corp. 8,900 156 * Cable Design Techologies Corp. 85,487 712,962 *# Cabot Microelectronics Corp. 42,300 1,317,645 Cabot Oil & Gas Corp. Class A 58,400 2,149,120 * Cache, Inc. 18,700 486,387 * Caci International, Inc. Class A 52,400 1,946,136 Cadmus Communications Corp. 8,900 122,642 * Cagle's, Inc. Class A 2,000 21,820 * Cal Dive International, Inc. 67,800 1,904,502 Calavo Growers 16,200 165,888 Calgon Carbon Corp. 67,400 416,532 * California Amplifier, Inc. 26,800 201,000 * California Coastal Communities, Inc. 10,000 160,500 California First National Bancorp 10,400 136,864 * California Micro Devices Corp. 38,000 511,480 * California Pizza Kitchen, Inc. 34,000 641,920 California Water Service Group 30,500 867,725 * Caliper Life Sciences, Inc. 56,174 298,284 Callaway Golf Co. 136,000 2,200,480 * Callidus Software 32,000 228,480 * Callon Petroleum Corp. 25,162 330,125 * Calloways Nursery, Inc. 1,200 198 # Cal-Maine Foods, Inc. 39,100 539,580 * Calton, Inc. 4,480 1,926 * CAM Commerce Solutions, Inc. 3,000 56,737 Cambrex Corp. 51,700 1,181,345 * Cambridge Heart, Inc. 6,600 4,290 Camco Financial Corp. 7,516 107,704 * Candela Corp. 39,910 415,064 * Candies, Inc. 45,550 114,786 * Candlewood Hotel Co., Inc. 1,500 85 * Cannon Express, Inc. Class A 200 36 * Cannondale Corp. 6,400 896 * Cantel Medical Corp. 16,740 287,928 * Canterbury Consulting Group, Inc. 1,571 1,296 * Canyon Resources Corp. 48,600 158,436 Capital Corp. of the West 5,046 181,656 * Capital Crossing Bank 5,900 374,060 * Capital Pacific Holdings, Inc. 14,500 58,362 * Capital Senior Living Corp. 42,200 217,330 Capital Southwest Corp. 300 22,650 Capitol Bancorp, Ltd. 8,564 215,984 * Caprius, Inc. 548 110 * Capstone Turbine Corp. 74,000 206,460 * Captaris, Inc. 57,600 348,480 * Captiva Software Corp. 4,400 44,308 * Caraustar Industries, Inc. 51,184 684,842 # Carbo Ceramics, Inc. 28,600 1,999,140 * Cardiac Sciences, Inc. 136,100 340,250 * Cardima, Inc. 6,300 $ 5,418 * CardioDynamics International Corp. 85,661 563,649 *# CardioGenesis Corp. 32,100 21,507 * Cardiotech International, Inc. 31,263 117,236 * Career Blazers, Inc. Trust Units 800 0 * Carmike Cinemas, Inc. 19,700 721,020 Carpenter Technology Corp. 40,400 1,228,968 * Carreker Corp. 21,871 199,682 * Carriage Services, Inc. Class A 28,700 147,805 * Carrier Access Corp. 59,989 667,078 * Carrington Laboratories, Inc. 9,800 42,042 * Carrizo Oil & Gas, Inc. 14,100 119,286 Cascade Corp. 20,800 508,560 Cascade Natural Gas Corp. 20,100 399,387 * Casella Waste Systems, Inc. Class A 40,669 568,553 Casey's General Stores, Inc. 84,800 1,384,784 Cash America International, Inc. 48,200 972,194 * Castle (A.M.) & Co. 15,437 131,060 Castle Energy Corp. 6,600 71,709 * Casual Male Retail Group, Inc. 63,100 429,080 * Catalina Lighting, Inc. 1,760 18,865 * Catalina Marketing Corp. 90,800 1,533,612 * Catalyst International, Inc. 7,600 10,640 * Catalyst Semiconductor, Inc. 28,040 224,881 * Catalytica Energy Systems, Inc. 15,391 51,560 * Catapult Communications Corp. 22,600 373,126 Cathay Bancorp, Inc. 38,961 2,460,387 Cato Corp. Class A 35,000 771,050 * Cavalier Homes, Inc. 32,060 180,818 Cavalry Bancorp, Inc. 500 7,530 * Cavco Industries, Inc. 3,852 146,141 CCA Industries, Inc. 11,800 91,450 * CCC Information Services Group, Inc. 25,700 372,136 * CD Warehouse, Inc. 3,300 7 * CD&L, Inc. 2,600 3,640 CDI Corp. 35,300 1,171,607 * CEC Entertainment Inc. 69,550 2,137,271 * Celadon Group, Inc. 14,000 201,880 * Celebrity, Inc. Escrow Shares 1,300 0 Celeritek, Inc. 22,200 78,144 * Cell Genesys, Inc. 79,352 815,739 *# Cell Therapeutics, Inc. 88,200 617,400 * Cellegy Pharmaceuticals, Inc. 46,100 187,166 * CellStar Corp. 33,948 205,385 * Centene Corp. 36,200 1,305,010 * Centennial Communications Corp. 49,800 359,556 Center Bancorp, Inc. 1,890 22,189 Center Finl CO 12,960 191,160 *# CenterSpan Communication Corp. 8,400 714 * Centillium Communications, Inc. 64,069 211,428 * Centra Software, Inc. 45,500 99,190 Central Bancorp, Inc. 1,600 56,880 *# Central European Distribution Corp. 19,418 587,977 * Central Garden & Pet Co. 30,300 1,126,251 Central Pacific Financial Corp. 28,400 687,280 Central Parking Corp. 63,137 1,167,403 Central Vermont Public Service Corp. 21,700 423,367 * Century Aluminum Co. 55,390 1,283,386 Century Bancorp Income Class A 1,000 32,700 * Century Business Services, Inc. 141,857 584,451
29
SHARES VALUE+ --------------- --------------- * Cenveo, Inc. 84,800 $ 262,032 * Cepheid, Inc. 74,706 683,560 * Ceradyne, Inc. 28,650 953,185 Cerberonics, Inc. Class A 200 1,852 * Ceres Group, Inc. 54,395 338,337 *# Cerner Corp. 49,309 2,108,453 * Cerus Corp. 39,700 85,355 * CEVA, Inc. 10,833 86,664 CFS Bancorp, Inc. 21,420 290,241 CH Energy Group, Inc. 28,700 1,305,850 * Chad Therapeutics 10,000 42,500 * Champion Enterprises, Inc. 126,100 1,179,035 Champion Industries, Inc. 9,674 44,307 * Championship Auto Racing Teams, Inc. 8,900 1,041 * Champps Entertainment, Inc. 21,340 191,398 * Channell Commercial Corp. 6,600 29,700 * Charles and Colvard, Ltd. 23,800 139,944 * Charles River Associates, Inc. 9,000 305,370 * Charlotte Russe Holding, Inc. 38,600 713,714 * Charming Shoppes, Inc. 200,877 1,719,507 * Chart Industries 23 690 *# Charter Communications, Inc. 142,500 548,625 Charter Financial Corp. 22,811 770,784 Chase Corp. 4,000 59,200 * Chattem, Inc. 35,000 930,300 * Chaus (Bernard), Inc. 1,300 1,300 * Checkers Drive-In Restaurant, Inc. 21,107 216,347 * Checkpoint Systems, Inc. 67,700 1,168,502 Chemed Corp. 20,900 986,898 Chemical Financial Corp. 42,938 1,504,977 * Cheniere Energy, Inc. 31,200 471,120 Cherokee, Inc. 8,100 186,300 Chesapeake Corp. 32,802 712,459 Chesapeake Utilities Corp. 9,000 209,970 Chester Valley Bancorp 575 11,759 * Chicago Pizza & Brewery, Inc. 35,022 469,995 Chicago Rivet & Machine Co. 200 5,829 * Children's Place Retail Stores, Inc. 45,400 1,075,072 * Childtime Learning Centers, Inc. 5,200 13,884 *# ChipPAC, Inc. 155,100 1,008,150 * Chiquita Brands International, Inc. 72,996 1,278,890 Chittenden Corp. 66,083 2,141,750 Choice Hotels International, Inc. 53,600 2,567,440 * Cholestech Corp. 25,300 241,615 * Chordiant Software, Inc. 122,500 474,075 Christopher & Banks Corp. 68,013 1,292,247 *# ChromaVision Medical Systems, Inc. 20,200 27,068 * Chromcraft Revington, Inc. 6,000 84,900 * Chronimed, Inc. 21,901 162,067 Churchill Downs, Inc. 14,400 545,472 *# Chyron Corp. 33,400 20,040 * Ciber, Inc. 117,312 1,044,077 * Cima Laboratories, Inc. 19,900 643,168 * Cimarex Energy Co. 14,004 394,773 * Cincinnati Bell, Inc. 447,700 1,844,524 * Ciphergen Biosystems, Inc. 52,200 407,682 * Ciprico, Inc. 4,900 22,809 CIRCOR International, Inc. 26,290 516,336 * Cirrus Logic, Inc. 151,800 1,127,874 Citizens Banking Corp. 67,033 2,010,320 Citizens South Banking Corp. 14,029 $ 181,676 *# Citizens, Inc. Class A 57,326 390,963 City Holding Co. 30,086 903,182 * CKE Restaurants, Inc. 103,800 1,050,456 Clarcor, Inc. 45,700 1,938,137 * Clark, Inc. 31,124 544,048 * Clarus Corp. 29,800 353,428 *# Clayton Williams Energy, Inc. 9,200 211,048 *# Clean Harbors, Inc. 25,100 182,979 * Clearone Communications, Inc. 11,300 66,387 Cleco Corp. 84,700 1,469,545 * Cleveland Cliffs, Inc. 19,200 900,288 *# ClickAction, Inc. Escrow 7,900 395 Clinical Data Inc 1,787 20,157 * Closure Medical Corp. 25,642 638,999 * CMG Information Services, Inc. 66,700 131,399 *# CMS Energy Corp. 273,775 2,359,940 * CNA Surety Corp. 67,918 706,347 *# CNE Group, Inc. 2,000 820 * CNET Networks, Inc. 241,100 2,329,026 CNS, Inc. 24,800 249,736 Coachmen Industries, Inc. 28,000 452,480 * Coast Dental Services, Inc. 2,066 6,405 Coast Distribution System 5,600 35,784 * Coastcast Corp. 7,600 16,340 CoBiz, Inc. 12,825 177,498 * Cobra Electronics Corp. 6,100 54,717 Coca-Cola Bottling Co. Consolidated 6,000 333,420 *# Coeur d'Alene Mines Corp. 457,200 2,144,268 * Cogent Communications Group, Inc. 8,913 3,565 Cognex Corp. 64,800 2,147,472 * Cognitronics Corp. 4,250 15,045 * Coherent, Inc. 53,846 1,458,688 Cohu, Inc. 38,600 731,470 *# Coinstar, Inc. 38,200 664,680 * Coldwater Creek, Inc. 23,850 634,648 Cole (Kenneth) Productions, Inc. Class A 19,450 636,987 * Cole National Corp. Class A 14,800 336,108 * Collagenex Pharmaceuticals, Inc. 25,400 249,428 * Collins & Aikman Corp. 142,960 759,118 Collins Industries, Inc. 7,000 39,970 Columbia Banking System, Inc. 25,547 542,107 * Columbia Laboratories, Inc. 71,600 219,096 * Columbus McKinnon Corp. 25,800 136,714 * Comarco, Inc. 10,200 72,624 * Comdial Corp. 600 1,560 * Comforce Corp. 13,277 26,288 * Comfort Systems USA, Inc. 65,500 461,775 Commerce Group, Inc. 33,100 1,500,092 *# Commerce One, Inc. 51,000 52,020 Commercial Bancshares, Inc. 5,665 144,741 Commercial Federal Corp. 71,900 2,014,638 Commercial Metals Co. 52,300 1,574,230 Commercial National Financial Corp. 3,200 80,800 * Commonwealth Industries, Inc. 28,815 257,894 *# Commonwealth Telephone Enterprises, Inc. 38,100 1,615,440 *# Commscope, Inc. 110,400 1,904,400 Communications Systems, Inc. 8,200 64,780 Community Bank System, Inc. 48,600 1,070,172
30
SHARES VALUE+ --------------- --------------- Community Bankshares, Inc. 210 $ 3,906 Community First Bankshares, Inc. 63,200 2,028,720 Community Trust Bancorp, Inc. 13,730 427,964 Community West Bancshares 5,500 46,612 * Competitive Technologies, Inc. 6,100 22,265 * Compex Technologies, Inc. 21,854 130,687 * Compucom Systems, Inc. 90,241 405,182 * CompuCredit Corp. 81,131 1,423,038 *# Compudyne Corp. 14,404 143,320 * Computer Access Technology Corp. 41,000 190,650 * Computer Horizons Corp. 37,400 133,518 * Computer Network Technology Corp. 47,000 283,880 Computer Programs & Systems, Inc. 18,000 349,020 * Computer Task Group, Inc. 35,900 156,165 * CompX International, Inc. 5,100 82,875 * Comstock Resources, Inc. 62,400 1,173,744 * Comtech Telecommunications Corp. 25,600 454,144 * Concepts Direct, Inc. 700 124 * Conceptus, Inc. 44,836 467,639 * Concord Camera Corp. 48,356 149,420 * Concord Communications, Inc. 30,000 342,600 * Concur Technologies, Inc. 57,631 625,873 * Concurrent Computer Corp. 106,000 214,120 * Conexant Systems, Inc. 237,333 1,120,212 * Congoleum Corp. Class A 3,600 8,100 * Conmed Corp. 53,111 1,351,675 Connecticut Water Services, Inc. 7,600 191,132 *# Connetics Corp. 63,400 1,354,858 * Conrad Industries, Inc. 7,200 16,358 * Consolidated Freightways Corp. 550 1 * Consolidated Graphics, Inc. 24,282 974,922 Consolidated Tokoma Land Co. 6,100 204,045 * Consumer Portfolio Services, Inc. 1,500 6,735 *# Continental Airlines, Inc. 119,100 1,273,179 * Continental Materials Corp. 200 5,858 *# Convera Corp. 60,916 173,001 * Convergence Systems, Inc. 1 45 *# Cooker Restaurant Corp. 6,500 39 Cooper Companies, Inc. 39,200 2,163,840 Cooper Tire & Rubber Co. 83,900 1,769,451 Cooperative Bankshares, Inc. 1,400 32,200 * Copart, Inc. 134,800 3,322,820 *# Copper Mountain Networks, Inc. 11,310 143,524 *# Corautus Genetics, Inc. 1,542 8,866 * Core Molding Technologies, Inc. 7,700 26,950 * Corillian Corp. 63,800 307,516 * Corinthian Colleges, Inc. 18,900 536,949 * Corio, Inc. 108,400 244,984 * Corixa Corp. 100,097 507,492 Corn Products International, Inc. 57,600 2,498,688 * Cornell Companies, Inc. 23,800 317,730 * Correctional Services Corp. 20,512 63,587 * Corrections Corporation of America 63,100 2,414,206 * Corrpro Companies, Inc. 7,275 12,076 Corus Bankshares, Inc. 50,444 1,971,352 * Corvel Corp. 10,900 253,207 * Cosine Communications, Inc. 16,721 66,550 * Cost Plus, Inc. 39,175 1,288,466 * CoStar Group, Inc. 32,391 1,340,340 * Cost-U-Less, Inc. 3,000 17,310 Cotton States Life Insurance Co. 6,330 125,809 Courier Corp. 4,275 $ 166,853 * Covansys Corp. 48,200 524,416 * Covenant Transport, Inc. Class A 22,130 346,777 * Covista Communications, Inc. 3,000 9,000 CPAC, Inc. 5,120 29,645 * CPI Aerostructures, Inc. 9,566 102,356 CPI Corp. 11,200 173,824 Craftmade International, Inc. 8,700 180,960 Crawford & Co. Class A 27,300 133,224 Crawford & Co. Class B 25,300 125,235 * Cray, Inc. 127,300 1,003,124 *# Credence Systems Corp. 114,047 1,597,798 * Credit Acceptance Corp. 71,369 1,074,103 *# Cree Research, Inc. 51,000 1,173,510 * Critical Path, Inc. 33,200 63,080 * Criticare Systems, Inc. 20,300 62,930 Crompton Corp. 206,100 1,230,417 * Cross (A.T.) Co. Class A 14,700 82,908 * Cross Country Healthcare, Inc. 55,657 924,463 * Crossroads Systems, Inc. 42,500 77,435 * Crown Andersen, Inc. 1,000 1,750 * Crown Financial Group, Inc. 6,600 7,920 * Crown Holdings, Inc. 247,400 2,209,282 * Crown Media Holdings, Inc. 127,651 1,155,242 *# Cryolife, Inc. 41,800 213,180 * CSG Systems International, Inc. 96,800 1,847,912 * CSK Auto Corp. 83,600 1,433,740 * CSP, Inc. 3,500 25,203 CSS Industries, Inc. 12,900 450,210 CT Communications, Inc. 30,860 422,782 CTS Corp. 64,959 708,053 Cubic Corp. 48,100 1,082,731 * Cubist Pharmaceuticals, Inc. 72,425 719,904 * Culp, Inc. 19,600 145,040 * Cumulus Media, Inc. Class A 90,093 1,670,324 * CUNO, Inc. 30,408 1,395,119 * CuraGen Corp. 85,560 427,800 * Curative Health Services Inc 23,100 243,012 * Curis, Inc. 74,150 330,635 Curtiss-Wright Corp. 11,600 545,780 Cutter & Buck, Inc. 18,524 191,909 * CV Therapeutics, Inc. 56,405 737,777 CVB Financial Corp. 87,076 1,809,439 * Cyberguard Corp. 42,022 355,506 * Cyberonics, Inc. 42,100 826,002 * Cyberoptics Corp. 14,300 299,013 * Cybersource Corp. 59,900 506,155 * Cybex International, Inc. 8,700 32,538 *# Cycle Ctry Acc 6,300 33,705 *# CycleLogic, Inc. 29 3 * Cygnus, Inc. 1,300 338 * Cymer, Inc. 63,700 2,344,160 Cytec Industries, Inc. 62,000 2,496,740 * Cytogen Corp. 27,070 351,910 *# Cytrx Corp. 1,700 2,074 D & K Healthcare Resources, Inc. 28,330 339,110 * D A Consulting Group, Inc. 6,700 37 D&E Communications, Inc. 17,374 225,167 * Daily Journal Corp. 200 6,600 * Daktronics, Inc. 33,879 791,075 *# Dan River, Inc. Class A 27,400 2,945
31
SHARES VALUE+ --------------- --------------- * Danielson Holding Corp. 33,400 $ 318,636 * Darling International, Inc. 114,700 395,715 * Data I/O Corp. 7,600 21,736 * Data Systems & Software, Inc. 7,300 12,191 * Datakey, Inc. 1,000 750 * Datalink Corp. 13,300 48,545 * Dataram Corp. 14,400 115,920 Datascope Corp. 26,634 924,999 * Datastream Systems, Inc. 20,100 125,826 * Datatec Systems, Inc. 7,000 3,605 * DataTRAK International, Inc. 5,200 57,460 * Datawatch Corp. 4,132 17,437 * Dave and Busters, Inc. 13,200 246,840 * Davel Communications, Inc. 94 1 * Dawson Geophysical Co. 5,400 80,190 * Daxor Corp. 4,600 96,830 Deb Shops, Inc. 19,299 462,983 * Deckers Outdoor Corp. 9,200 230,000 * Decora Industries, Inc. 5,500 32 Decorator Industries, Inc. 2,762 22,096 * Del Global Technologies Corp. 10,927 24,859 * Del Laboratories, Inc. 9,506 273,773 * Delphax Technologies, Inc. 6,100 39,040 Delphi Financial Group, Inc. Class A 46,350 1,866,978 *# Delta Air Lines, Inc. 195,200 1,190,720 Delta and Pine Land Co. 68,900 1,597,102 Delta Apparel, Inc. 5,240 118,319 * Delta Financial Corp. 28,900 176,001 Delta Natural Gas Co., Inc. 2,800 65,016 * Delta Woodside Industries, Inc. 5,850 7,897 Deltic Timber Corp. 21,771 772,435 * Denali, Inc. 4,300 430 * Denbury Resources, Inc. 98,100 1,805,040 * Dendreon Corp. 103,881 1,137,497 * Dendrite International, Inc. 73,874 1,240,344 * Department 56, Inc. 23,700 374,460 *# DepoMed, Inc. 78,000 593,580 * Detrex Corp. 500 787 * Devcon International Corp. 3,600 41,400 * DHB Industries, Inc. 73,300 691,219 Diagnostic Products Corp. 52,200 2,198,664 *# Diametrics Medical, Inc. 2,500 275 * DiamondCluster International, Inc. 58,884 570,586 * Diedrich Coffee, Inc. 4,025 15,899 * Digene Corp. 35,000 1,365,350 * Digi International, Inc. 37,548 390,124 * Digimarc Corp. 37,265 421,094 *# Digital Angel Corp. 55,000 177,100 *# Digital Generation Systems, Inc. 114,900 166,605 * Digital Impact, Inc. 56,900 101,282 * Digital Insight Corp. 63,100 1,219,092 *# Digital Lightwave, Inc. 49,700 81,508 * Digital River, Inc. 57,000 1,790,370 * Digitas, Inc. 113,157 1,046,702 Dime Community Bancorp, Inc. 67,700 1,157,670 Dimon, Inc. 78,529 482,953 * Diodes, Inc. 12,150 265,234 * Dionex Corp. 38,310 1,929,292 * Directrix, Inc. 813 3 * Discovery Partners International 41,953 217,736 * Display Technologies, Inc. 11,330 23 Distributed Energy Systems Corp. 59,250 $ 189,600 * Ditech Communications Corp. 58,480 1,205,273 * Diversa Corp. 77,608 730,291 * Diversified Corporate Resources, Inc. 800 1,120 * Dixie Group, Inc. 18,500 218,485 * Dixon Ticonderoga Co. 1,900 7,125 * DJ Orthopedics, Inc. 38,800 905,204 * DLB Oil & Gas, Inc. 1,300 0 * DocuCorp International, Inc. 18,773 167,643 * Document Sciences Corp. 14,200 74,962 * Dollar Thrifty Automotive Group, Inc. 45,400 1,190,388 * Dominion Homes, Inc 5,800 176,958 Donegal Group, Inc. Class A 6,066 127,265 Donegal Group, Inc. Class B 2,933 60,185 * Dot Hill Systems Corp. 70,760 672,220 * DoubleClick, Inc. 164,482 1,394,807 * DOV Pharmaceutical, Inc. 30,394 457,734 Dover Downs Gaming & Entertainment, Inc. 9,910 106,235 Dover Motorsports, Inc. 26,200 120,258 Downey Financial Corp. 36,476 1,929,580 *# DPAC Technologies Corp. 20,900 16,469 * Drew Industries, Inc. 18,400 685,400 *# Drexler Technology Corp. 20,500 348,500 * Dril-Quip, Inc. 31,100 513,772 * DRS Technologies, Inc. 48,500 1,357,515 * Drugstore.com, Inc. 133,100 617,584 * DSP Group, Inc. 51,900 1,366,008 * DT Industries, Inc. 10,300 335 * Duane Reade, Inc. 36,021 594,346 * Duckwall-ALCO Stores, Inc. 4,100 70,684 * Ducommun, Inc. 17,100 322,335 * DuPont Photomasks, Inc. 32,755 723,230 Duquesne Light Holdings, Inc. 104,700 2,013,381 * Dura Automotive Systems, Inc. 28,100 265,826 * DuraSwitch Industries, Inc. 10,500 31,384 * Duratek, Inc. 13,500 175,500 *# Durect Corp. 91,387 322,596 *# DUSA Pharmaceuticals, Inc. 29,500 311,520 * DVI, Inc. 11,300 186 * Dyax Corp. 56,000 551,600 * Dycom Industries, Inc. 87,266 2,154,598 *# Dynacq Healthcare, Inc. 22,200 139,860 * Dynamex, Inc. 19,900 261,486 * Dynamic Materials Corp. 2,000 6,120 * Dynamics Research Corp. 14,598 239,553 * Dynegy, Inc. 84,700 371,833 *# E Com Ventures, Inc. 2,175 20,119 * E-Loan, Inc. 108,400 264,496 E-Z-EM, Inc. 8,562 160,109 * E.piphany, Inc. 127,687 600,129 Eagle Materials, Inc. 25,000 1,667,500 * EarthLink, Inc. 198,575 1,993,693 East West Bancorp, Inc. 41,300 2,505,671 Eastern Co. 4,950 77,913 * EasyLink Services Corp. 7,969 10,200 * Echelon Corp. 72,571 778,687 * Eclipsys Corp. 17,600 244,288 * eCollege.com 36,200 609,246 Ecology & Environment, Inc. Class A 2,000 20,000 Edelbrock Corp. 5,470 82,323
32
SHARES VALUE+ --------------- --------------- * Eden Bioscience Corp. 12,800 $ 14,080 *# EDGAR Online, Inc. 16,400 16,072 * Edge Petroleum Corp. 23,100 319,935 * Edgewater Technology, Inc. 11,569 71,612 Edo Corp. 35,800 768,984 Educational Development Corp. 1,800 19,611 EFC Bancorp, Inc. 4,600 109,250 * EFJ, Inc. 7,800 64,740 * eFunds Corp. 86,006 1,376,956 * EGL, Inc. 84,700 1,937,936 * El Paso Electric Co. 108,600 1,569,270 * Elcom International, Inc. 3,500 560 Electro Rent Corp. 39,266 429,570 * Electro Scientific Industries, Inc. 33,300 760,239 * Electroglas, Inc. 37,600 197,400 * Electronics Boutique Holdings Corp. 44,730 1,232,759 * Electronics for Imaging, Inc. 84,900 2,356,824 * Elizabeth Arden, Inc. 42,200 930,088 ElkCorp 35,300 875,440 * eLoyalty Corp. 6,700 42,411 * ELXSI Corp. 1,800 6,570 * Embarcadero Technologies, Inc 47,750 541,007 * Embrex, Inc. 14,600 188,048 EMC Insurance Group, Inc. 11,300 229,164 * Emcor Group, Inc. 27,100 1,148,498 * EMCORE Corp. 65,111 192,729 * Emerging Vision, Inc. 25,700 3,341 * Emeritus Corp. 14,100 80,370 * Emerson Radio Corp. 45,422 152,164 * Emisphere Technologies, Inc. 33,000 167,640 * Emmis Communications Corp. Class A 82,800 1,805,040 Empire District Electric Co. 45,400 908,908 * EMS Technologies, Inc. 19,932 433,720 * En Pointe Technologies, Inc. 6,500 12,285 * Encore Acquisition Co. 54,800 1,539,880 * Encore Capital Grooup, Inc. 31,700 483,108 * Encore Medical Corp. 74,500 520,010 * Encore Wire Corp. 25,965 791,024 * Encysive Pharmaceuticals, Inc. 94,800 871,686 * Endocardial Solutions, Inc. 39,300 382,389 * Endocare, Inc. 25,800 76,755 * Endologix, Inc. 57,000 281,580 Energen Corp. 41,300 1,850,240 * Energy Conversion Devices, Inc. 43,105 540,106 * Energy Partners, Ltd. 58,000 769,660 * Energy West, Inc. 3,900 25,545 EnergySouth, Inc. 7,971 290,304 * Enesco Group, Inc. 25,600 246,528 Engineered Support Systems, Inc. 45,881 2,404,164 * ENGlobal Corp. 1,700 2,839 * Enherent Corp. 17,400 2,610 *# Enlighten Software Solutions, Inc. 1,600 3 Ennis Business Forms, Inc. 28,800 444,960 * EnPro Industries, Inc. 35,200 680,768 * Entegris, Inc. 125,864 1,428,556 * Enterrasys Networks, Inc. 378,100 741,076 * Entravision Communications Corp. 106,817 865,218 * Entremed, Inc. 66,600 141,858 * Entrust, Inc. 114,400 526,240 * Environmental Elements Corp. 5,000 775 * Environmental Technologies Corp. 3,700 $ 26 * Environmental Tectonics Corp. 7,100 52,540 * Enzo Biochem, Inc. 53,066 708,962 * Enzon Pharmaceuticals, Inc. 51,600 741,492 * EP Medsystems, Inc. 14,900 43,210 * EpicEdge, Inc. 21,900 208 * Epicor Software Corp. 79,442 1,063,728 * Epimmune, Inc. 22,900 39,159 * EPIQ Systems, Inc. 31,150 455,724 * EPIX Medical, Inc. 40,828 997,428 * ePlus, Inc. 14,300 168,454 * ePresence, Inc. 25,100 101,404 *# Equimed Inc. Nevis 2,250 0 * Equinix, Inc. 27,300 858,585 * Equity Marketing, Inc. 5,700 73,188 * Equity Oil Co. 16,000 68,000 *# eResearch Technology, Inc. 92,100 2,329,209 * Ergo Science Corp. 7,150 17,160 ESB Financial Corp. 11,762 149,142 *# Escalon Medical Corp. 3,200 43,456 * Esco Technologies, Inc. 23,200 1,143,760 * eSpeed, Inc. 50,500 957,985 Espey Manufacturing & Electronics Corp. 400 9,044 * ESS Technology, Inc. 70,800 811,368 * Esterline Technologies Corp. 36,500 919,070 Ethan Allen Interiors, Inc. 34,800 1,356,156 * Ethyl Corp. 30,300 608,121 * Euronet Worldwide, Inc. 53,952 1,240,356 * European Micro Holdings, Inc. 4,600 264 * Evans & Sutherland Computer Corp. 10,400 51,844 * Evans Systems, Inc. 4,000 360 * Evercel, Inc. 766 295 * Evergreen Resources, Inc. 58,700 2,221,795 *# Evergreen Solar, Inc. 26,400 79,992 * Everlast Worldwide, Inc. 1,500 4,050 EverTrust Financial Group, Inc. 2,850 55,461 * Evolving Systems, Inc. 12,600 50,148 *# Exabyte Corp. 1,000 830 * Exact Sciences Corp. 44,505 281,272 * Exactech, Inc. 10,800 216,000 * Exar Corp. 70,108 1,116,820 * Excel Technology, Inc. 20,400 657,900 * Exelixis, Inc. 124,818 1,150,822 * Exponent, Inc. 6,700 167,031 * ExpressJet Holdings, Inc. 88,400 1,053,728 * Extended Systems, Inc. 11,100 55,167 * Extreme Networks, Inc. 202,100 1,075,172 * Exult, Inc. 192,081 1,187,061 * Ezcorp, Inc. Class A Non-Voting 10,800 87,804 * Ezenia! Inc. 200 140 F.N.B. Corp. 81,720 1,631,131 * F5 Networks, Inc. 61,300 1,819,997 * Fab Industries, Inc. 5,200 18,200 *# Factory 2-U Stores, Inc. 26,949 25,332 # Factset Research Systems, Inc. 57,000 2,491,470 * Fairchild Corp. Class A 40,052 180,234 * Falcon Products, Inc. 11,800 44,250 *# FalconStor Software, Inc. 81,300 562,596 * Famous Dave's of America, Inc. 22,120 174,129 * Fargo Electronics 22,200 252,192
33
SHARES VALUE+ --------------- --------------- Farmer Brothers Co. 19,000 $ 542,640 * Faro Technologies, Inc. 24,400 652,456 FBL Financial Group, Inc. Class A 38,700 1,097,919 * Featherlite, Inc. 6,500 29,185 Fedders Corp. 53,810 238,916 Federal Screw Works 1,562 58,263 # Federal Signal Corp. 84,700 1,508,507 *# Federal-Mogul Corp. 57,900 15,343 * FEI Co. 58,700 1,464,565 * Female Health Co. 9,300 29,295 Ferro Corp. 73,800 1,889,280 FFLC Bancorp 5,400 137,322 * Fibermark, Inc. 3,000 300 *# Fiberstars, Inc. 10,900 92,966 Fidelity Bankshares, Inc. 27,022 914,424 * Fidelity Federal Bancorp 2,500 4,200 Fidelity Southern Corp. 8,800 118,800 * Filenet Corp. 69,380 1,897,543 * Financial Federal Corp. 32,500 1,015,300 * Financial Industries Corp. 12,482 142,919 * Findwhat.Com 39,600 917,136 *# Finisar Corp. 333,296 663,259 * Finish Line, Inc. Class A 34,100 1,135,530 * Finishmaster, Inc. 800 8,140 * Finlay Enterprises, Inc. 19,000 372,020 * Firebrand Financial Group, Inc. 9,100 328 First Albany Companies, Inc. 9,098 95,256 * First Aviation Services, Inc. 6,200 30,132 First Bancorp 6,210 189,405 * First Cash Financial Services, Inc. 29,000 597,400 First Charter Corp. 52,633 1,102,135 First Citizens Bancshares, Inc. 1,300 150,800 First Commonwealth Financial Corp. 104,509 1,391,015 First Community Bancorp 27,000 980,100 First Community Bancshares, Inc. 5,500 148,500 * First Consulting Group, Inc. 44,128 230,348 First Defiance Financial Corp. 6,859 171,612 First Federal Bancshares of Arkansas, Inc. 5,800 117,160 First Federal Capital Corp. 38,084 1,033,600 First Financial Bancorp 78,048 1,329,157 First Financial Bankshares, Inc. 15,395 624,267 First Financial Corp. 2,550 74,001 First Financial Holdings, Inc. 22,600 666,700 First Franklin Corp. 300 5,550 * First Horizon Pharmaceutical Corp. 64,564 1,144,397 First Indiana Corp. 26,617 525,153 * First Investors Financial Services Group, Inc. 5,400 29,538 First Keystone Financial, Inc. 2,000 54,000 First M&F Corp. 2,100 69,489 * First Mariner Bank Corp. 4,900 87,367 First Merchants Corp. 32,408 778,764 First Midwest Bancorp, Inc. 7,375 252,594 First Midwest Financial, Inc. 2,400 53,760 First Mutual Bancshares, Inc. 5,013 116,251 First National Bankshares of Florida 28,320 551,107 First Niagara Financial Group, Inc. 142,929 1,779,466 First Oak Brook Bancshares, Inc. Class A 3,150 91,350 First PacTrust Bancorp, Inc. 8,200 176,710 First Place Financial Corp. 22,751 $ 374,026 First Republic Bank 27,350 1,114,786 First SecurityFed Financial, Inc. 4,400 155,540 First Sentinel Bancorp, Inc. 41,508 866,687 First State Bancorporation 12,876 408,555 First United Corp. 3,500 73,360 * First Virtual Communications, Inc. 4,150 6,557 First Years, Inc. 8,100 135,675 Firstbank Corp. 2,835 75,269 FirstBank NW Corp. 2,928 76,860 * FirstCity Financial Corp. 18,200 141,960 * FirstFed Financial Corp. 30,700 1,267,603 * Firstwave Technologies, Inc. 2,600 7,774 * Fischer Imaging Corp. 9,100 26,845 Flag Financial Corp. 6,500 81,250 Flagstar Bancorp, Inc. 103,400 2,229,304 * Flamemaster Aerospace Corp. Restricted 4 0 Flamemaster Corp. 278 1,162 * Flanders Corp. 45,560 325,754 * Fleetwood Enterprises, Inc. 70,500 944,700 *# Fleming Companies, Inc. 15,082 72 Flexsteel Industries, Inc. 6,100 131,882 * Flir Systems, Inc. 55,800 2,745,360 * Florida Banks, Inc. 5,700 119,472 Florida East Coast Industries, Inc. 57,400 2,076,732 Florida Public Utilities Co. 3,866 73,454 Florida Rock Industries, Inc. 39,850 1,584,037 * Flow International Corp. 27,600 77,280 Flowers Foods, Inc. 79,925 1,867,847 * Flowserve Corp. 96,700 2,025,865 Flushing Financial Corp. 33,714 590,332 * FMC Corp. 59,000 2,393,630 FMS Financial Corp. 3,300 56,100 FNB Corp. 2,700 52,380 FNB Financial Services Corp. 2,625 48,562 *# Foamex International, Inc. 41,000 184,090 * FOCUS Enhancements, Inc. 3,132 4,316 * Foodarama Supermarkets, Inc. 1,100 44,275 Foothill Independent Bancorp 6,555 133,788 *# Footstar, Inc. 27,600 120,060 Forest City Enterprises, Inc. Class B 4,500 226,125 * Forest Oil Corp. 75,170 1,871,733 * Forgent Networks, Inc. 39,400 50,432 * Forrester Research, Inc. 37,384 684,875 * Forward Air Corp., Inc. 38,750 1,195,437 * Fossil, Inc. 94,218 2,238,620 * Foster (L.B.) Co. Class A 10,000 78,000 *# Foster Wheeler, Ltd. 40,600 47,908 * Fountain Powerboat Industries, Inc. 4,700 22,560 *# FPIC Insurance Group, Inc. 17,946 484,542 Frankfort First Bancorp, Inc. 850 18,156 * Frankfort Tower Industries, Inc. 14,700 73 # Franklin Bancorp, Inc. 3,489 69,431 * Franklin Covey Co. 19,300 47,285 Franklin Electric Co., Inc. 10,800 686,880 * Franklin Electronic Publishers, Inc. 7,900 33,812 Fred's, Inc. 70,450 1,480,859 * FreeMarkets, Inc. 67,900 463,078 Frequency Electronics, Inc. 8,300 116,532 Fresh Brands, Inc. 5,100 42,131
34
SHARES VALUE+ --------------- --------------- * Fresh Choice, Inc. 5,900 $ 9,794 * Friede Goldman Halter, Inc. 1,083 2 Friedman Industries, Inc. 6,158 24,016 Friedmans, Inc. Class A 35,240 111,358 * Friendly Ice Cream Corp. 7,300 96,214 Frisch's Restaurants, Inc. 4,900 139,895 * Frontier Airlines, Inc. 59,961 557,637 Frontier Oil Corp. 47,800 945,006 * Frozen Food Express Industries, Inc. 27,607 189,108 FSF Financial Corp. 2,300 79,580 * FSI International, Inc. 50,700 349,323 * FTI Consulting, Inc. 76,425 1,280,119 * FuelCell Energy, Inc. 85,854 1,362,503 Fuller (H.B.) Co. 51,309 1,374,568 *# FX Energy, Inc. 19,400 162,378 G & K Services, Inc. Class A 34,200 1,345,770 * G-III Apparel Group, Ltd. 6,700 60,400 GA Financial, Inc. 5,300 185,606 Gabelli Asset Management, Inc. 11,100 465,312 * Gadzooks, Inc. 13,600 24,140 * Gaiam, Inc. 5,500 33,440 * Galaxy Nutritional Foods, Inc. 11,500 22,425 * Galey & Lord, Inc. 6,400 32 *# Galyan's Trading Co. 29,537 296,847 * GameStop Corp. 37,700 588,874 GameTech International, Inc. 11,100 50,061 * Gardenburger, Inc. 4,000 880 * Gardner Denver Machinery, Inc. 34,688 908,479 * Gartner Group, Inc. 80,500 986,125 * Gateway, Inc. 140,600 569,430 GATX Corp. 85,200 2,054,172 * Gaylord Entertainment Co. 69,463 1,997,061 GB & T Bancshares, Inc. 700 19,089 * GC Companies, Inc. 200 125 * Gehl Co. 8,900 151,211 * Genaera Corp. 23,000 82,110 * Genaissance Pharmaceuticals, Inc. 41,300 180,027 Gencorp, Inc. 80,111 910,061 * Gene Logic, Inc. 66,682 262,727 * Genecor International, Inc. 102,608 1,541,172 * Genelabs Technologies, Inc. 149,610 388,986 * General Binding Corp. 13,300 178,619 * General Cable Corp. 70,700 566,307 * General Communications, Inc. Class A 92,600 734,318 * General DataComm Industries, Inc. 1,310 458 * General Employment Enterprises, Inc. 3,100 4,820 * Genesco, Inc. 39,200 983,920 * Genesee & Wyoming, Inc. 33,750 771,525 * Genesee Corp. Class B 200 765 * Genesis HealthCare Corp. 31,450 814,240 * Genesis Microchip, Inc. 37,462 605,011 * Geneva Financial Corp. 2,600 1,950 * Genlyte Group, Inc. 24,500 1,439,865 *# Genta, Inc. 131,800 303,140 * Gentek, Inc. 10,900 44 * Gentiva Health Services, Inc. 13,950 221,526 *# Genus, Inc. 67,221 174,707 * GenVec, Inc. 90,669 286,514 Georgia Gulf Corp. 58,600 1,981,852 * Gerber Scientific, Inc. 38,600 $ 240,864 * Geron Corp. 73,209 539,550 Gevity HR, Inc. 35,000 917,350 * Giant Group, Ltd. 2,200 5,225 * Giant Industries, Inc. 20,800 389,376 Gibraltar Steel Corp. 18,600 538,470 * Giga-Tronics, Inc. 4,600 7,314 Glacier Bancorp, Inc. 43,660 1,153,497 * Glacier Water Services, Inc. 3,600 66,456 Glatfelter (P.H.) Co. 75,600 925,344 * Glenayre Technologies, Inc. 113,627 287,476 * Global e-Point, Inc. 3,008 11,882 * Global Imaging Systems, Inc. 39,500 1,337,470 * Global Payment Technologies, Inc. 5,500 20,185 * Global Power Equipment Group, Inc. 83,400 552,942 * Globecomm Systems, Inc. 16,500 96,690 *# Glowpoint, Inc. 49,850 108,174 * GoAmerica, Inc. 2,850 2,562 Gold Banc Corp. 63,565 1,041,195 Golden Enterprises, Inc. 11,800 34,338 * Golden State Vintners, Inc. 5,100 41,667 * Goodrich Petroleum Corp. 30,600 252,450 *# Goodyear Tire & Rubber Co. 180,900 1,573,830 Goody's Family Clothing, Inc. 43,942 524,667 *# GoRemote Internet Communications, Inc. 64,900 129,800 Gorman-Rupp Co. 7,975 211,337 * Gottschalks, Inc. 12,700 65,786 * GP Strategies Corp. 14,560 109,200 * Gradco Systems, Inc. 230 2,254 * Graftech International, Ltd. 171,300 1,627,350 Graham Corp. 1,000 11,000 Granite Construction, Inc. 74,600 1,409,940 * Graphic Packaging Corp. 102,600 662,796 Gray Television, Inc. 74,060 1,043,505 Gray Television, Inc. Class A 6,800 87,040 Great American Financial Resources, Inc. 18,300 279,075 * Great Atlantic & Pacific Tea Co., Inc. 69,300 480,249 Great Lakes Chemical Corp. 91,200 2,259,936 Great Southern Bancorp, Inc. 6,800 378,896 Greater Bay Bancorp 72,446 2,079,925 Greater Communications Bancorp 3,600 50,580 * Green Mountain Coffee, Inc. 12,200 245,342 Green Mountain Power Corp. 7,700 197,967 * Greenbriar Corp. 674 1,938 * Greenbrier Companies, Inc. 14,100 242,943 Greene County Bancshares, Inc. 1,900 39,805 * Greens Worldwide, Inc. 2,502 56 Grey Global Group, Inc. 200 151,000 * Grey Wolf, Inc. 335,300 1,223,845 * Griffin Land & Nurseries, Inc. Class A 2,200 55,649 * Griffon Corp. 53,280 1,240,358 * Gristede's Foods, Inc. 1,200 1,020 * Group 1 Automotive, Inc. 38,700 1,242,270 * Group 1 Software, Inc. 16,450 376,047 * Grubb & Ellis Co. 14,900 15,049 * GSI Commerce, Inc. 73,754 604,783 *# GSV, Inc. 1,800 216 * GTC Biotherapeutics, Inc. 59,964 98,341 * GTSI Corp. 14,600 174,032
35
SHARES VALUE+ --------------- --------------- Guaranty Bancshares, Inc. 3,000 $ 57,375 Guaranty Federal Bancshares, Inc. 3,000 59,100 * Guess, Inc. 79,080 1,217,832 *# Guilford Pharmaceuticals, Inc. 61,047 378,491 * Guitar Center, Inc. 43,800 1,879,020 Gulf Island Fabrication, Inc. 21,537 409,203 * Gulfmark Offshore, Inc. 34,200 459,990 * Gymboree Corp. 54,900 800,991 * Ha-Lo Industries, Inc. 64,900 91 * Haemonetics Corp. 44,800 1,218,560 Haggar Corp. 6,300 127,008 * Hain Celestial Group, Inc. 59,188 1,047,628 * Halifax Corp. 1,000 4,500 * Hall Kinion Associates, Inc. 18,000 74,520 * Hammons (John Q.) Hotels, Inc. Class A 5,200 48,880 * Hampshire Group, Ltd. 4,000 115,920 Hancock Fabrics, Inc. 32,200 374,164 Hancock Holding Co. 53,400 1,467,432 Handleman Co. 41,923 939,075 * Hanger Orthopedic Group, Inc. 36,252 598,158 Hanmi Financial Corp. 5,500 144,925 * Hanover Compressor Co. 153,900 1,611,333 Harbor Florida Bancshares, Inc. 42,898 1,204,147 Hardinge, Inc. 8,800 104,720 Harland (John H.) Co. 47,100 1,427,130 Harleysville Group, Inc. 49,967 943,877 Harleysville National Corp. 41,107 1,025,620 * Harmonic, Inc. 122,360 781,880 * Harolds Stores, Inc. 2,308 5,816 * Harris Interactive, Inc. 106,200 790,128 Harrodsburg First Financial Bancorp, Inc. 1,100 21,422 * Hartmarx Corp. 33,600 202,608 * Harvard Bioscience, Inc. 52,700 247,690 * Harvest Natural Resources, Inc. 63,100 801,370 * Hastings Entertainment, Inc. 11,300 87,903 * Hastings Manufacturing Co. 700 1,802 * Hauppauge Digital, Inc. 8,800 55,977 Haverty Furniture Co., Inc. 15,700 275,535 Haverty Furniture Co., Inc. Class A 400 7,220 *# Hawaiian Holdings, Inc. 29,875 144,894 * Hawk Corp. 8,500 44,412 Hawkins, Inc. 10,200 122,502 * Hawthorne Financial Corp. 17,910 630,969 * Headwaters, Inc. 59,800 1,249,820 * HealthAxis, Inc. 750 1,642 Healthcare Services Group, Inc. 16,650 258,741 * HealthExtras, Inc. 66,050 1,007,262 Heartland Express, Inc. 89,936 2,178,250 Heartland Financial USA, Inc. 5,779 101,132 * Hecla Mining Co. 208,400 1,352,516 * Hector Communications Corp. 3,500 70,000 * HEI, Inc. 6,000 15,300 Heico Corp. 16,700 245,657 Heico Corp. Class A 7,465 88,236 * Heidrick & Struggles International, Inc. 34,000 949,960 Helix Technology Corp. 46,953 933,426 Helmerich & Payne, Inc. 54,900 1,369,755 *# Hemispherx Biopharma, Inc. 73,500 255,045 Henry Jack & Associates, Inc. 18,642 $ 361,655 * Hercules, Inc. 200,800 2,124,464 * Heritage Commerce Corp. 2,800 39,732 Heritage Financial Corp. 7,500 142,125 * Herley Industries, Inc. 25,400 521,970 * Hexcel Corp. 69,400 589,900 HF Financial Corp. 3,630 53,833 *# Hi-Shear Technology Corp. 8,600 27,004 * Hi-Tech Pharmacal, Inc. 14,250 264,907 * HI/FN, Inc. 10,400 101,400 * Hibbett Sporting Goods, Inc. 40,870 1,061,803 Hickory Tech Corp. 13,900 156,097 Hilb Rogal Hamilton Co. 64,400 2,290,708 * Hines Horticulture, Inc. 22,000 95,480 Hirsch International Corp. Class A 3,300 3,432 HMN Financial, Inc. 4,400 110,572 * HMS Holdings Corp. 34,395 185,733 * Hoenig Group Escrow Shares 7,900 1,817 * Holiday RV Superstores, Inc. 930 5 Hollinger International, Inc. Class A 100,900 1,775,840 * Hollis-Eden Pharmaceuticals, Inc. 33,553 345,260 Holly Corp. 18,600 646,350 * Hollywood Entertainment Corp. 105,773 1,404,665 * Hollywood Media Corp. 44,600 145,396 * Hologic, Inc. 36,300 746,328 Home Federal Bancorp 4,300 114,595 Home Loan Financial Corp. 1,700 34,850 * Home Products International, Inc. 7,800 10,062 * HomeStore, Inc. 69,828 291,183 Hooper Holmes, Inc. 113,800 637,280 HopFed Bancorp, Inc. 2,100 36,414 Horace Mann Educators Corp. 73,638 1,246,691 Horizon Financial Corp. 18,284 336,791 * Horizon Health Corp. 9,900 227,700 * Horizon Medical Products, Inc. 19,400 36,860 * Horizon Offshore, Inc. 51,300 62,586 * Hot Topic, Inc. 86,800 1,875,748 * Houston Exploration Co. 49,997 2,362,858 * Hovnanian Enterprises, Inc. Class A 50,300 1,775,590 * Hub Group, Inc. Class A 7,000 229,040 * Hudson Highland Group, Inc. 2,130 59,107 Hudson River Bancorp, Inc. 51,564 898,761 * Hudson Technologies, Inc. 5,100 5,508 * Huffy Corp. 27,005 31,326 Hughes Supply, Inc. 36,569 1,974,726 Humboldt Bancorp 20,410 381,055 * Hurco Companies, Inc. 5,600 75,544 * Hutchinson Technology, Inc. 46,900 1,238,629 * Huttig Building Products, Inc. 5,300 43,725 * Hycor Biomedical, Inc. 8,000 42,000 * Hydril Co. 28,800 828,288 * Hypercom Corp. 91,600 615,552 * HyperFeed Technologies, Inc. 1,450 5,481 * Hyperion Solutions Corp 64,124 2,541,875 * I-Flow Corp. 35,800 484,374 * I-many, Inc. 47,900 59,875 *# I-Sector Corporation 5,900 50,740 * I-Trax Inc 30,300 101,505 * I.C. Isaacs & Co., Inc. 7,200 7,272 Iberiabank Corp. 11,520 674,726 * Ibis Technology Corp. 18,800 144,760
36
SHARES VALUE+ --------------- --------------- *# icad, Inc. 3,600 $ 12,672 * Ico, Inc. 14,320 30,502 * ICT Group, Inc. 19,274 220,495 * ICU Medical, Inc. 24,650 821,091 Idacorp, Inc. 68,700 1,786,200 * Identix, Inc. 152,412 1,104,987 Idex Corp. 42,200 2,012,940 * IDT Corp. 37,478 659,238 * IDT Corp. Class B 29,500 531,000 * IDX Systems Corp. 53,951 1,571,593 * iGate Capital Corp. 88,012 392,534 * IGI, Inc. 2,100 4,620 * Igo Escrow Share 4,100 0 IHOP Corp. 36,200 1,303,200 * II-VI, Inc. 24,370 628,259 Ikon Office Solutions, Inc. 136,960 1,509,299 * ILEX Oncology, Inc. 62,400 1,444,560 * Illumina, Inc. 55,861 354,159 ILX Resorts, Inc. 2,900 29,203 * Image Entertainment, Inc. 32,900 113,505 *# ImageWare Systems, Inc. 5,500 15,345 Imation Corp. 59,100 2,432,556 # IMC Global, Inc. 184,158 2,292,767 * IMCO Recycling, Inc. 26,200 330,120 * Immersion Corp. 39,400 169,026 *# Immtech International, Inc. 14,900 212,325 * Immucor, Inc. 36,875 1,146,075 * ImmunoGen, Inc. 69,053 553,115 * Immunomedics, Inc. 84,800 513,888 * IMPAC Medical Systems, Inc. 10,400 121,472 * Impath, Inc. 21,600 122,040 * Impax Laboratoroes, Inc. 96,544 2,138,450 * Impco Technologies, Inc. 31,600 181,068 * Imperial Sugar Co. 15,420 182,110 *# Imperial Sugar Company 14,551 0 *# Implant Sciences Corp. 12,500 173,500 * Impreso, Inc. 5,300 12,614 * Incyte Genomics, Inc. 123,730 887,144 Independence Holding Co. 2,750 90,337 Independent Bank Corp. MA 24,700 655,044 Independent Bank Corp. MI 35,204 891,717 *# Indevus Pharmaceuticals, Inc. 85,094 708,833 * Index Development Partners, Inc. 5,700 313 * Indus International, Inc. 34,900 88,995 * Industrial Distribution Group, Inc. 15,500 112,375 * INEI Corp. 1,700 2,380 * Inet Technologies, Inc. 65,957 587,677 Infinity Property & Casualty Corp. 33,460 1,043,952 * Infinity, Inc. 15,398 56,203 *# Infocrossing, Inc. 25,100 331,320 * InFocus Corp. 67,089 540,737 * Infonet Services Corp. 133,400 229,448 * Informatica Corp. 145,100 1,125,976 * Information Architects Corp. 1,080 324 * Information Holdings, Inc. 35,400 945,888 * Inforte Corp. 18,500 200,170 * InfoSpace, Inc. 53,446 1,955,055 * infoUSA, Inc. 98,962 890,658 Ingles Market, Inc. Class A 17,405 184,493 * Inkine Pharmaceutical Co., Inc. 21,400 87,954 * Innodata Corp. 36,300 139,755 * Innotrac Corp. 11,600 $ 107,300 * Innovative Clinical Solutions, Ltd. 968 6 * Innovative Solutions & Support, Inc. 12,700 253,759 * Innovex, Inc. 31,500 169,785 * Input/Output, Inc. 90,300 623,070 * Insight Communications Co., Inc. 83,175 795,153 * Insight Enterprises, Inc. 82,079 1,506,970 * Insightful Corp. 6,300 27,147 * Insignia Systems, Inc. 19,250 25,602 *# Insite Vision, Inc. 18,000 14,040 * Insituform Technologies, Inc. Class A 45,019 688,791 * Insmed, Inc. 65,218 149,936 * Inspire Pharmaceuticals, Inc. 54,180 928,103 * Instinet Group, Inc. 36,500 240,535 * Insurance Auto Auctions, Inc. 19,961 326,562 * InsWeb Corp. 1,633 7,757 Integra Bank Corp. 30,683 644,036 *# Integra Lifesciences Corp. 51,200 1,641,984 Integral Systems, Inc. 9,200 161,644 *# Integral Vision, Inc. 2,200 3,630 * IntegraMed America, Inc. 3,100 22,568 *# Integrated Bio 17,100 237,690 * Integrated Electrical Services, Inc. 64,400 579,600 * Integrated Information Systems, Inc. 820 102 * Integrated Silicon Solution, Inc. 58,400 928,560 * Integrated Telecom Express, Inc. 600 0 * Integrity Media, Inc. 1,900 12,084 * Intelli-Check, Inc. 17,300 129,577 * Intellidata Technologies Corp. 65,500 49,780 * Intelligent Systems Corp. 4,500 8,325 * Intelligroup, Inc. 29,500 116,230 *# Intellisync Corp. 101,786 257,519 Inter Parfums, Inc. 18,550 466,903 * Interactive Data Corp. 58,013 983,320 * Interactive Intelligence, Inc. 26,100 147,465 * InterCept Group, Inc. 36,500 543,485 Interchange Financial Services Corp. 12,600 289,170 * Interdigital Communications Corp. 100,000 1,696,000 * Interep National Radio Sales, Inc. 4,600 8,970 * Interface, Inc. Class A 78,157 547,099 * Interferon Scientific, Inc. 2,435 101 * Intergraph Corp. 73,300 1,842,762 * Interland, Inc. 31,610 91,985 * Interlink Electronics, Inc. 9,700 97,485 * Intermagnetics General Corp. 28,395 836,801 Intermet Corp. 43,500 178,785 * InterMune, Inc. 54,200 770,182 International Aluminum Corp. 2,100 62,223 * International Microcomputer Software, Inc. 5,100 6,630 * International Multifoods Corp. 32,800 818,688 * International Shipholding Corp. 6,100 86,650 *# Internet Commerce Corp. 4,000 5,560 * Internet Security Systems, Inc. 84,700 1,339,954 *# Interpharm Holdings, Inc. 31,700 102,074 * Interphase Corp. 5,400 51,295 Interpool, Inc. 38,000 641,250 * Interpore International, Inc. 30,400 438,672 Interstate Bakeries Corp. 77,200 810,600 * Interstate Hotels & Resorts, Inc. 49,540 265,039 Inter-Tel, Inc. 42,800 1,056,304
37
SHARES VALUE+ --------------- --------------- * Intervoice, Inc. 59,818 $ 838,050 * Interwoven, Inc. 68,607 632,557 * Intest Corp. 8,600 49,450 * Intevac, Inc. 12,000 108,000 * IntraBiotics Pharmaceuticals, Inc. 8,500 120,955 * Intrado, Inc. 28,900 480,318 * Intraware, Inc. 14,200 28,258 * Introgen Therapeutics, Inc. 45,075 296,548 *# Intrusion, Inc. 4,050 8,015 * Intuitive Surgical, Inc. 56,123 928,274 Invacare Corp. 48,600 2,015,442 * Inveresk Resh 63,807 1,919,315 * Inverness Medical Innovations, inc. 7,461 144,669 * Investment Technology Group, Inc. 76,000 1,037,400 * INVESTools, Inc. 4,283 8,780 Investors Title Co. 1,400 38,717 * Invision Technologies, Inc. 27,200 1,355,920 * Iomed, Inc. 10,500 30,765 Iomega Corp. 87,595 423,960 * Ion Networks, Inc. 4,200 336 *# Ionatron, Inc. 17,500 103,075 * Ionics, Inc. 38,400 969,984 *# IPIX Corp. 4,350 36,496 * Iridex Corp. 6,800 47,260 *# IRIS International, Inc. 24,100 202,151 Irwin Financial Corp. 50,400 1,282,680 Isco, Inc. 5,635 89,760 * Isis Pharmaceuticals, Inc. 94,400 609,824 *# Island Pacific, Inc. 73,700 58,223 * Isle of Capri Casinos, Inc. 53,200 1,031,016 * Isolagen Inc 44,700 394,254 * Iteris Holdings, Inc. 300 810 * ITLA Capital Corp. 5,800 232,580 * Itron, Inc. 34,900 720,336 * ITXC Corp. 45,200 106,672 * iVillage, Inc. 63,600 438,204 * Ixia 102,300 958,551 * IXYS Corp. 55,824 521,954 * J & J Snack Foods Corp. 15,100 600,376 * J Net Enterprises, Inc. 8,400 12,600 * J. Alexander's Corp. 9,200 65,780 * J. Jill Group, Inc. 33,800 690,534 * j2 Global Communication, Inc. 39,332 974,254 * Jack in the Box, Inc. 61,800 1,728,546 * Jaclyn, Inc. 1,300 6,604 * Jaco Electronics, Inc. 5,659 28,190 * Jacuzzi Brands, Inc. 127,678 1,090,370 * Jakks Pacific, Inc. 42,623 757,837 * Jarden Corp. 45,450 1,590,750 * JDA Software Group, Inc. 48,712 616,207 * Jennifer Convertibles, Inc. 1,300 4,108 JLG Industries, Inc. 73,800 931,356 * JMAR Industries, Inc. 23,700 52,614 * Jo-Ann Stores, Inc. 37,075 1,061,457 * Johnson Outdoors, Inc. 6,700 127,769 * Jones Lang LaSalle, Inc. 53,600 1,351,792 * Jos. A. Bank Clothiers, Inc. 17,700 576,843 * Journal Register Co. 71,200 1,381,280 Joy Global, Inc. 85,500 2,351,250 * JPS Industries, Inc. 9,200 22,825 * Juno Lighting, Inc. 980 33,065 * Jupitermedia Corp. 43,780 $ 450,934 K Swiss, Inc. Class A 45,200 904,000 * K-Tron International, Inc. 2,400 51,216 * K-V Pharmaceutical Co. Class A 55,450 1,413,975 * K-V Pharmaceutical Co. Class B 20,975 572,617 * K2, Inc. 60,663 892,959 * Kadant, Inc. 23,420 473,787 * Kaiser Aluminum Corp. 14,500 507 Kaman Corp. Class A 38,300 451,174 * Kansas City Southern Industries, Inc. 105,600 1,372,800 * Katy Industries, Inc. 8,300 48,555 Kaydon Corp. 47,900 1,285,157 * KBK Capital Corp. 2,200 2,475 * KCS Energy, Inc. 82,900 1,037,079 *# Keane, Inc. 107,864 1,547,848 * Keith Companies, Inc. 11,400 159,828 Keithley Instruments, Inc. 23,200 501,352 Kellwood Co. 45,476 1,850,873 Kelly Services, Inc. 53,005 1,470,359 * Kemet Corp. 146,923 1,785,114 * Kendle International, Inc. 22,203 166,522 Kennametal, Inc. 35,200 1,499,520 * Kennedy-Wilson, Inc. 8,800 59,840 * Kensey Nash Corp. 19,300 616,442 *# Keravision, Inc. 4,300 13 Kewaunee Scientific Corp. 2,000 21,530 * Key Energy Group, Inc. 221,900 2,147,992 * Key Technology, Inc. 4,700 61,570 * Key Tronic Corp. 8,600 30,788 * Keynote Systems, Inc. 18,600 242,730 * Keystone Automotive Industries, Inc. 25,858 711,095 * Keystone Consolidated Industries, Inc. 2,100 283 * Kforce, Inc. 52,200 478,152 * KFX, Inc. 92,500 818,625 Kimball International, Inc. Class B 41,100 568,824 * Kindred Healthcare, Inc. 61,878 1,537,050 * Kirby Corp. 41,200 1,458,480 * Kirklands, Inc. 17,200 202,100 Knape & Vogt Manufacturing Co. 2,290 29,816 * Knight Trading Group, Inc. 50,956 583,956 * Knight Transportation, Inc. 63,625 1,551,177 * Koala Corp. 6,500 2,535 * Komag Inc 46,609 675,830 * Kontron Mobile Computing, Inc. 8,900 3,471 * Kopin Corp. 119,087 645,452 * Korn/Ferry International 64,400 894,516 * Kos Pharmaceuticals, Inc. 52,000 1,730,040 * Kosan Biosciences, Inc. 48,424 525,885 Koss Corp. 3,600 75,456 * Krispy Kreme Doughnuts, Inc. 25,000 536,750 * Kroll, Inc. 66,560 2,432,102 Kronos Worldwide, Inc. 34,941 1,083,171 * Kronos, Inc. 52,500 2,177,700 * Kulicke & Soffa Industries, Inc. 85,734 983,369 * KVH Industries, Inc. 23,828 321,440 * Kyphon, Inc. 67,900 1,662,871 * La Jolla Pharmceutical Co. 109,100 294,570 La-Z-Boy, Inc. 89,400 1,649,430 * LaBarge, Inc. 26,800 203,680 * LabOne, Inc. 28,994 902,003 * Labor Ready, Inc. 70,000 851,900
38
SHARES VALUE+ --------------- --------------- # Labranche & Co., Inc. 101,700 $ 911,232 Laclede Group, Inc. 32,600 888,024 * LaCrosse Footwear, Inc. 5,800 45,588 Ladish Co., Inc. 19,500 169,650 Lakeland Bancorp, Inc. 13,119 206,624 * Lakeland Industries, Inc. 2,420 52,635 * Lakes Entertainment, Inc. 21,950 271,302 * Lamson & Sessions Co. 23,400 176,670 Lance, Inc. 62,400 951,600 * Lancer Corp. 9,325 59,680 Landamerica Financial Group, Inc. 31,700 1,264,513 Landauer, Inc. 14,200 582,342 * Landec Corp. 36,190 256,587 Landry's Restaurants, Inc. 47,100 1,413,000 * Landstar Systems, Inc. 48,600 2,362,932 * Lannet Co., Inc. 33,430 566,639 * Lantronix, Inc. 15,000 18,750 *# Large Scale Biology Corp. 42,800 65,912 * Larscom, Inc. 1,157 5,785 * Laserscope 34,750 996,283 * Lattice Semiconductor Corp. 188,666 1,473,481 * Laureate Education, Inc. 69,700 2,559,384 Lawson Products, Inc. 9,600 337,440 * Lawson Software, Inc. 167,308 1,199,598 * Layne Christensen Co. 11,600 195,576 * Lazare Kaplan International, Inc. 8,700 76,560 * LCA-Vision, Inc. 22,650 543,600 * LCC International, Inc. Class A 30,900 127,926 * Learning Tree International, Inc. 29,100 417,585 * Lecroy Corp. 10,100 186,143 * Lectec Corp. 3,900 3,120 Leesport Financial Corp. 525 12,416 Lennox International, Inc. 100,005 1,648,082 * Lesco, Inc. 18,300 236,619 * Level 8 Systems, Inc. 3,729 1,007 * Levitt Corp. Series A 2,821 67,789 * Lexar Media, Inc. 129,897 1,228,826 * Lexicon Genetics, Inc. 107,600 754,276 Libbey, Inc. 23,200 591,832 * Liberate Technologies, Inc. 106,300 279,038 Liberty Corp. 30,900 1,438,395 Liberty Homes, Inc. Class A 200 910 * Lifecell Corp. 44,600 455,812 * Lifecore Biomedical, Inc. 21,900 153,300 * Lifeline Systems, Inc. 8,200 169,166 Lifetime Hoan Corp. 18,462 377,714 *# Ligand Pharmaceuticals, Inc. Class B 119,977 2,452,330 * Lightbridge, Inc. 45,021 237,261 * Lightning Rod Software, Inc. 580 641 * LightPath Technologies, Inc. 1,850 7,863 * Lin TV Corp. 44,600 1,012,420 Lincoln Electric Holdings 69,262 2,147,122 Lindsay Manufacturer Co. 20,000 458,000 * Linens 'n Things, Inc. 71,600 2,174,492 * Lionbridge Technologies, Inc. 31,197 244,273 *# Lipid Sciences, Inc. 41,758 177,472 *# Liquidmetal Technologies, Inc. 68,495 85,619 Lithia Motors, Inc. Class A 24,810 593,455 * Littlefuse, Inc. 37,500 1,483,500 * LMI Aerospace, Inc. 7,900 9,875 LNB Bancorp, Inc. 1,200 23,340 LNR Property Corp. 33,600 $ 1,688,400 * Local Financial Corp. 9,500 207,005 * Lodgenet Entertainment Corp. 22,200 438,894 * Lodgian, Inc. 51 755 * Log On America, Inc. 600 4 * Logic Devices, Inc. 6,700 10,720 * LogicVision, Inc. 28,200 84,290 * Logility, Inc. 13,200 58,740 * Lojack Corp. 25,700 205,600 Lone Star Steakhouse & Saloon, Inc. 35,800 909,320 * Lone Star Technologies, Inc. 48,400 973,808 Longs Drug Stores Corp. 63,700 1,364,454 Longview Fibre Co. 86,800 1,107,568 * LookSmart, Ltd. 177,867 416,209 * LOUD Technologies, Inc. 12,400 30,752 Louisiana-Pacific Corp. 37,200 859,320 Lowrance Electronics, Inc. 5,792 196,401 LSB Bancshares, Inc. NC 5,156 78,577 LSB Corp. 4,300 66,650 LSI Industries, Inc. 33,527 385,561 * LTX Corp. 103,500 1,102,275 * Luby's, Inc. 39,700 219,144 Lufkin Industries, Inc. 6,400 193,600 * Luminex Corp. 51,955 517,991 * Lydall, Inc. 26,900 237,527 * Lynch Corp. 1,500 21,000 * Lynch Interactive Corp. 2,800 100,772 * M & F Worldwide Corp. 30,400 395,200 * M-Wave, Inc. 2,900 4,640 M/I Schottenstein Homes, Inc. 23,000 976,810 MacDermid, Inc. 51,500 1,604,740 *# Mace Security International, Inc. 11,200 62,832 * Mac-Gray Corp. 12,600 80,766 * Macromedia, Inc. 117,485 3,054,610 * Macrovision Corp. 83,800 1,951,702 * Madden (Steven), Ltd. 22,700 438,337 MAF Bancorp, Inc. 44,927 1,979,034 * Magic Lantern Group, Inc. 1,700 1,539 * Magma Design Automation, Inc. 56,783 1,084,555 *# Magna Entertainment Corp. 21,200 110,664 * Magnetek, Inc. 55,900 436,579 * Magnum Hunter Resources, Inc. 117,102 1,179,217 * MAI Systems Corp. 3,400 850 * MAII Holdings, Inc. 3,400 34 * Main Street & Main, Inc. 25,200 51,660 Main Street Banks, Inc. 32,000 846,720 Maine & Maritimes Corp. 1,600 48,880 * MAIR Holdings, Inc. 33,716 269,728 * Major Automotive Companies, Inc. 3,280 2,066 * Management Network Group, Inc. 47,100 110,685 * Manatron, Inc. 1,102 8,948 * Manchester Technologies, Inc. 8,000 30,232 * Manhattan Associates, Inc. 51,300 1,462,050 Manitowoc Co., Inc. 45,150 1,433,513 # Mannatech, Inc. 13,500 137,160 *# Manning (Greg) Auctions, Inc. 9,200 122,084 * Manugistic Group, Inc. 128,100 570,045 * Mapics, Inc. 47,156 469,202 * Mapinfo Corp. 33,400 334,000 * Marimba, Inc. 44,800 366,464 Marine Products Corp. 25,530 467,199
39
SHARES VALUE+ --------------- --------------- * MarineMax, Inc. 29,375 $ 782,844 * Marisa Christina, Inc. 6,700 8,710 Maritrans, Inc. 7,800 114,270 * MarketWatch.com, Inc. 41,820 475,912 MarkWest Hydrocarbon, Inc. 9,350 100,045 * Marlton Technologies, Inc. 7,800 4,602 Marsh Supermarkets, Inc. Class A 1,600 21,832 Marsh Supermarkets, Inc. Class B 4,500 62,190 * Marten Transport, Ltd. 9,450 164,052 *# Martha Stewart Living Omnimedia, Ltd. 32,100 293,715 MASSBANK Corp. 4,700 156,416 Massey Energy Co. 110,600 2,722,972 * Mastec, Inc. 81,450 347,792 * Material Sciences Corp. 24,200 250,470 * Matria Healthcare, Inc. 17,369 379,513 * Matritech, Inc. 30,500 35,685 * Matrix Bancorp, Inc. 6,500 77,350 * Matrix Service Co. 29,100 310,788 * MatrixOne, Inc. 83,200 568,256 *# Matrixx Initiatives, Inc. 15,200 130,872 Matthews International Corp. Class A 54,700 1,728,520 * Mattson Technology, Inc. 84,645 902,316 * Maui Land & Pineapple Company, Inc. 10,200 334,254 * Maverick Tube Corp. 71,400 1,642,200 * Max & Ermas Restaurants, Inc. 2,300 38,525 * Maxco, Inc. 3,100 10,230 Maxcor Financial Group, Inc. 11,672 130,376 * Maxicare Health Plans, Inc. 980 118 *# Maxim Pharmaceuticals, Inc. 47,233 420,846 * Maximus, Inc. 37,200 1,336,968 * Maxwell Shoe Company, Inc. 23,700 529,221 * Maxwell Technologies, Inc. 24,360 387,080 * Maxxam, Inc. 8,900 224,725 * Maxygen, Inc. 58,537 587,711 * Mayor's Jewelers, Inc. 20,300 11,774 * Mays (J.W.), Inc. 200 2,762 MB Financial, Inc. 45,500 1,532,895 MBT Financial Corp. 11,069 193,708 * McDATA Corp. 130,554 620,132 MCG Capital Corp. 64,442 998,207 McGrath Rent Corp. 20,569 640,724 *# McMoran Exploration Co. 28,164 403,308 McRae Industries, Inc. Class A 2,600 25,870 * Meade Instruments Corp. 33,400 106,880 * Meadow Valley Corp. 2,400 5,220 * Meadowbrook Insurance Group, Inc. 29,800 151,086 * Measurement Specialties, Inc. 12,900 256,452 * Mechanical Technology, Inc. 4,700 24,205 * Medarex, Inc. 134,470 1,125,514 * MedCath Corp. 27,449 554,470 *# Med-Design Corp. 28,300 59,147 * Media 100, Inc. 7,100 160 Media General, Inc. Class A 3,100 213,342 * Media Services Group, Inc. 471 3,989 * MediaBay, Inc. 11,800 6,018 * Mediacom Communications Corp. 154,100 1,248,210 *# Medialink Worldwide, Inc. 5,900 21,240 * Medical Action Industries, Inc. 16,900 297,609 * Medical Staffing Network Holdings, Inc. 51,200 $ 337,408 * Medicore, Inc. 3,800 12,426 * Medifast, Inc. 17,000 125,630 * Medquist, Inc. 64,700 797,751 * MedSource Technologies, Inc. 46,500 323,640 * MEDTOX Scientific, Inc. 5,030 51,306 * Memberworks, Inc. 17,500 500,850 * Mens Warehouse, Inc. 63,100 1,646,279 # Mentor Corp. 73,900 2,368,495 * Mentor Graphics Corp. 118,800 1,899,612 Mercantile Bank Corp. 1,260 41,051 Merchants Bancshares, Inc. 6,150 156,887 Merchants Group, Inc. 1,300 33,800 * Mercury Air Group, Inc. 4,950 29,700 * Mercury Computer Systems, Inc. 36,000 807,480 * Merge Technologies, Inc. 21,494 354,436 Meridian Bioscience, Inc. 25,236 255,666 * Meridian Resource Corp. 106,300 784,494 * Merit Medical Systems, Inc. 44,382 643,983 * Meritage Corp. 22,500 1,534,275 * Merix Corp. 32,013 342,539 * Merrimac Industries, Inc. 2,860 26,455 * Mesa Air Group, Inc. 53,935 413,681 Mesa Labs, Inc. 3,300 32,736 * Mestek, Inc. 5,400 85,104 * Meta Group, Inc. 12,700 58,420 * Metals USA, Inc. 27,600 411,240 * MetaSolv, Inc. 66,600 187,812 Methode Electronics, Inc. Class A 34,100 375,782 Met-Pro Corp. 8,100 120,690 * Metris Companies, Inc. 98,500 743,675 * Metro One Telecommunications, Inc. 39,650 66,216 MetroCorp. Bancshares, Inc. 7,000 105,350 * Metrologic Instruments, Inc. 36,100 535,002 * Metromedia International Group, Inc. 10,600 3,710 MFB Corp. 1,300 44,701 * MFRI, Inc. 4,900 14,627 MGE Energy, Inc. 30,992 940,297 # MGP Ingredients, Inc. 8,000 285,200 * Michael Anthony Jewelers, Inc. 7,400 10,545 * Micrel, Inc. 157,673 2,328,830 * Micro Component Technology, Inc. 14,052 19,251 * Micro Linear Corp. 12,000 72,360 * MicroFinancial, Inc. 15,200 44,080 * Micromuse, Inc. 117,493 695,559 * Micros Systems, Inc. 30,752 1,335,559 * Microsemi Corp. 100,500 1,230,120 * MicroStrategy, Inc. 10,200 489,702 * Microtek Medical Holdings, Inc. 72,910 328,897 * Micro-Therapeutics, Inc. 51,763 225,687 * Microtune, Inc. 63,300 216,486 *# Microvision, Inc. 36,446 310,884 * Midas, Inc. 26,000 497,900 Middleby Corp. 15,700 960,369 Middlesex Water Co. 8,400 165,144 Midland Co. 6,600 172,392 Mid-State Bancshares 40,096 899,754 *# Midway Games, Inc. 115,900 1,256,356 Midwest Banc Holdings, Inc. 30,050 687,845 * Midwest Express Holdings, Inc. 29,600 116,920
40
SHARES VALUE+ --------------- --------------- * Mikohn Gaming Corp. 37,300 $ 183,143 * Milacron, Inc. 74,300 332,864 *# Milestone Scientific, Inc. 14,000 26,600 * Millennium Cell, Inc. 59,500 130,900 Millennium Chemicals, Inc. 101,800 1,728,564 * Miller Industries, Inc. 9,280 84,541 * Millerbuilding Systems Escrow Shares 3,200 960 * Miltope Group, Inc. Contigent Value Right 5,800 0 * MIM Corp. 38,000 297,920 * Mindspeed Technologies, Inc. 46,300 239,371 Mine Safety Appliances Co. 62,800 1,875,836 Minerals Technologies, Inc. 34,800 2,001,000 * Minorplanet Systems USA, Inc. 892 437 Minuteman International, Inc. 1,000 13,000 * MIPS Technologies, Inc. 66,200 459,428 *# Miravant Medical Technologies 1,800 5,274 * Misonix, Inc. 10,600 89,252 * Mission Resources Corp. 55,800 300,204 * Mitcham Industries, Inc. 8,700 36,540 * Mitek Systems, Inc. 11,100 6,938 * Mity Enterprises, Inc. 5,000 91,250 * MKS Instruments, Inc. 90,707 2,118,916 * Mobile Mini, Inc. 23,709 505,476 * Mobility Electronics, Inc. 47,000 389,160 * Mobius Management Systems, Inc. 17,100 102,600 Mocon, Inc. 5,500 42,680 * Modem Media, Inc. 9,500 53,295 Modine Manufacturing Co. 56,595 1,706,339 * Mod-Pac Corp. 2,750 23,128 * Mod-Pac Corp. Class B 1,112 9,352 * Modtech Holdings, Inc. 22,452 157,164 * Moldflow Corp. 17,886 199,608 * Molecular Devices Corp. 34,540 588,907 Monaco Coach Corp. 49,850 1,248,244 * Monarch Casino and Resort, Inc. 8,000 113,040 * Mondavi (Robert) Corp. Class A 16,300 567,566 * Monolithic System Technology, Inc. 49,133 342,948 * Monro Muffler Brake, Inc. 12,300 304,794 * Monterey Pasta Co. 24,200 87,120 * Mony Group, Inc. 6,100 190,564 * Moog, Inc. Class A 19,200 597,120 * Moog, Inc. Class B 3,300 118,388 * Morgan Group Holding Co. 4,400 330 * Morgan's Foods, Inc. 900 1,715 * Mossimo, Inc. 16,600 62,250 * Mother's Work, Inc. 8,854 195,319 * Motor Car Parts & Accessories, Inc. 2,500 21,250 Movado Group, Inc. 14,500 445,150 Movie Gallery, Inc. 56,000 1,041,040 * MPS Group, Inc. 185,800 2,058,664 * MPW Industrial Services Group 5,000 11,750 * MRO Software, Inc. 42,100 601,609 * MRV Communications, Inc. 178,900 475,874 * MSC Software Corp. 51,700 462,198 * MTC Technologies, Inc. 14,800 392,940 *# MTI Technology Corp. 1,300 3,848 * MTM Technologies, Inc. 4,900 8,183 * MTR Gaming Group, Inc. 48,468 451,237 MTS Systems Corp. 35,940 799,306 Mueller Industries, Inc. 58,145 $ 1,901,342 * Multi Color Corp. 2,250 35,145 *# Multimedia Games, Inc. 48,750 1,100,288 MutualFirst Financial, Inc. 2,000 44,265 Myers Industries, Inc. 50,063 676,351 * Mykrolis Corp. 69,900 1,132,380 * Myriad Genetics, Inc. 46,100 764,799 Mystic Financial, Inc. 1,575 45,069 * Nabi Biopharmaceuticals 97,150 1,632,120 Nacco Industries, Inc. Class A 6,500 576,810 *# Nanogen, Inc. 52,800 359,568 * Nanometrics, Inc. 20,394 260,839 *# Nanophase Technologies Corp. 29,498 212,091 *# Napco Security Systems, Inc. 4,300 37,840 Nara Bancorp, Inc. 19,500 600,210 Nash-Finch Co. 20,200 379,760 * Nashua Corp. 5,800 53,534 * Nassda Corp. 44,875 236,491 *# Nastech Pharmaceutical Co., Inc. 20,300 242,179 * NATCO Group, Inc. Class A 16,800 128,352 * Nathans Famous, Inc. 7,000 42,623 National Beverage Corp. 36,200 342,814 * National Dentex Corp. 3,500 106,418 * National Home Health Care Corp. 5,465 55,197 *# National Medical Health Card Systems, Inc. 12,600 453,726 National Penn Bancshares, Inc. 40,784 1,169,277 National Presto Industries, Inc. 6,800 267,920 * National Processing, Inc. 116,000 3,336,160 * National Research Corp. 7,000 117,600 * National RV Holdings, Inc. 17,300 205,870 * National Steel Corp. Class B 200 1 * National Technical Systems, Inc. 8,600 42,733 * National Western Life Insurance Co. Class A 1,000 146,150 * Natrol, Inc. 10,000 27,500 * Natural Alternatives International, Inc. 5,400 59,238 Nature's Sunshine Products, Inc. 24,550 365,795 * Natus Medical, Inc. 14,600 74,898 Nautilus Group, Inc. 55,400 834,878 * Navarre Corp. 43,600 536,280 * Navidec, Inc. 644 1,117 * Navigant Consulting, Inc. 77,200 1,578,740 *# Navigant International, Inc. 26,700 464,046 * Navigators Group, Inc. 21,371 617,622 NBT Bancorp 55,077 1,196,823 * NCI Building Systems, Inc. 33,100 962,217 * NCO Group, Inc. 45,884 1,137,477 # NDChealth Corp. 60,800 1,357,664 * NeighborCare, Inc. 73,800 2,214,000 * Nektar Therapeutics 89,769 1,929,136 Nelson (Thomas), Inc. 22,300 522,266 * Neoforma, Inc. 33,814 384,465 * Neogen Corp. 7,625 122,000 * NeoMagic Corp. 53,900 220,990 * NEON Systems, Inc. 8,600 30,186 * Neopharm, Inc. 39,417 433,587 * Neose Technologies, Inc. 33,900 283,743 * Neoware Systems, Inc. 23,800 205,632 * NES Rentals Holdings, Inc. 36 293 Net Perceptions, Inc. 22,600 20,340
41
SHARES VALUE+ --------------- --------------- * Net2Phone, Inc. 74,200 $ 317,205 NetBank, Inc. 57,533 616,754 * Netegrity, Inc. 63,700 600,054 *# Netflix, Inc. 74,400 2,456,688 * Netguru, Inc. 17,200 25,972 * NetIQ Corp. 91,787 1,216,178 * NetManage, Inc. 10,442 68,395 * Netopia, Inc. 38,800 225,040 * NetRatings, Inc. 57,363 802,508 * Netscout System, Inc. 51,600 355,524 * NetSolve, Inc. 12,100 120,419 * Network Engines, Inc. 61,400 195,252 * Network Equipment Technologies, Inc. 40,800 300,288 *# Network Plus Corp. 14,500 25 * Neurobiological Technologies, Inc. 2,700 10,800 * Neurogen Corp. 74,113 697,403 Nevada Chemicals, Inc. 2,500 13,300 * Nevada Gold & Casinos, Inc. 20,350 299,145 * New Brunswick Scientific Co., Inc. 7,660 46,573 * New Century Equity Holdings Corp. 21,200 4,770 New Century Financial Corp. 51,150 2,230,652 New England Business Services, Inc. 22,600 991,462 New Hampshire Thrift BancShares, Inc. 200 5,960 * New Horizons Worldwide, Inc. 10,200 59,578 New Jersey Resources Corp. 46,600 1,829,982 Newmil Bancorp, Inc. 4,400 119,900 * Newpark Resources, Inc. 142,500 805,125 * Newport Corp. 65,418 950,524 * Newtek Business Services, Inc. 45,088 216,873 * Niagara Corp. 8,200 33,087 * NIC, Inc. 117,100 646,392 Nitches, Inc. 864 5,581 NL Industries, Inc. 78,876 985,950 * NMS Communications Corp. 62,000 533,200 * NMT Medical, Inc. 11,500 43,758 NN, Inc. 15,250 181,018 * Nobel Learning Communities, Inc. 6,500 42,738 Nobility Homes, Inc. 4,100 85,075 Noble International, Ltd. 14,360 414,286 * Noel Group, Inc. 8,000 24 # Noland Co. 200 8,556 Nordson Corp. 59,277 2,242,449 * Norstan, Inc. 22,400 72,128 * North America Galvanizing & Coatings, Inc. 6,700 13,400 * North American Scientific, Inc. 17,600 157,520 North Central Bancshares, Inc. 1,700 64,294 North Pittsburgh Systems, Inc. 25,066 483,774 Northeast Bancorp 900 17,429 Northeast Pennsylvania Financial Corp. 4,400 77,110 Northern Technologies International Corp. 3,000 14,160 *# Northfield Laboratories, Inc. 32,300 424,745 * Northland Cranberries, Inc. 4,400 2,904 Northrim BanCorp, Inc. 6,068 121,368 *# Northwest Airlines Corp. 147,700 1,493,247 Northwest Bancorp, Inc. 79,904 1,777,065 # Northwest Natural Gas Co. 44,200 1,286,662 * Northwest Pipe Co. 6,300 $ 92,610 * Novamed Eyecare, Inc. 36,300 131,769 * Novavax, Inc. 59,000 277,300 * Noven Pharmaceuticals, Inc. 39,408 755,845 * Novoste Corp. 27,800 83,400 *# NPS Pharmaceuticals, Inc. 62,900 1,365,559 * NS Group, Inc. 35,500 472,150 * NTN Communications, Inc. 89,193 267,579 * Nu Horizons Electronics Corp. 28,400 230,892 *# Nucentrix Broadband Networks, Inc. 10,400 23,140 * NuCo2, Inc. 16,000 313,120 NUI Corp. 29,892 406,232 * Numerex Corp. Class A 10,800 49,680 NuSkin Enterprises, Inc. 101,400 2,271,360 * Nutraceutical International Corp. 18,976 465,102 * Nutramax Products, Inc. 3,300 3 * Nutrition 21, Inc. 4,900 3,185 * Nuvelo, Inc. 40,322 350,801 NWH, Inc. 4,200 78,813 * NYFIX, Inc. 50,081 252,408 Nymagic, Inc. 8,700 223,590 * O'Charleys, Inc. 38,050 692,891 * O.I. Corp. 2,700 22,707 Oak Hill Financial, Inc. 3,000 95,550 Oakley, Inc. 115,700 1,552,694 * Obie Media Corp. 5,900 20,827 * Oceaneering International, Inc. 42,200 1,333,942 OceanFirst Financial Corp. 22,032 491,314 * Ocular Sciences, Inc. 41,600 1,389,856 * Ocwen Financial Corp. 115,234 1,433,511 * Odd Job Stores, Inc. 12,700 20,511 * Odetics, Inc. Series B 200 750 * Odyssey Healthcare, Inc. 61,500 1,042,425 * Offshore Logistics, Inc. 38,400 882,048 *# Oglebay Norton Co. 2,500 350 * Ohio Casualty Corp. 103,700 1,944,375 * Oil States International, Inc. 83,831 1,190,400 Oil-Dri Corp. of America 4,200 67,494 * Old Dominion Freight Lines, Inc. 40,950 1,137,182 Olin Corp. 117,452 1,932,085 * Olympic Steel, Inc. 9,600 136,320 * OM Group, Inc. 48,200 1,286,458 Omega Financial Corp. 8,200 270,436 * Omega Protein Corp. 39,200 423,360 * OMNI Energy Services Corp. 18,900 94,500 * Omnicell, Inc. 41,500 554,025 * OmniVision Technologies, Inc. 75,500 1,768,210 * Omnova Solutions, Inc. 13,900 71,724 * Omtool, Ltd. 3,570 37,485 * On Assignment, Inc. 42,800 251,236 *# ON Semiconductor Corp. 397,951 2,304,136 * On2.cCom, Inc. 75,000 55,500 * One Price Clothing Stores, Inc. 2,957 59 *# Oneida, Ltd. 28,900 35,836 * OneSource Information Services, Inc. 11,900 104,958 * Online Resources Corp. 30,000 221,400 * Onyx Acceptance Corp. 5,100 77,265 * Onyx Pharmacueticals, Inc. 54,800 2,573,956 * ONYX Software Corp. 23,800 91,630 * OPENT Technologies, Inc. 33,900 472,227 * OpenTV Corp. 39,946 101,063
42
SHARES VALUE+ --------------- --------------- * Openwave Systems Inc 106,599 $ 1,190,711 * Opinion Research Corp. 6,700 46,498 * Oplink Communications, Inc. 53,100 106,731 * Opsware, Inc. 80,250 647,618 * Opti, Inc. 11,600 17,980 * Optical Cable Corp. 8,700 46,797 * Optical Communication Products, Inc. 74,050 167,353 * Optical Sensors, Inc. 1,633 6,777 * Optika, Inc. 8,200 29,766 Option Care, Inc. 35,800 482,226 * OraSure Technologies, Inc. 75,500 557,945 * Orbit International Corp. 1,582 11,202 * Orbital Sciences Corp. 82,800 1,039,140 *# Orchid Biosciences, Inc. 9,381 68,012 * Oregon Steel Mills, Inc. 45,000 507,150 * Orleans Homebuilders, Inc. 28,600 523,380 * Orphan Medical, Inc. 10,300 92,288 *# Orthodontic Centers of America, Inc. 85,151 728,041 * Orthologic Corp. 58,713 471,465 *# Oscient Pharmaceutical Corp. 128,400 602,196 Oshkosh B'Gosh, Inc. Class A 17,000 383,690 *# OSI Systems, Inc. 24,800 553,784 * Osteotech, Inc. 29,100 181,584 Otter Tail Co. 43,800 1,119,528 Outlook Group Corp. 2,400 14,760 * Overland Storage, Inc. 23,075 330,434 Overseas Shipholding Group, Inc. 59,725 2,277,912 *# Overstock Com 28,400 1,022,116 Owens & Minor, Inc. 66,700 1,614,140 Oxford Industries, Inc. 27,500 1,013,375 * Oxigene, Inc. 12,600 92,862 * Oxis International, Inc. 7,900 5,293 * OYO Geospace Corp. 5,100 89,194 * P&F Industries, Inc. Class A 1,300 10,173 * P.F. Chang's China Bistro, Inc. 43,300 1,959,758 Pacific Capital Bancorp 57,833 2,131,146 * Pacific Mercantile Bancorp 5,900 64,310 * Pacific Premier Bancorp, Inc. 3,900 44,889 Packaging Dynamics Corp. 4,120 55,002 * Packeteer, Inc. 55,800 797,382 * Pac-West Telecomm, Inc. 23,100 27,258 * Pain Therapeutics, Inc. 60,115 470,099 * Palatin Technologies, Inc. 62 233 * Paligent, Inc. 347 73 * Palm Harbor Homes, Inc. 38,811 735,080 *# Palmone Inc 78,284 1,661,969 * Palmsource Inc 21,681 439,040 * PAM Transportation Services, Inc. 19,250 356,125 Pamrapo Bancorp, Inc. 5,100 126,888 * Panavision, Inc. 3,600 23,310 *# Panera Bread Co. 44,900 1,558,928 * Pantry, Inc. 33,700 611,655 *# Papa John's International, Inc. 30,000 872,700 * Par Technology Corp. 7,800 81,120 * Paradyne Networks Corp. 97,955 463,327 * Paragon Technologies, Inc. 4,200 42,000 * Parallel Petroleum Corp. 42,900 169,412 * Parametric Technology Corp. 447,395 2,169,866 * Parexel International Corp. 44,400 878,676 Park Bancorp, Inc. 1,200 36,864 Park Electrochemical Corp. 33,650 $ 839,904 * Parker Drilling Co. 160,200 514,242 *# Parkervision, Inc. 19,300 106,922 * Park-Ohio Holdings Corp. 10,400 125,840 Parkvale Financial Corp. 5,700 151,506 * Parlex Corp. 13,800 83,766 * Parlux Fragrances, Inc. 9,900 90,486 * Party City Corp. 29,522 433,678 * Pathmark Stores, Inc. 49,179 331,958 * Patient Infosystems, Inc. 733 2,566 Patina Oil & Gas Corp. 64,930 1,716,749 * Patrick Industries, Inc. 4,500 46,350 # Patriot Bank Corp. 6,930 194,872 * Patriot Transportation Holding, Inc. 2,500 90,438 * Paula Financial, Inc. 6,100 17,385 * Paul-Son Gaming Corp. 4,100 16,031 * Paxar Corp. 67,300 1,240,339 * Paxson Communications Corp. 98,100 275,661 * Payless Cashways, Inc. 160 0 * Payless ShoeSource, Inc. 115,700 1,897,480 * PC Connection, Inc. 39,750 304,883 * PC Mall, Inc. 18,400 303,416 * PC-Tel, Inc. 37,700 412,438 * PDF Solutions, Inc. 43,159 387,999 * PDI, Inc. 24,498 705,542 * PDS Gaming Corp. 1,100 2,046 * PEC Solutions, Inc. 43,600 453,440 * Pediatric Services of America, Inc. 10,900 135,160 * Pediatrix Medical Group, Inc. 32,200 2,128,420 * Peerless Manufacturing Co. 3,000 32,130 * Peerless Systems Corp. 24,300 30,375 * Peet's Coffee & Tea, Inc. 22,311 508,245 *# Pegasus Communications Corp. 8,770 142,249 * Pegasus Solutions, Inc. 40,533 466,130 * Pegasystems, Inc. 60,259 512,804 * Pemco Aviation Group, Inc. 950 30,865 * Pemstar, Inc. 73,200 192,516 Penford Corp. 7,300 125,560 Penn Engineering & Manufacturing Corp. Class A 1,200 18,360 Penn Engineering & Manufacturing Corp. Non-Voting 15,000 263,100 * Penn National Gaming, Inc. 67,800 2,032,644 * Penn Treaty American Corp. 24,800 52,824 Penn Virginia Corp. 15,500 965,650 Penn-America Group, Inc. 24,500 323,400 Pennfed Financial Services, Inc. 7,400 224,072 Penns Woods Bancorp, Inc. 770 33,534 * Penwest Pharmaceuticals Co. 31,400 346,028 Peoples Bancorp, Inc. 300 7,463 Pep Boys - Manny, Moe & Jack 84,400 2,066,956 * Perceptron, Inc. 13,850 92,795 * Performance Technologies, Inc. 21,600 234,144 * Pericom Semiconductor Corp. 41,800 447,678 * Perini Corp. 39,200 427,280 * Perot Systems Corp. 60,900 828,849 Perrigo Co. 110,900 2,269,014 * Perry Ellis International, Inc. 13,600 326,128 * Per-Se Technologies, Inc. 50,000 650,000 * Pervasive Software, Inc. 37,339 227,768 * PetMed Express, Inc. 15,565 132,303
43
SHARES VALUE+ --------------- --------------- * Petrocorp, Inc. Escrow Shares 6,900 $ 414 * Petroleum Development Corp. 27,133 666,658 PFF Bancorp, Inc. 28,700 1,142,834 * Pfsweb, Inc. 9 15 * Pharmacopia Drug Discovery, Inc. 26,450 184,092 * Pharmacyclics, Inc. 32,600 390,222 *# Pharmanetics, Inc. 9,500 6,650 * PharmChem, Inc. 5,100 816 * Pharmos Corp. 6,200 20,956 * Philadelphia Consolidated Holding Corp. 37,200 2,108,496 Phillips-Van Heusen Corp. 52,200 988,146 * Phoenix Gold International, Inc. 1,000 1,240 * Phoenix Technologies, Ltd. 38,990 257,334 * Photo Control Corp. 1,000 2,750 * PhotoMedex, Inc. 49,800 176,790 * Photon Dynamics, Inc. 28,100 906,787 * Photronics, Inc. 53,300 942,344 * Physiometrix, Inc. 7,400 12,580 * Piccadilly Cafeterias, Inc. 10,400 10 * Pico Holdings, Inc. 12,300 224,475 Piedmont Natural Gas Co. 32,500 1,332,825 Pilgrims Pride Corp. Class B 29,500 792,960 * Pinnacle Entertainment, Inc. 59,800 681,720 * Pinnacle Systems, Inc. 115,400 838,958 * Pioneer Drilling Co. 1,500 9,630 * Pixelworks, Inc. 51,000 922,080 * Pizza Inn, Inc. 10,000 29,200 * Plains Exploration & Production Co. 98,563 1,754,421 * Plains Resources, Inc. 40,100 687,314 * Planar Systems, Inc. 24,800 313,720 * Plantronics, Inc. 27,700 1,101,075 * Plato Learning, Inc. 39,066 411,756 * Play By Play Toys and Novelties, Inc. 3,300 8 * Playboy Enterprises, Inc. Class A 4,700 51,700 * Playboy Enterprises, Inc. Class B 47,100 568,968 * Playtex Products, Inc. 104,100 744,315 * Plexus Corp. 73,000 1,072,370 * Plug Power, Inc. 124,043 944,215 * PLX Technology, Inc. 40,500 603,855 * Plymouth Rubber, Inc. Class B 200 68 PMA Capital Corp. Class A 51,800 361,046 PNM Resources, Inc. 68,400 2,055,420 Pocahontas Bancorp, Inc. 4,400 75,130 *# Point Therapeutics, Inc. 660 4,125 * Point.360 9,000 28,980 PolyMedica Corp. 44,600 1,289,386 * Polyone Corp. 94,200 649,038 Pomeroy IT Solutions, Inc. 20,195 256,880 Pope & Talbot, Inc. 26,700 446,691 * Porta Systems Corp. 9,600 1,056 * Portal Software, Inc. 70,020 322,092 * Possis Medical, Inc. 30,200 861,304 Potlatch Corp. 50,100 1,891,275 * Powell Industries, Inc. 18,090 309,158 * Power Intergrations, Inc. 51,900 1,429,326 PowerCerv Corp. 1,755 1,106 * Power-One, Inc. 141,700 1,428,336 *# Powerwave Technologies, Inc. 107,800 863,478 * Pozen, Inc. 48,500 481,120 * PPT Vision, Inc. 6,800 9,588 * PRAECIS Pharmaceuticals, Inc. 88,204 $ 367,811 Preformed Line Products Co. 1,200 33,000 * Premier Financial Bancorp 5,200 47,892 *# Premier Laser Systems, Inc. Class A 3,400 2 *# Pre-Paid Legal Services, Inc. 27,750 653,790 Presidential Life Corp. 49,400 835,848 * Presstek, Inc. 58,198 600,021 *# PRG-Schultz International, Inc. 104,100 469,491 * Price Communications Corp. 95,970 1,386,767 *# Priceline.com, Inc. 45,116 1,182,039 * Pricesmart, Inc. 9,600 52,896 * Prima Energy Corp. 22,062 840,562 * Prime Hospitality Corp. 76,400 757,124 * Prime Medical Services, Inc. 38,628 225,974 * PRIMEDIA, Inc. 437,638 1,304,161 * Primus Knowledge Solutions, Inc. 16,500 35,145 * Primus Telecommunications Group, Inc. 86,000 521,160 * Princeton Review, Inc. 14,600 104,098 * Printronix, Inc. 5,800 84,100 * Priority Healthcare Corp. 62,636 1,265,247 * Private Business, Inc. 945 2,174 * Proassurance Corp. 49,450 1,635,312 * Procom Technology, Inc. 5,400 6,588 * Procurenet, Inc. 19,700 20 * Progenics Pharmaceuticals, Inc. 28,500 500,175 Programmers Paradise, Inc. 5,200 38,428 * Progress Software Corp. 60,700 1,135,697 * ProQuest Co. 48,300 1,259,664 * ProsoftTraining.com 500 380 Prosperity Bancshares, Inc. 34,200 800,622 * Protection One, Inc. 91,400 17,823 * Protein Design Labs, Inc. 13,144 256,439 Providence & Worcester Railroad Co. 3,000 30,600 Provident Bancorp, Inc. 23,047 240,611 Provident Bankshares Corp. 41,877 1,208,151 Provident Financial Group, Inc. 19,500 780,780 Provident Financial Holdings, Inc. 8,325 207,293 * Province Healthcare Co. 82,825 1,326,857 * Proxim Corp. 67,269 89,468 * ProxyMed, Inc. 2,692 51,148 * PSS World Medical, Inc. 114,600 1,151,730 Psychemedics Corp. 5,225 57,475 * Psychiatric Solutions, Inc. 19,633 486,506 * PTEK Holdings, Inc. 97,928 1,027,265 Pulaski Financial Corp. 5,400 90,180 Pulitzer, Inc. 14,700 691,635 * Pure World, Inc. 7,600 14,592 * PW Eagle, Inc. 7,000 24,010 Pyramid Breweries, Inc. 5,700 12,483 * Qad, Inc. 57,783 610,766 * QEP Co., Inc. 2,125 32,279 * QRS Corp. 26,700 146,583 *# QuadraMed Corp. 27,006 82,368 Quaker Chemical Corp. 16,320 418,282 Quaker City Bancorp, Inc. 2,734 149,331 Quaker Fabric Corp. 28,550 227,544 * Quality Dining, Inc. 11,400 25,650 * Quality Systems, Inc. 10,100 471,973 * Qualstar Corp. 5,500 32,753 Quanex Corp. 27,900 1,242,945
44
SHARES VALUE+ --------------- --------------- * Quanta Services, Inc. 194,000 $ 1,028,200 * Quantum Corp.- DLT 91,700 270,515 * Quantum Fuel Systems Technologies Worldwide, Inc. 50,930 255,159 * Quest Software, Inc. 134,100 1,784,871 *# Questcor Pharmaceuticals, Inc. 26,800 22,512 * Quicklogic Corp. 39,000 116,961 * Quidel Corp. 53,544 299,311 * Quigley Corp. 19,300 153,223 * Quiksilver, Inc. 94,700 2,194,199 * Quinton Cardiology Systems, Inc. 24,200 253,858 * Quipp, Inc. 1,400 21,000 Quixote Corp. 13,691 287,511 *# Quokka Sports, Inc. 1,128 14 * Quovadx, Inc. 62,047 66,390 * R & B, Inc. 8,400 157,500 * R H Donnelley Corp. 52,800 2,275,680 * Radiant Systems, Inc. 64,344 288,905 * Radiologix, Inc. 36,100 142,956 * RadiSys Corp. 31,662 527,489 *# Radyne ComStream, Inc. 9,500 82,840 * Rag Shops, Inc. 2,415 7,970 * Railamerica, Inc. 56,100 715,275 * Raindance Communictions, Inc. 73,896 161,093 * Ralcorp Holdings, Inc. 49,400 1,647,490 * Ramtron International Corp. 37,700 185,107 Range Resources Corp. 96,300 1,143,081 * Rare Hospitality International, Inc. 57,382 1,467,832 Raven Industries, Inc. 15,355 488,135 * Rayovac Corp. 57,900 1,569,090 * Raytech Corp. 16,400 33,620 * RC2 Corp. 29,594 827,448 * RCM Technologies, Inc. 10,500 56,175 *# RCN Corp. 82,600 14,868 * Reading International, Inc. Class A 18,149 153,178 * Reading International, Inc. Class B 1,060 8,745 * RealNetworks , Inc. 287,000 1,724,870 *# Redhook Ale Brewery, Inc. 9,300 20,274 Redwood Empire Bancorp 5,250 118,913 Regal-Beloit Corp. 40,404 826,262 * Regeneration Technologies, Inc. 44,352 407,151 * Regeneron Pharmaceuticals, Inc. 84,100 944,443 * Regent Communications, Inc. 75,913 447,887 * Register.Com, Inc. 44,100 230,202 * Rehabcare Group, Inc. 27,500 686,950 * Reliability, Inc. 6,300 6,930 Reliance Steel & Aluminum Co. 54,557 1,996,241 Reliv International, Inc. 25,132 267,153 *# Relm Wireless Corp. 7,600 18,240 * Remec, Inc. 96,850 634,368 * RemedyTemp, Inc. 6,600 85,945 * Remington Oil & Gas Corp. 46,000 954,040 # Renaissance Learning, Inc. 52,600 1,104,074 * Rentrak Corp. 16,500 146,850 * Rent-Way, Inc. 46,300 430,590 * Repligen Corp. 51,000 127,500 * Reptron Electronics, Inc. 8,800 0 *# Reptron Electronics, Inc. 343 2,504 Republic Bancorp, Inc. 108,783 1,445,726 Republic Bancorp, Inc. Class A 15,225 293,081 * Republic First Bancorp, Inc. 6,334 75,375 * Res-Care, Inc. 37,785 $ 524,078 * ResMed, Inc. 41,300 2,098,040 Resource America, Inc. 29,551 644,212 * Resources Connection, Inc. 38,668 1,648,030 * Respironics, Inc. 37,200 1,978,668 * Restoration Hardware, Inc. 55,600 373,076 * Retail Ventures Inc. 56,600 409,218 * Retek, Inc. 93,100 607,012 * Revlon, Inc. 162,400 532,672 * Rewards Network, Inc. 41,600 410,176 * Rex Stores Corp. 18,600 228,780 * Rexhall Industries, Inc. 3,542 6,163 * RF Monolithics, Inc. 12,700 121,666 *# Rhythms NetConnections, Inc. 8,900 1 Richardson Electronics, Ltd. 18,527 209,540 * Rigel Pharmaceuticals, Inc. 2,222 39,463 Riggs National Corp. 49,299 1,076,690 * Rimage Corp. 8,600 121,518 * Rita Medical Systems, Inc. 30,350 150,840 * Riverside Group, Inc. 1,000 33 Riverview Bancorp, Inc. 4,500 93,555 Rivianna Foods, Inc. 16,700 438,208 * Riviera Holdings Corp. 3,600 31,284 RLI Corp. 42,000 1,510,740 * Roadhouse Grill, Inc. 13,340 3,335 Roanoke Electric Steel Corp. 9,900 130,185 Robbins & Myers, Inc. 24,600 543,660 *# Robotic Vision Systems, Inc. 3,480 11,658 * Rochester Medical Corp. 5,300 43,036 Rock of Ages Co. 4,400 35,772 *# Rockford Corp. 14,600 72,270 Rock-Tenn Co. Class A 61,200 983,484 Rocky Mountain Chocolate Factory, Inc. 4,015 38,745 * Rocky Shoes & Boots, Inc. 4,500 92,070 * Rofin-Sinar Technologies, Inc. 25,300 662,126 * Rogers Corp. 27,500 1,689,875 Rollins, Inc. 77,100 1,880,469 * Ross Systems, Inc. 2,600 47,297 *# Roxio, Inc. 1,629 7,282 Royal Bancshares of Pennsylvania Class A 4,430 101,181 Royal Gold, Inc. 35,335 492,217 * Royale Energy, Inc. 3,523 49,812 RPC, Inc. 28,600 391,820 * RSA Security, Inc. 104,200 1,911,028 * RTI International Metals, Inc. 36,000 522,360 * RTW, Inc. 5,150 33,284 * Rubio's Restaurants, Inc. 18,495 122,437 Ruddick Corp. 78,800 1,620,128 * Rudolph Technologies, Inc. 28,400 528,240 * Rural Cellular Corp. Class A 2,800 25,172 * Rural/Metro Corp. 14,000 17,500 * Rush Enterprises, Inc. Class A 7,000 82,670 * Rush Enterprises, Inc. Class B 7,000 84,959 Russ Berrie & Co., Inc. 34,500 931,500 Russell Corp. 54,500 892,710 * Ryan's Family Steak Houses, Inc. 71,800 1,208,394 Ryerson Tull, Inc. 41,800 560,538 * S&K Famous Brands, Inc. 2,100 35,753 S&T Bancorp, Inc. 45,400 1,357,460
45
SHARES VALUE+ --------------- --------------- * S1 Corp. 120,498 $ 1,131,476 * Saba Software, Inc. 22,900 80,150 * Safeguard Scientifics, Inc. 203,500 518,925 * SafeNet, Inc. 39,904 929,763 * Safety Components International, Inc. 118 1,578 * Saga Communications, Inc. Class A 30,925 579,844 * Salem Communications Corp. 30,440 913,200 *# Salton, Inc. 18,500 104,710 * San Filippo (John B.) & Son, Inc. 17,893 445,894 Sanders Morris Harris Group, Inc. 29,532 397,205 Sanderson Farms, Inc. 33,400 1,536,400 * Sands Regent Casino Hotel 2,000 13,660 Sandy Spring Bancorp, Inc. 23,756 831,460 * Sangamo BioSciences, Inc. 42,450 266,162 * Sapient Corp. 200,923 1,205,538 * Satcon Technology Corp. 46,700 128,425 Saucony, Inc. Class A 2,700 55,077 Saucony, Inc. Class B 3,500 70,630 Sauer-Danfoss, Inc. 49,600 770,784 * Savient Pharmaceuticals, Inc. 76,600 185,372 * Saxon Capital, Inc. 17,400 415,338 * SBA Communications Corp. 88,500 341,610 * SBE, Inc. 3,500 12,215 * SBS Technologies, Inc. 25,730 476,005 * ScanSoft, Inc. 217,760 1,141,062 * ScanSource, Inc. 21,200 1,128,900 Schawk, Inc. Class A 22,200 294,150 * Scheid Vineyards, Inc. 2,200 11,022 * Schick Technologies, Inc. 9,000 86,850 * Schieb (Earl), Inc. 2,200 7,282 * Schlotzskys, Inc. 7,200 10,937 * Schmitt Industries, Inc. 2,466 6,042 Schnitzer Steel Industries, Inc. Class A 62,351 1,724,629 * Scholastic Corp. 64,381 1,818,119 * Schuff International, Inc. 7,000 16,380 Schulman (A.), Inc. 49,687 992,249 Schweitzer-Maudoit International, Inc. 25,500 717,825 * Sciclone Pharmaceuticals, Inc. 75,746 376,458 * Scientific Games Corp. 106,058 1,964,194 * Scientific Learning Corp. 4,400 24,244 * Scientific Technologies, Inc. 6,700 38,391 * SciQuest, Inc. 5,900 35,459 * SCM Microsystems, Inc. 25,663 163,473 SCP Pool Corp. 56,700 2,282,175 SCPIE Holdings, Inc. 9,300 81,003 * SCS Transportation, Inc. 24,350 553,963 Seaboard Corp. 1,400 523,600 * Seabulk International, Inc. 46,800 415,116 * Seachange International, Inc. 46,200 689,766 Seacoast Banking Corp. 14,808 296,752 Seacoast Financial Services Corp. 11,076 379,464 *# Seacor Smit, Inc. 33,500 1,341,340 * Seattle Genetics, Inc. 67,634 466,675 * Secom General Corp. 140 177 Second Bancorp, Inc. 9,900 316,008 * Secure Computing Corp. 60,274 534,028 * SED International Holdings, Inc. 825 1,254 * SeeBeyond Technology Corp. 142,000 428,840 * SEEC, Inc. 3,000 750 * Segue Software, Inc. 9,500 35,008 * Selas Corp. of America 4,750 $ 14,250 * Select Comfort Corp. 61,300 1,661,230 Select Medical Corp. 103,800 1,391,958 * Selectica, Inc. 66,500 291,337 Selective Insurance Group, Inc. 47,079 1,700,964 SEMCO Energy, Inc. 47,900 274,946 * Semitool, Inc. 48,500 555,325 * Semtech Corp. 69,436 1,744,232 * SEMX Corp. 4,600 690 * Seneca Foods Corp. Class A 200 3,750 * Seneca Foods Corp. Class B 1,300 24,141 # Sensient Technologies Corp. 81,200 1,640,240 * Sensytech, Inc. 10,414 224,640 * Sequa Corp. Class A 6,900 339,135 * Sequa Corp. Class B 2,600 131,820 * Sequenom, Inc. 64,500 103,845 * SeraCare Life Sciences, Inc. 4,080 46,512 *# Serena Software, Inc. 66,400 1,410,336 * Serologicals Corp. 41,950 718,604 * Service Corp. International 261,400 1,882,080 * ServiceWare Technologies, Inc. 2,900 1,682 * Servotronics, Inc. 1,100 4,285 * SFBC International, Inc. 24,750 602,168 * Shared Technologies Cellular, Inc. 10,100 6 * Sharper Image Corp. 25,800 727,560 *# Shaw Group, Inc. 107,487 1,268,347 * Sheffield Pharmceuticals, Inc. 25 0 * Shiloh Industries, Inc. 13,500 146,880 * Shoe Carnival, Inc. 20,879 287,713 * Shoe Pavilion, Inc. 6,200 14,477 * Sholodge, Inc. 5,100 34,425 * Shopko Stores, Inc. 49,700 677,908 *# Shuffle Master, Inc. 42,387 1,418,693 * Siebert Financial Corp. 22,300 93,437 Sierra Bancorp 1,700 25,840 * Sierra Health Services, Inc. 45,936 1,965,601 *# Sierra Pacific Resources 199,300 1,486,778 * Sifco Industries, Inc. 5,400 22,140 *# Sigma Designs, Inc. 34,800 232,464 * Sigmatron International, Inc. 2,200 26,730 Silgan Holdings, Inc. 31,200 1,308,528 *# Silicon Graphics, Inc. 340,500 643,545 * Silicon Image, Inc. 125,089 1,488,559 * Silicon Storage Technology, Inc. 158,500 2,052,575 * Silicon Valley Bancshares 59,500 2,223,515 * Siliconix, Inc. 37,437 1,803,340 * Simclar, Inc. 6,500 19,305 Simmons First National Corp. Class A 24,000 578,160 * SimpleTech, Inc. 75,057 282,214 Simpson Manufacturing Co., Inc. 41,300 2,263,240 * Sinclair Broadcast Group, Inc. Class A 78,000 861,900 * Sipex Corp. 56,200 362,490 * Sirenza Microdevices, Inc. 54,466 218,409 *# Sirna Therapeutics, Inc. 42,625 133,843 * Sitel Corp. 122,200 382,486 * Six Flags, Inc. 157,905 1,105,335 SJW Corp. 9,000 292,500 * Skechers U.S.A., Inc. Class A 31,800 365,700 Skyline Corp. 8,300 332,166 Skywest, Inc. 98,446 1,647,002
46
SHARES VALUE+ --------------- --------------- *# Skyworks Solutions, Inc. 186,317 $ 1,665,674 * SL Industries, Inc. 5,900 63,720 * SM&A 33,300 269,730 * Smart & Final Food, Inc. 50,700 787,878 * SmartDisk Corp. 2,500 450 * Smith & Wollensky Restaurant Group, Inc. 13,400 86,296 Smith (A.O.) Corp. 34,600 1,018,970 Smith (A.O.) Corp. Convertible Class A 3,750 110,438 * Smith Micro Software, Inc. 21,400 44,512 * Smithway Motor Xpress Corp. Class A 4,000 9,880 * Sola International, Inc. 54,300 1,052,877 * Somera Communications, Inc. 59,150 82,810 Sonic Automotive, Inc. 50,800 1,115,060 * Sonic Corp. 100,537 2,229,911 *# Sonic Foundry, Inc. 42,300 66,411 * Sonic Innovations, Inc. 34,700 355,675 * Sonic Solutions 36,800 782,000 * SonicWALL, Inc. 116,800 929,728 * SonoSite, Inc. 24,645 525,678 * Sonus Networks, Inc. 54,057 294,611 *# Sonus Pharmaceuticals, Inc. 30,900 145,230 * Sorrento Networks Corp. 17,800 52,154 * Sotheby's Holdings, Inc. Class A 80,900 1,206,219 Sound Federal Bancorp, Inc. 21,108 273,349 * Source Information Management, Inc. 39,200 411,600 * Source Media, Inc. 27,400 219 * Sourcecorp, Inc. 26,602 683,139 South Financial Group, Inc. 60,927 1,679,148 South Jersey Industries, Inc. 23,064 968,457 Southern Banc Company, Inc. 200 3,675 * Southern Energy Homes, Inc. 13,825 56,890 * Southern Union Co. 88,194 1,774,463 Southside Banchares, Inc. 315 5,733 * Southwall Technologies, Inc. 14,200 6,390 Southwest Bancorp, Inc. 11,400 195,168 Southwest Bancorporation of Texas, Inc. 54,700 2,291,930 Southwest Gas Corp. 58,700 1,326,620 Southwest Water Co. 25,170 305,564 * Southwestern Energy Co. 61,200 1,564,272 *# Spacehab, Inc. 21,100 86,721 Span-American Medical System, Inc. 2,400 28,296 * Spanish Broadcasting System, Inc. 63,000 607,950 * SPAR Group, Inc. 2,900 3,857 Spartan Motors, Inc. 20,845 241,594 * Spartan Stores, Inc. 31,675 137,501 Spartech Corp. 50,000 1,144,000 * Sparton Corp. 7,938 66,441 * Specialty Laboratories, Inc. 38,600 348,172 SpectraLink Corp. 32,200 484,288 * Spectranetics Corp. 41,502 248,597 * Spectrum Control, Inc. 13,000 106,470 * SpectRx, Inc. 8,900 16,910 # Speedway Motorsports, Inc. 67,190 2,258,928 * Spescom Software, Inc. 1,202 649 * Spherion Corp. 102,320 945,437 * Spherix, Inc. 12,100 72,479 * Spiegel, Inc. Class A Non-Voting 100 6 * Spinnaker Exploration Co. 57,090 $ 1,902,810 * Spire Corp. 6,700 32,897 * Sport Chalet, Inc. 2,700 33,750 * Sport Supply Group, Inc. 8,900 10,458 * Sport-Haley, Inc. 2,700 14,418 * Sports Club Co., Inc. 20,100 32,160 * SportsLine.Com, Inc. 33,400 33,400 * Sportsman's Guide, Inc. 8,000 154,080 * SPSS, Inc. 27,637 460,156 * SRA International, Inc. 29,500 1,143,715 * SRI/Surgical Express, Inc. 6,100 42,151 * SRS Labs, Inc. 24,330 113,378 SS&C Technologies, Inc. 31,850 732,232 # St. Mary Land & Exploration Co. 50,500 1,641,755 * Staar Surgical Co. 31,300 236,628 * Stamps.com, Inc. 37,023 489,074 *# Standard Automotive Corp. 4,400 0 Standard Commercial Corp. 21,129 348,417 * Standard Management Corp. 7,600 26,220 * Standard Microsystems Corp. 30,600 754,902 Standard Motor Products, Inc. Class A 29,300 410,200 Standard Register Co. 40,300 491,257 Standex International Corp. 20,800 539,136 Stanley Furniture, Inc. 6,700 277,179 Star Buffet, Inc. 2,800 18,116 *# Star Scientific, Inc. 78,311 241,198 * Starbiz Restrictive Shares 2 0 * Starcraft Corp. 2,756 30,096 Starrett (L.S.) Co. Class A 4,800 75,504 StarTek, Inc. 24,400 813,984 State Auto Financial Corp. 67,520 2,056,659 State Financial Services Corp. Class A 7,800 221,676 * Steak n Shake Co. 46,318 814,734 *# Steel Dynamics, Inc. 83,458 2,136,525 Steel Technologies, Inc. 20,150 430,203 * SteelCloud Co. 12,100 30,008 * Stein Mart, Inc. 71,416 1,031,247 * Steinway Musical Instruments, Inc. 12,500 425,000 * Stellent, Inc. 37,200 296,484 * Stemcells, Inc. 2,600 3,562 Stepan Co. 8,400 203,700 Stephan Co. 3,500 15,960 Sterling Bancorp 26,176 736,593 Sterling Bancshares 75,899 996,554 * Sterling Financial Corp. 37,370 1,192,113 Stewart & Stevenson Services, Inc. 48,702 825,499 * Stewart Enterprises, Inc. 183,033 1,376,408 Stewart Information Services Corp. 28,400 969,860 * Stifel Financial Corp. 6,100 153,110 * Stillwater Mining Co. 148,000 2,242,200 * Stone Energy Corp. 45,063 2,023,329 * Stonepath Group, Inc. 67,200 169,344 * Stoneridge, Inc. 43,600 682,776 * StorageNetworks, Inc. Escrow Shares 60,800 1,648 * Stratasys, Inc. 17,400 451,878 * Strategic Diagnostics, Inc. 32,700 132,762 Strategic Distribution, Inc. 3,029 39,347 * Stratesec, Inc. 7,300 58 * Stratex Networks, Inc. 142,518 417,578
47
SHARES VALUE+ --------------- --------------- * Stratos International, Inc. 20,936 $ 119,126 * Strattec Security Corp. 4,100 238,866 * Stratus Properties, Inc. 7,050 88,125 Strayer Ed, Inc. 8,300 967,697 Stride Rite Corp. 65,100 686,805 Sturm Ruger & Co., Inc. 45,700 541,545 * Suburban Lodges of America, Inc. Escrow Shares 18,500 0 Suffolk Bancorp 8,600 273,136 * Summa Industries, Inc. 5,200 49,712 Summit Bancshares, Inc. 2,000 56,500 Summit Bank Corp. 2,520 42,336 * SumTotal Systems, Inc. 28,067 181,032 * Sun Bancorp, Inc. 23,736 528,601 Sun Hydraulics, Inc. 4,900 60,613 * Sunair Electronics, Inc. 3,000 17,220 * Sundance Homes, Inc. 3,000 17 * SunLink Health Systems, Inc. 1,048 5,450 *# Sunrise Senior Living, Inc. 36,065 1,299,783 Sunrise Telecom, Inc. 3,700 9,842 * Suntron Corp. 5,265 40,698 * Superconductor Technologies, Inc. 83,940 96,531 * Supergen, Inc. 72,390 547,992 * Superior Consultant Holdings Corp. 10,700 66,768 * Superior Energy Services, Inc. 126,500 1,157,475 # Superior Industries International, Inc. 45,400 1,482,310 Superior Uniform Group, Inc. 7,000 115,500 * Supertex, Inc. 21,800 341,606 * SupportSoft, Inc. 71,600 703,112 Supreme Industries, Inc. 11,408 77,004 *# SureBeam Corp. 12,725 115 SureWest Communications 24,112 773,272 *# SurModics, Inc. 29,700 662,310 Susquehanna Bancshares, Inc. 67,800 1,649,574 * Swift Energy Corp. 47,000 949,400 * Swift Transportation, Inc. 4,200 75,432 * Swisher International, Inc. 700 770 *# Switchboard, Inc. 30,600 236,538 SWS Group, Inc. 29,118 469,382 * Sybron Dental Specialties, Inc. 65,300 1,778,772 * Sycamore Networks, Inc. 226,952 1,000,858 * Sykes Enterprises, Inc. 65,328 408,953 * Sylvan, Inc. 5,400 65,070 * Symmetricom, Inc. 82,767 653,859 * Syms Corp. 28,200 229,548 * Symyx Technologies 54,200 1,305,678 * Synalloy Corp. 5,900 54,988 * Synaptics, Inc. 42,000 805,140 * Synovis Life Technologies, Inc. 19,500 175,500 * Synplicity, Inc. 40,975 239,704 Syntel, Inc. 67,148 1,272,455 * Synthetech, Inc. 16,400 20,828 *# Syntroleum Corp. 66,566 419,366 Sypris Solutions, Inc. 28,163 535,097 * Systemax, Inc. 40,100 248,620 * T-3 Energy Services, Inc. 1,250 8,219 * Tag-It Pacific, Inc. 16,500 78,870 * Taitron Components, Inc. 5,000 12,950 *# Take Two Interactive Software 32,200 958,594 * TALK America Holdings, Inc. 44,509 418,830 TALX Corp. 23,038 534,482 Tandy Brand Accessories, Inc. 5,900 $ 79,296 * Tanox, Inc. 75,600 1,245,132 * Tarantella, Inc. 3,300 5,330 * Tarrant Apparel Group 32,800 61,992 Tasty Baking Co. 17,400 164,082 TB Woods Corp. 7,600 58,140 * TBA Entertainment Corp. 7,300 4,818 * TBC Corp. 37,250 945,778 * TEAM America, Inc. 2,800 0 * Team, Inc. 7,600 119,320 * TeamStaff, Inc. 20,200 46,056 Tech/Ops Sevcon, Inc. 3,100 18,042 Teche Holding Co. 700 24,938 * Techne Corp. 45,700 1,770,875 * Technical Communications Corp. 400 1,700 * Technical Olympic USA, Inc. 8,500 276,675 * Technitrol, Inc. 68,600 1,427,566 Technology Research Corp. 9,700 101,753 * Technology Solutions Corp. 42,400 45,792 * TechTeam Global, Inc. 20,800 159,765 Tecumseh Products Co. Class A 23,400 868,608 * Tegal Corp. 5,000 8,300 *# Tejon Ranch Co. 13,900 482,747 *# Tekelec 105,900 1,760,058 * TeleCommunication Systems, Inc. 40,500 205,335 * Teledyne Technologies Inc 55,200 1,016,784 * Teletech Holdings, Inc. 121,600 914,432 * Telik, Inc. 73,800 1,690,020 * Telular Corp. 22,000 244,398 * TenFold Corp. 4,500 7,875 Tennant Co. 15,300 581,400 * Tenneco Automotive, Inc. 71,200 909,224 * Terayon Communication Systems, Inc. 123,500 339,625 * Terex Corp. 58,021 1,711,039 * Terra Industries, Inc. 131,500 608,845 * Tesoro Petroleum Corp. 103,400 2,462,988 * Tessco Technologies, Inc. 4,500 79,830 * Tetra Tech, Inc. 91,126 1,545,497 * Tetra Technologies, Inc. 37,900 902,399 Texas Industries, Inc. 35,900 1,322,915 Texas Regional Banchshares, Inc. Class A 50,440 2,221,882 Texas United Bancshares, Inc. 100 1,760 TF Financial Corp. 2,600 77,311 * Thackeray Corp. 4,100 5,535 * The Banc Corp. 27,800 190,152 The Brink's Co. 86,818 2,685,281 * The Dress Barn, Inc. 51,400 900,014 * The Geo Group, Inc. 25,000 483,750 The Marcus Corp. 35,200 570,240 * The Medicines Co. 75,791 2,436,681 # The Phoenix Companies, Inc. 160,700 1,881,797 * The Rowe Companies 13,100 59,605 * The Sports Authority, Inc. 43,506 1,483,555 * Theragenics Corp. 50,900 217,343 * Therma-Wave, Inc. 56,989 225,107 * Thermwood Corp. 200 163 * TheStreet.com, Inc. 41,600 156,416 * Third Wave Technologies 66,386 321,972 # Thomas & Betts Corp. 93,500 2,287,010 * Thomas Group, Inc. 4,000 6,000
48
SHARES VALUE+ --------------- --------------- Thomas Industries, Inc. 29,250 $ 995,085 *# Thoratec Corp. 94,843 1,383,759 *# THQ, Inc. 64,700 1,364,523 * Three-Five Systems, Inc. 35,599 190,811 * TIBCO Software, Inc. 172,330 1,430,339 * Tickets.com, Inc. 1,600 760 * Tier Technologies, Inc. Class B 30,900 336,192 TierOne Corp. 30,553 637,336 * TII Network Technologies, Inc. 11,260 15,764 Timberland Bancorp, Inc. 3,900 86,580 * Timco Aviation Services, Inc. 2,749 1,100 * Time Warner Telecom, Inc. 77,187 328,817 * Tipperary Corp. 17,900 58,533 Titan International, Inc. 19,600 208,740 * Titan Pharmaceuticals, Inc. 49,300 162,690 * Titanium Metals Corp. 3,170 286,093 * TiVo, Inc. 135,426 1,030,592 * TL Administration Corp. 200 6 * TLC Vision Corp. 33,060 343,493 Todd Shipyards Corp. 6,300 110,880 * Todhunter International, Inc. 4,600 64,400 * Tofutti Brands, Inc. 6,900 22,080 * Tollgrade Communications, Inc. 23,091 255,156 Tompkins County Trustco, Inc. 363 16,313 * Too, Inc. 58,500 984,555 Topps, Inc. 68,886 597,242 * Torch Offshore, Inc. 23,300 61,512 * Toreador Resources Corp. 4,900 25,774 Toro Co. 39,200 2,516,640 * Total Entertainment Restaurant Corp. 16,761 219,050 *# Tower Automotive, Inc. 97,500 361,725 Track Data Corp. 5,600 5,600 * Tractor Supply Co. 43,600 1,679,908 * Tradestation Group, Inc. 70,500 480,105 Traffix, Inc. 22,900 158,926 * Trailer Bridge, Inc. 9,800 54,390 * Trammell Crow Co. 59,500 756,245 * Trans World Entertainment Corp. 61,000 608,780 * Transact Technologies, Inc. 8,550 275,481 * Transaction Systems Architects, Inc. 64,900 1,224,663 * TransAxis, Inc. 72 5 * Transcat, Inc. 6,100 19,270 * Transgenomic, Inc. 21,900 33,945 * Transkaryotic Therapies, Inc. 58,500 843,570 * Transmeta Corp. 263,500 574,430 * Transmontaigne Oil Co. 61,500 357,930 * Transport Corp. of America 5,200 37,440 * Transport Industries, Inc. 1,400 2,254 * Transpro, Inc. 16,100 95,393 * Transtechnology Corp. 6,200 42,780 * TransTexas Gas Corp. Class A 236 5 *# Transwitch Corp. 40,600 62,524 * Travis Boats & Motors, Inc. 3,300 2,604 * TRC Companies, Inc. 23,500 387,985 Tredegar Industries, Inc. 61,491 888,545 *# Trenwick Group, Ltd. 11,975 108 *# Trestle Holdings Inc. 450 1,125 * Trex Co., Inc. 25,000 908,250 * Triad Guaranty, Inc. 24,500 1,407,770 Triarc Companies, Inc. Class A 33,300 361,305 Triarc Companies, Inc. Class B 49,000 524,790 Trico Bancshares 9,900 $ 180,774 *# Trico Marine Services, Inc. 57,100 13,133 * Trident Microsystems, Inc. 38,500 589,050 * Trimble Navigation, Ltd. 85,150 2,300,753 * Trimedyne, Inc. 4,300 3,870 * Trimeris, Inc. 36,700 538,022 # Trinity Industries, Inc. 74,900 2,142,889 * Trio-Tech International 400 1,848 * TriPath Imaging, Inc. 64,452 591,669 * Tripath Technology, Inc. 63,251 238,456 * Tripos, Inc. 10,620 59,366 * Triquint Semiconductor, Inc. 221,397 1,235,395 * Triton PCS Holdings, Inc. 103,600 488,992 * Triumph Group 26,302 836,667 * TriZetto Group, Inc. 79,700 520,441 * TRM Corp. 7,000 97,090 *# Tropical Sportswear International Corp. 18,175 39,985 * Trover Solutions, Inc. 9,300 63,240 * Troy Group, Inc. 13,800 45,264 * Trump Hotels & Casino Resorts, Inc. 49,100 96,727 Trustco Bank Corp. 125,752 1,623,458 TSR, Inc. 4,400 29,436 * TTM Technologies, Inc. 69,000 786,600 * Tuesday Morning Corp. 69,300 1,978,515 * Tufco Technologies, Inc. 4,500 38,205 * Tularik, Inc. 104,551 2,586,592 * Tumbleweed Communications Corp. 74,095 368,993 # Tupperware Corp. 99,500 1,817,865 * TurboChef Technologies, Inc. 20,500 80,975 * Turnstone Systems, Inc. 65 9 * Tut Systems, Inc. 32,400 100,116 * Tweeter Home Entertainment Group, Inc. 41,100 273,726 Twin Disc, Inc. 2,800 61,600 * Tyler Technologies, Inc. 70,500 627,450 *# U.S. Aggregates, Inc. 1,600 4 * U.S. Concrete, Inc. 44,900 313,402 * U.S. Physical Therapy, Inc. 20,372 251,798 * U.S. Xpress Enterprises, Inc. Class A 10,823 140,158 * UbiquiTel, Inc. 84,490 357,393 * UFP Technologies, Inc. 3,800 12,350 UGI Corp. 42,900 1,376,661 * UICI 78,700 1,564,556 UIL Holdings Corp. 24,600 1,092,240 * Ulticom, Inc. 70,508 662,775 *# Ultimate Electronics, Inc. 23,500 84,130 * Ultimate Software Group, Inc. 35,000 449,750 * Ultradata Systems, Inc. 2,000 3,300 * Ultralife Batteries, Inc. 13,100 261,607 * Ultratech Stepper, Inc. 39,500 601,980 UMB Financial Corp. 35,765 1,818,650 Umpqua Holdings Corp. 48,203 916,821 *# Unapix Entertainment, Inc. 6,100 25 * Unico American Corp. 5,500 32,401 * Unifi, Inc. 83,334 194,168 Unifirst Corp. 14,350 373,100 * Uni-Marts, Inc. 6,500 14,235 Union Bankshares Corp. 170 5,106 Union Community Bancorp 2,300 41,044
49
SHARES VALUE+ --------------- --------------- * Uniroyal Technology Corp. 13,300 $ 13 # Unisource Energy Corp. 67,080 1,655,534 * Unit Corp. 77,700 2,213,673 United Auto Group, Inc. 66,400 1,920,952 United Bankshares, Inc. WV 47,960 1,496,352 United Community Banks, Inc. 59,351 1,404,838 United Community Financial Corp. 51,972 629,381 United Financial Corp. 660 16,368 * United Financial Mortgage Corp. 9,400 48,880 United Fire & Casualty Co. 6,200 343,170 United Guardian, Inc. 1,900 12,084 United Industrial Corp. 22,300 468,300 * United Natural Foods, Inc. 67,300 1,702,017 * United Online, Inc. 108,403 2,036,892 * United PanAm Financial Corp. 600 8,700 * United Rentals, Inc. 121,600 2,079,360 * United Retail Group, Inc. 20,666 56,832 * United Road Services, Inc. 720 83 # United Security Bancshares 2,000 44,600 * United Stationers, Inc. 55,300 2,085,363 * United Surgical Partners International, Inc. 46,502 1,814,043 * United Therapeutics Corp. 36,300 858,858 Unitil Corp. 4,700 122,670 Unity Bancorp, Inc. 5,460 70,980 * Universal Access Global Holdings, Inc. 2,235 2,436 * Universal American Financial Corp. 92,000 1,007,400 * Universal Compression Holdings, Inc. 50,949 1,507,581 Universal Corp. 42,700 2,009,462 * Universal Display Corp. 47,100 540,708 * Universal Electronics, Inc. 23,300 343,442 Universal Forest Products, Inc. 30,373 879,602 * Universal Stainless & Alloy Products, Inc. 6,000 64,986 Unizan Financial Corp. 33,197 855,819 * Unova, Inc. 102,800 1,783,580 * UQM Technologies, Inc. 33,300 99,900 * Urologix, Inc. 23,842 334,980 * URS Corp. 68,913 1,735,229 *# US Airways Group, Inc. 8,800 22,968 *# US Energy Corp. 11,500 26,910 * US LEC Corp. 61,736 238,918 * US Oncology, Inc. 134,682 1,974,438 * USA Truck, Inc. 9,300 107,973 *# USAir Group, Inc. 84,700 6,903 * USANA, Inc. 32,800 913,152 USB Holding Co., Inc. 17,099 376,520 *# USDATA Corp. 2,820 113 Usec, Inc. 142,531 1,116,018 USF Corp. 47,037 1,352,314 * Utah Medical, Inc. 5,000 129,525 *# V.I. Technologies, Inc. 57,100 59,955 *# VA Software Corp. 97,900 231,044 Vail Banks Inc. 1,300 16,250 * Vail Resorts, Inc. 46,600 696,670 *# Valence Technology, Inc. 20,900 81,719 Valhi, Inc. 14,240 158,064 * Valley National Gases, Inc. 4,200 41,790 Valmont Industries, Inc. 40,500 842,400 * Valpey Fisher Corp. 1,650 5,511 Value Line, Inc. 9,900 $ 383,328 * ValueClick, Inc. 134,300 1,469,242 * Valuevision Media, Inc. Class A 60,947 731,364 * Vans, Inc. 28,700 585,767 * Varian Semiconductor Equipment Associates, Inc. 51,200 1,882,624 * Varian, Inc. 54,100 2,407,450 * Variflex, Inc. 4,600 30,820 * Vascular Solutions, Inc. 23,700 255,960 * Vastera, Inc. 75,179 259,368 * Vaxgen, Inc. 42,400 672,888 * VCA Antech, Inc. 65,062 2,797,666 Vector Group, Ltd. 66,457 1,056,666 * Veeco Instruments, Inc. 49,700 1,283,254 * Ventana Medical Systems, Inc. 29,014 1,497,122 * Venture Catalyst, Inc. 7,200 3,240 * Verilink Corp. 25,100 112,950 * Veritas DGC, Inc. 57,700 1,104,378 * Verity, Inc. 64,200 892,380 * Vermont Pure Holdings, Ltd. 17,300 52,419 * Versant Corp. 5,400 11,016 * Versar, Inc. 8,700 44,718 * Verso Technologies, Inc. 26,319 41,716 * Vertex Pharmaceuticals, Inc. 132,888 1,169,414 * Verticalbuyer Inc. 920 7 Vesta Insurance Group, Inc. 60,500 359,975 * Vestin Group, Inc. 400 1,000 * Vialta, Inc. 40,295 15,312 * Viasat, Inc. 44,800 1,032,192 * Vical, Inc. 34,255 188,745 * Vicon Industries, Inc. 4,600 24,242 * Vicor Corp. 52,300 726,970 * Vicuron Pharmaceuticals, Inc. 91,100 1,266,290 # Video Display Corp. 3,600 66,600 *# Viewpoint Corp. 59,526 164,881 * Vignette Corp. 407,600 672,540 * Viisage Technology, Inc. 58,895 577,760 Vintage Petroleum, Inc. 109,300 1,703,987 * Virage Logic Corp. 35,727 269,024 * Virbac Corp. 22,000 66,000 Virco Manufacturing Corp. 13,269 90,893 * Virginia Commerce Bancorp, Inc. 400 11,380 * Virologic, Inc. 83,900 234,920 *# ViroPharma, Inc. 44,725 82,294 * Vision Sciences, Inc. 5,100 21,318 * Vista Medical Technologies, Inc. 7,500 11,100 Visteon Corp. 214,500 2,350,920 * Visual Networks, Inc. 31,900 102,718 * Visx, Inc. DE 87,400 2,054,774 * Vital Images, Inc. 18,200 176,904 Vital Signs, Inc. 21,956 592,812 * VitalWorks, Inc. 73,800 250,920 *# Vitech America, Inc. 14,850 67 * Vitesse Semiconductor, Inc. 20,500 111,930 * Vitria Technology, Inc. 53,942 153,195 * Vivus, Inc. 64,564 265,358 * Vl Dissolution Corp 3,101 1,930 VLPS Lighting Services International, Inc. 4,800 20,040 * Vodavi Technology, Inc. 4,300 20,468 * Volt Information Sciences, Inc. 33,000 848,100
50
SHARES VALUE+ --------------- --------------- Vulcan International Corp. 700 $ 30,380 * Vyyo, Inc. 20,900 153,406 * W-H Energy Services, Inc. 50,300 929,544 * Wabash National Corp. 45,800 1,204,540 Wabtec Corp. 76,000 1,253,240 Walter Industries, Inc. 71,300 907,649 *# Warnaco Group, Inc. 2,900 3 * Warnaco Group, Inc. 61,372 1,223,144 Warwick Community Bancorp, Inc. 5,000 153,500 Warwick Valley Telephone Co. 300 6,300 Washington Banking Co. 4,680 75,348 Washington Savings Bank FSB 2,400 24,936 Washington Trust Bancorp, Inc. 21,855 549,653 * Waste Connections, Inc. 49,200 2,091,000 Waste Industries USA, Inc. 19,300 218,090 * WatchGuard Technologoes, Inc. 56,780 369,638 * Water Pik Technologies, Inc. 8,400 140,196 * Waterlink, Inc. 19,200 16 Waters Instruments, Inc. 300 2,403 Watsco, Inc. Class A 37,400 978,758 Watsco, Inc. Class B 1,350 35,370 * Watson Wyatt & Co., Holdings 55,900 1,461,785 Watts Water Technologies, Inc. 40,400 980,508 Wausau-Mosinee Paper Corp. 95,336 1,450,061 Waypoint Financial Corp. 53,226 1,458,392 * WCI Communities, Inc. 74,500 1,657,625 WD-40 Co. 28,900 880,294 * Webb Interactive Services, Inc. 5,300 3,339 * Webco Industries, Inc. 6,000 29,430 * WebEx Communications, Inc. 73,680 1,739,585 * webMethods, Inc. 89,502 780,457 * Websense, Inc. 38,800 1,256,344 * Weider Nutrition International, Inc. 10,500 48,720 Weis Markets, Inc. 19,607 669,579 Wellco Enterprises, Inc. 1,000 19,100 Wellman, Inc. 65,300 519,135 * Wells-Gardner Electronics Corp. 6,101 28,614 Wesbanco, Inc. 33,521 923,168 * WESCO International, Inc. 67,900 1,125,782 West Coast Bancorp 25,609 563,654 * West Marine, Inc. 35,100 921,726 West Pharmaceutical Services, Inc. 25,100 954,051 * Westaff, Inc. 24,300 63,180 Westamerica Bancorporation 2,000 98,760 Westar Energy, Inc. 89,400 1,762,968 Westbank Corp. 4,740 89,254 * Westcoast Hospitality Corp. 12,900 74,433 * Westell Technologies, Inc. 89,580 492,690 Western Gas Resources, Inc. 24,700 1,365,910 Western Ohio Financial Corp. 900 29,835 * Western Power & Equipment Corp. 3,373 1,231 * Western Sierra Bancorp 1,575 45,990 * Westmoreland Coal Co. 800 17,168 Westwood Holdings Group, Inc. 6,479 112,540 * Wet Seal, Inc. Class A 41,375 241,216 Weyco Group, Inc. 300 10,026 WGL Holdings, Inc. 14,000 385,140 * White Electronics Designs Corp. 41,065 262,405 * Whitehall Jewelers, Inc. 25,450 203,855 Whitney Holdings Corp. 15,300 665,091 *# WHX Corp. 6,333 10,259 * Wickes, Inc. 4,400 $ 550 * Wild Oats Markets, Inc. 51,350 695,793 * William Lyon Homes, Inc. 12,600 1,130,220 * Williams Industries, Inc. 1,200 4,218 * Willis Lease Finance Corp. 9,500 78,375 Willow Grove Bancorp, Inc. 17,451 265,430 * Wilshire Financial Services Group, Inc. 137 1,232 * Wilshire Oil Co. of Texas 7,107 35,606 * Wilson Greatbatch Technologies, Inc. 36,000 979,200 * Wilsons The Leather Experts, Inc. 32,945 110,366 * Wind River Systems, Inc. 138,596 1,426,153 * Winmark Corp. 3,800 96,900 # Winn-Dixie Stores, Inc. 241,000 1,525,530 Winnebago Industries, Inc. 57,600 1,635,840 Wintrust Financial Corp. 34,250 1,627,560 * Wireless Facilities, Inc. 113,651 1,077,411 Wireless Telecom Group, Inc. 28,800 85,968 * Wireless WebConnect!, Inc. 8,900 24 * Wiser Oil Co. 26,300 277,991 * Witness Systems, Inc. 44,500 641,245 * WJ Communications, Inc. 50,400 161,280 * WMS Industries, Inc. 50,800 1,559,560 * Wolverine Tube, Inc. 20,100 228,738 Wolverine World Wide, Inc. 67,000 1,765,450 * Women First HealthCare, Inc. 1,500 34 Woodhead Industries, Inc. 20,557 309,588 Woodward Governor Co. 18,900 1,255,905 * World Acceptance Corp. 32,000 572,480 *# World Access, Inc. 35,372 48 World Fuel Services Corp. 18,300 806,481 World Wrestling Federation Entertainment, Inc. 22,700 275,578 *# WorldGate Communications, Inc. 6,500 13,455 * WorldQuest Networks, Inc. 1,500 4,772 * Worldwide Restaurant Concepts, Inc. 52,200 174,348 Worthington Industries, Inc. 65,400 1,251,756 WPS Resources Corp. 31,200 1,412,112 * Wright Medical Group, Inc. 56,500 1,833,990 WSI Industries, Inc. 2,000 5,338 X-Rite, Inc. 35,163 470,481 * Xanser Corp. 42,800 108,284 * Xeta Corp. 9,200 46,911 * Xicor, Inc. 45,974 691,909 * Yankee Candle Co., Inc. 65,200 1,825,600 Yardville National Bancorp 16,400 412,460 * Yellow Roadway Corp. 22,982 820,687 York International Corp. 41,200 1,523,576 * Young Broadcasting, Inc. Class A 29,507 422,540 * Zapata Corp. 2,340 159,120 Zenith National Insurance Corp. 18,600 859,878 * Zevex International, Inc. 3,400 11,628 * Zhone Technologies, Inc. 37,400 122,672 * Zila, Inc. 76,307 388,403 *# Zix Corp. 51,726 462,430 * Zoll Medical Corp. 14,622 451,820 *# Zoltek Companies, Inc. 27,800 202,384 * Zomax, Inc. 51,700 196,977 * Zones, Inc. 13,500 36,450 * Zoran Corp. 68,635 1,205,917 * Zygo Corp. 28,600 303,160
51
SHARES VALUE+ --------------- --------------- * Zymetx, Inc. 8,600 $ 452 * Zymogenetics, Inc. 88,239 1,404,765 --------------- TOTAL COMMON STOCKS (Cost $1,513,392,652) 1,723,375,415 --------------- RIGHTS/WARRANTS -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 30 0 * American Banknote Corp. Warrants Series 2 10/10/07 30 0 * Anacomp, Inc. Class B Warrants 12/10/06 0 0 *# Angeion Corp. Warrants 10/31/07 215 0 * Aura Systems, Inc. Warrants 05/31/05 1,262 0 * Chart Industries, Inc. Warrants 09/15/10 24 184 * Chiquita Brands International, Inc. Warrants 03/19/09 9,947 46,950 * CSF Holding, Inc. Litigation Rights 3,250 0 * Danielson Holding Corp. Rights 06/09/04 33,400 0 * Del Global Technologies Corp. Warrants 03/28/08 971 583 * Imperial Credit Industries, Inc. Warrants 01/31/08 22 0 * Imperial Sugar Co. Warrants 08/29/08 498 1,006 * Lodgian, Inc. Class A Warrants 11/25/07 188 39 * Lodgian, Inc. Class B Warrants 11/25/09 582 134 * Magnum Hunter Resources Warrants 03/21/05 7,200 4,320 * Orbital Science Corp. Warrants 08/31/04 152 1,193 *# OSI Pharmaceutical, Inc. Rights 4,829 1,859 * PMR Corp. Contingent Value Rights 08/05/04 7,300 7 * Timco Aviation Services Warrants 02/27/07 6,696 1 --------------- TOTAL RIGHTS/WARRANTS (Cost $444,107) 56,276 --------------- FACE AMOUNT VALUE+ --------------- --------------- (000) BONDS -- (0.0%) * Del Global Technologies Corp. $ 2 $ 0 * Timco Aviation Services, Inc. 3 0 --------------- TOTAL BONDS (Cost $0) 0 --------------- TEMPORARY CASH INVESTMENTS -- (8.0%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $26,894,000 FNMA Notes 1.50%, 09/21/05, valued at $26,725,913) to be repurchased at $26,332,604 (Cost $26,330,000) 26,330 26,330,000 Repurchase Agreement, Merrill Lynch Triparty Repo 0.96%, 06/01/04 (Collateralized by $124,075,000 U.S. Treasury Obligations rates ranging from 2.125% to 6.00%, maturities ranging from 08/15/04 to 08/31/04, valued at $125,930,146) to be repurchased at $123,472,650 (Cost $123,459,481)^ 123,459 123,459,481 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $149,789,481) 149,789,481 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,663,626,240)++ $ 1,873,221,172 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. ++ The cost for federal income tax purposes is $1,666,038,387. See accompanying Notes to Financial Statements. 52 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- UNITED KINGDOM -- (19.4%) COMMON STOCKS -- (19.4%) Abbey National P.L.C. 841,876 $ 6,930,244 Aggregate Industries P.L.C. 1,926,365 2,976,832 Alliance & Leicester P.L.C. 348,000 5,264,654 Allied Domecq P.L.C. 621,994 5,172,552 Amvescap P.L.C. 225,900 1,515,531 Arriva P.L.C. 231,050 1,651,789 Associated British Foods P.L.C. 990,462 11,631,581 Associated British Ports Holdings P.L.C. 378,800 3,037,599 Aviva P.L.C. 2,582,930 25,216,998 * AWG P.L.C. 76,018 855,780 BAA P.L.C. 1,576,251 15,724,547 BAE Systems P.L.C. 2,599,132 9,806,062 Barratt Developments P.L.C. 338,959 3,566,453 BBA Group P.L.C. 679,855 3,165,960 Bellway P.L.C. 38,000 526,004 Berkeley Group P.L.C. 228,802 3,866,438 BG Group P.L.C. 1,408,548 8,581,102 BOC Group P.L.C. 82,135 1,341,431 Bovis Homes Group P.L.C. 132,000 1,237,365 BPB P.L.C. 458,500 3,269,374 Bradford & Bingley P.L.C. 80,259 408,850 Brambles Industries P.L.C. 272,000 1,056,902 Britannic P.L.C. 278,864 1,761,482 * British Airways P.L.C. 1,839,331 8,547,965 British Land Co. P.L.C. 857,882 10,539,837 British Vita P.L.C. 286,388 1,352,407 Brixton P.L.C. 359,333 1,911,806 * Cable and Wireless P.L.C. 3,512,914 7,943,057 * Canary Wharf Group P.L.C. 847,200 4,598,296 Carnival P.L.C. 156,448 7,021,173 * Colt Telecom Group P.L.C. 2,561,000 3,945,288 * Corus Group P.L.C. 6,312,988 3,913,405 Derwent Valley Holdings P.L.C. 49,351 756,218 DeVere Group P.L.C. 85,228 688,195 * Dimension Data Holdings P.L.C. 1,006,000 564,232 Dixons Group P.L.C. 333,402 931,182 * Duelguide Units P.L.C. 36,010 355,069 * Easyjet P.L.C. 294,025 1,073,156 FKI P.L.C. 856,795 1,741,838 Friends Provident P.L.C. 2,272,618 5,760,483 Galen Holdings P.L.C. 319,000 4,237,385 Great Portland Estates P.L.C. 299,155 1,440,093 Great Universal Stores P.L.C. 258,182 3,843,651 Greene King P.L.C. 105,263 1,757,735 Hammerson P.L.C. 468,800 5,815,111 Hanson P.L.C. 963,671 7,358,895 HBOS P.L.C. 14,538 190,478 * HHG P.L.C. 842,619 664,307 Hilton Group P.L.C. 2,619,960 12,744,959 IMI P.L.C. 24,000 161,845 Intercontinental Hotels Group P.L.C. 968,773 9,286,691 * International Power P.L.C. 1,898,700 5,056,603 ITV P.L.C. 1,551,881 3,378,787 Johnson Matthey P.L.C. 43,250 $ 702,953 Kelda Group P.L.C. 161,510 1,456,483 Kesa Electricals P.L.C. 9,781 50,996 # Kingfisher P.L.C. 651,215 3,413,664 Land Securities Group P.L.C. 78,654 1,686,004 Liberty International P.L.C. 469,345 6,367,535 Logicacmg P.L.C. 586,400 2,012,631 London Merchant Securities P.L.C. 358,862 1,139,502 Marks & Spencer Group P.L.C. 1,197,239 7,890,393 Mersey Docks & Harbour Co. P.L.C. 115,042 1,455,763 MFI Furniture Group P.L.C. 66,600 182,435 Millennium and Copthorne Hotels P.L.C. 489,930 2,843,510 Mitchells & Butlers P.L.C. 630,549 2,997,502 * MM02 P.L.C. 8,760,348 15,678,806 Morrison (Wm.) Supermarkets P.L.C. 1,582,672 6,627,064 Novar P.L.C. 571,338 1,309,149 Pearson P.L.C. 246,039 2,994,860 Peninsular & Oriental Steam Navigation P.L.C. 1,086,433 4,270,957 Pennon Group P.L.C. 56,524 763,276 Persimmon P.L.C. 271,811 2,994,022 Pilkington P.L.C. 2,184,617 3,621,628 Pillar Property P.L.C. 159,913 1,641,266 * Premier Oil P.L.C. 119,812 1,165,426 Quintain Estates & Development P.L.C. 100,000 729,199 Rio Tinto P.L.C. 83,136 2,000,590 RMC Group P.L.C. 401,000 4,035,580 Rolls Royce Group P.L.C. 2,686,097 11,122,171 * Rolls Royce Group P.L.C. 134,304,850 246,241 Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,450,701 Royal Bank of Scotland Group P.L.C. 212,693 6,428,725 Sabmiller P.L.C. 192,609 2,327,665 # Sainsbury (J.) P.L.C. 2,864,609 14,300,152 Scottish & Newcastle P.L.C. 959,905 7,508,053 Scottish Power P.L.C. 915,215 6,635,236 Severn Trent P.L.C. 210,597 3,118,962 * Shire Pharmaceuticals Group P.L.C. 683,427 6,208,647 Singer & Friedlander Group P.L.C. 253,818 1,093,881 Slough Estates P.L.C. 706,900 5,564,664 Smith (David S.) Holdings P.L.C. 547,941 1,567,369 Smith (W.H.) P.L.C. 299,537 1,965,244 Somerfield P.L.C. 738,068 1,939,982 Stagecoach Holdings P.L.C. 1,557,000 2,341,002 Stanley Leisure Organisation P.L.C. 186,760 1,606,028 Tate & Lyle P.L.C. 660,070 3,655,181 Taylor Woodrow P.L.C. 973,675 4,528,444 Tesco P.L.C. 1,560,816 7,123,961 The Big Food Group P.L.C. 505,408 928,373 * Thus Group P.L.C. 1,956,555 933,783 Trinity Mirror P.L.C. 495,640 5,638,934 United Business Media P.L.C. 237,262 1,923,758 United Utilities P.L.C. 265,595 2,642,143 Vodafone Group P.L.C. 13,873,752 32,699,074
53
SHARES VALUE+ --------------- --------------- Westbury P.L.C. 162,025 $ 1,272,549 Whitbread P.L.C. 511,290 7,496,474 Wilson Bowden P.L.C. 105,900 2,010,789 Wimpey (George) P.L.C. 446,968 3,018,363 Wolverhampton & Dudley Breweries P.L.C. 107,366 1,616,965 Woolworths Group P.L.C. 2,074,511 1,684,586 --------------- TOTAL COMMON STOCKS (Cost $377,656,054) 474,774,971 --------------- INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling (Cost $35,295) 36,615 --------------- TOTAL -- UNITED KINGDOM (Cost $377,691,349) 474,811,586 --------------- JAPAN -- (17.4%) COMMON STOCKS -- (17.4%) Acom Co., Ltd. 14,600 979,025 # Aichi Steel Corp. 120,000 493,526 AIOI Insurance Co., Ltd. 928,735 4,040,680 Aisin Seiki Co., Ltd. 182,500 3,383,738 Akita Bank, Ltd. 115,000 452,538 # Alpine Electronics, Inc. 36,800 471,467 Amada Co., Ltd. 376,000 2,138,762 # Anritsu Corp. 67,000 419,610 Aoyama Trading Co., Ltd. 47,700 1,108,318 Asahi Breweries, Ltd. 173,000 1,823,313 Asahi Kasei Corp. 289,000 1,422,289 Asatsu-Dk, Inc. 32,500 840,095 Autobacs Seven Co., Ltd. 23,700 669,145 Awa Bank, Ltd. 196,600 1,129,190 Bank of Iwate, Ltd. 15,300 677,599 # Bank of Kyoto, Ltd. 347,400 2,290,876 Bank of Nagoya, Ltd. 185,000 933,192 Benesse Corp. 6,500 197,550 Canon Sales Co., Inc. 124,900 1,586,967 Chiba Bank, Ltd. 941,000 5,415,152 Chudenko Corp. 41,100 707,233 Chugoku Bank, Ltd. 238,800 2,413,869 Citizen Watch Co., Ltd. 318,000 3,323,532 Coca-Cola West Japan Co., Ltd. 58,400 1,409,917 Comsys Holdings Corp. 92,000 682,561 # Cosmo Oil Co., Ltd. 764,000 1,867,757 Dai Nippon Ink & Chemicals, Inc. 459,000 1,042,492 Dai Nippon Pharmaceutical Co., Ltd. 106,000 803,341 Dai Nippon Printing Co., Ltd. 144,000 2,202,431 # Daicel Chemical Industries, Ltd. 485,000 2,108,669 Daido Steel Co., Ltd. 274,000 657,436 Daihatsu Motor Co., Ltd. 258,000 1,517,061 Daishi Bank, Ltd. 355,000 1,219,314 Daiwa House Industry Co., Ltd. 663,000 7,484,763 Denso Corp. 22,500 482,857 # Ebara Corp. 173,000 778,135 # Ezaki Glico Co., Ltd. 174,600 1,241,437 Fuji Electric Co., Ltd. 525,780 1,293,228 Fuji Fire & Marine Insurance Co., Ltd. 297,000 692,913 Fuji Heavy Industries 493,000 2,430,726 Fuji Oil Co., Ltd. 55,200 643,650 Fuji Photo Film Co., Ltd. 355,000 $ 10,551,760 Fujikura, Ltd. 241,000 1,153,558 Fujitsu, Ltd. 286,000 1,931,493 Fukui Bank, Ltd. 343,000 1,359,737 # Fukuoka Bank, Ltd. 400,000 2,071,477 # Fukuyama Transporting Co., Ltd. 266,000 1,211,601 * Furukawa Electric Co., Ltd. 380,000 1,411,648 Futaba Corp. 16,000 419,581 Futaba Industrial Co., Ltd. 44,100 682,343 # Glory, Ltd. 46,800 662,790 Gunma Bank, Ltd. 323,000 1,486,093 Gunze, Ltd. 148,000 706,135 Hachijuni Bank, Ltd. 344,000 2,056,852 #* Hankyu Corp. 174,000 670,625 # Hanshin Electric Railway Co., Ltd. 216,000 701,147 Heiwa Corp 81,500 1,221,706 Higo Bank, Ltd. 308,000 1,769,064 Hitachi Cable, Ltd. 236,000 1,060,267 Hitachi Maxell, Ltd. 96,000 1,407,726 Hitachi Metals, Ltd. 360,000 1,719,080 Hitachi, Ltd. 3,734,000 25,589,059 Hokkoku Bank, Ltd. 223,000 1,067,827 Hokuetsu Paper Mills, Ltd. 162,000 869,334 Hokugin Financial Group, Inc. 414,000 839,050 House Foods Corp. 117,000 1,505,125 # Hyakugo Bank, Ltd. 258,000 1,534,783 # Hyakujishi Bank, Ltd. 314,000 1,942,853 * Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,167,661 * Itochu Corp. 120,000 492,009 Itoham Foods, Inc. 132,000 591,829 Iyo Bank, Ltd. 204,000 1,369,997 Japan Airport Terminal Co., Ltd. 33,000 296,226 JFE Holdings, Inc. 56,300 1,218,243 Joyo Bank, Ltd. 545,000 2,147,260 # Juroku Bank, Ltd. 349,000 1,475,036 # Kagoshima Bank, Ltd. 132,000 739,936 Kamigumi Co., Ltd. 357,000 2,346,542 Kandenko Co., Ltd. 129,000 683,340 Kansai Paint Co., Ltd., Osaka 131,000 770,757 Katokichi Co., Ltd. 34,500 608,482 # Kawasaki Heavy Industries, Ltd. 910,000 1,359,185 Kikkoman Corp. 259,000 2,087,353 Kinden Corp. 167,000 929,655 Kirin Brewery Co., Ltd. 437,000 4,152,801 # Kissei Pharmaceutical Co., Ltd. 41,000 875,872 Kobe Steel, Ltd. 2,632,000 3,842,186 Koito Manufacturing Co., Ltd. 101,000 701,488 Kokuyo Co., Ltd. 81,200 989,157 Komatsu, Ltd. 1,279,000 7,702,264 Komori Corp. 47,000 692,540 # Koyo Seiko Co. 198,000 2,006,219 Kubota Corp. 140,000 647,773 Kuraray Co., Ltd. 241,000 1,811,296 # Kuraya Sanseido, Inc. 82,600 1,235,988 Kureha Chemical Industry Co., Ltd. 122,000 488,520 KYORIN Pharmaceutical Co., Ltd. 52,000 680,761 # Makita Corp. 209,000 2,933,140 Marubeni Corp. 1,942,000 4,429,099 Marui Co., Ltd. 213,000 2,839,783 # Maruichi Steel Tube, Ltd. 117,000 1,758,628
54
SHARES VALUE+ --------------- --------------- # Matsushita Electric Industrial Co., Ltd. 1,977,135 $ 27,425,216 Matsushita Electric Works, Ltd. 142,000 1,185,094 # Meiji Seika Kaisha, Ltd. Tokyo 243,000 985,587 # Michinoku Bank, Ltd. 187,000 1,063,990 Millea Holdings, Inc. 46 606,247 Mitsubishi Corp. 40,000 395,191 Mitsubishi Gas Chemical Co., Inc. 305,000 1,146,869 Mitsubishi Heavy Industries, Ltd. 2,128,000 5,567,075 Mitsubishi Logistics Corp. 106,000 924,108 Mitsubishi Materials Corp. 975,000 1,864,568 #* Mitsubishi Motors Corp. 568,000 1,119,876 Mitsui Chemicals, Inc. 239,800 1,163,162 Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 813,477 Mitsui Trust Holdings 641,000 4,266,825 Mitsumi Electric Co., Ltd. 45,800 468,759 Mizuho Holdings, Inc. 1,192 5,120,280 Morinaga Milk Industry Co., Ltd. 160,000 595,510 Musashino Bank, Ltd. 20,000 722,528 Nagase & Co., Ltd. 87,000 723,676 Namco, Ltd. 5,500 138,069 Nanto Bank, Ltd. 317,000 1,448,045 NGK Insulators, Ltd. 216,000 1,536,529 NGK Spark Plug Co., Ltd. 144,000 1,295,677 Nichicon Corp. 51,200 652,234 Nichirei Corp. 180,000 576,526 Nifco, Inc. 37,000 567,717 Nihon Unisys, Ltd. 69,100 512,213 Nippon Broadcasting System, Inc. 20,690 1,011,229 # Nippon Electric Glass Co., Ltd. 72,000 1,543,539 Nippon Kayaku Co., Ltd. 128,000 649,635 Nippon Meat Packers, Inc., Osaka 144,000 1,567,917 Nippon Mining Holdings, Inc. 370,000 1,708,854 Nippon Mitsubishi Oil Corp. 1,871,050 10,633,474 Nippon Paint Co., Ltd. 167,000 606,191 Nippon Sanso Corp. 30,000 137,311 Nippon Sheet Glass Co., Ltd. 280,000 926,729 Nippon Shinpan Co., Ltd. 191,000 651,818 Nippon Shokubai Co., Ltd. 163,000 1,193,958 Nippon Television Network Corp. 9,400 1,447,390 Nipponkoa Insurance Co., Ltd. 45,000 258,828 Nishimatsu Construction Co., Ltd. 364,000 1,236,106 Nishi-Nippon Bank, Ltd. 156,540 704,445 Nissay Dowa General Insurance Co., Ltd. 383,000 1,924,261 Nisshin Seifun Group, Inc. 148,000 1,360,518 Nisshin Steel Co., Ltd. 627,000 1,264,556 Nisshinbo Industries, Inc. 305,000 2,021,246 #* Nissho Iwai-Nichmen Holdings Corp. 130,400 694,507 NSK, Ltd. 319,000 1,443,643 Obayashi Corp. 520,000 2,482,203 Ogaki Kyoritsu Bank, Ltd. 50,000 269,692 Oji Paper Co., Ltd. 275,000 1,749,298 Okumura Corp. 144,000 707,500 Onward Kashiyama Co., Ltd. 100,000 1,612,619 PanaHome Corp. 106,000 570,078 # Pioneer Electronic Corp. 60,000 1,537,866 Promise Co., Ltd. 60,500 3,976,827 Q.P. Corp. 109,600 892,411 # Rengo Co., Ltd. 152,000 683,988 * Resona Holdings, Inc. 1,873,000 $ 3,220,661 San In Godo Bank, Ltd. 110,000 864,336 Santen Pharmaceutical Co., Ltd. 52,000 757,478 # Sanwa Shutter Corp. 101,000 518,071 Sanyo Shinpan Finance Co., Ltd. 19,800 1,086,425 Sapporo Breweries, Ltd. 251,000 815,139 Sapporo Hokuyo Holdings, Inc. 224 1,172,121 Seino Transportation Co., Ltd. 193,000 1,835,299 Sekisui Chemical Co., Ltd. 557,000 4,109,695 Sekisui House, Ltd. 942,000 9,812,478 Seventy-seven (77) Bank, Ltd. 241,000 1,420,528 SFCG Co., Ltd. 8,010 1,404,972 Shiga Bank, Ltd. 272,000 1,349,621 Shikoku Bank, Ltd. 72,000 429,019 Shimachu Co., Ltd. 36,200 902,162 # Shimadzu Corp. 181,000 932,806 Shinko Securities Co., Ltd. 470,000 1,560,982 Shizuoka Bank, Ltd. 473,000 3,854,740 # Softbank Corp. 49,100 1,877,895 Sumitomo Bakelite Co., Ltd. 105,000 698,212 Sumitomo Corp. 471,000 3,633,702 Sumitomo Electric Industries, Ltd. 472,000 4,540,655 Sumitomo Forestry Co., Ltd. 139,000 1,431,249 Sumitomo Metal Industries, Ltd. Osaka 1,481,000 1,661,464 Sumitomo Metal Mining Co., Ltd. 313,000 1,864,367 Sumitomo Osaka Cement Co., Ltd. 269,000 650,652 Sumitomo Realty & Development Co., Ltd. 150,000 1,617,350 Sumitomo Rubber 43,000 357,718 Sumitomo Trust & Banking Co., Ltd. 21,000 129,088 Suruga Bank, Ltd. 87,000 574,425 Suzuken Co., Ltd. 54,000 1,685,214 Taiheiyo Cement Corp. 1,209,800 2,642,448 Taisei Corp. 1,325,000 4,413,188 Taiyo Yuden Co., Ltd. 72,000 1,038,264 Takara Standard Co., Ltd. 118,000 645,570 Takashimaya Co., Ltd. 214,000 2,357,203 # Takefuji Corp. 35,920 2,390,002 TDK Corp. 10,100 709,085 Teijin, Ltd. 893,000 2,884,554 Teikoku Oil Co., Ltd. 346,000 1,766,783 Toda Corp. 203,000 748,487 Toho Bank, Ltd. 254,000 1,010,175 Tokai Tokyo Securities Co., Ltd. 155,000 447,237 Tokuyama Corp. 248,000 1,060,197 Tokyo Broadcasting System, Inc. 113,500 2,013,658 # Tokyo Steel Manufacturing Co., Ltd. 97,800 1,390,966 Tokyo Style Co., Ltd. 133,000 1,504,229 # Tokyo Tatemono Co., Ltd. 143,000 691,014 Toppan Printing Co., Ltd. 441,000 5,366,365 Toray Industries, Inc. 620,000 2,854,071 Toshiba TEC Corp. 181,000 787,527 Tostem Inax Holding Corp. 160,000 3,278,680 Toto, Ltd. 247,000 2,654,223 # Toyo Ink Manufacturing Co., Ltd. 174,000 703,334 Toyo Seikan Kaisha, Ltd. 287,600 4,718,371 Toyo Suisan Kaisha, Ltd. 64,000 773,366 Toyota Auto Body Co., Ltd. 86,000 1,309,569 Toyota Industries Corp. 76,500 1,668,275 # Toyota Tsusho Corp. 314,000 2,881,419
55
SHARES VALUE+ --------------- --------------- TV Asahi Corp. 202 $ 375,250 UNY Co., Ltd. 133,000 1,642,230 Wacoal Corp. 149,000 1,579,834 # Yamagata Bank, Ltd. 153,700 673,239 Yamaguchi Bank, Ltd. 133,000 1,355,800 Yamanashi Chuo Bank, Ltd. 119,000 588,331 Yamatake Corp. 20,000 194,318 Yamazaki Baking Co., Ltd. 155,000 1,436,047 Yokogawa Electric Corp. 337,000 4,360,631 Yokohama Rubber Co., Ltd. 410,000 1,508,010 York-Benimaru Co., Ltd. 29,300 838,751 --------------- TOTAL COMMON STOCKS (Cost $411,657,891) 425,533,004 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Japanese Yen (Cost $20,787) 21,114 --------------- TOTAL -- JAPAN (Cost $411,678,678) 425,554,118 --------------- FRANCE -- (8.5%) COMMON STOCKS -- (8.5%) # AGF (Assurances Generales de France SA) 149,122 9,041,456 # Air France 143,423 2,346,271 Air Liquide SA 8,848 1,561,285 Alcan, Inc. 30,183 1,192,724 #* Alcatel SA 195,750 2,820,740 #* Alstom SA 185,169 212,840 Arcelor SA 167,800 2,815,999 AXA 634,106 13,042,808 BNP Paribas SA 549,686 33,602,499 Bongrain SA 7,145 480,617 * Cap Gemini SA 89,951 3,450,082 #* Club Mediterranee SA 8,962 379,658 # Compagnie de Saint-Gobain 288,912 14,553,997 Compagnie Francaise d'Etudes et de Construction Technip SA 10,990 1,480,578 Credit Agricole SA 27,709 681,356 Eiffage SA 6,954 541,060 Esso SA 686 96,312 Euler-Hermes SA 10,354 571,483 * Eurafrance 18,000 1,106,386 # Faurecia SA 30,445 1,973,013 # Fimalac SA 46,887 1,832,765 Fonciere Lyonnaise SA 10,950 471,975 France Telecom SA 188,321 4,550,289 Generale des Establissements Michelin SA Series B 107,620 5,258,360 Havas SA 300,744 1,596,520 Imerys SA 11,000 2,502,481 LaFarge SA 62,037 5,319,155 LaFarge SA Prime Fidelity 82,581 7,154,869 # Lagardere S.C.A. SA 10,900 665,814 * Nexans 9,618 315,866 # Peugeot SA 233,374 13,179,063 # Pinault Printemps Redoute SA 22,619 2,364,871 Rallye SA 18,020 912,719 # Remy Cointreau SA 56,022 $ 1,870,576 Renault SA 121,719 9,070,115 Rexel SA 10,713 442,555 * SA Des Galeries Lafayette 900 174,397 Schneider SA 63,451 4,274,219 * Scor SA 733,800 1,075,223 SEB SA Prime Fidelity 9,900 1,112,224 Societe BIC SA 52,288 2,268,319 # Societe des Ciments de Francais 28,600 2,223,571 Societe Generale, Paris 293,528 24,896,954 # Suez (ex Suez Lyonnaise des Eaux) 296,563 5,775,385 Thomson Multimedia 129,923 2,479,132 Valeo SA 73,528 2,984,104 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 392,968 #* Veolia Environnement SA 25,700 687,796 * Vivendi Universal SA 403,364 10,293,783 --------------- TOTAL COMMON STOCKS (Cost $136,677,536) 208,097,232 --------------- RIGHTS/WARRANTS -- (0.0%) * Rallye SA Series B Warrants 11/30/05 (Cost $7,244) 18,020 3,759 --------------- TOTAL -- FRANCE (Cost $136,684,780) 208,100,991 --------------- SWITZERLAND -- (6.1%) COMMON STOCKS -- (6.1%) * ABB, Ltd. 335,400 1,880,058 # Baloise-Holding 190,560 7,679,424 Bank Sarasin & Cie Series B, Basel 180 255,824 Banque Cantonale Vaudoise 12,608 1,387,080 # Berner Kantonalbank 23,400 2,779,455 * Ciba Spezialitaetenchemie Holding AG 56,300 3,846,625 Cie Financiere Richemont AG Series A 1,251,000 32,223,768 Clariant AG 19,200 265,074 Converium Holding AG 14,400 733,921 * Credit Swisse Group 128,200 4,410,505 * Fischer (Georg) AG, Schaffhausen 1,280 279,066 # Givaudan SA 3,952 2,113,439 # Helvetia Patria Holding 16,301 2,867,348 # Holcim, Ltd. 199,770 10,396,504 # Jelmoli Holding AG 500 625,759 # Luzerner Kantonalbank AG 14,627 2,337,061 # Pargesa Holding SA, Geneve 1,935 5,565,147 # PSP Swiss Property AG 109,600 3,822,181 # Rieters Holdings AG 7,860 1,993,377 Sig Holding AG 44,130 7,549,197 #* Sika Finanz AG, Baar 3,828 1,924,356 # St. Galler Kantonalbank 14,319 2,879,750 #* Swiss Life AG 124,240 15,660,232 Swiss Reinsurance Co., Zurich 18,800 1,167,036 * Syngenta AG 152,500 12,097,295 #* Unaxis Holding AG 45,400 5,141,601 #* Valiant Holding AG 39,295 3,270,942 # Valora Holding AG 12,170 2,881,408
56
SHARES VALUE+ --------------- --------------- * Zurich Financial SVCS AG 67,906 $ 10,684,280 --------------- TOTAL COMMON STOCKS (Cost $107,900,215) 148,717,713 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs (Cost $1,007,353) 1,035,109 --------------- TOTAL -- SWITZERLAND (Cost $108,907,568) 149,752,822 --------------- GERMANY -- (5.4%) COMMON STOCKS -- (5.4%) # Aachener und Muenchener Beteiligungs AG 32,773 2,365,409 # Aareal Bank AG 22,825 773,722 Allianz AG 5,000 522,715 * Bankgesellschaft Berlin AG 233,550 569,824 BASF AG 386,050 19,783,712 Bayer AG 280,139 8,022,055 * Bayerische Vereinsbank AG 485,020 8,193,305 # BHW Holding AG 34,600 540,214 # Bilfinger & Berger Bau AG 23,702 779,430 Commerzbank AG 408,050 6,665,331 # DaimlerChrysler AG 219,282 9,759,496 # Deutsche Bank AG 359,305 28,283,407 Deutsche Lufthansa AG 319,477 4,587,451 E.ON AG 7,600 529,503 * Fraport AG 63,708 1,842,234 # Fresenius Medical Care AG 27,600 2,041,697 #* Heidelberger Druckmaschinen AG 38,167 1,209,797 Heidelberger Zement AG 64,373 2,835,953 # Hochtief AG 56,150 1,232,333 * Hypo Real Estate Holding AG 84,277 2,369,101 # IVG Immobilien AG 30,276 349,823 # Karstadt Quelle AG 30,734 634,785 # Linde AG 77,043 3,989,632 # MAN AG 88,000 3,250,554 Merck KGAA 36,000 2,007,356 MG Technologies AG 135,773 1,766,950 # Preussag AG 115,227 2,236,610 Salzgitter AG 13,041 154,880 SCA Hygiene Products AG 3,550 1,300,620 ThyssenKrupp AG 290,691 4,862,280 * Vattenfall Europe AG 94,898 2,955,912 Volkswagen AG 120,547 5,280,608 --------------- TOTAL -- GERMANY (Cost $125,815,346) 131,696,699 --------------- AUSTRALIA -- (3.8%) COMMON STOCKS -- (3.8%) Amcor, Ltd. 126,820 587,802 AMP Limited 1,026,451 4,079,874 Ansell, Ltd. 303,463 1,708,852 APN News & Media, Ltd. 486,363 1,418,593 AWB, Ltd. 345,296 1,207,045 AXA Asia Pacific Holdings, Ltd. 2,837,724 6,872,505 BHP Steel Ltd 1,252,100 5,536,152 Boral, Ltd. 899,150 3,760,136 Caltex Australia, Ltd. 440,369 2,714,191 Commonwealth Bank of Australia 48,696 $ 1,140,569 CSR, Ltd. 1,514,337 2,084,174 Downer Group, Ltd. 216,113 484,787 Futuris Corp., Ltd. 456,719 505,165 Insurance Australiz Group, Ltd. 1,428,272 4,641,130 # Lend Lease Corp., Ltd. 568,460 4,073,668 Lion Nathan, Ltd. 871,345 4,102,395 Mayne Group, Ltd. 1,280,958 2,736,434 Mirvac, Ltd. 1,140,163 3,452,949 Onesteel, Ltd. 436,697 700,279 Orica, Ltd. 352,900 3,685,332 Origin Energy, Ltd. 686,245 2,582,446 Paperlinx, Ltd. 727,704 2,526,782 Publishing and Broadcasting, Ltd. 579,260 5,098,686 # Quantas Airways, Ltd. 3,042,351 7,448,311 Rinker Group, Ltd. 1,155,484 6,177,109 Santos, Ltd. 953,246 4,610,445 # Seven Network, Ltd. 383,865 1,396,206 * Southcorp, Ltd. 1,146,542 2,585,702 * Stockland Trust Group 735 2,743 Stockland Trust Group 21,349 80,393 WMC Resources, Ltd. 1,760,061 5,798,458 --------------- TOTAL COMMON STOCKS (Cost $64,985,485) 93,799,313 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar (Cost $23,400) 21,915 --------------- TOTAL -- AUSTRALIA (Cost $65,008,885) 93,821,228 --------------- NETHERLANDS -- (3.8%) COMMON STOCKS -- (3.8%) ABN-AMRO Holding NV 676,189 14,402,913 Aegon NV 822,637 9,934,972 * Air France 18,150 294,780 AM NV 61,661 541,577 Buhrmann NV 94,439 899,882 DSM NV 78,837 3,893,093 #* Hagemeyer NV 342,825 734,022 * Hunter Douglas NV 34,696 1,617,050 ING Groep NV 1,552,333 35,065,385 * Koninklijke Ahold NV 411,500 3,219,002 Koninklijke KPN NV 278,922 2,028,813 Koninklijke Nedlloyd NV 12,142 370,285 Koninklijke Philips Electronics NV 405,906 11,086,373 New Skies Satellites NV 52,400 424,180 Nutreco Holding NV 23,646 726,902 NV Holdingsmij de Telegraaf 6,800 150,573 Oce NV 60,734 903,874 Vedior NV 46,388 691,658 * Versatel Telecom International NV 323,150 644,450 VNU NV 168,736 4,968,415 --------------- TOTAL COMMON STOCKS (Cost $60,608,176) 92,598,199 --------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 16,500 20,753 * AM NV Coupons 06/04/04 61,661 0
57
SHARES VALUE+ --------------- --------------- * ING Groep NV Coupons 06/17/05 1,552,333 $ 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $21,343) 20,753 --------------- TOTAL -- NETHERLANDS (Cost $60,629,519) 92,618,952 --------------- SPAIN -- (3.0%) COMMON STOCKS -- (3.0%) # Acerinox SA 65,340 3,580,706 # Arcelor SA 30,000 503,953 Autopistas Concesionaria Espanola SA 905,074 15,258,004 Banco de Andalucia 900 79,548 Banco de Sabadell SA 154,021 3,170,801 # Banco Pastor SA 59,400 1,762,479 Cementos Portland SA 21,016 1,260,678 Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 1,667,765 Ebro Puleva SA 116,168 1,416,324 Endesa SA, Madrid 308,964 5,703,723 # Gas Natural SA, Buenos Aires 21,400 511,286 # Iberdrola SA 535,000 10,793,336 # Iberia Lineas Aereas de Espana SA 617,500 1,773,522 Inmobiliaria Colonial SA ICSA 41,300 1,001,296 # Inmobiliaria Urbis SA 96,328 1,065,716 # Metrovacesa SA 109,351 4,190,161 Repsol SA 496,967 10,514,033 Sociedad General de Aguas de Barcelona SA 107,683 1,793,055 * Sociedad General de Aguas de Barcelona SA 737 12,366 # Sol Melia SA 142,463 1,226,953 Union Fenosa SA 230,000 4,906,580 # Vallehermoso SA 45,000 662,610 --------------- TOTAL -- SPAIN (Cost $44,543,185) 72,854,895 --------------- ITALY -- (2.9%) COMMON STOCKS -- (2.9%) #* Alitalia Linee Aeree Italiane SpA Series A 6,690,000 1,916,746 * Banca Antoniana Popolare Veneta SpA 83,000 1,655,360 Banca Monte Dei Paschi di Siena SpA 1,623,479 5,035,105 * Banca Nazionale del Lavoro SpA 1,652,352 3,462,165 # Banca Popolare di Lodi Scarl 374,206 3,428,369 # Banca Popolare di Milano 665,400 3,915,990 Banca Popolare Rights 57,990 531,109 # Benetton Group SpA 181,249 2,052,994 Buzzi Unicem SpA 67,793 891,483 # Caltagirone Editore SpA 222,304 1,692,017 Capitalia SpA 2,910,876 8,603,926 CIR SpA (Cie Industriale Riunite), Torino 500,000 1,017,041 # Compagnia Assicuratrice Unipol SpA 452,120 1,764,618 #* E.Biscom SpA 16,000 930,834 #* Edison SpA 899,081 1,557,540 Erg SpA 295,000 1,855,359 Ericsson SpA 20,069 796,765 #* Fiat SpA 1,054,970 $ 7,472,748 #* IFIL Finanziaria Partecipazioni SpA 1,368,874 4,849,708 # Italcementi SpA 444,060 5,556,122 # Italmobiliare SpA, Milano 33,664 1,572,078 Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 63,806 Milano Assicurazioni SpA 182,000 685,056 # Pirelli & Co. SpA 1,486,658 1,525,436 # SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 3,728,705 San Paolo-IMI SpA 121,701 1,393,518 # Societe Cattolica di Assicurazoni Scarl SpA 8,800 341,886 # Telecom Italia SpA 1,209,533 3,709,241 --------------- TOTAL COMMON STOCKS (Cost $77,211,453) 72,005,725 --------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 (Cost $0) 51,693 11,459 --------------- TOTAL -- ITALY (Cost $77,211,453) 72,017,184 --------------- SWEDEN -- (2.2%) COMMON STOCKS -- (2.2%) * Ainax AB 40,367 1,133,020 #* Bostads AB Drott 28,050 504,168 Carbo AB 2,900 71,692 Castellum AB 4,100 96,709 #* Drott Series AB 131,600 1,840,563 Gambro AB Series A 451,900 4,076,681 Gambro AB Series B 129,800 1,153,281 Holmen AB Series A 6,300 189,771 Holmen AB Series B 120,100 3,442,765 NCC AB Series B 59,700 504,412 Nordic Baltic Holdings AB 372,600 2,524,914 Skandinaviska Enskilda Banken Series A 196,000 2,826,139 Skandinaviska Enskilda Banken Series C 9,800 137,446 SSAB Swedish Steel Series A 121,600 2,034,049 SSAB Swedish Steel Series B 37,700 610,193 Svenska Cellulosa AB Series A 19,000 735,884 Svenska Cellulosa AB Series B 194,900 7,552,395 Svenska Kullagerfabriken AB Series A 22,650 819,199 Svenska Kullagerfabriken AB Series B 29,700 1,083,585 # Telia AB 255,500 1,080,122 Trelleborg AB Series B 103,600 1,877,706 # Volvo AB Series A 212,100 6,614,231 # Volvo AB Series B 413,600 13,520,720 Whilborg Fastigheter AB Class B 35,800 466,127 --------------- TOTAL -- SWEDEN (Cost $42,136,221) 54,895,772 --------------- FINLAND -- (1.5%) COMMON STOCKS -- (1.5%) Fortum Oyj 1,071,385 12,579,654 Huhtamaki Van Leer Oyj 2,300 30,179
58
SHARES VALUE+ --------------- --------------- # Kemira Oyj 101,377 $ 1,280,469 Kesko Oyj 157,000 3,090,975 Metso Oyj 219,166 2,684,084 M-real Oyj Series B 253,400 2,156,183 Okobank Class A 65,000 646,379 Outokumpu Oyj Series A 351,300 5,322,314 Rautaruukki Oyj Series K 12,900 96,037 Stora Enso Oyj Series R 595,800 7,722,494 Upm-Kymmene Oyj 83,100 1,492,540 Wartsila Corp. Oyj Series B 39,600 808,722 --------------- TOTAL -- FINLAND (Cost $24,875,652) 37,910,030 --------------- HONG KONG -- (1.5%) COMMON STOCKS -- (1.5%) Cheung Kong Holdings, Ltd. 162,000 1,216,764 China Overseas Land & Investment, Ltd. 1,864,000 305,826 China Travel International Investment, Ltd. 680,000 119,479 # Chinese Estates Holdings, Ltd. 44,000 23,378 Great Eagle Holdings, Ltd. 94,000 146,264 # Hang Lung Development Co., Ltd. 1,765,000 2,400,392 Hang Lung Properties, Ltd. 624,500 812,550 Henderson Land Development Co., Ltd. 123,000 529,967 Hong Kong and Shanghai Hotels, Ltd. 225,500 130,054 Hopewell Holdings, Ltd. 906,000 1,575,933 Hutchison Whampoa, Ltd. 217,000 1,467,269 Hysan Development Co., Ltd. 1,434,699 2,309,173 I-Cable Communications, Ltd. 325,121 124,918 # Kerry Properties, Ltd. 1,610,884 2,606,259 New Asia Realty & Trust Co., Ltd. 140,000 52,872 New World Development Co., Ltd. 1,269,649 984,974 Shanghai Industrial Holdings Ltd. 545,000 1,010,000 # Shangri-La Asia, Ltd. 3,149,482 3,093,937 Shun Tak Holdings, Ltd. 134,000 54,545 # Sino Land Co., Ltd. 6,239,407 3,638,909 Tsim Sha Tsui Properties, Ltd. 472,000 575,844 Wharf Holdings, Ltd. 3,251,214 9,164,226 Wheelock and Co., Ltd. 3,128,000 3,748,765 --------------- TOTAL COMMON STOCKS (Cost $41,233,673) 36,092,298 --------------- RIGHTS/WARRANTS -- (0.0%) * China Travel International Investment, Ltd. Warrants 05/31/06 (Cost $0) 136,000 0 --------------- TOTAL -- HONG KONG (Cost $41,233,673) 36,092,298 --------------- IRELAND -- (1.1%) COMMON STOCKS -- (1.1%) Allied Irish Banks P.L.C. 141,102 1,998,999 Bank of Ireland P.L.C. 99,637 1,179,578 CRH P.L.C. 279,359 5,933,437 * Elan Corp. P.L.C. 690,634 16,309,681 Irish Permanent P.L.C. 186,115 $ 2,800,171 --------------- TOTAL -- IRELAND (Cost $12,849,099) 28,221,866 --------------- BELGIUM -- (1.0%) COMMON STOCKS -- (1.0%) Ackermans & Van Haaren SA 4,187 99,981 # Algemene Mij Voor Nijverheidskredit Almanij 74,928 4,545,058 # Banque Nationale de Belgique 1,049 3,583,170 Bekaert SA 2,787 161,051 Cofinimmo SA 1,108 142,068 #* Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 88,564 4,140,848 # Dexia SA 87,003 1,456,158 D'Ieteren SA 431 85,797 Groupe Bruxelles Lambert 55,500 3,428,987 * ING Bank Belgium NV 128 4 Nationale a Portefeuille 4,029 568,411 Sofina SA 10,500 529,160 # Suez (ex Suez Lyonnaise des Eaux) 95,400 1,850,319 # Tessenderlo Chemie 31,155 1,090,587 #* Umicore-Strip VVPR 2,009 367 Union Miniere SA 54,327 3,298,083 --------------- TOTAL COMMON STOCKS (Cost $21,735,276) 24,980,049 --------------- RIGHTS/WARRANTS -- (0.0%) * Cofinimmo SA Rights 06/11/04 (Cost $0) 1,108 0 --------------- TOTAL -- BELGIUM (Cost $21,735,276) 24,980,049 --------------- DENMARK -- (0.9%) COMMON STOCKS -- (0.9%) Carlsberg A.S. Series B 32,525 1,591,566 Codan A.S. 28,400 1,190,252 Danisco A.S. 29,530 1,399,523 Danske Bank A.S. 395,753 8,998,165 * Jyske Bank A.S. 22,300 1,175,746 Nordea AB 475,918 3,245,559 Rockwool, Ltd. 6,850 281,287 Tele Danmark A.S. 99,350 3,351,691 --------------- TOTAL -- DENMARK (Cost $14,826,540) 21,233,789 --------------- SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) DBS Group Holdings, Ltd. 357,000 2,954,705 Fraser & Neave, Ltd. 507,290 4,023,360 Haw Par Brothers International, Ltd. 2,698 7,409 Keppel Corp., Ltd. 855,000 3,343,117 # Neptune Orient Lines, Ltd. 801,000 1,009,059 Overseas Chinese Banking Corp., Ltd. 94,000 662,427 Sembcorp Industries, Ltd. 400,000 338,608 Singapore Airlines, Ltd. 617,000 3,810,654 Singapore Land, Ltd. 133,000 301,943 United Overseas Bank, Ltd. 66,000 503,724
59
SHARES VALUE+ --------------- --------------- # United Overseas Land, Ltd. 259,000 $ 344,575 --------------- TOTAL COMMON STOCKS (Cost $13,210,685) 17,299,581 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars (Cost $7,704) 7,821 --------------- TOTAL -- SINGAPORE (Cost $13,218,389) 17,307,402 --------------- NORWAY -- (0.4%) COMMON STOCKS -- (0.4%) * Aker Kvaerner ASA 46,100 736,061 Den Norske Bank ASA Series A 606,394 3,847,441 Norsk Hydro ASA 16,700 1,036,330 Norske Skogindustrier ASA Series A 163,300 2,722,389 # Storebrand ASA 201,500 1,353,445 * Yara International ASA 16,700 123,919 --------------- TOTAL -- NORWAY (Cost $8,187,301) 9,819,585 --------------- GREECE -- (0.4%) COMMON STOCKS -- (0.4%) * Agricultural Bank of Greece S.A. 123,600 860,524 Alpha Credit Bank 35,040 916,728 Bank of Greece 8,520 900,526 Bank of Piraeus S.A. 4,600 53,590 Commercial Bank of Greece 44,760 1,185,010 EFG Eurobank Ergasias S.A. 60,097 1,337,660 Hellenic Petroleum S.A. 159,140 1,216,321 Hellenic Tellecommunication Organization Co. S.A. 140,460 1,845,612 Intracom S.A. 92,390 464,799 National Bank of Greece 15,520 467,402 --------------- TOTAL -- GREECE (Cost $7,870,638) 9,248,172 --------------- PORTUGAL -- (0.3%) COMMON STOCKS -- (0.3%) Banco Comercial Portugues SA 195,400 452,850 BPI SGPS SA 202,800 739,958 Cimpor Cimentos de Portugal SA 503,265 2,640,397 Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,429,895 --------------- TOTAL -- PORTUGAL (Cost $5,351,923) 6,263,100 --------------- AUSTRIA -- (0.2%) COMMON STOCKS -- (0.2%) Bohler Uddeholm AG 6,402 488,199 OMV AG 5,913 1,036,949 Voestalpine AG 62,211 2,775,952 Wienerberger AG 16,123 546,392 --------------- TOTAL -- AUSTRIA (Cost $3,477,881) 4,847,492 --------------- NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 99,828 $ 421,080 Carter Holt Harvey, Ltd. 2,429,700 2,991,974 Fletcher Building, Ltd. 171,130 474,829 --------------- TOTAL COMMON STOCKS (Cost $3,707,347) 3,887,883 --------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar (Cost $6,846) 6,639 --------------- TOTAL -- NEW ZEALAND (Cost $3,714,193) 3,894,522 --------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad 691,000 0 --------------- EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency (Cost $881,605) 886,023 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (19.3%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $31,615,000 FMC Discount Notes 1.13%, 08/12/04, valued at $31,535,963) to be repurchased at $31,071,072 (Cost $31,068,000) $ 31,068 31,068,000 Repurchase Agreement, Deutsche Bank Securities 1.00%, 06/01/04 (Collateralized by $534,822,356 U.S. Treasury Obligations rates ranging from 7.50% to 8.75%, maturities ranging from 11/15/16 to 08/15/20, valued at $660,863,438) to be repurchased at $442,051,058 (Cost $442,001,947)^ 442,002 442,001,947 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $473,069,947) 473,069,947 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,082,684,554)++ $ 2,449,898,522 ===============
- ---------- + See Note B to Financial Statements. # Total or Partial Securities on Loan. * Non-Income Producing Securities. ^ Security purchased with cash proceeds from securities on loan. ++ The cost for federal income tax purposes is $2,082,875,007. See accompanying Notes to Financial Statements. 60 THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- JAPAN -- (78.8%) COMMON STOCKS -- (78.1%) * A&A Material Corp. 123,000 $ 112,368 ABILIT Corp. 22,000 112,214 Achilles Corp. 549,000 988,770 Aderans Co., Ltd. 2,850 59,451 Advan Co., Ltd. 36,000 355,571 ADVANEX, Inc. 78,000 409,821 * Aeon Fantasy Co., Ltd. 4,000 85,691 Ahresty Corp. 28,300 228,737 Aichi Bank, Ltd. 13,200 831,880 # Aichi Corp. 119,900 575,338 * Aichi Machine Industry Co., Ltd. 153,000 464,198 Aichi Tokei Denki Co., Ltd. 67,000 193,558 Aida Engineering, Ltd. 113,000 506,131 Aigan Co., Ltd. 33,500 213,495 Aiphone Co., Ltd. 32,000 550,628 Airport Facilities Co., Ltd. 79,970 360,288 # Airtech Japan, Ltd. 12,100 98,440 Aisan Industry Co., Ltd. 80,500 721,947 * Akai Electric Co., Ltd. 363,000 3,284 Akebono Brake Industry Co., Ltd. 141,000 582,382 Akita Bank, Ltd. 42,000 165,275 Allied Material Corp. 37,700 555,224 # Allied Telesis KK 10,300 381,881 Aloka Co., Ltd. 43,000 341,677 # Alpha Systems Inc. 19,600 293,947 Alpine Electronics, Inc. 9,100 116,586 Alps Logistics Co., Ltd. 21,000 410,383 Altech Co., Ltd. 14,000 64,276 Amano Corp. 154,000 1,238,561 Amatsuji Steel Ball Manufacturing Co., Ltd. 42,000 442,441 Ando Corp. 120,000 233,353 Anest Iwata Corp. 74,000 166,277 Anrakutei Co., Ltd. 24,000 160,774 * AOC Holdings, Inc. 111,100 667,372 Aoi Advertising Promotion, Inc. 21,000 138,867 AOI Electronics Co., Ltd. 14,500 275,068 Aoki International Co., Ltd. 78,100 1,033,171 Aomori Bank, Ltd. 50,000 194,199 * Apic Yamada Corp. 20,000 74,257 * Arai-Gumi, Ltd. 34,450 69,542 Arakawa Chemical Industries, Ltd. 23,800 310,486 Araya Industrial Co., Ltd. 84,000 126,928 * Argo 21 Corp. 13,200 87,525 Ariake Japan Co., Ltd. 5,300 144,381 Aronkasei Co., Ltd. 53,000 199,307 As One Corp. 22,500 582,351 # Asahi Denka Kogyo KK 169,000 1,416,641 Asahi Diamond Industrial Co., Ltd. 112,000 626,104 Asahi Kogyosha Co., Ltd. 48,000 137,206 # Asahi Organic Chemicals Industry Co., Ltd. 157,000 440,981 Asahi Pretec Corp. 30,800 414,811 *# Asahi Soft Drinks Co., Ltd. 81,500 638,128 *# Asahi Tec Corp. 86,000 $ 138,694 *# Asahi Techno Glass Corp. 95,000 660,540 Asanuma Corp. 123,000 203,777 # Ashimori Industry Co., Ltd. 84,000 167,000 Asia Air Survey Co., Ltd. 6,000 16,297 Asia Securities Printing Co., Ltd. 29,000 258,868 Asics Corp. 333,000 910,065 Asunaro Construction., Ltd. 29,000 184,452 Ataka Constuction & Engineering Co., Ltd. 38,000 130,920 # Atom Corp. 16,600 193,892 # Atsugi Co., Ltd. 322,000 352,614 Aucnet, Inc. 15,000 217,046 Avex Inc. 14,600 235,401 * Azel Corp., Tokyo 89,000 94,936 Bando Chemical Industries, Ltd. 213,000 672,392 Bank of Okinawa, Ltd. 33,900 732,088 Bank of Saga, Ltd. 44,000 160,970 Bank of the Ryukyus, Ltd. 45,880 743,358 * Banpresto Co., Ltd. 6,800 88,405 # Best Denki Co., Ltd. 214,000 963,756 # BSL Corp. 210,950 305,662 Bull Dog Sauce Co., Ltd. 26,000 279,978 Bunka Shutter Co., Ltd. 134,000 645,951 Cabin Co., Ltd. 67,000 171,650 # CAC Corp. 31,100 212,737 # Calpis Co., Ltd. 125,000 897,301 Canon Electronics, Inc. 43,000 916,618 Canon Finetech, Inc. 67,070 1,009,111 Capcom Co., Ltd. 31,200 319,599 * Catena Corp. 46,000 122,424 * Cats, Inc. 15,400 418 # Cecile Co., Ltd. 64,100 581,358 Central Finance Co., Ltd. 180,000 644,733 Central Security Patrols Co., Ltd. 31,400 255,762 # CFS Corp. 47,500 319,755 * Chiba Kogyo Bank, Ltd. 80,600 577,582 # Chino Corp. 70,000 218,843 Chiyoda Co., Ltd. 64,400 1,000,584 Chofu Seisakusho Co., Ltd. 54,500 1,000,990 * Chori Co., Ltd. 256,000 328,875 Chuetsu Pulp and Paper Co., Ltd. 176,000 449,423 * Chugai Mining Co., Ltd. 188,600 136,151 # Chugai Ro Co., Ltd. 139,000 332,122 # Chugoku Marine Paints, Ltd. 111,000 574,660 # Chugokukogyo Co., Ltd. 45,000 148,278 Chukyo Bank, Ltd. 44,000 160,784 Chuo Denki Kogyo co., Ltd. 19,000 96,418 Chuo Gyorui Co., Ltd. 61,000 103,699 Chuo Spring Co., Ltd., Nagoya 91,000 346,403 CKD Corp. 113,000 796,516 *# Clarion Co., Ltd. 587,000 950,042 Cleanup Corp. 71,000 763,556 # CMK Corp. 62,000 857,462 Coca Cola Central Japan Co., Ltd. 139 985,011 # Colowide Co., Ltd. 29,000 277,378
61
SHARES VALUE+ --------------- --------------- *# Columbia Music Entertainment, Inc. 212,000 $ 207,213 Commuture Corp. 71,202 523,365 Computer Engineering & Consulting, Ltd. 29,800 351,029 * Co-Op Chemical Co., Ltd. 80,000 80,248 * Core Corp. 5,000 113,280 # Corona Corp. 44,300 629,054 # Cosel Co., Ltd. 33,400 1,008,969 Create Medic Co., Ltd. 7,000 56,926 Credia Co., Ltd. 14,000 204,925 Cresco, Ltd. 11,600 113,161 CTI Engineering Co., Ltd. 19,000 105,623 *# Culture Convenience Club Co., Ltd. 29,600 315,673 * D&M Holdings, Inc. 134,000 387,625 # Dai Nippon Toryo, Ltd. 193,000 274,095 Daibiru Corp. 47,000 286,416 Dai-Dan Co., Ltd. 65,000 303,053 Daido Kogyo Co., Ltd. 60,000 108,185 Daidoh, Ltd. 54,000 439,405 Daifuku Co., Ltd. 176,000 810,974 Daihen Corp. 215,000 451,076 # Daiho Corp. 96,000 210,869 Dai-Ichi Jitsugyo Co., Ltd. 80,000 219,129 Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 127,859 # Daiken Corp. 208,000 950,956 Daiki Co., Ltd. 41,300 419,573 Daiko Clearing Services Corp. 25,000 136,191 * Daikoku Denki Co., Ltd. 7,000 129,169 *# Daikyo, Inc. 444,000 988,493 Daimei Telecom Engineering Corp. 65,000 375,924 Dainichi Co., Ltd. 27,200 120,085 # Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 163,000 780,374 # Dainippon Shigyo Co., Ltd. 25,000 119,859 Daisan Bank, Ltd. 50,000 189,752 # Daiseki Co., Ltd. 35,400 589,076 # Daiso Co., Ltd. 112,000 297,842 * Daisue Construction Co., Ltd. 151,500 172,603 Daisyo Corp. 32,000 337,553 Daito Seiki Co., Ltd. 18,000 50,556 * Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 41,668 Daiwa Industries, Ltd. 82,000 256,009 Daiwa Kosho Lease Co., Ltd. 225,000 1,097,305 *# Daiwa Seiko, Inc. 145,000 152,419 Daiwabo Co., Ltd. 217,000 265,350 Daiwabo Information System Co., Ltd. 22,000 254,884 Danto Corp. 42,000 164,222 DC Co., Ltd. 33,000 68,543 Denki Kogyo Co., Ltd. 111,000 417,249 # Denny's Japan Co., Ltd. 51,000 962,104 Densei-Lambda KK 34,584 294,844 # Denyo Co., Ltd. 38,000 224,640 *# Descente, Ltd. 119,000 346,499 * Dia Kensetsu Co., Ltd. 141,200 185,913 Diamond Computer Service Co., Ltd. 37,700 348,350 * Dijet Industrial Co., Ltd. 34,000 55,130 Doshisha Co., Ltd. 15,000 524,298 # Doutor Coffee Co., Ltd. 34,200 587,348 DTS Corp. 21,200 446,500 * Dydo Drinco Inc. 9,100 269,900 *# Dynic Corp. 52,000 $ 140,592 # Eagle Industry Co., Ltd. 78,000 397,190 * Econach Co., Ltd. 26,000 12,471 * Eco-Tech Construction Co., Ltd. 241,000 2,180 Edion Corp. 112,316 1,212,015 Ehime Bank, Ltd. 232,000 806,804 # Eiken Chemical Co., Ltd. 54,000 487,509 Eikoh, Inc. 8,000 53,333 * Eizo Nanao Corp. 9,200 260,281 Elna Co., Ltd. 22,000 54,036 Enplas Corp. 29,800 979,701 *# Enshu, Ltd. 69,000 111,142 Ensuiko Sugar Refining Co., Ltd. 51,000 95,323 Exedy Corp. 71,000 1,092,374 * F.D.C. Products, Inc. 7,200 80,936 * Fancl Corp. 5,900 194,970 *# FDK Corp. 178,000 434,395 Fine Sinter Co., Ltd. 31,000 94,966 * First Baking Co., Ltd. 67,000 110,338 Foster Electric Co., Ltd. 32,000 232,826 FP Corp. 38,800 780,034 # France Bed Holdings Co., Ltd. 193,000 784,049 *# Fudo Construction Co., Ltd. 40,200 199,827 * Fuji Co.,Ltd. 6,900 129,651 * Fuji Corp, Ltd. 3,000 24,946 Fuji Kiko Co., Ltd. 71,000 202,392 *# Fuji Kosan Co., Ltd. 130,000 139,905 Fuji Kyuko Co., Ltd. 170,000 602,860 *# Fuji Spinning Co., Ltd., Tokyo 163,000 199,044 Fujicco Co., Ltd. 46,000 536,857 * Fujii & Co., Ltd. 44,000 398 * Fujiko Co., Ltd. 55,000 995 Fujikura Kasei Co., Ltd. 43,000 315,407 Fujikura Rubber, Ltd. 34,000 179,851 # Fujirebio, Inc. 75,000 985,307 * Fujita Corp. 96,000 109,322 # Fujita Kanko, Inc. 194,000 754,015 Fujitec Co., Ltd. 145,000 700,453 * Fujitsu Access, Ltd. 36,000 201,604 Fujitsu Business Systems, Ltd. 45,300 605,039 Fujitsu Devices, Inc. 38,000 471,329 Fujitsu Fronttec, Ltd. 41,500 422,222 *# Fujitsu General, Ltd. 161,000 624,018 *# Fujiya Co., Ltd. 190,000 281,470 Fukuda Corp. 65,000 287,509 Fukushima Bank, Ltd. 271,000 473,395 * Fukusima Industries Corp. 10,500 134,050 * Fukusuke Corp. 95,000 860 Fumakilla, Ltd. 24,000 37,618 * Furukawa Battery Co., Ltd. 45,000 79,853 *# Furukawa Co., Ltd. 643,000 666,862 Fuso Lexel Inc. 17,000 135,239 Fuso Pharmaceutical Industries, Ltd. 157,000 497,721 * Ga-jo-en Kanko KK 37,000 0 Gakken Co., Ltd. 168,000 281,096 * Generas Corp. 64,000 579 # Genki Sushi Co., Ltd. 17,200 221,106 Geostar Corp. 10,000 35,300 Global-Dining, Inc. 6,200 40,511 # Godo Steel, Ltd. 242,000 748,957 * Goldwin, Inc. 76,000 120,517
62
SHARES VALUE+ --------------- --------------- # Gourmet Kineya Co., Ltd. 31,000 $ 255,165 * Graphtec Corp. 39,000 62,610 Gro-BeLS Co., Ltd. 84,000 114,266 * GSI Creoss Corp. 90,000 173,995 Gun-Ei Chemical Industry Co., Ltd. 127,000 359,915 Hagoromo Foods Corp. 29,000 288,231 Hakuto Co., Ltd. 36,400 461,429 Hakuyosha Co., Ltd. 57,000 164,958 Haltec Corp. 32,000 50,528 * Hamai Co., Ltd. 22,000 27,772 Hanshin Sogo Bank, Ltd. 78,000 166,075 Hanwa Co., Ltd. 405,000 1,283,436 Happinet Corp. 15,000 173,684 Harashin Co., Ltd. 24,300 189,893 Harima Chemicals, Inc. 37,000 252,287 Haruyama Trading Co., Ltd. 21,600 262,268 *# Hayashikane Sangyo Co., Ltd. 128,000 147,309 * Hazama Corp. 36,500 96,101 Heiwado Co., Ltd. 15,000 192,811 Hibiya Engineering, Ltd. 63,000 484,267 Higashi-Nippon Bank, Ltd. 288,000 765,937 Hisaka Works, Ltd. 41,000 297,472 Hitachi Business Solution Co., Ltd. 22,700 163,583 Hitachi Kiden Kogyo, Ltd. 20,000 78,044 Hitachi Koki Co., Ltd. 153,000 855,084 Hitachi Kokusai Electric, Inc. 76,000 526,889 Hitachi Medical Corp. 59,000 751,139 Hitachi Metals Techno, Ltd. 12,000 30,967 * Hitachi Mobile Co., Ltd. 12,000 85,627 Hitachi Plant Engineering & Construction Co., Ltd. 177,000 683,203 Hitachi Powdered Metal Co., Ltd. 46,000 288,937 Hitachi Tool Engineering, Ltd. 39,000 287,576 # Hochiki Corp. 42,000 193,653 *# Hodogaya Chemical Co., Ltd. 100,000 329,697 * Hohsui Corp. 56,000 63,736 Hokkai Can Co., Ltd., Tokyo 106,000 251,323 *# Hokkaido Bank, Ltd. 580,000 984,633 Hokkaido Coca Cola Bottling Co., Ltd. 64,000 381,738 Hokkaido Gas Co., Ltd. 87,000 211,106 Hokko Chemical Industry Co., Ltd. 41,000 135,916 Hokuetsu Bank, Ltd. 350,000 721,515 Hokuriku Electric Industry Co., Ltd. 112,000 200,711 Hokuriku Electrical Construction Co., Ltd. 36,000 98,320 Hokuriku Gas Co., Ltd. 64,000 180,039 * Hokushin Co., Ltd. 39,900 60,579 # Hokuto Corp. 51,700 796,917 Homac Corp. 66,500 597,913 Honshu Chemical Industry Co., Ltd. 7,000 38,719 # Horiba, Ltd. 54,000 755,614 Horipro, Inc. 23,400 184,452 *# Hosokawa Micron Corp. 40,000 189,641 *# Howa Machinery, Ltd. 181,000 198,251 *# Ichida and Co., Ltd. 23,400 41,823 Ichikawa Co., Ltd. 49,000 147,498 Ichiken Co., Ltd. 48,000 57,703 Ichikoh Industries, Ltd. 141,000 338,362 Ichiyoshi Securities Co., Ltd. 87,000 620,530 # Icom, Inc. 23,600 562,646 Idec Izumi Corp. 54,500 500,919 Ihara Chemical Industry Co., Ltd. 80,000 $ 179,688 # Iino Kaiun Kaisha, Ltd. 161,000 670,569 *# Ikegami Tsushinki Co., Ltd. 102,000 198,983 i-Logistics Corp. 35,000 56,959 * Imasen Electric Industrial Co., Ltd. 15,800 114,371 Impact 21 Co., Ltd. 30,600 717,490 * Impress Corp. 178 209,002 Inaba Denki Sangyo Co., Ltd. 40,500 823,449 # Inaba Seisa Kusho Co., Ltd. 28,400 439,330 Inabata and Co., Ltd., Osaka 95,000 676,033 Inageya Co., Ltd. 83,000 760,182 Ines Corp. 80,400 790,994 I-Net Corp. 12,000 44,213 # Information Services International-Dentsu, Ltd. 51,800 669,069 Intec, Inc. 65,000 424,553 # Inui Steamship Co., Ltd. 31,000 102,802 ISE Chemicals Corp. 38,000 130,391 # Iseki & Co., Ltd. 348,000 864,470 Ishihara Sangyo Kaisha, Ltd. 133,000 260,764 Ishii Hyoki Co., Ltd. 8,600 92,904 *# Ishii Iron Works Co., Ltd. 52,000 66,494 *# Ishikawa Seisakusho, Ltd. 75,000 93,520 Ishikawajima Construction Materials Co., Ltd. 18,000 48,056 Ishikawajima Transport Machinery Co., Ltd. 16,000 40,623 Ishizuka Glass Co., Ltd. 49,000 100,512 Itochu Enex Co., Ltd. 149,300 757,807 Itochu Shokuh Co., Ltd. 20,700 759,029 Itoki Crebio Corp. 56,000 147,977 Iwaki & Co., Ltd. 38,000 96,233 # Iwasaki Electric Co., Ltd. 110,000 389,506 Iwatani International Corp. 389,000 879,705 * Iwatsu Electric Co., Ltd. 145,000 312,103 * Izuhakone Railway Co., Ltd. 300 36,643 *# Izukyu Corp. 11,700 84,657 Izumiya Co., Ltd. 135,000 871,311 *# Izutsuya Co., Ltd. 123,000 238,055 # Jac Holdings Co., Ltd. 11,000 44,169 Jaccs Co., Ltd. 207,000 1,204,962 * Jalux, Inc. 9,700 170,985 Jamco Corp. 18,000 71,878 *# Janome Sewing Machine Co., Ltd. 224,000 328,562 Japan Business Computer Co., Ltd. 34,000 214,964 # Japan Carlit Co., Ltd. 28,000 183,761 # Japan Cash Machine Co., Ltd. 29,810 823,382 Japan Digital Laboratory Co., Ltd. 53,900 583,792 Japan Foundation Engineering Co., Ltd. 49,200 223,870 Japan Information Processing Service Co., Ltd. 31,800 229,277 Japan Kenzai Co., Ltd. 30,400 247,349 Japan Maintenance Co., Ltd. 27,000 215,447 Japan Medical Dynamic Marketing Inc. 26,100 304,476 Japan Oil Transportation Co., Ltd. 45,000 100,000 # Japan Pulp and Paper Co., Ltd. 229,000 746,172 * Japan Radio Co., Ltd. 38,000 163,509 Japan Servo Co., Ltd. 51,000 136,344 Japan Steel Tower Co., Ltd. 19,000 36,124
63
SHARES VALUE+ --------------- --------------- # Japan Steel Works, Ltd. 590,000 $ 843,246 # Japan Storage Battery Co., Ltd. 529,000 1,186,989 # Japan Transcity Corp. 94,000 233,432 Japan Vilene Co., Ltd. 101,000 325,528 Japan Wool Textile Co., Ltd. 138,000 685,988 Jastec Co., Ltd. 11,600 188,047 Jeans Mate Corp. 12,740 149,719 # Jeol, Ltd. 119,000 768,302 *# Jidosha Denki Kogyo Co., Ltd. 34,000 57,826 JMS Co., Ltd. 49,000 147,373 Joban Kosan Co., Ltd. 101,000 154,459 J-Oil Mills, Inc. 274,000 788,809 Joint Corp. 24,900 430,672 # Joshin Denki Co., Ltd. 98,000 352,894 Jsp Corp. 42,300 451,784 Juel Verite Ohkubo Co., Ltd 24,000 62,245 *# Jujiya Co., Ltd. 321,000 301,591 *# Juki Corp. 153,000 535,541 * Jyomo Co., Ltd. 48,000 100,311 # K.R.S. Corp. 17,000 312,052 Kabuki-Za Co., Ltd. 15,000 556,310 Kadokawa Holdings, Inc. 27,000 862,436 # Kaga Electronics Co., Ltd. 38,400 699,769 Kagawa Bank, Ltd. 126,350 656,099 # Kagome Co., Ltd. 41,600 381,756 Kahma Co., Ltd. 51,400 626,962 # Kaken Pharmaceutical Co., Ltd. 146,000 794,601 * Kakuei (L.) Corp. 100,000 905 *# Kamagai Gumi Co., Ltd. 87,800 206,055 Kameda Seika Co., Ltd. 33,000 230,035 Kamei Corp. 59,000 370,959 Kanaden Corp. 55,000 270,107 Kanagawa Chuo Kotsu Co., Ltd. 100,000 584,161 Kanamoto Co., Ltd. 43,000 214,047 *# Kanebo, Ltd. 723,000 581,724 *# Kanematsu Corp. 534,500 846,434 Kanematsu Electronics, Ltd. 45,500 519,270 * Kanematsu-NNK Corp. 60,000 142,761 Kanto Auto Works, Ltd., Yokosuka 78,000 767,789 # Kanto Denka Kogyo Co., Ltd. 83,000 402,113 Kanto Natural Gas Development Co., Ltd. 104,000 582,724 # Kanto Tsukuba Bank, Ltd. 45,500 355,602 Kasai Kogyo Co., Ltd. 59,000 160,352 Kasei (C.I.) Co., Ltd. 46,000 153,073 # Kasumi Co., Ltd. 132,000 770,311 Katakura Chikkarin Co., Ltd. 17,000 51,668 Katakura Industries Co., Ltd. 55,000 557,222 Kato Sangyo Co., Ltd. 60,300 790,104 # Kato Works Co., Ltd. 82,000 167,582 Katsumura Construction Co., Ltd. 48,600 50,523 Kawada Industries, Inc. 76,000 194,284 *# Kawai Musical Instruments Manufacturing Co., Ltd. 99,000 137,041 * Kawasaki Kasei Chemicals, Ltd. 36,000 35,556 Kawashima Textile Manufacturers, Ltd. 126,000 160,902 * Kawasho Corp. 549,000 1,358,075 Kawasho Gecoss Corp. 57,900 229,823 Kawasumi Laboratories, Inc. 26,000 175,210 Kawatetsu Systems, Inc. 112 156,311 Kayaba Industry Co., Ltd. 40,000 $ 136,781 * Keihanshin Real Estate Co., Ltd. 25,000 114,767 # Keihin Co., Ltd. 100,000 172,870 Keiiyu Co., Ltd. 15,000 147,949 Keiyo Co., Ltd. 139,900 664,860 # Kentucky Fried Chicken Japan, Ltd. 55,000 1,072,451 *# Kenwood Corp. 382,000 943,261 # Key Coffee, Inc. 33,000 440,938 # Kibun Food Chemifa Co., Ltd. 42,000 760,650 * Kimmon Manufacturing Co., Ltd. 41,000 48,965 * Kimura Chemical Plants Co., Ltd. 27,000 39,325 Kinki Coca-Cola Bottling Co., Ltd. 97,000 844,952 *# Kinki Nippon Tourist Co., Ltd. 133,000 371,726 # Kinki Sharyo Co., Ltd., Nagaokakyo 101,000 261,205 * Kinsho Corp. 21,000 60,914 # Kinugawa Rubber Industrial Co., Ltd. 107,000 236,554 Kioritz Corp. 96,000 217,386 # Kishu Paper Co., Ltd. 125,000 204,561 Kisoji Co., Ltd. 34,400 462,341 # Kitagawa Iron Works Co., Ltd. 124,000 211,328 Kita-Nippon Bank, Ltd. 13,006 610,281 Kitano Construction Corp. 124,000 227,816 Kitazawa Sangyo Co., Ltd. 17,500 39,409 # Kitz Corp. 234,000 890,517 Koa Corp. 67,300 591,787 Koatsu Gas Kogyo Co., Ltd. 78,000 250,970 Kobayashi Yoko Co., Ltd. 16,900 324,880 Kodensha Co., Ltd. 14,000 39,268 Koekisha Co., Ltd. 9,600 218,290 # Kohnan Shoji Co., Ltd. 29,500 564,588 Kohsoku Corp. 24,000 232,330 Koike Sanso Kogyo Co., Ltd. 71,000 126,392 Koito Industries, Ltd. 66,000 277,472 # Kojima Co., Ltd. 61,800 732,677 * Kokune Corp. 42,000 380 * Kokusai Kogyo Co., Ltd. 60,000 188,194 Komai Tekko, Inc. 53,000 122,227 # Komatsu Electronics Metals Co., Ltd. 46,800 579,024 Komatsu Seiren Co., Ltd. 53,000 208,740 Komatsu Wall Industry Co., Ltd. 17,300 289,779 Konaka Co., Ltd. 29,700 408,203 # Konami Sports Corp. 43,800 762,592 Kondotec, Inc. 12,500 65,324 Konishi Co., Ltd. 28,000 236,010 Kosaido Co., Ltd. 34,000 294,934 # Kosei Securities Co., Ltd. 137,000 308,983 *# Kubotek Corp. 147 244,055 Kumiai Chemical Industry Co., Ltd., Tokyo 108,000 260,020 Kurabo Industries, Ltd. 372,000 632,944 Kureha Chemical Industry Co., Ltd. 36,000 144,153 # Kurimoto, Ltd. 202,000 403,048 # Kuroda Electric Co., Ltd. 31,200 1,322,088 Kurosaki Harima Corp. 125,000 209,259 Kyoden Co., Ltd. 79,000 628,726 Kyodo Printing Co., Ltd. 152,000 531,461 # Kyodo Shiryo Co., Ltd. 145,000 166,603 Kyoei Sangyo Co., Ltd. 44,000 150,438 # Kyoei Tanker Co., Ltd. 53,000 116,210 Kyokuto Boeki Kaisha, Ltd. 36,000 92,644 Kyokuto Kaihatsu Kogyo Co., Ltd. 44,800 523,585
64
SHARES VALUE+ --------------- --------------- Kyokuyo Co., Ltd. 167,000 $ 270,807 # Kyoritsu Maintenance Co., Ltd. 15,400 323,685 Kyosan Electric Manufacturing Co., Ltd. 97,000 325,983 Kyoto Kimono Yuzen Co., Ltd. 128 285,941 Kyowa Electronic Instruments Co., Ltd. 30,000 86,679 Kyowa Exeo Corp. 22,000 144,411 Kyowa Leather Cloth Co., Ltd. 32,000 196,984 Kyudenko Corp. 140,000 645,788 Kyushu-Shinwa Holdings, Inc. 487,000 1,032,380 # Laox Co., Ltd. 54,000 131,946 Life Corp. 25,400 267,218 * Link Consulting Associates - Japan Corp. 8,600 72,708 * Lonseal Corp. 69,000 56,213 * Look, Inc. 50,000 207,617 Macnica, Inc. 28,400 795,318 Maeda Corp. 38,000 162,119 Maeda Road Construction Co., Ltd. 155,000 1,073,668 Maezawa Industries, Inc. 27,700 138,077 Maezawa Kaisei Industries Co., Ltd. 20,600 331,461 Maezawa Kyuso Industries Co., Ltd. 25,400 248,181 * Magara Construction Co., Ltd. 61,000 60,512 # Makino Milling Machine Co., Ltd. 141,000 872,537 * Mamiya-Op Co., Ltd. 58,000 82,435 Marche Corp. 10,700 103,880 # Mars Engineering Corp. 22,200 1,311,312 Marubeni Construction Material Lease Co., Ltd. 54,000 90,519 Marubun Corp. 44,600 338,758 Marudai Food Co., Ltd. 189,000 350,662 * Maruei Department Store Co., Ltd. 72,000 158,506 # Maruetsu, Inc. 27,000 148,610 Maruha Group, Inc. 477,000 794,101 *# Maruishi Cycle Industries, Ltd. 214,000 34,856 Marusan Securities Co., Ltd. 106,000 631,593 Maruwa Co., Ltd. 17,500 291,098 Maruwn Corp. 44,000 117,182 Maruya Co., Ltd. 14,000 101,231 Maruyama Manufacturing Co., Inc. 73,000 106,885 *# Maruzen Co., Ltd. 179,000 370,718 Maruzen Co., Ltd. - General Commercial Kitchen Appliances & Equipment 30,000 173,741 Maruzen Showa Unyu Co., Ltd. 156,000 448,427 Maspro Denkoh Corp. 32,300 336,264 Matsuda Sangyo Co., Ltd. 34,500 282,370 Matsui Construction Co., Ltd. 40,000 125,124 * Matsuo Bridge Co., Ltd. 37,000 90,482 # Matsuya Co., Ltd. 84,000 344,168 # Matsuya Foods Co., Ltd. 30,300 651,460 Matsuzakaya Co., Ltd. 189,077 823,964 Max Co., Ltd. 84,000 923,345 * Maxvalu Tohok Co., Ltd. 12,900 108,568 # Megachips Corp. 39,100 371,112 # Meidensha Corp. 378,050 777,496 *# Meiji Machine Co., Ltd. 90,000 86,190 Meiji Shipping Co., Ltd. 47,000 160,448 Meisei Industrial Co., Ltd. 29,000 105,051 Meito Sangyo Co., Ltd. 41,700 678,806 Meito Transportation Co., Ltd. 22,000 $ 171,752 # Meiwa Estate Co., Ltd. 34,000 360,081 Meiwa Industry Co., Ltd. 15,000 43,356 * Meiwa Trading Co., Ltd. 55,000 118,536 Melco Holdings, Inc. 9,000 228,003 Mercian Corp. 212,000 518,609 Mikuni Coca-Cola Bottling Co., Ltd. 76,000 666,588 # Milbon Co., Ltd. 14,900 391,741 # Mimasu Semiconductor Industry Co., Ltd. 33,200 494,924 Ministop Co., Ltd. 45,500 744,606 Mirai Group Co., Ltd. 49,000 86,721 Miroku Jyoho Service Co., Ltd. 22,500 203,687 * Misawa Homes Holdings, Inc. 262,900 735,533 # Misawa Resort Co., Ltd. 90,000 256,731 Mito Securities Co., Ltd. 113,000 373,596 Mitsuba Corp. 60,000 340,886 * Mitsubishi Cable Industries, Ltd. 277,000 330,724 * Mitsubishi Kakoki Kaisha, Ltd. 117,000 166,467 # Mitsubishi Paper Mills, Ltd. 505,000 759,934 Mitsubishi Pencil Co., Ltd. 61,000 468,783 # Mitsubishi Plastics, Inc. 333,000 830,724 Mitsubishi Shindoh Co., Ltd. 82,000 178,091 # Mitsubishi Steel Manufacturing Co., Ltd. 253,000 341,478 Mitsuboshi Belting, Ltd. 153,000 569,271 Mitsui High-Tec, Inc. 68,400 806,062 Mitsui Home Co., Ltd. 97,000 519,421 # Mitsui Knowledge Industry Co., Ltd. 20,100 206,469 *# Mitsui Matsushima Co., Ltd. 90,000 123,857 * Mitsui Mining Co., Ltd. 112,500 131,305 Mitsui Sugar Co., Ltd. 145,000 333,097 Mitsui-Soko Co., Ltd. 221,000 664,820 Mitsumi Electric Co., Ltd. 34,800 356,175 # Mitsumura Printing Co., Ltd. 49,000 334,866 Mitsuuroko Co., Ltd. 107,000 648,293 Miura Co., Ltd. 66,400 1,036,205 Miura Printing Corp. 16,000 52,934 Miyaji Engineering Group 90,000 154,716 Miyazaki Bank, Ltd. 275,000 1,029,276 # Miyoshi Oil & Fat Co., Ltd. 120,000 230,204 # Miyuki Keori Co., Ltd. 50,000 168,599 Mizuno Corp. 205,000 956,560 * Momiji Holdings, Inc. 340 728,907 Mori Seiki Co., Ltd. 19,900 166,206 # Morinaga & Co., Ltd. 419,000 911,417 *# Morishita Jinton Co., Ltd. 32,800 136,168 Morita Corp. 74,000 285,272 # Moritex Corp. 15,000 133,184 Morozoff, Ltd., Osaka 50,000 92,305 Mory Industries, Inc. 66,000 167,633 Mos Food Services, Inc. 47,000 556,643 Moshi Moshi Hotline, Inc. 8,700 553,884 # MR Max Corp. 56,300 187,298 * Mutoh Industries, Ltd. 78,000 186,279 Mutow Co., Ltd. 38,000 186,987 Myojo Foods Co., Ltd. 67,000 379,148 Nabtesco Corp. 210,000 1,084,913 # NAC Co., Ltd. 13,000 104,096 # Nachi-Fujikoshi Corp. 433,000 1,367,895 Nagano Bank, Ltd. 122,000 384,709
65
SHARES VALUE+ --------------- --------------- * Nagano Japan Radio Co., Ltd. 27,000 $ 45,038 # Nagatanien Co., Ltd. 56,000 416,553 *# Naigai Co., Ltd. 109,000 102,707 Nakabayashi Co., Ltd. 76,000 120,240 # Nakamuraya Co., Ltd. 85,000 251,699 * Nakano Corp. 49,000 118,016 # Nakayama Steel Works, Ltd. 186,000 593,215 Nakayo Telecommunications, Inc. 36,000 148,093 # NEC Infrontia Corp. 196,000 539,191 * NEC Mobiling, Ltd. 3,200 89,463 # NEC System Integration & Construction, Ltd. 65,000 565,309 # NEC Tokin Corp. 180,000 859,720 Neturen Co., Ltd., Tokyo 66,000 342,901 New Japan Radio Co., Ltd. 62,000 772,698 * New Real Property KK 43,900 0 # Nichia Steel Works, Ltd. 67,900 213,197 # Nichias Corp. 237,000 868,589 # Nichiban Co., Ltd. 58,000 161,610 * Nichiboshin, Ltd. 1,190 1,077 Nichiha Corp. 64,980 958,119 Nichimo Co., Ltd. 54,000 108,885 * Nichimo Corp. 85,000 84,373 # Nichireki Co., Ltd. 44,000 152,863 # Nichiro Corp. 289,000 410,334 Nidec Tosok Corp. 24,500 382,096 Nihon Dempa Kogyo Co., Ltd. 32,100 700,780 Nihon Eslead Corp. 19,440 375,412 # Nihon Inter Electronics Corp. 54,000 515,015 Nihon Kagaku Sangyo Co., Ltd. 32,000 139,896 * Nihon Kentetsu Co., Ltd. 27,000 58,461 Nihon Kohden Corp. 85,000 983,453 Nihon Matai Co., Ltd. 50,000 92,359 Nihon Nohyaku Co., Ltd. 103,000 191,101 # Nihon Parkerizing Co., Ltd. 105,000 674,468 Nihon Seiko Co., Ltd. 11,000 33,322 Nihon Shokuh Kako Co., Ltd. 26,000 55,282 * Nihon Spindle Manufacturing Co., Ltd. 56,000 90,139 Nihon Tokushu Toryo Co., Ltd. 35,000 202,979 Nikken Chemicals Co., Ltd. 81,000 226,733 Nikkiso Co., Ltd. 107,000 445,772 Nikko Co., Ltd., Akashi 52,000 163,249 * Nippei Toyama Corp. 80,000 158,599 Nippo Corp. 25,000 136,880 * Nippon Avionics Co., Ltd. 40,000 108,454 Nippon Beet Sugar Manufacturing Co., Ltd. 243,000 417,652 *# Nippon Carbide Industries Co., Inc., Tokyo 101,000 154,560 # Nippon Carbon Co., Ltd. 177,000 267,184 # Nippon Ceramic Co., Ltd. 37,000 436,412 Nippon Chemical Industrial Co., Ltd. 131,000 455,079 # Nippon Chemi-Con Corp. 197,000 1,021,558 * Nippon Chemiphar Co., Ltd. 49,000 150,010 Nippon Chutetsukan KK 44,000 82,047 Nippon Concrete Industries Co., Ltd. 65,000 99,586 * Nippon Conlux Co., Ltd. 30,000 188,645 * Nippon Conveyor Co., Ltd. 43,000 40,907 # Nippon Denko Co., Ltd. 159,000 564,470 Nippon Densetsu Kogyo Co., Ltd. 93,000 372,211 Nippon Denwa Shisetu Co., Ltd. 104,000 341,379 Nippon Felt Co., Ltd. 28,000 $ 97,306 # Nippon Fine Chemical Co., Ltd. 40,000 155,205 Nippon Flour Mills Co., Ltd. 186,000 828,584 * Nippon Foil Mfg., Co., Ltd. 21,000 47,119 # Nippon Formula Feed Manufacturing Co., Ltd. 100,000 163,559 Nippon Gas Co., Ltd. 62,000 429,371 Nippon Hume Corp. 43,000 97,228 # Nippon Kanzai Co., Ltd. 32,700 516,695 *# Nippon Kasei Chemical Co., Ltd. 154,000 200,292 * Nippon Kinzoku Co., Ltd. 93,000 155,931 # Nippon Koei Co., Ltd., Tokyo 137,000 301,032 Nippon Konpo Unyu Soko Co., Ltd. 115,000 1,036,979 *# Nippon Koshuha Steel Co., Ltd. 221,000 273,875 *# Nippon Metal Industry Co., Ltd. 230,000 325,126 Nippon Pigment Co., Ltd. 11,000 29,746 Nippon Pillar Packing Co., Ltd. 33,000 207,707 Nippon Piston Ring Co., Ltd. 133,000 218,274 Nippon Road Co., Ltd. 147,000 259,144 # Nippon Seiki Co., Ltd. 85,000 695,474 Nippon Seisen Co., Ltd. 39,000 153,296 Nippon Sharyo, Ltd. 233,000 591,050 Nippon Shinyaku Co., Ltd. 111,000 627,801 Nippon Signal Co., Ltd. 109,000 584,298 Nippon Soda Co., Ltd. 215,000 560,485 Nippon Suisan Kaisha, Ltd. 133,000 318,926 # Nippon Synthetic Chemical Industry Co., Ltd. 152,000 326,127 Nippon System Development Co., Ltd. 40,600 786,274 Nippon Systemware Co., Ltd. 20,000 150,615 # Nippon Thompson Co., Ltd. 117,000 833,024 Nippon Tungsten Co., Ltd. 44,000 99,396 Nippon Valqua Industries, Ltd. 119,000 268,919 *# Nippon Yakin Kogyo Co., Ltd. 117,500 367,528 Nippon Yusoki Co., Ltd. 49,000 136,787 Nishimatsuya Chain Co., Ltd. 36,720 1,288,842 Nishishiba Electric Co., Ltd. 28,000 45,663 *# Nissan Diesel Motor Co., Ltd. 378,000 870,695 * Nissei Corp. 10,900 102,045 Nissei Plastic Industrial Co., Ltd. 35,000 233,678 * Nisseki House Industry Co., Ltd. 260,000 2,352 # Nissha Printing Co., Ltd. 81,000 1,211,670 # Nisshin Fire & Marine Insurance Co., Ltd. 293,000 972,441 Nisshin Fudosan Co., Ltd. 22,400 237,302 Nissho Electronics Corp. 49,900 391,182 # Nissin Co., Ltd. 413,200 1,447,382 Nissin Corp. 150,000 323,617 * Nissin Electric Co., Ltd. 162,000 575,644 Nissin Kogyo Co., Ltd. 33,800 807,983 Nissin Sugar Manufacturing Co., Ltd. 74,000 133,544 Nissui Pharmaceutical Co., Ltd. 34,000 199,438 Nitchitsu Co., Ltd. 14,000 24,483 Nitta Corp. 46,400 650,501 Nittan Valve Co., Ltd. 58,000 230,230 Nittetsu Mining Co., Ltd. 132,000 481,533 # Nittetsu Steel Sheet Corp. 117,000 259,551 Nitto Boseki Co., Ltd. 364,000 761,445 Nitto Electric Works, Ltd. 72,100 593,495 # Nitto Flour Milling Co., Ltd. 54,000 122,292 Nitto Kohki Co., Ltd. 36,000 684,901
66
SHARES VALUE+ --------------- --------------- Nitto Seiko Co., Ltd. 56,000 $ 111,779 # Nitto Seimo Co., Ltd. 32,000 69,257 *# Nittoc Construction Co., Ltd. 61,000 127,816 * NIWS Co., Ltd. 58 169,215 Noda Corp. 2,800 16,940 NOF Corp. 39,000 145,075 Nohmi Bosai, Ltd. 59,000 315,857 Nomura Co., Ltd. 61,000 346,425 Noritake Co., Ltd. 320,000 1,274,424 Noritz Corp. 11,200 174,431 Nosan Corp. 201,000 369,074 Obayashi Road Corp. 65,000 120,125 Odakyu Construction Co., Ltd. 29,000 81,456 Odakyu Real Estate Co., Ltd. 58,000 145,824 Oenon Holdings, Inc. 74,000 180,834 * Ohki Corp. 73,000 660 * Ohmori Co., Ltd. 18,400 9,354 Oie Sangyo Co., Ltd. 13,200 101,524 Oiles Corp. 32,500 660,007 Oita Bank, Ltd. 39,000 190,332 Okabe Co., Ltd. 29,000 93,107 # Okamoto Industries, Inc. 212,000 541,020 * Okamoto Machine Tool Works, Ltd. 75,000 200,287 Okamura Corp. 24,000 183,348 Okaya Electric Industries Co., Ltd. 32,000 92,616 Oki Electric Cable Co., Ltd. 56,000 104,003 Okinawa Electric Power Co., Ltd. 22,900 798,039 * OKK Corp. 101,000 157,276 * Okuma and Howa Machinery, Ltd. 69,000 119,947 *# Okuma Corp. 193,000 690,948 # Okura Industrial Co., Ltd. 96,000 597,749 Okuwa Co., Ltd. 73,000 847,075 Olympic Corp. 36,100 467,727 # O-M, Ltd. 46,000 70,660 * Omikenshi Co., Ltd. 53,000 46,832 Ono Sokki Co., Ltd. 43,000 305,600 * Onoken Co., Ltd. 11,000 101,858 Organo Corp. 101,000 480,148 * Orient Watch Co., Ltd. 12,000 4,451 # Oriental Construction Co., Ltd. 39,000 184,778 Oriental Yeast Co., Ltd. 52,000 447,759 # Origin Electric Co., Ltd. 54,000 273,941 Osaka Securities Finance Co., Ltd. 54,000 158,238 Osaka Steel Co., Ltd. 72,200 805,262 # Osaki Electric Co., Ltd. 56,000 273,440 Oyo Corp. 45,800 475,582 # P.S. Mitsubishi Construction Co., Ltd. 46,500 187,883 Pacific Industrial Co., Ltd. 86,000 349,923 * Pacific Metals Co., Ltd. 44,000 166,580 # Parco Co., Ltd. 124,000 737,017 * Pasco Corp. 111,500 310,911 Patlite Corp. 13,440 243,237 PCA Corp. 12,000 146,720 *# Penta-Ocean Construction Co., Ltd. 574,000 986,761 # Pentax Corp. 180,000 874,492 Petrolub International Co., Ltd. 24,800 107,673 * PIA Corp. 4,600 99,355 Pigeon Corp. 37,000 518,294 Pilot Corp. 65 195,443 Piolax, Inc. 19,600 354,194 Pocket Card Co., Ltd. 41,000 439,948 # Pokka Corp. 48,000 $ 184,258 Poplar Co., Ltd. 13,560 180,413 Posful Corp. 36,900 227,120 *# Press Kogyo Co., Ltd. 162,000 368,272 *# Prima Meat Packers, Ltd. 355,000 379,449 Pulstec Industrial Co., Ltd. 21,200 130,988 Q'Sai Co., Ltd. 51,600 468,146 Raito Kogyo Co., Ltd. 84,900 372,372 Rasa Industries, Ltd. 119,000 286,093 *# Renown D'urban Holdings, Inc. 53,880 724,900 # Resorttrust Inc. 42,600 1,112,227 Rheon Automatic Machinery Co., Ltd. 40,000 122,314 Rhythm Watch Co., Ltd. 344,000 654,961 Ricoh Elemex Corp. 35,000 161,264 Ricoh Leasing Co., Ltd. 10,000 267,359 Right On Co., Ltd. 25,200 925,370 Rikei Corp. 22,500 53,987 Riken Corp. 193,000 635,213 Riken Keiki Co., Ltd. 33,000 169,531 Riken Technos Corp. 93,000 297,640 Riken Vitamin Co., Ltd. 37,000 667,465 Ringer Hut Co., Ltd. 38,300 395,273 Rion Co., Ltd. 5,000 23,337 # Rock Field Co., Ltd. 25,300 404,217 Rohto Pharmaceutical Co., Ltd. 83,000 814,658 Roland Corp. 40,600 657,857 Roland DG Corp. 3,000 114,263 Royal Co., Ltd. 71,000 1,085,957 Ryobi, Ltd. 265,000 921,361 Ryoden Trading Co., Ltd. 70,000 408,611 Ryosan Co., Ltd. 10,300 216,344 Ryoyo Electro Corp. 48,400 621,802 S Foods, Inc. 28,000 180,012 *# S Science Co., Ltd. 285,000 111,068 # S.T. Chemical Co., Ltd. 48,000 550,668 *# Saeki Kensetsu Kogyo Co., Ltd. 71,000 74,476 # Sagami Chain Co., Ltd. 37,000 315,406 Sagami Co., Ltd. 51,000 179,050 Sagami Rubber Industries Co., Ltd. 15,000 41,464 * Saibu Gas Co., Ltd. 102,000 189,211 * Sailor Pen Co., Ltd. 74,000 216,027 # Saizeriya Co., Ltd. 78,100 1,073,692 Sakai Chemical Industry Co., Ltd. 162,000 682,653 Sakai Heavy Industries, Ltd. 60,000 154,660 * Sakai Ovex Co., Ltd. 85,000 161,607 Sakata Inx Corp. 92,000 453,580 Sakata Seed Corp. 78,900 992,678 * Sakurada Co., Ltd. 38,000 51,348 Sala Corp. 56,000 243,480 San-Ai Oil Co., Ltd. 134,000 476,821 # Sanix, Inc. 65,000 426,894 Sankei Building Co., Ltd. 69,000 375,073 Sanki Engineering Co., Ltd. 120,000 765,295 Sanko Co., Ltd. 12,000 76,229 Sanko Metal Industrial Co., Ltd., Tokyo 54,000 113,967 Sankyo Seiko Co., Ltd. 86,000 342,451 # Sankyu, Inc., Tokyo 415,000 747,277 Sanoh Industrial Co., Ltd. 53,000 282,719 # Sanrio Co., Ltd. 58,600 700,135 Sanshin Electronics Co., Ltd. 57,000 400,118
67
SHARES VALUE+ --------------- --------------- Sanyo Denki Co., Ltd. 95,000 $ 359,389 Sanyo Electric Credit Co., Ltd. 48,600 1,046,299 Sanyo Engineering & Construction, Inc. 34,000 147,926 Sanyo Industries, Ltd., Tokyo 48,000 123,557 # Sanyo Special Steel Co., Ltd. 283,000 438,173 *# Sasebo Heavy Industries Co., Ltd., Tokyo 201,000 209,212 * Sata Construction Co., Ltd., Gumma 61,000 58,525 * Sato Corp. 7,000 174,231 Sato Shoji Corp. 31,000 184,382 Satori Electric Co., Ltd. 24,480 347,086 Sawafugji Electric Co., Ltd. 31,000 65,788 * Secom Joshinetsu Co., Ltd. 7,200 128,518 Secom Techno Service Co., Ltd. 19,500 656,263 * Seibu Electric Industry Co., Ltd. 24,000 100,430 # Seijo Corp. 17,400 230,853 Seika Corp. 145,000 242,568 * Seikitokyu Kogyo Co., Ltd. 86,000 94,985 Seiko Corp. 180,407 1,134,705 # Seiren Co., Ltd. 92,000 605,762 # Sekisui Jushi Co., Ltd. 73,000 386,335 Sekisui Plastics Co., Ltd. 145,000 404,361 Sekiwa Real Eastate, Ltd. 36,000 380,029 Sekiwa Real Estate Chubu, Ltd. 7,000 38,986 Senko Co., Ltd. 205,000 737,281 # Senshukai Co., Ltd. 75,000 721,112 Shaddy Co., Ltd. 32,200 376,855 *# Shibaura Mechatronics Corp. 79,000 586,164 Shibusawa Warehouse Co., Ltd. 115,000 260,941 # Shibuya Kogyo Co., Ltd. 54,000 429,512 * Shikibo, Ltd. 155,000 187,925 Shikoku Chemicals Corp. 89,000 324,522 Shikoku Coca-Cola Bottling Co., Ltd. 37,000 401,595 Shimizu Bank, Ltd. 15,500 732,481 Shin Nippon Air Technologies Co., Ltd. 31,180 167,852 Shinagawa Refractories Co., Ltd. 104,000 228,597 * Shindengen Electric Manufacturing Co., Ltd. 129,000 445,545 Shin-Etsu Polymer Co., Ltd. 124,000 747,647 # Shinkawa, Ltd. 30,200 675,516 Shin-Keisei Electric Railway Co., Ltd. 97,000 324,266 Shinki Co., Ltd. 61,000 356,864 # Shinko Electric Co., Ltd. 257,000 658,243 Shinko Plantech Co., Ltd. 27,000 27,872 Shinko Shoji Co., Ltd. 29,000 203,554 Shin-Kobe Electric Machinery Co., Ltd. 71,000 250,998 Shinmaywa Industries, Ltd. 203,000 760,870 # Shinsho Corp. 110,000 199,233 # Shinwa Kaiun Kaisha, Ltd. 257,000 593,886 Shinyei Kaisha 54,000 110,709 Shiraishi Corp. 25,000 40,930 Shiroki Co., Ltd. 132,000 281,112 Shizuki Electric Co., Inc. 47,000 121,645 * Shizuokagas Co., Ltd. 25,000 91,643 # Sho-Bond Corp. 46,200 269,960 Shobunsha Publications, Inc. 25,000 310,681 *# Shochiku Co., Ltd. 165,000 939,788 # Shoei Co., Ltd. 24,000 350,534 Shoei Foods Corp. 14,000 $ 67,951 Shoko Co., Ltd. 156,000 229,801 Shokusan Bank, Ltd. 98,000 318,961 Showa Aircraft Industry Co., Ltd. 47,000 258,636 Showa Corp. 18,400 178,359 Showa Electric Wire & Cable Co., Ltd., Kawasaki 329,000 410,302 # Showa Highpolymer Co., Ltd. 86,000 234,853 Showa Mining Co., Ltd. 66,000 97,541 # Showa Sangyo Co., Ltd. 282,000 643,379 Showa Tansan Co., Ltd. 21,000 64,341 # Siix Corp. 9,000 177,270 Silver Ox Inc. 30,000 67,020 *# Silver Seiko, Ltd. 228,000 105,643 Sinanen Co., Ltd. 160,000 695,404 Sintokogio, Ltd., Nagoya 89,000 411,030 SMK Corp. 127,000 565,649 Snow Brand Seed Co., Ltd. 16,000 65,858 SNT Corp. 31,000 140,469 Soda Nikka Co., Ltd. 35,000 80,518 # Sodick Co., Ltd. 69,000 582,429 Software Research Associates, Inc. 6,200 61,117 # Sogo Medical Co., Ltd. 8,800 135,199 * Sokkisha Co., Ltd. 40,000 109,150 Sonton Food Industry Co., Ltd. 27,000 237,301 # Sorun Corp. 41,000 239,864 # Sotetsu Rosen Co., Ltd. 44,000 248,220 Sotoh Co., Ltd. 12,000 169,590 Space Co., Ltd. 19,180 176,036 * SPC Electronics Corp. 29,000 127,611 SPK Corp. 7,800 108,604 SRL, Inc. 66,900 715,204 SS Pharmaceutical Co., Ltd., Tokyo 25,000 160,998 Star Micronics Co., Ltd. 89,000 729,904 Starzen Corp. 126,000 242,377 # Stella Chemifa Corp. 17,500 282,019 Subaru Enterprise Co., Ltd. 36,000 110,089 Sumida Corp. 23,900 765,627 Suminoe Textile Co., Ltd. 122,000 235,711 *# Sumitomo Coal Mining Co., Ltd. 200,000 219,913 Sumitomo Densetsu Co., Ltd. 50,700 157,824 # Sumitomo Light Metal Industries, Ltd. 493,000 844,703 * Sumitomo Mitsui Construction Co., Ltd. 413,600 477,674 Sumitomo Pipe & Tube Co., Ltd. 52,000 132,243 Sumitomo Precision Products Co., Ltd., Amagasaki City 84,000 251,194 # Sumitomo Seika Chemicals Co., Ltd. 102,000 270,712 Sumitomo Special Metals Co., Ltd. 76,000 1,035,644 # Sumitomo Warehouse Co., Ltd. 235,000 891,149 Sun Wave Corp. 80,000 303,261 Sundrug Co., Ltd. 3,200 160,865 SunTelephone Co., Ltd. 55,000 335,607 # Suruga Corp. 15,400 262,008 * Suzutan Co., Ltd. 13,200 126,738 SXL Corp. 129,000 241,654 Sysmex Corp. 39,800 1,158,760 # T.Hasegawa Co., Ltd. 63,700 1,003,274 # Tabai Espec Corp. 34,000 452,305 Tachihi Enterprise Co., Ltd. 17,000 668,901 Tachikawa Corp. 25,100 140,685
68
SHARES VALUE+ --------------- --------------- Tachi-S Co., Ltd. 42,100 $ 414,720 # Tadano, Ltd. 201,000 724,992 Taihei Dengyo Kaisha, Ltd. 70,000 267,324 * Taihei Kogyo Co., Ltd. 114,000 171,049 *# Taiheiyo Kouhatsu, Inc. 90,000 90,627 Taiho Kogyo Co., Ltd. 35,600 294,956 Taikisha, Ltd. 97,000 1,331,991 Taisei Corp. 18,700 62,284 * Taisei Lamick Co., Ltd. 3,700 80,234 Taisei Rotec Corp. 140,000 229,297 # Taito Co., Ltd. 70,000 168,465 Taito Corp. 573 856,544 # Taiyo Toyo Sanso Co., Ltd. 232,000 852,426 Takada Kiko Co., Ltd. 31,000 175,083 Takagi Securities Co., Ltd. 94,000 243,487 Takamatsu Corp. 29,300 824,063 Takano Co., Ltd. 22,100 373,817 * Takaoka Electric Manufacturing Co., Ltd.,Tokyo 156,000 211,897 * Taka-Q Co., Ltd. 34,500 61,361 # Takara Co., Ltd. 224,000 1,098,666 Takara Printing Co., Ltd. 17,050 155,993 Takara Standard Co., Ltd. 30,000 164,128 * Takarabune Corp. 26,000 235 # Takasago International Corp. 156,000 727,221 Takasago Thermal Engineering Co., Ltd. 132,000 831,236 # Takashima & Co., Ltd. 60,000 107,916 Takigami Steel Construction Co., Ltd. 42,000 245,312 # Takiron Co., Ltd. 118,000 454,920 Takuma Co., Ltd. 136,000 880,506 # Tamura Corp. 113,000 624,412 * Tamura Taiko Holdings, Inc. 74,000 262,456 Tanseisha Co., Ltd. 26,000 103,064 # Tasaki Shinju Co., Ltd. 53,000 202,150 # Tateho Chemical Industries Co., Ltd. 26,500 120,915 Tatsuta Electric Wire & Cable Co., Ltd. 106,000 182,445 Taya Co., Ltd. 5,000 40,530 Tayca Corp. 74,000 237,879 *# TC Properties Co., Ltd. 579,000 0 TCM Corp. 146,000 305,414 * TDF Corp. 11,000 39,185 * Teac Corp. 113,000 183,636 Techno Ryowa, Ltd. 32,200 166,202 # Tecmo, Ltd. 27,000 286,666 Teikoku Hormone Manufacturing Co., Ltd. 38,000 323,147 # Teikoku Piston Ring Co., Ltd. 42,000 236,265 Teikoku Sen-I Co., Ltd. 39,000 166,032 Teikoku Tsushin Kogyo Co., Ltd. 73,000 259,990 Tekken Corp. 224,000 349,624 Ten Allied Co., Ltd. 37,000 136,737 Tenma Corp. 56,400 894,785 Teraoka Seisakusho Co., Ltd. 29,000 292,912 Tetra Co., Ltd., Tokyo 41,000 140,893 The Daito Bank, Ltd. 155,000 246,756 The Nisshin Oillio Group, Ltd. 346,000 1,138,030 Three F Co., Ltd. 12,200 89,417 Tigers Polymer Corp. 27,000 127,561 *# Titan Kogyo KK 36,000 90,700 # TKC Corp. 48,300 $ 830,674 # Toa Corp. 301,000 424,737 Toa Doro Kogyo Co., Ltd. 65,000 129,960 Toa Oil Co., Ltd. 145,000 241,126 * Toabo Corp. 73,000 69,402 Toagosei Co., Ltd. 544,719 1,173,125 *# Tobu Store Co., Ltd. 71,000 152,998 TOC Co., Ltd. 94,000 841,955 * Tocalo Co., Ltd. 4,000 123,049 Tochigi Bank, Ltd. 91,000 509,846 Tochigi Fuji Industrial Co., Ltd. 51,000 151,406 Toda Kogyo Corp. 68,000 268,582 # Todentu Corp. 57,000 130,547 Toei Co., Ltd. 228,000 861,278 Toenec Corp. 157,000 539,990 Tohcello Co., Ltd. 47,000 134,500 Toho Co., Ltd. 43,000 335,453 * Toho Rayon Co., Ltd. 28,000 54,967 Toho Real Estate Co., Ltd. 98,000 364,080 # Toho Titanium Co., Ltd. 44,000 602,286 # Toho Zinc Co., Ltd. 189,000 404,403 Tohoku Bank, Ltd. 92,000 182,958 Tohoku Misawa Homes Co., Ltd. 24,000 87,406 Tohoku Pioneer Corp. 34,000 671,312 Tohoku Telecommunications Construction Co., Ltd. 17,000 99,817 * Tohpe Corp. 36,000 39,335 # Tohto Suisan Co., Ltd. 54,000 94,249 # Tokai Carbon Co., Ltd. 316,000 992,782 Tokai Corp. 120,000 480,894 *# Tokai Kanko Co., Ltd. 333,000 105,434 Tokai Konetsu Kogyo Co., Ltd. 15,000 67,059 # Tokai Pulp & Paper Co., Ltd. 88,000 295,187 Tokai Senko KK, Nagoya 47,000 78,033 Tokai Tokyo Securities Co., Ltd. 366,250 1,056,777 Tokico, Ltd. 189,000 670,079 Tokimec, Inc. 119,000 237,204 Toko Electric Corp. 39,000 129,331 # Toko, Inc. 151,000 536,615 Tokushima Bank, Ltd. 111,200 717,116 Tokushu Paper Manufacturing Co., Ltd. 80,000 340,402 Tokyo Biso Kogyo Corp. 13,000 77,239 Tokyo Denpa Co., Ltd. 11,000 167,166 Tokyo Dome Corp. 251,000 1,021,074 * Tokyo Electron Device, Ltd. 22 116,101 Tokyo Energy & Systems, Inc. 49,000 202,726 Tokyo Kikai Seisakusho, Ltd. 132,000 370,243 Tokyo Leasing Co., Ltd. 96,900 1,139,423 Tokyo Nissan Auto Sales Co., Ltd. 97,000 286,584 Tokyo Rakutenchi Co., Ltd. 92,000 347,222 * Tokyo Rope Manufacturing Co., Ltd. 232,000 384,290 Tokyo Sangyo Co., Ltd. 36,500 99,333 Tokyo Soir Co., Ltd. 34,000 96,770 *# Tokyo Tekko Co., Ltd. 67,000 230,635 Tokyo Theatres Co., Inc., Tokyo 116,000 132,174 Tokyo Tomin Bank, Ltd. 58,600 1,439,373 Tokyotokeiba Co., Ltd. 422,000 675,279 # Tokyu Community Corp. 22,800 304,974 *# Tokyu Department Store Co., Ltd. 406,000 615,282
69
SHARES VALUE+ --------------- --------------- Tokyu Livable Inc. 22,200 $ 421,700 Tokyu Recreation Corp. 48,000 255,807 Tokyu Store Chain Corp. 175,000 883,766 Toli Corp. 106,000 235,134 Tomato Bank, Ltd. 189,000 407,395 Tomen Electronics Corp. 13,700 678,557 Tomoe Corp. 56,000 100,018 # Tomoegawa Paper Co., Ltd. 55,000 177,008 Tomoku Co., Ltd. 136,000 359,273 Tomy Co., Ltd. 32,400 539,295 Tonami Transportation Co., Ltd. 165,000 531,486 Topcon Corp. 78,000 878,935 Topre Corp. 81,000 464,814 # Topy Industries, Ltd. 351,000 1,075,334 # Torigoe Co., Ltd. 35,000 154,887 Torii Pharmaceutical Co., Ltd. 44,600 859,669 Torishima Pump Manufacturing Co., Ltd., Osaka 47,000 255,363 Tose Co., Ltd. 9,800 173,091 # Toshiba Ceramics Co., Ltd. 350,000 1,232,366 # Toshiba Machine Co., Ltd. 294,000 1,152,836 # Toshiba Plant Kensetsu Co., Ltd. 139,000 664,817 Tosho Printing Co., Ltd. 103,000 321,838 * Totenko Co., Ltd. 35,000 65,893 Totetsu Kogyo Co., Ltd. 53,000 199,777 * Totoku Electric Co., Ltd., Tokyo 62,000 90,989 Tottori Bank, Ltd. 148,000 554,670 # Touei Housing Corp. 37,800 1,715,359 * Toukei Computer Co., Ltd. 9,100 105,329 Towa Bank, Ltd. 340,000 799,165 * Towa Corp. 33,000 368,102 Towa Meccs Corp. 75,000 75,929 *# Towa Real Estate Development Co., Ltd. 80,000 209,483 Toyo Bussan Co., Ltd. 24,200 197,145 * Toyo Communication Equipment Co., Ltd. 89,000 476,810 *# Toyo Construction Co., Ltd. 398,000 385,930 # Toyo Corp. 49,200 543,989 # Toyo Electric Co., Ltd. 67,000 193,915 *# Toyo Engineering Corp. 473,000 1,001,964 *# Toyo Kanetsu KK 220,000 328,089 Toyo Kohan Co., Ltd. 152,000 501,730 # Toyo Radiator Co., Ltd. 118,000 611,637 Toyo Securities Co., Ltd. 113,000 401,066 * Toyo Shutter Co., Ltd. 77,000 82,142 * Toyo Sugar Refining Co., Ltd. 60,000 66,322 # Toyo Tire & Rubber Co., Ltd. 332,000 840,730 Toyo Wharf & Warehouse Co., Ltd. 118,000 201,842 # Trans Cosmos, Inc. 34,800 916,557 Trusco Nakayama Corp. 52,800 873,858 Tsubaki Nakashima Co., Ltd. 61,000 770,188 Tsubakimoto Chain Co. 98,000 325,148 Tsubakimoto Kogyo Co., Ltd. 44,000 92,220 Tsudakoma Corp. 101,000 226,050 * Tsugami Corp. 124,000 281,125 Tsukamoto Co., Ltd. 44,000 65,806 Tsukishima Kikai Co., Ltd. 70,000 453,133 Tsurumi Manufacturing Co., Ltd. 44,000 235,919 # Tsutsumi Jewelry Co., Ltd. 31,100 916,345 Tsutsunaka Plastic Industry Co., Ltd. 52,000 193,687 Tsuzuki Denki Co., Ltd. 36,000 $ 146,830 Tsuzuki Densan Co., Ltd. 14,200 65,670 TYK Corp. 67,000 173,273 U.Store Co., Ltd. 37,300 325,031 Ube Material Industries, Ltd. 116,000 256,713 Uchida Yoko Co., Ltd. 85,000 314,859 Ueki Corp. 47,000 77,712 # Unicafe, Inc. 10,360 142,709 Unimat Offisco Corp. 32,600 402,797 * Unitika, Ltd. 756,000 856,467 U-Shin, Ltd. 32,000 173,962 Utoc Corp. 68,000 108,626 * Valor Co., Ltd. 4,000 111,318 Vital-Net, Inc. 64,800 486,358 Wakachiku Construction Co., Ltd. 206,000 289,337 # Wakamoto Pharmaceutical Co., Ltd. 48,000 142,517 Wakodo Co., Ltd. 4,600 157,292 Warabeya Nichiyo Co., Ltd. 21,160 260,839 Watabe Wedding Corp. 11,400 212,142 Watami Food Service Co., Ltd. 64,200 614,634 Weathernews, Inc. 11,900 120,672 * Wondertable, Ltd. 8,000 9,644 Wood One Co., Ltd. 86,000 735,066 Xebio Co., Ltd. 12,000 354,972 * XNET Corp. 27 114,824 Yachiyo Musen Denki Co., Ltd. 16,800 105,741 Yahagi Construction Co., Ltd. 59,000 202,566 # Yaizu Suisankagaku Industry Co., Ltd. 20,100 176,423 Yamagata Bank, Ltd. 68,000 297,854 Yamaichi Electronics Co., Ltd. 24,700 243,570 Yamamura Glass Co., Ltd. 189,000 406,506 Yamatake Corp. 14,300 138,937 * Yamatane Corp. 131,000 177,000 # Yamato Corp. 36,000 218,156 Yamato International, Inc. 43,000 252,604 Yamato Kogyo Co., Ltd. 118,000 1,342,161 Yamaura Corp. 19,000 52,356 Yamazen Co., Ltd. 140,000 346,483 Yaoko Co., Ltd. 29,000 630,351 Yasuda Warehouse Co., Ltd. 61,000 308,193 Yellow Hat, Ltd., Tokyo 39,600 351,617 Yodogawa Steel Works, Ltd. 285,000 1,109,037 Yokogawa Bridge Corp. 55,400 244,735 # Yokohama Reito Co., Ltd. 63,000 409,849 Yokowo Co., Ltd. 32,300 427,381 # Yomeishu Seizo Co., Ltd. 52,000 364,259 Yomiuri Land Co., Ltd. 157,000 516,816 Yondenko Corp. 63,800 265,233 # Yonekyu Corp. 41,500 388,779 Yonex Co., Ltd. 33,000 250,654 # Yorozu Corp. 34,100 306,772 Yoshimoto Kogyo Co., Ltd. 60,000 558,026 Yuasa Funashoku Co., Ltd. 69,000 150,765 *# Yuasa Trading Co., Ltd. 237,000 411,591 *# Yuken Kogyo Co., Ltd. 60,000 135,553 Yuki Gosei Kogyo Co., Ltd. 31,000 95,901 Yukiguni Maitake Co., Ltd. 35,600 174,061 Yuraku Real Estate Co., Ltd. 69,000 247,178 Yurtec Corp. 122,000 536,771 # Yushin Precision Equipment Co., Ltd. 25,740 521,413 Yushiro Chemical Industry Co., Ltd. 10,000 137,208
70
SHARES VALUE+ --------------- --------------- # Zenrin Co., Ltd. 57,200 $ 572,844 # Zensho Co., Ltd. 19,300 353,382 # Zeria Pharmacetical Co., Ltd. 74,000 747,164 Z-Plus Co., Ltd. 13,000 42,159 * Zuken, Inc. 13,300 150,650 --------------- TOTAL COMMON STOCKS (Cost $485,137,117) 427,058,780 --------------- INVESTMENT IN CURRENCY -- (0.4%) * Japanese Yen (Cost $2,019,962) 2,029,277 --------------- RIGHTS/WARRANTS -- (0.0%) * Kanematsu Corp. Warrants 03/31/06 (Cost $0) 20,125 0 --------------- TOTAL -- JAPAN (Cost $487,157,079) 429,088,057 --------------- FACE AMOUNT (000) --------------- TEMPORARY CASH INVESTMENTS -- (21.2%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $6,127,000 FHLB Notes 3.375%, 06/15/04, valued at $6,226,564) to be repurchased at $6,134,607 (Cost $6,134,000) $ 6,134 6,134,000 Repurchase Agreement, Mizuho Securities USA 1.00%, 06/01/04 (Collateralized by $155,935,428 U.S. Treasury Strips, maturities ranging from 11/15/04 to 11/15/15, valued at $111,339,286 to be repurchased at $109,285,421 (Cost $109,273,280)^ 109,273 109,273,280 --------------- TOTAL INVESTMENTS -- (100.0%) (COST $602,564,359)++ $ 544,495,337 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. ++ The cost for federal income tax purposes is $605,624,329. See accompanying Notes to Financial Statements. 71 THE PACIFIC RIM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- AUSTRALIA -- (30.1%) COMMON STOCKS -- (29.6%) * A.I., Ltd. 129,195 $ 12,469 A.P. Eagers, Ltd. 25,977 126,237 AAV, Ltd. 111,200 157,040 * ABB Grain, Ltd. 13,743 68,827 # ABC Learning Centres, Ltd. 197,376 471,618 * Acclaim Exploration NL 435,905 16,150 * Adacel Technologies, Ltd. 113,249 44,307 ADCorp Australia, Ltd. 119,617 89,610 Adelaide Bank, Ltd. 37,652 225,115 Adsteam Marine, Ltd. 402,319 424,840 Adtrans Group, Ltd. 29,000 76,568 * Agenix, Ltd. 267,186 143,067 * AGT Biosciences, Ltd. 31,650 10,530 AJ Lucas Group, Ltd. 62,800 78,058 Alesco Corp., Ltd. 88,492 395,232 * Alkane Exploration, Ltd. 185,165 36,900 * Allegiance Mining NL 274,272 21,547 Altium, Ltd. 162,100 45,213 Amalgamated Holdings, Ltd. 213,820 488,036 * Amcom Telecommunications, Ltd. 596,711 61,915 * Amity Oil NL 222,481 104,635 * Amrad Corp., Ltd. 135,523 80,180 * Anateus Energy, Ltd. 193,687 12,854 * Anvil Mining NL 343,284 110,217 APN News & Media, Ltd. 1 3 ARB Corporation, Ltd. 116,670 303,769 * Arc Energy NL 321,280 203,911 Ariadne Australia, Ltd. 270,353 55,971 * Arrow Pharmaceuticals, Ltd. 24,872 140,672 Aspen Group, Ltd. 16,175 1,732 * Atlas Pacific, Ltd. 82,585 11,786 * AuIron Energy, Ltd. 709,175 39,529 Ausdrill, Ltd. 118,742 50,747 * Ausmelt, Ltd. 36,118 10,314 Auspine, Ltd. 73,367 175,827 * Austal, Ltd. 356,800 282,890 * Austar United Communications, Ltd. 653,105 326,369 Austereo Group, Ltd. 230,927 224,062 Austin Group, Ltd. 70,265 35,058 * Austral Coal, Ltd. 373,084 148,734 Australian Agricultural Co., Ltd. 344,519 294,725 *# Australian Magnesium Corp., Ltd. 332,383 5,906 Australian Pharmaceutical Industries, Ltd. 105,318 187,084 Australian Pipeline Trust 96,839 182,749 * Australian Worldwide Exploration, Ltd. 465,421 547,629 * Auto Group, Ltd. 41,309 16,761 # Autron Corporation, Ltd. 989,247 151,853 # AV Jennings Homes, Ltd. 350,188 498,878 Bank of Queensland, Ltd. 216,517 1,495,067 * BayCorp Advantage, Ltd. 100,703 195,243 Beach Petroleum NL 1,898,119 378,892 * Beaconsfield Gold NL 89,078 31,783 *# Bendigo Mining NL 171,212 136,943 * Beyond International, Ltd. 61,256 $ 13,064 * Biota Holdings, Ltd. 97,808 40,514 Blackmores, Ltd. 27,894 179,657 * Blina Diamonds, Ltd. 13,703 0 Bolnisi Gold NL 228,822 44,215 Brazin, Ltd. 159,875 174,427 Bridgestone Australia, Ltd. 49,000 94,346 * Broadcast Services Australia, Ltd. 205,703 33,685 Burswood, Ltd. 110,988 116,405 # Cabcharge Austalia, Ltd. 196,800 456,438 Campbell Brothers, Ltd. 88,210 405,631 Candle Australia, Ltd. 65,879 74,232 * Cape Range Wireless, Ltd. 1,698,199 63,895 Capral Aluminium, Ltd. 139,483 238,797 Casinos Austria International, Ltd. 258,299 180,565 * CDS Technologies, Ltd. 35,200 50,993 Cedar Woods Properties, Ltd. 50,913 56,353 * Cellestis, Ltd. 128,411 174,273 Cellnet Telecommunications Group, Ltd. 91,100 92,737 * Centamin Egypt, Ltd. 996,437 127,927 Centennial Coal, Ltd. 456,316 940,714 # Central Equity, Ltd. 129,405 188,994 * Charter Pacific Corp., Ltd. 72,823 21,848 * Charters Towers Gold Mines, Ltd. 258,700 24,939 *# Chemeq, Ltd. 120,000 493,206 * Chiquita Brands South Pacific, Ltd. 162,390 74,155 * Circadian Technologies, Ltd. 40,370 61,132 Citect Corp., Ltd. 109,822 101,772 * Climax Mining, Ltd. 870,299 55,274 * Clough, Ltd. 817,737 268,549 * Clover Corp., Ltd. 159,500 35,850 * Cluff Resources Pacific NL 911,746 17,569 CMI, Ltd. 32,784 47,284 Coates Hire, Ltd. 112,949 268,101 Cochlear, Ltd. 15,767 230,552 Coffey International, Ltd. 13,768 43,721 # Collection House, Ltd. 176,200 183,592 Colorado Group, Ltd. 156,248 537,250 Commander Communications, Ltd. 197,200 215,938 # Consolidated Minerals, Ltd. 258,222 209,613 * Coplex Resources NL 231,400 14,861 * Corporate Express Australia, Ltd. 44,932 154,040 Count Financial, Ltd. 299,500 175,110 Coventry Group, Ltd. 60,180 242,680 * CPI, Ltd. 68,585 32,248 # Crane Group, Ltd. 96,182 576,841 Croesus Mining NL 798,235 282,189 Danks Holdings, Ltd. 10,425 92,522 * DCA Group, Ltd. 140,312 276,213 # Devine, Ltd. 168,183 75,598 * Dioro Exploraration NL 297,142 16,966 * Dominion Mining, Ltd. 168,015 57,607 Downer Group, Ltd. 60,303 135,272 * Dragon Mining NL 275,761 55,095 * Emporer Mines, Ltd. 120,600 64,593
72
SHARES VALUE+ --------------- --------------- * Energy Developments, Ltd. 230,514 $ 422,841 * Energy World Corp., Ltd. 325,630 4,653 * Environmental Solutions International, Ltd. 67,364 5,524 Equigold NL 225,700 223,869 * Equinox Resources, Ltd. 203,148 47,852 Evans & Tate, Ltd. 157,591 123,688 Fantastic Holdings, Ltd. 133,100 383,113 FKP, Ltd. 197,911 379,103 Fleetwood Corp., Ltd. 77,785 413,376 * Fortescue Metals Group, Ltd. 107,508 33,721 Funtastic, Ltd. 188,261 295,450 Futuris Corp., Ltd. 86,595 95,780 Gale Pacific, Ltd. 60,756 117,397 Gazal Corp., Ltd. 71,177 128,309 * Giants Reef Mining, Ltd. 819,928 46,289 * Globe International, Ltd. 712,348 213,641 * Gold Aura 2,635 226 * Golden West Refining Corp., Ltd. 17,330 4,452 * Goldstream Mining NL 105,681 29,415 Gowing Bros., Ltd. 59,479 100,141 * Gradipore, Ltd. 86,855 48,452 * Graincorp, Ltd. Series A 78,059 684,428 * Grand Hotel Group 383,087 188,258 GRD NL 379,594 468,542 # Great Southern Plantations, Ltd. 373,144 658,721 Green's Foods, Ltd. 129,747 89,803 GUD Holdings, Ltd. 114,428 673,452 Gunns, Ltd. 13,201 125,720 * Gutnick Resources NL 17,866 2,818 GWA International, Ltd. 153,066 317,714 * Gympie Gold, Ltd. 302,445 120,861 *# Hardman Resources NL 497,372 569,346 Harvey World Travel, Ltd. 52,100 55,089 Health Communication Network, Ltd. 106,000 83,933 Healthscope, Ltd. 133,652 354,599 * Henry Walker Eltin Group, Ltd. 287,948 205,715 * Herald Resources, Ltd. 69,910 39,409 HGL, Ltd. 67,969 93,097 # Hills Industries, Ltd. 271,884 717,792 * Horizon Oil NL 752,832 32,326 # Housewares International, Ltd. 289,080 472,338 HPAL, Ltd. 193,847 200,463 * Hutchison Telecommunications (Australia), Ltd. 1,065,400 208,982 IInet, Ltd. 136,659 263,469 Iluka Resources, Ltd. 102,672 291,138 * Imdex, Ltd. 135,662 12,627 * Incitec Pivot, Ltd. 22,546 289,683 * Independent Practioner Network, Ltd. 1,372,241 51,008 # Infomedia, Ltd. 598,900 362,615 Institute of Drug Technology Australia, Ltd. 44,372 62,467 Integrated Group, Ltd. 94,900 124,621 * Intellect Holdings, Ltd. 403,028 25,097 * International All Sports, Ltd. 58,815 22,360 Investor Group, Ltd. 110,445 220,696 ION, Ltd. 342,085 363,776 Iress Market Technology, Ltd. 176,883 392,353 IWL, Ltd. 295,600 67,556 * Ixla, Ltd. 89,921 1,476 * JDV, Ltd. 84,981 $ 36,409 # Jones (David), Ltd. 658,594 751,700 Jubilee Mines NL 224,549 563,604 K&S Corp., Ltd. 86,000 157,616 * Kagara Zinc, Ltd. 208,900 136,886 Kaz Group, Ltd. 1,324,705 368,384 * Keycorp, Ltd. 156,412 152,805 * Kimberley Diamond Co. NL 274,068 254,106 Kingsgate Consolidated NL 136,284 361,278 * Kresta Holdings, Ltd. 185,695 76,905 * Lakes Oil NL 1,183,489 38,968 Lemarne Corp., Ltd. 20,790 35,627 * Leyshon Resources, Ltd. 103,357 28,163 Lighting Corp., Ltd. 112,500 60,212 * LionOre Mining International, Ltd. 25,842 117,979 * Lynas Gold NL 433,768 114,640 # MacArthur Coal, Ltd. 265,423 277,860 * MacMahon Holdings, Ltd. 593,580 116,711 * Macmin Silver, Ltd. 305,531 32,752 * Macquarie Corporate Telecommunications, Ltd. 350,192 57,262 * Macquarie Goodman Management, Ltd. 58,465 135,788 Magellan Petroleum Australia, Ltd. 32,760 27,694 * Magnesium International, Ltd. 656,061 26,681 Maryborough Sugar Factory, Ltd. 600 2,096 * Matrix Oil NL 557,000 17,489 MaxiTRANS Industries, Ltd. 266,414 133,226 # McGuigan Simeon Wines, Ltd. 258,538 870,860 McPherson's, Ltd. 69,231 217,068 * Medica Holdings, Ltd. 31,587 13,974 Melbourne IT, Ltd. 33,350 19,216 * Metabolic Pharmaceuticals, Ltd. 700,000 435,194 *# Metal Storm, Ltd. 791,640 223,809 Mia Group, Ltd. 237,000 143,508 # Miller's Retail, Ltd. 478,989 485,034 * Mincor Resources NL 333,960 152,660 Monadelphous Group, Ltd. 18,988 75,186 * Mosaic Oil NL 387,324 63,289 * MPI Mines, Ltd. 70,601 70,336 * MXL, Ltd. 512,804 44,020 # MYOB, Ltd. 477,320 465,744 Namoi Cotton Cooperative, Ltd. 142,585 42,774 National Can Industries, Ltd. 97,017 100,041 * Norwood Abbey, Ltd. 245,896 193,522 * Novogen, Ltd. 53,107 191,902 * Novus Petroleum, Ltd. 288,634 406,086 Nufarm, Ltd. 66,623 282,721 *# Nylex, Ltd. 1,110,199 213,502 Oakton, Ltd. 90,396 79,168 # Oamps, Ltd. 176,480 383,946 *# Orbital Engine Corp., Ltd. 537,358 55,547 OrotonGroup, Ltd. 76,854 146,438 * Oxiana, Ltd. 170,526 101,556 Pacific Group, Ltd. 60,747 177,468 Pacific Hydro, Ltd. 375,596 763,721 * Palm Springs, Ltd. 222,804 23,961 * Pan Pacific Petroleum NL 327,800 39,684 * Pan Pharmaceuticals, Ltd. 322,766 276,390 * Panbio, Ltd. 58,078 16,596 * Payce Consolidated, Ltd. 18,000 32,240
73
SHARES VALUE+ --------------- --------------- * Peppercorn Management Group, Ltd. 12,267 $ 67,159 *# Peptech, Ltd. 281,015 270,882 * Perilya Mines NL 263,500 164,949 * Perseverance Corp., Ltd. 917,246 174,373 * Petsec Energy, Ltd. 203,974 168,403 * Plantcorp NL 4,329 0 Plaspak Group, Ltd. 99,965 66,978 * PMP, Ltd. 455,871 523,360 * Polartechnics, Ltd. 43,405 18,592 Port Bouvard, Ltd. 108,200 96,552 * Port Douglas Reef Resorts, Ltd. 251,655 17,958 Portman, Ltd. 343,890 412,141 *# PowerTel, Ltd. Series B 110,422 83,398 * Prana Biotechnology, Ltd. 96,941 46,144 * Precious Metals Australia, Ltd. 10,606 492 * Preston Resources NL 64,000 594 Primary Health Care, Ltd. 193,456 772,942 Prime Television, Ltd. 210,595 390,632 * Primelife Corp., Ltd. 85,867 111,934 * Progen Industries, Ltd. 24,788 54,895 Programmed Maintenance Service, Ltd. 121,686 281,552 Queensland Cotton Holdings, Ltd. 39,866 101,816 * Quiktrak Networks P.L.C. Entitlement Shares 23,875 0 * Quiktrak Networks, Ltd. 740,124 528 Ramsay Health Care, Ltd. 70,910 271,847 Raptis Group, Ltd. 12,000 4,301 Rebel Sport, Ltd. 132,283 257,724 * Redfire Resources NL 859,797 110,614 Reece Australia, Ltd. 159,501 933,954 * Reinsurance Australia Corp., Ltd. 399,993 154,383 * Reliance Mining, Ltd. 91,651 29,373 *# Resolute Mining, Ltd. 287,264 257,903 * Resonance Health, Ltd. 29,264 2,914 RG Capital Radio, Ltd. 45,370 92,670 # Ridley Corp., Ltd. 593,143 542,400 Roberts, Ltd. 10,418 55,087 * Roc Oil Co., Ltd. 273,120 299,520 Rock Building Society, Ltd. 11,373 27,928 Ross Human Directions, Ltd. 42,066 20,162 * Rural Press, Ltd. 38,633 207,654 S8, Ltd. 80,476 63,232 Salmat, Ltd. 66,912 166,691 Schaffer Corp., Ltd. 33,766 328,286 SDI, Ltd. 40,163 277,709 * Sedimentary Holdings, Ltd. 264,237 41,334 Select Harvests, Ltd. 45,548 211,355 * Senetas Corp., Ltd. 240,406 10,657 Servcorp, Ltd. 156,000 222,644 Seven Network, Ltd. 28,361 103,290 * SFE Corp., Ltd. 72,967 338,467 * Silex System, Ltd. 235,100 134,295 Sims Group, Ltd. 50,097 392,918 Skilled Engineering, Ltd. 147,971 293,281 Smorgon Steel Group, Ltd. 221,547 169,052 * SMS Management & Technology, Ltd. 329,600 68,173 * Solution 6 Holdings, Ltd. 402,138 255,462 * Sons of Gwalia, Ltd. 76,934 147,803 Southern Cross Broadcasting (Australia), Ltd. 33,058 254,470 *# Southern Pacific Petroleum NL 698,740 $ 119,669 SP Telecommunications, Ltd. 318,303 317,647 SPC Ardmona, Ltd. 345,724 330,499 Spotless Group, Ltd. 73,128 258,424 * St. Barbara Mines, Ltd. 375,500 12,872 Star Games, Ltd. 132,410 101,078 * Starpharma Holdings, Ltd. 107,300 55,835 * Straits Resources, Ltd. 212,913 149,282 * Strategic Minerals Corp. NL 358,100 50,983 * Strathfield Group, Ltd. 336,916 34,843 * Striker Resources NL 435,484 15,528 # STW Communications Group, Ltd. 238,716 536,665 Sunland Group, Ltd. 349,278 257,357 Sydney Aquarium, Ltd. 49,135 164,775 * Sydney Gas, Ltd. 351,119 207,711 Symex Holdings, Ltd. 163,000 147,546 Tandou, Ltd. 3,410 3,858 * Tap Oil, Ltd. 269,296 280,313 Technology One, Ltd. 587,800 222,027 Tectonic Resources NL 155,738 32,197 * Television & Media Services, Ltd. 2,000,584 42,806 # Tempo Service, Ltd. 184,359 139,480 Thakral Holdings Group 948,383 439,776 The Gribbles Group, Ltd. 780,300 169,674 Ticor, Ltd. 455,148 406,719 # Timbercorp, Ltd. 369,115 357,785 * Titan Resources NL 188,493 41,642 * Tooth & Co., Ltd. 153,000 16,312 Transfield Services, Ltd. 75,900 279,114 Triako Resources, Ltd. 25,400 27,313 Troy Resources NL 72,048 150,669 Trust Company of Australia, Ltd. 41,099 219,978 *# Uecomm, Ltd. 845,897 237,986 # United Group, Ltd. 170,233 600,613 UXC, Ltd. 181,293 95,676 * VeCommerce, Ltd. 13,680 12,875 *# Ventracor, Ltd. 331,714 330,961 * Victoria Petroleum NL 463,964 7,622 # Villa World, Ltd. 185,574 168,671 *# Village Roadshow, Ltd. 591,536 781,303 * Virotec International NL 298,151 95,294 Vision Systems, Ltd. 274,105 168,193 * Voicenet (Australia), Ltd. 495,284 14,844 Volante Group, Ltd. 125,700 107,562 Waterco, Ltd. 22,304 38,343 Watpac, Ltd. 133,333 72,358 Wattyl, Ltd. 136,317 369,548 * Webster, Ltd. 33,551 15,829 Wide Bay Capricorn Building Society, Ltd. 26,958 127,806 * Worley Group, Ltd. 32,111 68,580 * Yates, Ltd. 60,281 1,894 --------------- TOTAL COMMON STOCKS (Cost $57,070,964) 60,727,898 --------------- INVESTMENT IN CURRENCY -- (0.4%) * Australian Dollar (Cost $736,097) 732,315 ---------------
74
SHARES VALUE+ --------------- --------------- PREFERRED STOCKS -- (0.1%) * Southern Cross Broadcasting (Australia), Ltd. Preferred 11,744 $ 100,566 * Village Roadshow, Ltd. 2% Class A 55,477 53,796 --------------- TOTAL PREFERRED STOCKS (Cost $203,293) 154,362 --------------- RIGHTS/WARRANTS -- (0.0%) * Amity Oil, Ltd. Options 09/04/04 1 0 * Autron Corp., Ltd. 05/27/04 229,667 8,195 * Axon Instruments, Inc. Options 01/02/07 16,148 0 * Gradipore, Ltd. Options 09/01/04 17,371 3,967 * Kimberley Diamond Co. NL Rights 34,258 0 * Metal Storm, Ltd. Options 08/06/04 1 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $98) 12,162 --------------- TOTAL -- AUSTRALIA (Cost $58,010,452) 61,626,737 --------------- SINGAPORE -- (25.1%) COMMON STOCKS -- (25.1%) * Acma, Ltd. 3,040,700 115,786 * Airocean Group, Ltd. 1,649,000 334,637 * Alliance Technology & Development, Ltd. 156,000 9,631 Amtek Engineering, Ltd. 799,625 541,544 Apollo Enterprises, Ltd. 193,000 50,498 Armstrong Industrial Corp. 1,460,000 132,822 ASA Group Holdings, Ltd. 586,000 96,408 Ascott Group, Ltd. 1,807,250 436,404 Aussino Group, Ltd. 967,000 319,279 Benjamin (F.J.) Holdings, Ltd. 1,095,000 142,133 # Beyonics Technology, Ltd. 1,556,640 421,182 Blu Inc. Group, Ltd. 729,000 103,124 Bonvests Holdings, Ltd. 825,000 220,498 Brilliant Manufacturing, Ltd. 1,855,000 765,445 * Broadway Industrial Group, Ltd. 461,000 72,902 Bukit Sembawang Estates, Ltd. 71,334 564,216 Central Properties, Ltd. 66,000 1,445,387 Ch Offshore, Ltd. 823,200 179,034 Chemical Industries (Far East), Ltd. 105,910 59,425 * China Merchants Holdings Pacific, Ltd. 652,000 208,018 *# Chip Eng Seng Corp., Ltd. 1,775,000 157,259 Chosen Holdings, Ltd. 1,284,000 182,413 Chuan Hup Holdings, Ltd. 4,385,000 1,265,685 Chuan Soon Huat Industrial Group, Ltd. 614,000 106,666 CIH, Ltd. 475,542 756,658 * CK Tang, Ltd. 614,000 98,701 * Compact Metal Industries, Ltd. 643,000 17,122 Courts Singapore, Ltd. 495,000 198,557 * CSC Holdings, Ltd. 672,000 13,785 CSE Global, Ltd. 1,262,000 438,533 CWT Distribution, Ltd. 461,500 131,900 * Eagle Brand Holdings, Ltd. 5,158,000 227,990 # Eastern Asia Technology, Ltd. 1,676,600 299,606 *# Eastern Asia Technology, Ltd. Series A 167,660 37,460 Eastgate Technology, Ltd. 870,000 69,124 * Econ International, Ltd. 2,267,000 $ 59,982 ECS Holdings, Ltd. 1,375,000 271,515 Eng Wah Organisation, Ltd. 265,000 47,038 * Firstlink Investments Corp., Ltd. 995,000 149,535 * Freight Links Express Holdings, Ltd. 3,368,000 189,467 Frontline Technologies Corp., Ltd. 3,170,000 271,534 Fu Yu Manufacturing, Ltd. 1,819,000 941,851 Fuji Offset Plates Manufacturing, Ltd. 33,750 5,906 GB Holdings, Ltd. 200,000 95,049 # Ges International, Ltd. 2,909,000 1,078,544 GK Goh Holdings, Ltd. 1,494,000 693,300 Goodpack, Ltd. 1,592,000 885,491 GP Industries, Ltd. 1,516,000 891,683 Guocoland, Ltd. 1,215,000 756,745 Hiap Moh Corp., Ltd. 34,874 6,170 Ho Bee Investment, Ltd. 761,000 118,308 Hong Fok Corp., Ltd. 1,796,000 277,318 Hong Leong Asia, Ltd. 1,048,000 1,010,952 * Horizon Education & Technologies, Ltd. 2,054,000 145,794 Hotel Grand Central, Ltd. 875,280 182,475 Hotel Plaza, Ltd. 1,189,000 389,270 Hotel Properties, Ltd. 1,675,000 1,004,983 Hour Glass, Ltd. 298,000 105,807 # HTL International Holdings, Ltd. 1,471,875 934,325 Huan Hsin Holdings, Ltd. 1,138,400 630,678 Hup Seng Huat, Ltd. 900,200 100,790 Hwa Hong Corp., Ltd. 2,488,000 679,683 # IDT Holdings, Ltd. 718,000 900,025 * Inno-Pacific Holdings, Ltd. 680,000 10,080 # Innovalues Precision, Ltd. 520,000 218,643 International Factors (Singapore), Ltd. 290,000 89,154 * Internet Technology Group, Ltd. 874,408 25,730 * Interra Resources, Ltd. 185,430 20,753 * Intraco, Ltd. 292,500 68,893 Isetan (Singapore), Ltd. 122,500 206,375 # Jaya Holdings, Ltd. 2,733,000 1,325,520 JK Yaming International, Ltd. 907,000 204,794 Jurong Cement, Ltd. 132,500 71,057 Jurong Engineering, Ltd. 137,000 193,611 # Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,187,135 * K1 Ventures, Ltd. 5,340,500 818,256 Keppel Telecommunications and Transportation, Ltd. 2,058,000 971,475 Khong Guan Flour Milling, Ltd. 19,000 18,133 Kian Ann Engineering, Ltd. 868,000 97,405 Kian Ho Bearings, Ltd. 521,000 58,568 Koh Brothers, Ltd. 1,494,000 87,616 * L & M Group Investments, Ltd. 7,107,100 62,682 Labroy Marine, Ltd. 3,343,000 923,029 * Lantrovision (S), Ltd. 1,117,500 65,987 Lee Kim Tah Holdings, Ltd. 1,600,000 231,517 * Leong Hin Holdings, Ltd. 526,000 38,587 * Liang Huat Aluminum, Ltd. 1,477,000 43,810 * Lion Asiapac, Ltd. 473,000 36,497 Low Keng Huat Singapore, Ltd. 372,000 94,293 Lum Chang Holdings, Ltd. 1,134,030 141,690 # Magnecomp International, Ltd. 931,000 293,955 * Manufacturing Integration Technology, Ltd. 588,000 66,178
75
SHARES VALUE+ --------------- --------------- MCL Land, Ltd. 1,427,000 $ 1,150,612 * Mediaring.Com, Ltd. 3,410,000 300,644 Metro Holdings, Ltd. 2,256,960 651,732 MMI Holdings, Ltd. 1,994,000 351,954 Multi-Chem, Ltd. 1,263,000 238,193 Nera Telecommunications, Ltd. 1,450,000 456,345 New Toyo Intenational Holdings, Ltd. 1,043,000 365,915 Norelco Centreline Holdings, Ltd. 941,000 642,079 * Orchard Parade Holdings, Ltd. 1,084,022 257,920 # Osim International, Ltd. 1,638,000 1,044,311 Ossia International, Ltd. 708,000 79,706 Pan-United Corp., Ltd. 2,193,000 469,936 * Pan-United Marine, Ltd. 1,096,500 193,415 PCI, Ltd. 734,000 328,371 Pentex-Schweizer Circuits, Ltd. 1,240,000 218,625 Pertama Holdings, Ltd. 459,750 77,112 Popular Holdings, Ltd. 1,813,000 494,493 # PSC Corp., Ltd. 4,088,000 276,698 Qian Hu Corp., Ltd. 408,200 150,371 Robinson & Co., Ltd. 284,832 962,380 Rotary Engineering, Ltd. 1,624,000 473,532 * San Teh, Ltd. 838,406 236,230 SBS Transit, Ltd. 1,011,000 892,027 Sea View Hotel, Ltd. 66,000 161,799 * Seatown Corp., Ltd. 101,000 1,782 Sembawang Kimtrans, Ltd. 1,295,000 114,613 Sin Soon Huat, Ltd. 1,307,000 50,004 Sing Investments & Finance, Ltd. 94,500 92,116 # Singapore Food Industries, Ltd. 1,707,000 812,794 Singapore Reinsurance Corp., Ltd 1,540,935 231,742 * Singapore Shipping Corp., Ltd. 1,930,000 334,985 Singapura Finance, Ltd. 139,250 111,499 SMB United, Ltd. 2,010,000 216,110 SNP Corp., Ltd. 466,495 274,687 * SP Corp., Ltd. 454,000 18,530 Ssangyong Cement (Singapore), Ltd. 236,000 143,142 Stamford Land Corp., Ltd. 3,229,000 437,337 Straits Trading Co., Ltd. 1,117,200 1,241,084 * Sunright, Ltd. 378,000 91,926 Superbowl Holdings, Ltd. 490,000 67,705 Superior Metal Printing, Ltd. 490,500 58,930 * Thakral Corp., Ltd. 6,028,000 514,313 Tiong Woon Corp. Holding, Ltd. 906,000 199,886 * Transmarco, Ltd. 106,500 60,359 Trek 2000 International, Ltd. 1,004,000 346,459 TSM Resources, Ltd. 1,502,000 301,163 *# TT International, Ltd. 1,758,000 315,562 * Tuan Sing Holdings, Ltd. 3,362,000 176,912 * Ultro Technologies, Ltd. 530,000 43,883 # Unisteel Technology, Ltd. 974,000 698,596 United Engineers, Ltd. 846,666 772,988 United Overseas Insurance, Ltd. 125,500 258,235 United Pulp & Paper Co., Ltd. 354,000 99,991 UOB-Kay Hian Holdings, Ltd. 1,602,000 919,393 Vicom, Ltd. 120,000 66,202 WBL Corp., Ltd. 647,000 1,165,218 * Xpress Holdings, Ltd. 1,392,000 48,820 * Yongnam Holdi 1,004,000 11,877 --------------- TOTAL COMMON STOCKS (Cost $57,015,596) 51,488,716 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars (Cost $52,992) $ 53,455 --------------- RIGHTS/WARRANTS -- (0.0%) * Acma, Ltd. Warrants 11/16/04 (Cost $0) 236,300 695 --------------- TOTAL -- SINGAPORE (Cost $57,068,588) 51,542,866 --------------- HONG KONG -- (24.5%) COMMON STOCKS -- (24.5%) * 139 Holdings, Ltd. 6,200,000 19,761 ABC Communications (Holdings), Ltd. 930,000 52,479 Aeon Credit Service (Asia) Co., Ltd. 740,000 445,749 ALCO Holdings, Ltd. 740,000 199,247 * Allan International Holdings, Ltd. 592,000 103,420 * Allied Group, Ltd. 5,592,000 459,039 * Allied Properties, Ltd. 802,600 321,536 * Anex International Holdings, Ltd. 152,000 2,229 * Applied International Holdings, Ltd. 1,243,000 17,379 * APT Satellite Holdings, Ltd. 599,000 134,049 * Artel Solutions Group Holdings, Ltd. 2,315,000 86,925 Arts Optical International Holdings, Ltd. 468,000 149,973 Asia Aluminum Holdings, Ltd. 196,000 21,384 * Asia Commercial Holdings, Ltd. 72,800 4,022 Asia Financial Holdings, Ltd. 1,976,908 438,955 * Asia Logistics Technologies, Ltd. 2,214,000 6,286 Asia Satellite Telecommunications Holdings, Ltd. 42,500 66,271 * Asia Standard International Group, Ltd. 6,780,000 252,465 * Asia Tele-Net & Technology Corp., Ltd. 521,000 15,590 Associated International Hotels, Ltd. 898,000 707,172 Automated Systems Holdings, Ltd. 340,000 58,738 Baltrans Holdings, Ltd. 376,000 104,876 * Beijing Development (Hong Kong), Ltd. 166,000 27,878 * Bossini International Holdings, Ltd. 900,750 131,780 Bright International Group, Ltd. 710,000 77,333 Cafe de Coral Holdings, Ltd. 90,000 83,145 * Capital Prosper, Ltd. 480,000 2,615 * Capital Strategic Investment, Ltd. 122,000 3,176 * Cash Financial Services Group, Ltd. 27,018 1,059 * Casil Telecommunications Holdings, Ltd. 1,420,000 71,906 * Catic International Holdings, Ltd. 5,332,000 96,515 CCT Telecom Holdings, Ltd. 472,970 63,003 * CEC International Holdings, Ltd. 210,000 4,048 * Celestial Asia Securities Holdings, Ltd. 426,036 26,818 * Central China Enterprises, Ltd. 21,040 7,503 # Champion Technology Holdings, Ltd. 1,329,386 213,192 Chaoda Modern Agriculture (Holdings), Ltd. 364,000 112,305 Chen Hsong Holdings, Ltd. 1,210,000 713,806 Cheuk Nang (Holdings), Ltd. 112,501 31,659 * Cheung Tai Hong Holdings, Ltd. 100,920 3,689 Chevalier International Holdings, Ltd 441,482 265,753
76
SHARES VALUE+ --------------- --------------- Chevalier Itech Holdings, Ltd. 355,250 $ 41,938 * China Aerospace International Holdings, Ltd. 3,384,000 201,727 * China Bio-Medical Group Limited 415,000 7,987 * China City Natural Gas Holdings, Ltd. 10,488,000 28,200 * China Digicontent Co., Ltd. 2,710,000 3,477 * China Everbright International, Ltd. 3,945,000 209,780 * China Everbright Technology, Ltd. 3,244,000 133,243 * China Gas Holdings, Ltd. 2,026,000 156,267 China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 117,648 # China Insurance International Holdings Co., Ltd. 198,000 93,954 * China Investments Holdings, Ltd. 210,000 4,527 * China Motion Telecom International, Ltd. 257,000 16,398 China Motor Bus Co., Ltd. 74,000 467,708 * China Nan Feng Group, Ltd. 28,800 240 China National Aviation Co., Ltd. 278,000 47,747 China Online (Bermuda), Ltd. 423,200 54,098 China Pharmaceutical Enterprise and Investment Corp., Ltd. 206,000 62,154 China Rare Earth Holdings, Ltd. 1,180,000 158,898 China Resources Land, Ltd. 2,658,000 353,609 China Resources Logic, Ltd. 3,796,000 428,176 * China Rich Holdings, Ltd. 3,380,000 17,625 * China Sci-Tech Holdings, Ltd. 2,786,000 7,138 * China Star Entertainment, Ltd. 440,292 44,599 * China Strategic Holdings, Ltd. 1,368,500 82,400 # China Travel International Investment, Ltd. 624,000 109,640 Chinney Investments, Ltd. 1,144,000 84,818 Chow Sang Sang Holdings International, Ltd. 721,400 222,033 Chuangs China Investments, Ltd. 1,347,000 61,292 * Chuang's Consortium International, Ltd. 1,858,884 108,654 Chun Wo Holdings, Ltd. 1,671,917 173,552 Chung Tai Printing Holdings, Ltd. 548,000 87,842 * CITIC 21CN Co., Ltd. 178,000 19,631 * CITIC Resources Holdings, Ltd. 492,000 57,559 City e Solutions, Ltd. 186,000 19,989 # City Telecom (H.K.), Ltd. 1,070,000 202,454 * Clear Media, Ltd. 75,000 66,357 * Climax International Co., Ltd. 296,000 1,060 CNPC (Hong Kong), Ltd. 640,000 82,944 * CNT Group, Ltd. 3,078,000 96,705 * Coastal Greenland, Ltd. 2,440,000 51,308 * Compass Pacific Holdings, Ltd. 624,000 19,867 * Computer & Technologies Holdings, Ltd. 432,000 77,595 Continental Holdings, Ltd. 98,825 9,194 Continental Mariner Investment Co., Ltd. 1,328,000 232,635 * COSCO International Holdings, Ltd. 2,573,600 353,718 # Coslight Technology International Group, Ltd. 626,000 224,919 * Cosmos Machinery Enterprises, Ltd. 1,024,000 44,672 * Crocodile Garments, Ltd. 1,539,000 51,164 Cross Harbour Tunnel Co., Ltd. 381,725 197,382 *# Culturecom Holdings, Ltd. 3,767,000 219,589 * Dah Hwa International Holdings, Ltd. 1,062,000 $ 21,429 * Dan Form Holdings Co., Ltd. 2,386,600 92,741 Daqing Petroleum & Chemical Group, Ltd. 1,375,000 74,216 Dickson Concepts International, Ltd. 453,000 401,469 Digital China Holdings, Ltd. 1,416,000 408,522 * DVN Holdings, Ltd. 744,490 200,403 * Dynamic Global Holdings, Ltd. 3,522,000 35,443 Dynamic Holdings, Ltd. 244,000 27,717 * Easyknit International Holdings, Ltd. 282,860 3,612 *# Eforce Holdings, Ltd. 2,620,000 67,232 Egana Jewelry and Pearls 331,789 63,794 # Eganagoldfeil Holdings Ltd 2,017,235 403,833 Elec & Eltek International Holdings, Ltd. 3,078,790 553,728 * Emperor International Holdings, Ltd. 90,436 46,519 * e-New Media Co., Ltd. 320,000 8,793 * eSun Holdings, Ltd. 653,600 25,881 * Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 118,260 * Ezcom Holdings, Ltd. 72,576 3,243 * Fairwood Holdings, Ltd. 42,600 8,654 # Far East Consortium International, Ltd. 1,914,086 316,684 * Far East Hotels & Entertainment, Ltd. 1,853,000 73,443 Far East Pharmaceutical Technology Co., Ltd. 3,216,000 370,861 First Sign International Holdings, Ltd. 1,424,000 50,365 Fong's Industries Co., Ltd. 74,000 60,243 * Forefront International Holdings, Ltd. 658,000 48,122 * Fortuna International Holdings, Ltd. 9,344,000 16,744 * Foundation Group, Ltd. 83,800 1,083 * Founder Holdings, Ltd. 1,854,000 201,747 Fountain Set Holdings, Ltd. 134,000 98,031 Four Seas Frozen Food Holdings, Ltd. 347,184 54,738 Four Seas Mercantile Holdings, Ltd. 592,000 212,679 * Fujian Holdings, Ltd. 237,800 5,480 Fujikon Industrial Holdings, Ltd. 532,000 67,965 * Fushan Holdings, Ltd. 2,566,000 97,112 * GeoMaxima Energy Holdings, Ltd. 5,810,000 86,039 Global China Group Holdings, Ltd. 3,022,000 170,485 Global Green Tech Group, Ltd. 1,336,000 116,557 * Global Tech (Holdings), Ltd. 5,612,000 61,329 Glorious Sun Enterprises, Ltd. 1,650,000 486,839 Gold Peak Industries (Holdings), Ltd. 1,059,250 312,469 * Goldbond Group Holdings, Ltd. New 2,609,500 46,919 Golden Resources Development International, Ltd. 1,456,500 62,654 * Gold-Face Holdings, Ltd. 2,003,600 138,819 Goldlion Holdings, Ltd. 1,438,000 110,570 Golik Holdings, Ltd. 930,500 38,197 Good Fellow Group, Ltd. 3,488,000 158,875 * Gorient Holdings, Ltd. 7,370 101 * Great Wall Cybertech, Ltd. 15,795,170 20,266 Group Sense (International), Ltd. 2,062,000 222,090 Guangdong Brewery Holdings, Ltd. 2,212,000 502,623 * Guangnan Holdings, Ltd. 14,216,000 218,787 Guangzhou Investment Co., Ltd. 1,070,000 96,552 * Guo Xin Group, Ltd. 3,640,000 42,383 * Guorun Holdings Ltd 230,000 20,979 GZI Transport, Ltd. 1,820,000 513,512
77
SHARES VALUE+ --------------- --------------- Hang Fung Gold Technology, Ltd. 762,000 $ 125,921 Hang Ten Group Holdings, Ltd. 585,039 900 Hanny Holdings, Ltd. 186,658 74,426 * Hansom Eastern Holdings, Ltd. 3,473,235 24,360 Harbour Centre Development, Ltd. 517,000 511,010 Harbour Ring International Holdings, Ltd. 636,000 57,889 * Hen Fung Holdings, Ltd. 1,740,000 33,600 Henderson China Holdings, Ltd. 815,000 391,895 Hengan International Group Co., Ltd. 98,000 57,373 High Fashion International, Ltd. 268,000 39,913 * HKR International, Ltd. 1,884,860 568,172 * Hon Kwok Land Investment Co., Ltd 572,535 104,432 Hong Kong Catering Management, Ltd. 512,000 56,029 * Hong Kong Construction Holdings, Ltd. 970,000 59,028 Hong Kong Ferry (Holdings) Co., Ltd. 671,300 667,260 * Hong Kong Parkview Group, Ltd. 1,130,000 72,493 * Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 55,062 Hongkong Chinese, Ltd. 2,126,000 272,285 * Hop Hing Holdings, Ltd. 660,265 25,415 Hopson Development Holdings, Ltd. 1,246,000 320,370 * Hsin Chong Construction Group, Ltd. 1,569,658 69,431 * Huabao International Holdings, Ltd. 19,300 3,226 * Hualing Holdings, Ltd. 1,344,000 39,410 Hung Hing Printing Group, Ltd. 34,000 25,504 * Hycomm Wireless, Ltd. 4,709,000 51,497 I-Cable Communications, Ltd. 191,000 73,386 * I-China Holdings, Ltd. 3,757,566 8,196 IDT International, Ltd. 4,028,486 919,340 * Imagi International Holdings, Ltd. 137,400 24,612 * Innomaxx Biotechnology Group, Ltd. 3,050,000 62,868 * Interchina Holdings Co., Ltd. 8,130,000 217,994 * Inworld Group, Ltd. 2,036 12 * ITC Corp., Ltd. 466,157 19,204 JCG Holdings, Ltd. 84,000 60,215 * Junefield Department Store Group, Ltd. 256,000 3,365 K Wah International Holdings, Ltd. 3,009,831 478,552 K. Wah Construction Materials, Ltd. 2,404,949 215,981 * Kader Holdings Co., Ltd. 545,600 10,565 Karrie International Holdings, Ltd. 488,000 126,823 Keck Seng Investments (Hong Kong), Ltd. 858,600 142,917 Kee-Shing Holdings Co., Ltd. 886,000 71,487 Kin Yat Hldgs 586,000 84,973 * King Fook Holdings, Ltd. 1,000,000 51,187 * King Pacific International Holdings, Ltd. 1,404,200 21,980 Kingdee International Software Group Co., Ltd. 638,000 216,636 Kingmaker Footwear Holdings, Ltd. 1,058,750 383,203 * Kong Sun Holdings, Ltd. 2,198,000 6,750 Kowloon Development Co., Ltd. 604,000 484,848 * KPI Co., Ltd. 264,000 3,328 KTP Holdings, Ltd. 560,400 53,883 * Kwong Sang Hong International, Ltd. 1,434,000 123,220 Kwoon Chung Bus Holdings, Ltd. 556,000 80,830 * Lai Sun Development Co., Ltd. 7,592,000 149,482 * Lai Sun Garment (International), Ltd. 2,325,000 $ 90,985 Lam Soon (Hong Kong), Ltd. 302,310 99,761 * Le Saunda Holdings, Ltd. 236,000 13,195 * Leadership Publishing Group, Ltd. 250,511 2,114 * Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,964 Lerado Group (Holding) Co., Ltd. 1,048,000 184,290 * LifeTec Group, Ltd. 1,383,000 30,515 * Lippo, Ltd. 1,074,760 263,972 Liu Chong Hing Bank, Ltd. 73,000 92,202 Liu Chong Hing Investment, Ltd. 635,200 401,039 Luk Fook Holdings (International), Ltd. 690,000 110,570 Luks Industrial Group, Ltd. 645,555 104,231 Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 456,142 * MACRO-LINK International Holdings, Ltd. 1,036,250 29,360 * Mae Holdings, Ltd. 2,220,000 4,006 * Magnificent Estates, Ltd. 8,368,000 59,281 * Magnum International Holdings, Ltd. 300,000 3,849 Mainland Headwear Holdings, Ltd. 410,000 131,396 * Mansion House Group, Ltd. 1,820,000 70,741 Matrix Holdings, Ltd. 402,000 90,058 * Mei Ah Entertainment Group, Ltd. 1,142,000 39,767 Melbourne Enterprises, Ltd. 45,500 175,137 Midas International Holdings, Ltd. 774,000 55,565 Midland Realty (Holding), Ltd. 1,110,000 263,766 * Millennium Group, Ltd. 1,392,000 19,370 * Min Xin Holdings, Ltd. 753,200 126,666 Miramar Hotel & Investment Co., Ltd. 84,000 79,508 * Morning Star Resources, Ltd. 1,845,000 13,087 Moulin International Holdings, Ltd. 699,274 441,817 Nanyang Holdings, Ltd. 137,500 133,405 * National Electronics Holdings, Ltd. 2,156,000 70,526 * New China Merchants Dichain 7,160,000 99,199 New Island Printing Holdings, Ltd. 176,000 15,356 * New World China Land, Ltd. 222,000 53,483 * New World Cyberbase, Ltd. 25,220 94 * New World TMT, Ltd. 1,380,600 145,651 Newocean Green Energy Holdings, Ltd. 3,931,200 69,054 * Next Media, Ltd. 220,000 74,810 Ngai Lik Industrial Holdings, Ltd. 1,556,000 604,212 *# Onfem Holdings, Ltd. 1,266,000 97,211 Orient Power Holdings, Ltd. 804,000 106,200 * Oriental Metals, Ltd. 711,780 233,907 Oriental Press Group, Ltd. 230,000 78,972 Oriental Watch Holdings, Ltd. 398,000 72,420 # Pacific Andes International Holdings, Ltd. 1,172,000 193,923 # Pacific Century Insurance Holdings, Ltd. 1,272,000 480,613 * Pacific Plywood Holdings, Ltd. 4,430,000 23,975 Paul Y. ITC Construction Holdings, Ltd. 2,262,856 189,243 Peace Mark Holdings, Ltd. 1,120,514 215,741 Pegasus International Holdings, Ltd. 226,000 34,499 Perfectech International Holdings, Ltd. 571,450 58,726 Pico Far East Holdings, Ltd. 1,190,000 77,934 Playmates Holdings, Ltd. 2,223,000 288,430
78
SHARES VALUE+ --------------- --------------- Pokfulam Development Co., Ltd. 234,000 $ 73,461 * Poly Investments Holdings, Ltd. 2,670,000 62,709 Prime Success International Group, Ltd. 2,366,000 135,395 # Proview International Holdings, Ltd. 944,000 217,885 *# QPL International Holdings, Ltd. 1,191,000 296,222 Quality Healthcare Asia, Ltd. 133,800 30,815 * Rainbow International Holdings, Ltd. 2,036 20 Raymond Industrial, Ltd. 605,400 213,396 *# Regal Hotels International Holdings, Ltd. 11,656,000 361,078 * Rexcapital International Holdings, Ltd. 1,272,905 14,487 * Riche Multi-Media Holdings, Ltd. 706,000 296,726 * Rivera Holdings, Ltd. 3,620,000 116,128 * Riverhill Holdings, Ltd. 2,036 28 Road King Infrastructure, Ltd. 449,000 331,137 * Roadshow Holdings, Ltd. 1,456,000 143,628 S.A.S.Dragon Holdings, Ltd. 1,696,000 199,825 SA SA International Holdings, Ltd. 1,872,000 694,145 Safety Godown Co., Ltd. 408,000 146,576 Saint Honore Holdings, Ltd. 128,000 22,909 * San Miguel Brewery Hong Kong, Ltd. 612,800 130,474 SCMP Group, Ltd. 224,000 89,701 Sea Holdings, Ltd. 832,000 203,593 * Seapower Resources International, Ltd. 151,680 1,741 * SEEC Media Group, Ltd. 2,550,000 158,831 Shanghai Allied Cement, Ltd. 1,152,080 75,647 * Shanghai Century Holdings, Ltd. 7,142,000 130,259 * Shanghai Land Holdings, Ltd. 1,464,000 64,805 # Shanghai Real Estates, Ltd. 2,234,000 177,317 Shaw Brothers Hong Kong, Ltd. 134,000 130,666 Shell Electric Manufacturing (Holdings) Co., Ltd. 730,792 164,875 Shenyin Wanguo (Hong Kong), Ltd. 847,500 90,002 Shenzhen International Holdings, Ltd. 1,682,500 59,410 Shougang Concord Century Holdings, Ltd. 1,676,000 184,717 * Shougang Concord Grand (Group), Ltd. 1,701,000 125,867 * Shougang Concord International Enterprises Co., Ltd. 4,166,000 205,313 * Shougang Concord Technology Holdings, Ltd. 2,639,809 219,242 * Shui On Construction & Materials, Ltd. 468,000 404,987 * Shun Ho Resources Holdings, Ltd. 483,000 20,451 * Shun Ho Technology Holdings, Ltd. 1,037,452 45,660 Silver Grant International Industries, Ltd. 2,087,000 433,257 * Sincere Co., Ltd. 505,500 24,245 # Singamas Container Holdings, Ltd. 838,000 429,203 Sino Golf Holdings, Ltd. 438,000 80,335 * Sinocan Holdings, Ltd. 350,000 1,751 * Sino-I.com, Ltd. 19,383,158 359,196 Sinolink Worldwide Holdings, Ltd. 3,933,600 458,712 Sinopec Kantons Holdings, Ltd. 1,638,000 220,595 * Skynet (International Group) Holdings, Ltd. 244,240 313 SNP Leefung Holdings, Ltd. 144,000 22,182 * Softbank Investment International (Strategic), Ltd. 7,398,000 $ 98,715 * Solartech International Holdings, Ltd. 49,600 2,058 South China Brokerage Co., Ltd. 4,872,000 30,161 South China Industries, Ltd. 1,124,000 64,018 Southeast Asia Properties & Finance, Ltd. 263,538 37,052 Starlight International Holdings, Ltd. (New) 1,311,292 185,598 Starlite Holdings, Ltd. 694,000 74,741 * Stelux Holdings International, Ltd. 1,307,702 46,509 * Styland Holdings, Ltd. 101,808 327 Sun Hing Vision Group Holdings, Ltd. 358,000 159,326 Sun Hung Kai & Co., Ltd. 2,048,600 481,464 * Sun Innovation Holdings, Ltd. 1,420,360 3,271 * Sun Media Group Holdings, Ltd. 9,814,000 35,140 * Sunday Communications, Ltd. 4,441,000 282,279 Sunway International Holdings, Ltd. 866,000 30,261 * Suwa International Holdings, Ltd. 1,062,000 26,498 * Tack Hsin Holdings, Ltd. 542,000 9,385 Tai Cheung Holdings, Ltd. 1,013,000 370,839 Tai Fook Securities Group, Ltd. 590,000 91,633 Tai Sang Land Development, Ltd. 471,984 122,455 Tak Shun Technology Group, Ltd. 2,088,000 82,991 Tak Sing Alliance Holdings, Ltd. 2,909,865 100,609 # Tan Chong International, Ltd. 666,000 128,033 TCC International Holdings, Ltd. 1,124,000 195,914 * Technology Venture Holdings, Ltd. 586,000 16,665 * Termbray Industries International (Holdings), Ltd. 2,304,900 124,269 Tern Properties Co., Ltd. 61,200 12,564 * The Sun's Group, Ltd. 17,004,000 21,817 * Tian An China Investments Co., Ltd. 1,238,275 294,659 Tian Teck Land, Ltd. 1,098,000 315,996 # Tianjin Development Holdings, Ltd. 1,118,000 387,626 * Titan Petrochemicals Group, Ltd. 640,000 44,324 * Tomorrow International Holdings, Ltd. New 165,000 21,276 Tonic Industries Holdings., Ltd. 920,000 49,443 Top Form International, Ltd. 1,586,000 243,591 * Tristate Holdings, Ltd. 138,000 23,903 Truly International Holdings, Ltd. 66,000 90,963 Tungtex (Holdings) Co., Ltd. 788,000 293,403 * Tysan Holdings, Ltd. 1,040,773 40,643 * U-Cyber Technology Holdings, Ltd. 432,800 8,226 * United Power Investment, Ltd. 1,664,000 32,486 * Universal Holdings Ltd 2,770,000 22,738 * Universe International Holdings, Ltd. 573,339 4,777 U-Right International Holdings, Ltd. 2,040,000 91,598 USI Holdings, Ltd. 928,999 113,098 # Van Shung Chong Holdings, Ltd. 359,335 66,364 * Vanda Systems & Communications Holdings, Ltd. 2,534,000 148,934 # Varitronix International, Ltd. 507,344 500,751 Veeko International Holdings, Ltd. 1,420,000 32,795 Victory City International Holdings, Ltd. 839,768 328,303 Vitasoy International Holdings, Ltd. 1,423,000 325,008 * Wah Ha Realty Co., Ltd. 278,600 42,538 * Wah Nam International 38,696 853 Wai Kee Holdings, Ltd. 1,265,738 214,928
79
SHARES VALUE+ --------------- --------------- Wang ON Group Ltd New 47,897 $ 5,836 Wellnet Holdings, Ltd. 2,059,200 97,721 * Winfoong International, Ltd. 1,210,000 32,527 Wing On Co. International, Ltd. 565,000 579,375 Wing Shan International, Ltd. 896,000 46,593 * Winsan China Investment Group, Ltd. 1,296,000 49,585 Wong's International (Holdings), Ltd. 737,641 89,850 * Wonson International Holdings, Ltd. 4,040,000 10,342 World Houseware (Holdings), Ltd. 605,700 23,691 *# Xinao Gas Holdings, Ltd. 1,094,000 515,681 Y. T. Realty Group, Ltd. 965,000 57,287 Yangtzekiang Garment Manufacturing Co., Ltd. 405,000 75,657 * Yanion International Holdings, Ltd. 118,000 8,898 * Yaohan International Holdings, Ltd. 974,000 0 * Yau Lee Holdings, Ltd. 534,000 26,338 YGM Trading, Ltd. 228,000 134,437 Yip's Chemical Holdings, Ltd. 674,000 136,687 Yugang International, Ltd. 11,916,000 113,072 * Yunnan Enterprises Holdings, Ltd. 240,000 12,284 * Zhu Kuan Development Co., Ltd. 646,000 32,633 --------------- TOTAL COMMON STOCKS (Cost $74,974,804) 50,256,573 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars (Cost $23,294) 23,293 --------------- RIGHTS/WARRANTS -- (0.0%) * China Travel International Investment, Ltd. Warrants 05/31/06 124,800 0 * Easyknit International Holdings, Ltd. Rights 06/07/04 141,430 0 * Quality Healthcare Asia, Ltd. Warrants 01/12/04 26,760 755 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 755 --------------- TOTAL -- HONG KONG (Cost $74,998,098) 50,280,621 --------------- NEW ZEALAND -- (9.1%) COMMON STOCKS -- (9.1%) * AFFCO Holdings, Ltd. 1,935,950 304,360 Cavalier Corp., Ltd. 283,674 849,900 CDL Hotels NZ, Ltd. 1,387,344 357,407 CDL Investments NZ, Ltd. 306,025 53,840 Colonial Motor Co., Ltd. 126,795 232,638 * Cue Energy Resources NL 452,354 20,168 DB Breweries, Ltd. 312,589 1,591,228 Ebos Group, Ltd. 112,108 235,719 * Evergreen Forests, Ltd. 323,301 81,670 Hallenstein Glassons Holdings, Ltd. 241,638 447,449 Hellaby Holdings, Ltd. 201,679 635,846 Horizon Energy Distribution, Ltd. 40,420 99,159 * Kingsgate International Corp., Ltd. 479,679 93,136 Met Lifecare, Ltd. 270,895 382,388 Michael Hill International, Ltd. 156,746 566,477 * New Zealand Oil & Gas, Ltd. 584,872 $ 263,674 New Zealand Refining Co., Ltd. 84,779 1,014,305 * New Zealand Rural Properties, Ltd. 38,372 0 Northland Port Corp. (New Zealand), Ltd. 219,997 378,068 Nuplex Industries, Ltd. 271,267 863,175 * Pacific Retail Group, Ltd. 194,156 268,890 Port of Tauranga, Ltd. 541,952 1,734,911 Powerco, Ltd. 804,832 1,076,673 * Provenco Group, Ltd. 281,600 127,390 Pyne Gould Guinness, Ltd. 229,634 226,070 Restaurant Brand New Zealand, Ltd. 369,175 282,949 * Richina Pacific, Ltd. 309,644 77,754 * Rubicon, Ltd. 995,760 519,144 Ryman Healthcare Group, Ltd. 415,999 652,837 Sanford, Ltd. 418,047 1,273,833 Scott Technology, Ltd. 60,842 123,018 * Seafresh Fisheries 80,520 1,417 * Sky City Leisure, Ltd. 15,236 8,689 South Port New Zealand, Ltd. 30,744 26,699 Steel & Tube Holdings, Ltd. 379,638 929,660 * Tasman Farms 157,056 0 Taylors Group, Ltd. 29,646 48,754 Tourism Holdings, Ltd. 402,452 416,683 * Trans Tasman Properties, Ltd. 2,311,308 580,679 Waste Management NZ, Ltd. 430,471 1,246,446 Williams & Kettle, Ltd. 57,558 97,652 Wrightson, Ltd. 597,701 526,077 --------------- TOTAL COMMON STOCKS (Cost $13,954,178) 18,716,832 --------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar (Cost $5,223) 5,229 --------------- TOTAL -- NEW ZEALAND (Cost $13,959,401) 18,722,061 --------------- UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Exergy, Inc. 7,260 0 --------------- MALAYSIA -- (0.1%) COMMON STOCKS -- (0.1%) * Autoways Holdings Berhad 10,000 3,395 * Promet Berhad 1,143,000 87,229 * Rekapacific Berhad 473,000 0 * RNC Corp. Berhad 33,000 3,560 * Saship Holdings Berhad 223,520 52,351 * Versatile Creative Berhad 3,000 280 * Wing Tiek Holdings Berhad 95,800 22,437 --------------- TOTAL -- MALAYSIA (Cost $1,278,766) 169,252 --------------- JAPAN -- (0.0%) COMMON STOCKS -- (0.0%) *# Sansui Electric Co., Ltd. 252,000 80,062 ---------------
80
FACE AMOUNT VALUE+ --------------- --------------- (000) TEMPORARY CASH INVESTMENTS -- (11.1%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $3,765,000 FMC Discount Notes 1.13%, 08/12/04, valued at $3,755,588) to be repurchased at $3,700,366 (Cost $3,700,000) $ 3,700 $ 3,700,000 Repurchase Agreement, Mizuho Securities USA 1.00%, 06/01/04 (Collateralized by $37,418,998 U.S. Treasury Strips, maturities ranging from 02/15/16 to 02/15/17, valued at $19,766,812 to be repurchased at $19,381,380 (Cost $19,379,227)^ 19,379 19,379,227 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $228,420,439)++ $ 205,500,826 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. ++ The cost for federal income tax purposes is $228,472,450. See accompanying Notes to Financial Statements. 81 THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- UNITED KINGDOM -- (98.1%) COMMON STOCKS -- (98.0%) 4imprint P.L.C. 50,375 $ 128,238 600 Group P.L.C. 100,910 116,445 Abacus Group P.L.C. 75,000 417,960 Abbeycrest P.L.C. 42,590 51,600 Abbot Group P.L.C. 239,595 765,886 Aberdeen Asset Management P.L.C. 303,617 425,345 Acal P.L.C. 20,971 191,418 * Acambis P.L.C. 137,000 814,283 * Advanced Medical Solutions P.L.C. 29,802 5,060 * Advanced Power Components, Ltd. 47,871 10,791 AEA Technology P.L.C. 72,381 267,361 AGA Food Service Group P.L.C. 174,500 781,156 Aggreko P.L.C. 339,200 930,678 * AIM Group P.L.C. 32,063 50,556 * Air Partner P.L.C. 11,763 88,162 * Airflow Streamlines P.L.C. 20,500 21,988 Airsprung Furniture Group P.L.C. 58,000 65,399 Alba P.L.C. 105,025 1,459,986 Alexandra P.L.C. 86,243 157,835 Alexon Group P.L.C. 116,632 705,851 * Alizyme P.L.C. 182,900 435,175 Alpha Airports Group P.L.C. 392,541 564,523 Alphameric P.L.C. 172,688 256,630 Alumasc Group P.L.C. 100,245 262,461 Alvis P.L.C. 191,010 987,161 Amberley Group P.L.C. 200,000 40,302 Amec P.L.C. 49,000 240,718 Amstrad P.L.C. 149,652 501,949 * Anglesey Mining P.L.C. 55,000 3,908 Anglo Eastern Plantations P.L.C. 57,166 160,067 Anglo Pacific Group P.L.C. 98,309 103,244 * Anite Group P.L.C. 467,715 411,682 * Antisoma P.L.C. 301,298 92,608 * API Group P.L.C. 51,500 60,070 * Applied Optical Technologies P.L.C. 75,383 43,611 * Arena Leisure P.L.C. 480,268 407,138 * Argonaut Games, Ltd. 100,000 12,051 Arla Foods UK P.L.C. 815,293 829,002 Arm Holdings P.L.C. 127,000 273,261 Arriva P.L.C. 129,697 927,211 * Ashtead Group P.L.C. 374,989 168,780 Ashtenne Holdings P.L.C. 93,880 643,872 Atkins Ws P.L.C. 127,815 1,296,111 * Atrium Underwriting P.L.C. 56,779 204,459 Austin Reed Group P.L.C. 68,999 183,356 Autologic Holdings P.L.C. 58,180 303,297 * Autonomy Corp. P.L.C. 143,486 580,567 Avesco P.L.C. 29,998 51,759 Aveva Group P.L.C. 23,026 219,521 Avis Europe P.L.C. 863,316 1,491,219 Avon Rubber P.L.C. 36,672 138,237 * AWG P.L.C. 16,000 180,122 * Axis-Shield P.L.C. 58,284 170,228 Axon Group P.L.C. 59,468 138,290 Babcock International Group P.L.C. 310,464 $ 637,156 Baggeridge Brick P.L.C. 98,000 279,860 * Bailey (C.H.) P.L.C. 109,500 15,559 * Bailey (C.H.) P.L.C. Class B 10,000 6,600 * Baltimore Technologies P.L.C. 60,656 49,132 Barr (A.G.) P.L.C. 43,000 579,720 Beattie (James) P.L.C. 132,247 295,492 Belhaven Brewery Group P.L.C. 39,070 315,461 * Bell Group P.L.C. 42,600 134,824 Bellway P.L.C. 127,364 1,763,001 Ben Bailey P.L.C. 26,000 203,851 Benchmark Group P.L.C. 138,813 704,261 Bespak P.L.C. 55,918 550,949 * Biocompatibles International P.L.C. 45,777 151,134 * Bioquell P.L.C. 50,194 123,413 Biotrace International P.L.C. 75,000 179,026 Birse Group P.L.C. 421,901 114,154 Black Arrow Group P.L.C. 56,500 72,513 Blacks Leisure Group P.L.C. 60,959 468,508 Bloomsbury Publishing P.L.C. 94,003 426,887 * BNB Resources P.L.C. 89,395 31,891 Body Shop International P.L.C. 235,793 670,964 Bodycote International P.L.C. 403,922 1,063,172 Boot (Henry) P.L.C. 47,000 322,895 Bovis Homes Group P.L.C. 157,801 1,479,223 BPP Holdings P.L.C. 106,500 616,608 * Bradstock Group P.L.C. 5,200 4,195 Brammer (H.) P.L.C. 119,123 290,388 * Brandon Hire P.L.C. 37,654 87,881 Brewin Dolphin Holdings P.L.C. 260,332 353,026 * Bristol Water Group P.L.C. 31,800 217,760 Britannic P.L.C. 243,326 1,537,002 British Polythene Industries P.L.C. 56,740 303,150 British Vita P.L.C. 223,303 1,054,501 Brixton P.L.C. 296,900 1,579,635 * Broadcastle P.L.C. 42,033 60,947 * Brown & Jackson P.L.C. 296,819 285,922 * Brown & Jackson P.L.C. Issue 04 84,805 81,692 Brown (N) Group P.L.C. 392,889 740,109 BSS Group P.L.C. 47,905 622,875 * BTG P.L.C. 220,220 460,594 Burtonwood Brewery P.L.C. 38,000 243,313 Business Post Group P.L.C. 70,934 647,796 BWD Securities P.L.C. 29,403 231,995 Caffyns P.L.C. 6,000 78,922 * Cairn Energy P.L.C. 183,836 3,562,290 * Cambridge Antibody Technology Group P.L.C. 38,149 362,068 * Cammell Laird Holdings P.L.C. 256,158 28,179 Capital & Regional P.L.C. 83,991 758,498 Capital Radio P.L.C. 105,550 880,398 Carclo P.L.C. 100,463 72,700 Care UK P.L.C. 64,835 346,810 Carillion P.L.C. 286,809 876,596 * Carlisle Holdings, Ltd. 8,709 54,884 Carpetright P.L.C. 113,500 2,069,326
82
SHARES VALUE+ --------------- --------------- Carr's Milling Industries P.L.C. 19,000 $ 115,859 Castings P.L.C. 79,000 267,948 * Cenes Pharmaceuticals P.L.C. 298,612 56,476 Chamberlin & Hill P.L.C. 18,000 51,250 Chapelthorpe P.L.C. 627,680 189,986 Character Group P.L.C. 59,041 86,848 Charles Taylor Consulting P.L.C. 67,918 344,200 * Charter P.L.C. 159,633 364,414 * Che Group P.L.C. 51,533 41,277 Chemring Group P.L.C. 49,000 385,554 * Chesnara P.L.C. 92,900 178,844 * Chime Communications P.L.C. 230,438 141,501 Chloride Group P.L.C. 485,500 436,371 Christie Group P.L.C. 53,263 97,350 Chrysalis Group P.L.C. 286,082 968,921 Churchill China P.L.C. 30,000 116,997 Clarkson (Horace) P.L.C. 44,733 403,049 * Clinical Computing P.L.C. 46,666 17,068 Clinton Cards P.L.C. 433,380 656,416 * CLS Holdings P.L.C. 152,907 879,018 CML Microsystems P.L.C. 28,361 176,846 Colefax Group P.L.C. 60,000 110,007 Collins Stewart Tullett P.L.C. 31,538 254,157 * Colt Telecom Group P.L.C. 257,000 395,915 Comino Group P.L.C. 11,100 36,461 Communisis P.L.C. 237,134 447,546 Compel Group P.L.C. 5,000 8,203 Computacenter P.L.C. 51,000 364,681 * Cookson Group P.L.C. 2,289,168 1,819,079 Coral Products P.L.C. 50,000 40,945 * Corporate Services Group P.L.C. 1,114,371 202,008 Cosalt P.L.C. 30,700 190,442 * Costain Group P.L.C. 468,659 352,491 Countryside Property P.L.C. 102,264 409,881 * Countrywide P.L.C. 185,800 955,537 Courts P.L.C. 110,722 532,758 Cox Insurance Holdings P.L.C. 417,814 524,916 Cranswick P.L.C. 54,941 390,681 Crest Nicholson P.L.C. 267,250 1,648,327 Creston P.L.C. 28,278 76,309 Croda International P.L.C. 176,035 903,221 Cropper (James) P.L.C. 22,000 59,427 * Culver Holdings P.L.C. 338 81 Daejan Holdings P.L.C. 25,000 945,840 Dairy Crest Group P.L.C. 165,769 1,234,953 * Dana Petroleum P.L.C. 98,651 481,118 * Danka Business Systems P.L.C. 85,000 83,217 Dart Group P.L.C. 74,000 168,697 Davis Service Group P.L.C. 227,016 1,525,749 * Dawson Holdings P.L.C. 83,245 239,435 * Dawson International P.L.C. 100,688 19,318 * DCS Group P.L.C. 10,000 3,090 De la Rue P.L.C. 223,000 1,331,823 Dechra Pharmaceiticals P.L.C. 67,432 160,616 Delta P.L.C. 200,000 289,815 Deltron Electronics P.L.C. 9,339 11,214 * Densitron International P.L.C. 74,175 26,098 Derwent Valley Holdings P.L.C. 90,000 1,379,094 Development Securities P.L.C. 50,000 339,374 DeVere Group P.L.C. 132,501 1,069,913 Devro P.L.C. 213,653 412,529 Dewhurst P.L.C. 9,000 $ 21,946 Dewhurst P.L.C. Class A Non-Voting 15,500 32,823 DFS Furniture Co. P.L.C. 135,600 1,069,031 Diagonal P.L.C. 104,323 69,674 Dickinson Legg Group P.L.C. 11,935 5,148 Dicom Group P.L.C. 30,000 428,165 * Dimension Data Holdings P.L.C. 939,000 526,653 Diploma P.L.C. 30,191 294,257 Domestic & General Group P.L.C. 47,868 526,345 Domino Printing Sciences P.L.C. 355,935 1,216,022 Domnick Hunter Group P.L.C. 47,242 301,171 * Dowding & Mills P.L.C. 336,440 67,810 DTZ Holdings P.L.C. 114,500 327,458 * Duelguide Units P.L.C. 3,971 39,155 Dyson Group P.L.C. 42,750 224,318 East Surrey Holdings P.L.C. 112,648 676,108 * Easynet Group P.L.C. 158,575 290,715 * Ebookers P.L.C. 89,700 450,132 * Edinburgh Oil & Gas P.L.C. 47,564 137,908 * Eidos P.L.C. 150,900 328,100 Eldridge Pope & Co. P.L.C. 25,000 69,310 Eleco P.L.C. 104,685 58,426 Electronic Data Processing P.L.C. 55,200 63,070 * Elementis P.L.C. 573,383 376,394 * Emerald Energy P.L.C. 3,205,540 101,888 * Emess P.L.C. 288,250 43,056 Ennstone P.L.C. 295,323 200,188 * Enodis P.L.C. 524,429 798,442 Estates & General P.L.C. 10,000 38,976 Eurocopy P.L.C. 41,051 29,337 * Eurodis Electron P.L.C. 1,230,802 115,166 Euromoney Institutional Investors P.L.C. 117,550 816,481 European Colour P.L.C. 82,090 26,967 European Motor Holdings P.L.C. 118,325 437,375 * European Telecom P.L.C. 7,000 0 * Evans of Leeds Contingent Units P.L.C. 80,000 0 Expro International Group P.L.C. 74,744 370,127 Fenner P.L.C. 144,722 273,430 * Ferguson International Holdings P.L.C. 89,105 44,110 Ferraris Group P.L.C. 63,540 121,776 * Fibernet Group P.L.C. 70,153 133,783 * FII Group P.L.C. 41,166 5,095 Filtronic P.L.C. 98,438 543,600 Financial Objects P.L.C. 7,000 5,137 Findel P.L.C. 142,288 998,925 First Choice Holidays P.L.C. 648,683 1,423,992 First Technology P.L.C. 128,111 689,227 Fisher (James) & Sons P.L.C. 76,000 379,339 FKI P.L.C. 702,700 1,428,568 Forminster P.L.C. 43,333 16,370 Forth Ports P.L.C. 142,983 2,990,417 Fortress Holdings P.L.C. 120,728 58,104 * Fortune Oil P.L.C. 1,805,243 189,074 Freeport P.L.C. 35,006 221,978 French Connection Group P.L.C. 125,000 993,645 Fuller, Smith & Turner P.L.C. Series A 20,000 234,947 Fulmar P.L.C. 107,500 147,709 Future Network P.L.C. 430,444 493,474
83
SHARES VALUE+ --------------- --------------- Galliford Try P.L.C. 517,870 $ 472,895 Game Group P.L.C. 534,000 594,687 Games Workshop Group P.L.C. 41,013 488,138 Gaming International P.L.C. 14,000 11,294 * Garton Engineering P.L.C. 10,248 0 * Gaskell P.L.C. 36,000 9,917 GB Group P.L.C. 250,000 89,245 Geest P.L.C. 97,588 1,046,634 * Get Group P.L.C. 13,200 49,051 Gibbs & Dandy P.L.C. 9,000 51,953 Gleeson (M.J.) Group P.L.C. 22,471 460,503 * Glotel P.L.C. 49,741 101,535 Go-Ahead Group P.L.C. 40,000 903,604 Goldshield Group P.L.C. 42,212 191,253 Gowrings P.L.C. 5,000 5,638 Grainger Trust, Ltd. 33,075 1,028,757 Great Portland Estates P.L.C. 272,408 1,311,337 Greene King P.L.C. 80,593 1,345,783 * Greenwich Resources P.L.C. 438,664 16,085 Greggs P.L.C. 26,000 1,613,385 * Gresham Computing P.L.C. 65,768 372,592 Guiness Peat Group P.L.C. 1,025,981 1,252,805 GWR Group P.L.C. 170,000 798,089 * Gyrus Group P.L.C. 110,664 406,578 Halma P.L.C. 489,564 1,342,522 Halstead (James) Group P.L.C. 52,208 424,027 * Hampson Industries P.L.C. 250,757 93,276 * Hampton Trust P.L.C. 232,050 7,977 * Hardy Underwriting Group P.L.C. 40,318 186,182 Hardys & Hansons P.L.C. 48,000 442,876 * Hartstone Group P.L.C. 240,263 8,395 * Harvey Nash Group P.L.C. 183,750 230,484 Havelock Europa P.L.C. 27,660 47,641 * Hawtin P.L.C. 196,500 32,425 Haynes Publishing Group P.L.C. 14,703 89,860 Headlam Group P.L.C. 152,974 1,146,673 Heath (Samuel) & Sons P.L.C. 7,500 54,316 Helical Bar P.L.C. 46,000 702,439 Helphire Group P.L.C. 159,600 575,345 Henlys Group P.L.C. 133,303 39,034 Hercules Property Services P.L.C. 25,132 130,651 Heywood Williams Group P.L.C. 140,400 200,099 Highbury House Communications P.L.C. 439,166 160,843 Highway Insurance Holdings P.L.C. 467,933 284,049 Hill & Smith Holdings P.L.C. 86,850 157,629 Hiscox P.L.C. 387,778 1,096,445 Hit Entertainment P.L.C. 195,791 1,071,792 Hitachi Capital (UK) P.L.C. 53,912 198,403 Holidaybreak P.L.C. 92,974 869,965 * Homeserve P.L.C. 86,400 1,061,022 Homestyle Group P.L.C. 76,141 122,768 Hornby P.L.C. 10,000 187,903 House of Fraser P.L.C. 395,650 840,971 Hunting P.L.C. 223,174 596,088 Huntleigh Technology P.L.C. 66,958 432,702 Huntsworth P.L.C. 135,000 55,291 * Hyder Consulting P.L.C. 16,308 41,660 * IAF Group P.L.C. 30,000 6,325 IFX Group P.L.C. 34,486 61,652 * Imagination Technologies Group P.L.C. 239,934 $ 373,222 * IMS Group P.L.C. 75,000 6,188 Incepta Group P.L.C. 280,643 429,811 Inchcape P.L.C. 20,000 577,805 * Industrial & Commercial Holdings P.L.C. 5,000 137 Infast Group P.L.C. 301,224 123,085 * Intec Telecom Systems P.L.C. 275,141 320,417 Intelek P.L.C. 99,880 19,624 * Intertek Group P.L.C. 70,100 695,867 Intserve P.L.C. 179,459 833,338 * Invensys P.L.C. 5,864,457 1,746,088 * Inveresk P.L.C. 150,000 38,609 * IQE P.L.C. 132,400 26,167 ISIS Asset Management P.L.C. 199,626 656,212 Isoft Group P.L.C. 210,764 1,494,736 Isotron P.L.C. 50,325 429,477 Ite Group P.L.C. 374,735 387,964 Itnet P.L.C. 90,278 480,899 Jarvis P.L.C. 230,379 347,566 * Jarvis Porter Group P.L.C. 99,894 37,088 JJB Sports P.L.C. 308,125 1,426,339 JKX Oil and Gas P.L.C. 220,533 323,972 John David Group P.L.C. 114,500 442,969 Johnson Service Group P.L.C. 125,535 897,811 Johnston Group P.L.C. 26,000 140,626 * Kalamazoo Computer Group P.L.C. 56,120 1,801 KBC Advanced Technologies P.L.C. 25,000 13,443 Keller Group P.L.C. 123,128 488,996 Kensington Group P.L.C. 71,789 551,496 * Kewill Systems P.L.C. 88,409 96,878 Kidde P.L.C. 232,000 483,625 Kier Group P.L.C. 51,293 591,895 Kiln P.L.C. 271,733 408,358 * Kingston Communications P.L.C. 453,332 512,495 Kleeneze P.L.C. 84,300 177,912 * Knowledge Support Systems Group P.L.C. 25,000 367 Laing (John) P.L.C. 301,961 1,183,895 Laird Group P.L.C. 163,100 858,567 Lambert Howarth Group P.L.C. 32,592 174,986 * Lastminute.com P.L.C. 258,882 876,814 * Laura Ashley Holdings P.L.C. 623,937 157,536 Lavendon Group P.L.C. 50,092 119,833 * Leeds United P.L.C. 66,000 181 Lincat Group P.L.C. 19,000 140,256 Linton Park P.L.C. 39,000 293,525 Linx Printing Technologies P.L.C. 27,000 171,616 Litho Supplies P.L.C. 20,000 17,422 London Bridge Software Holdings P.L.C. 215,910 376,037 * London Clubs International P.L.C. 293,962 685,237 London Industrial P.L.C. 22,308 657,855 London Merchant Securities P.L.C. 324,905 1,031,678 London Scottish Bank P.L.C. 263,000 627,960 Lookers P.L.C. 53,160 286,711 * Lorien P.L.C. 60,000 97,275 Low & Bonar P.L.C. 132,598 261,673 Luminar P.L.C. 99,500 803,665 Lupus Capital P.L.C. 191,787 56,367
84
SHARES VALUE+ --------------- --------------- * M.L. Laboratories P.L.C. 298,631 $ 100,910 Macfarlane Group P.L.C. 228,287 104,830 Macro 4 P.L.C. 42,500 131,774 Maiden Group P.L.C. 16,800 68,719 Mallett P.L.C. 24,837 121,129 Management Consulting Group P.L.C. 310,972 184,468 Manchester United P.L.C. 377,176 1,668,761 Manganese Bronze Holdings P.L.C. 32,184 138,796 Marlborough Stirling P.L.C. 300,047 333,427 Marshalls P.L.C. 225,800 1,187,353 * Martin International Holdings P.L.C. 135,800 58,679 * Marylebone Warwick Balfour Group P.L.C. 124,686 123,218 * Matalan P.L.C. 84,701 282,971 Mayflower Corp. P.L.C. 550,636 68,145 McAlpine (Alfred) P.L.C. 196,111 995,759 McBride P.L.C. 202,000 524,364 McCarthy & Stone P.L.C. 194,968 1,959,002 McKay Securities P.L.C. 68,500 266,765 * Medical Solutions P.L.C. 126,658 99,360 * Medisys P.L.C. 513,463 92,407 Meggitt P.L.C. 360,317 1,659,334 Mentmore P.L.C. 236,561 490,958 Menzies (John) P.L.C. 76,229 606,406 * Merant P.L.C. 172,500 600,913 Merchant Retail Group P.L.C. 185,666 531,166 Merrydown P.L.C. 59,927 102,111 Mersey Docks & Harbour Co. P.L.C. 104,554 1,323,046 Metal Bulletin P.L.C. 95,500 358,780 Metalrax Group P.L.C. 358,740 546,843 MFI Furniture Group P.L.C. 60,855 166,698 Mice Group P.L.C. 139,909 179,377 Michael Page International P.L.C. 436,800 1,355,326 * Microgen P.L.C. 98,405 106,669 Millennium and Copthorne Hotels P.L.C. 80,633 467,987 Minerva P.L.C. 220,430 970,153 Mitie Group P.L.C. 500,000 1,053,188 Molins P.L.C. 68,000 202,543 Monsoon P.L.C. 71,000 225,222 * Morgan Crucible Company P.L.C. 330,666 727,958 Morgan Sindall P.L.C. 66,000 532,724 Morse P.L.C. 171,777 407,928 Moss Brothers Group P.L.C. 163,400 220,005 Mowlem (John) & Co. P.L.C. 341,969 1,182,358 MS International P.L.C. 71,500 44,041 MSB International P.L.C. 16,000 21,165 Mtl Instruments Group P.L.C. 14,748 58,913 Mucklow (A & J) Group P.L.C. 175,000 923,987 * My Travel Group P.L.C. 628,934 100,751 National Express Group P.L.C. 25,000 319,431 Nestor Healthcare Group P.L.C. 180,200 443,019 * New Avesco P.L.C. 29,998 30,250 Newcastle United P.L.C. 148,923 101,026 NHP P.L.C. 281,875 1,022,806 Nichols P.L.C. 66,550 149,805 Nord Anglia Education P.L.C. 29,624 122,202 Northamber P.L.C. 75,888 105,048 Northern Foods P.L.C. 527,042 1,495,546 * Northgate Information Solutions P.L.C. 659,558 721,684 Northgate P.L.C. 118,200 1,361,972 Novar P.L.C. 526,365 $ 1,206,099 * NSB Retail P.L.C. 461,606 222,253 * NXT P.L.C. 101,922 184,493 Ocean Wilsons Holdings, Ltd. 84,250 243,643 * OEM P.L.C. 12,000 12,431 * Orbis P.L.C. 11,428 3,149 * Osmetech P.L.C. 669,354 49,130 Ottakar's P.L.C. 30,000 222,791 Owen (H.R.) P.L.C. 34,000 128,191 * Oxford Biomedica, Ltd. 412,582 126,567 Oxford Instruments P.L.C. 63,163 272,316 * Pace Micro Technology P.L.C. 319,767 299,277 Paladin Resources P.L.C. 427,630 953,097 * Palmaris Capital P.L.C. 42,500 9,229 Paragon Group of Companies P.L.C. 153,200 910,670 * Parity Group P.L.C. 241,406 44,336 Park Group P.L.C. 291,600 158,136 Partridge Fine Arts P.L.C. 58,000 66,463 Pendragon P.L.C. 239,375 1,355,979 Penna Consulting P.L.C. 33,000 83,709 Peterhouse Group P.L.C. 85,427 304,835 * Pharmagene P.L.C. 160,000 140,030 * Photo-Me International P.L.C. 513,175 887,039 PHS Group P.L.C. 692,231 977,356 * Phytopharm P.L.C. 56,696 161,443 Pillar Property P.L.C. 150,588 1,545,559 Pittards P.L.C. 60,985 53,127 Planit Holdings P.L.C. 235,000 114,153 * Plantation & General P.L.C. 70,623 23,307 * Plasmon P.L.C. 100,000 342,213 Portmeirion Group P.L.C. 22,856 70,191 Porvair P.L.C. 62,000 123,904 * PPL Therapeutics P.L.C. 43,529 3,591 Premier Farnell P.L.C. 18,000 79,867 * Premier Oil P.L.C. 105,748 1,028,623 * Pressac P.L.C. 78,129 18,583 Primary Health Properties P.L.C. 23,784 96,032 * Probus Estates P.L.C. 83,333 1,360 * Protherics P.L.C. 506,828 481,138 * Provalis P.L.C. 375,538 42,174 PSD Group P.L.C. 43,500 188,420 * Psion P.L.C. 548,800 570,818 PZ Cuzzons P.L.C. 29,000 579,329 * QA P.L.C. 158,950 11,987 * Queens Moat Houses P.L.C. 159,000 24,779 Quintain Estates & Development P.L.C. 158,650 1,156,875 * QXL Ricardo P.L.C. 130 953 RAC P.L.C. 142,900 1,736,997 Radamec Group P.L.C. 35,000 24,667 Radstone Technology P.L.C. 40,384 248,933 Ransom (William) & Son P.L.C. 30,000 27,666 * Redbus Imterhouse P.L.C. 206,250 27,877 Redrow P.L.C. 212,951 1,292,262 * Redstone P.L.C. 257,485 40,162 Reed Health Group P.L.C. 155,333 169,827 Reg Vardy P.L.C. 103,597 1,008,142 Regent Inns P.L.C. 162,667 115,889 Reliance Security Group P.L.C. 26,998 265,843 Renishaw P.L.C. 146,806 1,257,006 Renold P.L.C. 144,000 198,248
85
SHARES VALUE+ --------------- --------------- Restaurant Group P.L.C. 241,516 $ 371,734 Ricardo P.L.C. 114,409 392,465 Richmond Foods P.L.C. 30,683 281,049 * Richmond Oil & Gas P.L.C. 220,000 0 RM P.L.C. 119,174 297,544 * RMS Communications P.L.C. 15,000 0 Robert Wiseman Dairies P.L.C. 105,437 456,719 ROK property solutions P.L.C. 58,166 369,821 Rotork P.L.C. 185,440 1,296,919 Roxboro Group P.L.C. 9,304 49,265 * Royal Doulton P.L.C. 240,000 35,785 Royalblue Group P.L.C. 47,200 446,391 RPC Group P.L.C. 116,100 362,329 RPS Group P.L.C. 257,158 565,646 Rugby Estates P.L.C. 9,100 43,825 Rutland Trust P.L.C. 174,255 115,016 S & U P.L.C. 21,140 198,701 * Safeland P.L.C. 25,000 24,064 Salvesen (Christian) P.L.C. 334,415 303,878 Sanctuary Group P.L.C. 444,589 391,481 Savills P.L.C. 104,000 846,434 * Scapa Group P.L.C. 163,581 84,493 * Scipher P.L.C. 34,563 1,519 Scottish & Newcastle P.L.C. 58,467 457,309 Scottish Radio Holdings P.L.C. 45,800 731,727 SCS Upholstery P.L.C. 29,000 123,567 * SDL P.L.C. 71,511 152,889 Secure Trust Group P.L.C. 27,118 203,729 Securicor P.L.C. 664,050 1,467,982 Senior P.L.C. 122,900 81,908 Serco Group P.L.C. 233,359 864,852 * Servicepower Technologies P.L.C. 150,000 101,489 Severfield-Rowan P.L.C. 26,211 167,694 * SFI Group P.L.C. 26,713 15,183 Shaftesbury P.L.C. 171,500 811,135 Shanks & McEwan Group P.L.C. 311,671 674,921 Shiloh P.L.C. 14,500 34,312 SHL Group P.L.C. 41,650 84,145 * ShopRite Group P.L.C. 204,780 46,932 SIG P.L.C. 157,030 1,036,767 * Simon Group P.L.C. 348,089 304,205 Sinclair (William) Holdings P.L.C. 53,000 73,733 Singer & Friedlander Group P.L.C. 213,875 921,738 Sirdar P.L.C. 41,600 25,894 * Skyepharma P.L.C. 808,847 885,591 Smart (J.) & Co. (Contractors) P.L.C. 22,500 204,200 * Smart Approach Group P.L.C. 251,985 5,313 SMG P.L.C. 425,192 865,322 Smith (David S.) Holdings P.L.C. 468,840 1,341,103 Smith (James) Estates P.L.C. 13,000 83,422 Smith (W.H.) P.L.C. 125,843 825,648 * Soco International P.L.C. 95,932 598,301 Somerfield P.L.C. 601,400 1,580,756 * South Staffordshire Group P.L.C. 21,600 293,058 Southampton Leisure Holdings P.L.C. 19,615 16,157 Spectris P.L.C. 166,081 1,399,346 Speedy Hire P.L.C. 56,892 422,113 Spirax-Sarco Engineering P.L.C. 106,811 1,072,159 * Spirent P.L.C. 1,153,237 1,363,208 * Sportech P.L.C. 435,000 93,718 Spring Group P.L.C. 208,638 428,374 * Springwood P.L.C. 37,500 $ 2,406 SSL International P.L.C. 229,700 1,342,004 St. Ives P.L.C. 129,400 853,964 St. Modwen Properties P.L.C. 160,800 845,222 Staffware P.L.C. 16,613 239,611 Stanelco P.L.C. 1,012,741 108,917 Stanley (Charles) Group P.L.C. 86,800 331,018 Stanley Leisure Organisation P.L.C. 226,209 1,945,266 * Sterling Publishing Group P.L.C. 75,298 12,465 Stylo P.L.C. 64,096 58,154 * Superscape P.L.C. 162,101 91,112 * Surfcontrol P.L.C. 42,400 442,856 Swallowfield P.L.C. 15,000 21,218 Sygen International P.L.C. 492,975 422,627 Synstar P.L.C. 216,206 293,025 T&F Informa Group P.L.C. 355,029 2,344,884 * T. Clarke P.L.C. 16,213 137,151 * Tadpole Technology P.L.C. 314,463 91,903 * Tandem Group P.L.C. 327,365 0 Tarsus Group P.L.C. 34,855 56,452 Taylor Nelson AGB P.L.C. 109,000 402,898 TBI P.L.C. 696,132 827,268 Ted Baker P.L.C. 48,829 371,173 * Telecommunications Group P.L.C. 45,958 1,884 Telemetrix P.L.C. 165,708 398,370 * Telspec P.L.C. 25,000 6,898 * Terence Chapman Group P.L.C. 62,500 363 Tex Holdings P.L.C. 14,000 40,615 The Big Food Group P.L.C. 466,847 857,541 * The Innovation Group P.L.C. 940,000 539,722 The Malcolm Group P.L.C. 109,377 165,497 * The Television Corp. P.L.C. 81,937 124,993 * The Wireless Group P.L.C. 88,460 150,404 Thorntons P.L.C. 158,000 456,643 Thorpe (F.W.) P.L.C. 24,000 99,948 * Thus Group P.L.C. 1,697,000 809,908 Tibbett & Britten Group P.L.C. 86,123 706,030 Tinsley (Eliza) Group P.L.C. 19,844 8,898 * Toad Group P.L.C. 85,507 29,520 Topps Tiles P.L.C. 348,450 1,000,669 Tops Estates P.L.C. 41,188 221,614 * Torotrak P.L.C. 134,282 148,992 * Tottenham Hotspur P.L.C. 150,000 75,948 Town Centre Securities (New) P.L.C. 142,137 622,281 Trace Computers P.L.C. 33,552 47,094 * Trafficmaster P.L.C. 151,708 218,362 Transport Development Group P.L.C. 108,182 406,896 Trifast P.L.C. 135,388 168,736 Trio Holdings P.L.C. 50,000 20,603 TT Electronics P.L.C. 158,390 420,707 Tullow Oil P.L.C. 500,218 939,453 U.K. Coal P.L.C. 194,549 544,354 Ulster Television, Ltd. 115,602 915,777 Ultra Electronics Holdings P.L.C. 86,645 891,366 Ultraframe P.L.C. 129,685 290,765 Umeco P.L.C. 43,150 287,092 Uniq P.L.C. 152,986 486,608 Unite Group P.L.C. 144,289 461,840 Universal Salvage P.L.C. 14,255 16,427 * Vanco P.L.C. 69,249 288,439 * Vega Group P.L.C. 32,300 96,327
86
SHARES VALUE+ --------------- --------------- * Vernalis P.L.C. 225,579 $ 210,715 * Vert (Jacques) P.L.C. 45,000 12,150 Victoria P.L.C. 12,000 82,650 Victrex P.L.C. 136,254 817,553 Vitec Group P.L.C. 47,953 306,193 * Volex Group P.L.C. 58,801 137,378 VP P.L.C. 83,100 184,943 VT Group P.L.C. 229,432 1,115,147 Wagon P.L.C. 65,292 193,420 * Walker Greenbank P.L.C. 53,105 13,631 Warner Estate Holdings P.L.C. 70,000 609,259 * Waterdorm P.L.C. 105,000 0 Waterman P.L.C. 74,473 102,443 Watermark Group P.L.C. 68,660 175,579 Weir Group P.L.C. 244,736 1,315,453 Wellington Holdings P.L.C. 9,000 22,019 Wembley P.L.C. 36,926 579,908 Westbury P.L.C. 202,522 1,590,613 * Weston Medical Group P.L.C. 50,200 2,301 Wetherspoon (J.D.) P.L.C. 264,451 1,395,753 Whatman P.L.C. 241,935 925,041 White Young Green P.L.C. 74,666 256,204 Whitehead Mann Group P.L.C. 95,000 471,388 Whittard of Chelsea P.L.C. 30,000 106,083 * Wiggins Group P.L.C. 1,148,266 116,317 Wilmington Group P.L.C. 66,592 131,080 Wilshaw P.L.C. 198,409 40,924 Wilson Bowden P.L.C. 7,000 132,913 Wincanton P.L.C. 147,600 568,882 Windsor P.L.C. 50,000 36,220 Wintrust P.L.C. 22,500 243,795 Wolverhampton & Dudley Breweries P.L.C. 90,173 1,358,033 Wood Group (John) P.L.C. 555,826 1,451,077 Woolworths Group P.L.C. 1,717,965 1,395,056 * Worthington Group P.L.C. 102,653 6,587 WSP Group P.L.C. 90,000 326,527 Wyevale Garden Centres P.L.C. 74,407 492,681 Wyndeham Press Group P.L.C. 73,066 142,685 * XAAR P.L.C. 66,357 101,854 XANSA P.L.C. 459,994 711,901 * Xenova Group P.L.C. 436,931 69,819 * XKO Group P.L.C. 30,304 49,265 Yates Group P.L.C. 76,263 139,877 * Yorkshire Group P.L.C. 82,504 8,698 Young & Co's Brewery P.L.C. 10,000 $ 164,835 Young & Co's Brewery P.L.C. Class A 5,234 108,907 Yule Catto & Co. P.L.C. 194,090 854,572 Zotefoams P.L.C. 62,000 79,745 --------------- TOTAL COMMON STOCKS (Cost $203,560,900) 268,369,725 --------------- INVESTMENT IN CURRENCY -- (0.1%) * British Pound Sterling (Cost $229,507) 222,287 --------------- RIGHTS/WARRANTS -- (0.0%) * Creston P.L.C. Warrants 03/31/04 1,000 0 * Letter of Entitlements - Audemars Piguet 90,242 0 * Planestation Group P.L.C. Warrants 01/13/11 229,653 5,684 * Xenova Group P.L.C. Rights 12/17/03 94,500 0 * Xenova Group P.L.C. Warrants 12/31/08 56,991 3,527 --------------- TOTAL RIGHTS/WARRANTS (Cost $4,781) 9,211 --------------- TOTAL -- UNITED KINGDOM (Cost $203,795,188) 268,601,223 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (1.9%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $5,065,000 FHLB Notes 3.375%, 06/15/04, valued at $5,147,306) to be repurchased at $5,071,501 (Cost $5,071,000) $ 5,071 5,071,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $208,866,188)++ $ 273,672,223 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. ++ The cost for federal income tax purposes is $208,877,321. See accompanying Notes to Financial Statements. 87 THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- FRANCE -- (12.0%) COMMON STOCKS -- (12.0%) Affine 1,400 $ 111,141 * Ales Groupe SA 1,900 81,408 * Ales Groupe SA Issue 04 316 13,120 Algeco SA 3,326 380,445 *# Alstom SA 177,212 203,694 * Altedia SA 2,800 52,790 *# Alten SA 21,372 321,491 * Altran Technologies SA 82,633 889,605 Apem SA 1,000 65,922 April Group SA 31,201 604,186 Ares (Groupe) SA 5,500 30,219 Arkopharma 6,240 380,897 * Assystem Brime SA 7,580 147,697 * Aubay SA 5,700 25,359 * Audika SA 1,900 115,410 * Baccarat SA 1,090 116,022 Bacou-Dalloz 6,287 495,609 Bains de Mer et du Cercle des Etrangers a Monaco 4,615 1,419,452 Banque Tarneaud SA 1,000 176,586 Beneteau SA 13,527 814,140 * Bigben Interactive 2,100 10,569 Boiron SA 16,659 389,968 * Boizel Chanoine Champagne SA 600 32,718 Bonduelle SA 6,723 619,536 # Bongrain SA 13,083 880,044 * Bricorama SA 3,379 189,152 Brioche Pasquier SA 2,888 188,628 Buffalo Grill SA 1,028 15,036 * Bull SA 105,500 114,645 Burelle SA 4,030 422,845 * Business Objects SA 16,500 362,041 * BVRP SA 2,900 40,533 * Camaieu SA 4,988 441,236 * Cap Gemini SA 3,066 117,597 Carbone Lorraine 33,245 1,243,712 Cegedim SA 6,902 498,758 CEGID SA 18,000 490,644 CFCAL-Banque 840 296,612 CFF Recycling 10,576 1,207,323 * Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux Sa 6,400 336,129 # Clarins SA 7,332 457,193 *# Club Mediterranee SA 15,665 663,617 Consortium International de Diffusion et de Representation Sante 600 8,362 Crometal SA 1,100 54,973 * CS Communication et Systemes 4,983 135,994 * Damartex SA 22,900 667,998 * Dane-Elec Memory SA 11,400 43,833 Delachaux SA 1,300 150,026 Deveaux SA 1,040 113,545 Didot-Bottin 1,620 $ 213,257 * DMC (Dollfus Mieg et Cie) 9,630 62,941 Dynaction SA 10,660 212,889 Eiffage SA 7,650 595,213 Electricite de Strasbourg 23,784 3,050,984 Elior 104,108 893,767 Esso SA 3,200 449,270 Etam Developpement SA 7,300 296,555 Euler-Hermes SA 12,758 704,170 * Eurafrance 43,296 2,661,228 * Euraltech SA 11,700 22,432 *# Euro Disney SCA 797,643 360,193 * Evialis SA 1,200 43,582 Exel Industries SA 1,800 108,730 Explosifs et de Produits Chimiques 524 138,841 # Faurecia SA 6,500 421,238 Fimalac SA 111,143 4,344,466 Fininfo SA 9,760 273,837 * Fleury Michon SA 3,100 143,678 Fonciere Lyonnaise SA 9,596 413,614 France-Africaine de Recherches Petrolieres (Francarep) 4,250 539,613 Francois Freres (Tonnellerie) SA 3,150 80,462 * Gantois Series A 647 37,048 * Gascogne SA 6,472 566,467 # Gaumont 14,607 979,019 * GCI (Groupe Chatellier Industrie SA) 7,258 886 *# Generale de Geophysique SA 20,770 1,027,647 Generale de Sante 32,259 445,331 Generale Location SA 9,000 201,787 * Geodis SA 4,379 335,099 Gespac System 1,100 18,671 Gevelot 3,584 202,715 GFI Informatique SA 26,700 196,824 # Gifi 4,678 359,086 * Ginger (Groupe Ingenierie Europe) 2,600 41,562 Grands Moulins de Strasbourg 110 56,417 * Groupe Bourbon SA 5,440 640,249 Groupe Crit 6,900 147,381 * Groupe Flo SA 11,900 63,126 * Groupe Focal SA 1,400 14,819 * Groupe Go Sport SA 2,207 173,770 Groupe Guillin SA 1,200 95,301 Groupe Open SA 2,000 77,199 Groupe Steria 14,365 499,032 Guerbet SA 1,700 113,353 * Guitel 116 921 Guyenne et Gascogne SA 26,000 2,966,673 Havas SA 62,300 330,724 Hoteliere Lutetia Concorde 2,505 444,858 * Hotels et Casinos de Deauville 2,055 1,092,020 Hyparlo SA 5,514 287,662 IDSUD 614 18,855 IMS International Metal Service SA 12,630 100,187 Industrielle et Financiere d'Entreprise SA 300 46,330
88
SHARES VALUE+ --------------- --------------- *# Infogrames Entertainment SA 83,638 $ 243,609 *# Ingenico SA 61,820 847,231 * Ioltech SA 500 49,410 Ipsos SA 5,776 616,677 Kaufman et Broad SA 7,722 283,530 Lafuma SA 810 61,072 Laurent-Perrier 3,100 107,861 Lectra Systemes SA 23,092 182,491 Lisi SA 7,827 367,823 Manitou SA 11,092 1,230,726 Manutan International SA 4,700 214,023 Marionnaud Parfumeries Retails Perfumes 11,209 396,275 * Matussiere et Forest SA 13,600 48,162 * Metaleurop SA 35,449 23,376 MGI Coutier SA 1,400 48,843 * Montupet SA 32,450 595,240 * Mr. Bricolage SA 6,600 217,595 * MRM 1,424 17,077 Neopost SA 7,200 408,321 * Nexans 15,136 497,083 Norbert Dentressangle 8,372 413,549 Nord Est SA 21,507 1,078,212 *# Oberthur Card Systems SA 53,640 381,483 * Oeneo 31,265 137,568 * Otor SA 13,700 63,530 * Parcours SA 5,300 32,310 * Passat SA 2,400 46,793 * Penauille Polyservices SA 10,200 104,292 * Petit Forestier SA 3,043 122,577 Pierre & Vacances 6,635 568,255 * Pinguely-Haulotte SA 25,000 183,974 Plastic Omnium SA 15,423 758,701 Plastivaloire SA 1,700 44,364 Prosodie SA 4,500 128,020 PSB Industries SA 1,240 162,793 * Radiall SA 1,340 106,339 Robertet SA 1,076 120,950 Rodriguez Group SA 9,687 525,517 Rougier SA 2,040 153,195 * S.T. Dupont SA 3,800 18,331 Sabeton 13,500 197,874 Samse SA 4,400 549,728 * Sasa Industries SA 1,000 26,262 * Saveurs de France-Brossard 900 22,159 * Scor SA 524,279 768,216 * SDR de Bretagne SA 1,314 41,691 SEB SA Prime Fidelite 2002 3,300 371,106 Sechilienne-Sidec 2,200 389,838 Securidev SA 1,500 19,853 Selectibail 29,286 896,890 Signaux Girod SA 600 29,689 SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 15,009 1,014,484 Skis Rossignol SA 41,668 687,273 Smoby SA 500 44,622 Societe du Louvre SA 9,503 911,925 * Societe Francais des Papiers Peints 400 4,772 Societe Industrielle D'Aviations Latecoere SA 3,700 121,799 Societe Pour L'Informatique Industrielle SA 1,800 $ 66,262 * Solving International SA 2,100 20,945 Somfy Interational SA 22,900 4,304,685 Sopra SA 7,618 339,428 # SR Teleperformance 90,928 2,081,121 Stallergenes SA 1,949 103,468 Ste Virbac SA 7,637 276,391 Stef-Tfe SA 2,032 205,761 Sucriere de Pithiviers-le-Vieil 1,825 1,283,589 * Sylis SA 4,700 32,928 Synergie SA 8,000 209,838 Taittinger SA 12,700 2,713,057 * Teisseire France SA 700 67,431 * Tessi SA 1,700 66,447 Touax (Touage Investissement SA) 10,378 202,453 * Toupargel-Agrigel SA 6,200 172,257 Trigano SA 7,953 439,279 * Ubi Soft Entertainment SA 10,800 282,674 Unilog SA 9,747 488,426 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 2,765,783 * Valtech, La Defense 48,000 52,240 Viel et Compagnie 44,339 213,065 # Vilmorin et Cie SA 2,349 361,390 VM Materiaux SA 300 38,544 Vranken Monopole 2,800 110,954 Zodiac SA 14,964 486,317 --------------- TOTAL COMMON STOCKS (Cost $48,556,589) 79,340,531 --------------- RIGHTS/WARRANTS -- (0.0%) * Ales Groupe SA Warrants 03/23/09 316 1,389 * Groupe Open Warrants 10/21/06 1,000 818 * Oeneo Warrants 08/26/06 14,365 6,497 * Prosodie SA Warrants 10/28/06 900 655 * Ubi Soft Entertainment SA Warrants 05/14/06 4,100 1,903 * Valtech, La Defense Warrants 07/29/05 20,000 975 --------------- TOTAL RIGHTS/WARRANTS (Cost $1,814) 12,237 --------------- TOTAL -- FRANCE (Cost $48,558,403) 79,352,768 --------------- GERMANY -- (11.1%) COMMON STOCKS -- (11.1%) A.S. Creation Tapeton AG 2,900 59,743 # Aareal Bank AG 46,391 1,572,562 * Acg AG Fuer Chipkarten und Informationssysteme 15,400 33,819 Ackermann-Goeggingen AG 8,100 158,498 AC-Service AG 4,300 27,698 * Adva AG Optical Networking 39,883 261,646 * Agrob AG 5,800 61,202 * Aigner (Etienne) AG 600 106,831 * Aixtron AG 74,124 435,616 Amadeus Fire AG 4,900 31,754 Andreae-Noris Zahn AG, Anzag 27,200 961,684 * Articon Integralis AG 7,900 28,093
89
SHARES VALUE+ --------------- --------------- Atoss Software AG 3,700 $ 50,590 * Augusta Technologie AG 11,750 24,371 # Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 1,405,711 # AWD Holding AG 52,932 1,781,445 * Baader Wertpapier Handelsbank AG 19,026 139,558 # Balda AG 40,277 355,105 * Basler AG 3,200 52,847 # Beate Uhse AG 56,241 746,045 Bechtle AG 25,498 396,993 * Berliner Elektro Holding AG 17,611 160,760 Bertrandt AG 9,850 158,922 Beru AG 14,051 1,061,422 Beta Systems Software AG 2,850 55,853 Bien-Haus AG 2,400 36,033 # Bilfinger & Berger Bau AG 44,787 1,472,801 * Biolitec AG 8,000 42,533 * Biotest AG 2,400 32,035 * BKN International AG 13,200 81,444 * BMP AG 10,600 34,292 # Boewe Systec AG 7,866 376,821 * Borussia Dortmund GMBH & Co. KGAA 21,650 77,303 *# Brau und Brunnen AG 300 41,479 Bremer Energiekonto AG 14,700 27,498 * CBB Holding AG 102,602 4,737 * Ce Consumer Electrnic AG 21,600 45,940 * Ceag AG 20,670 227,287 * Cenit AG Systemhaus 3,500 55,707 * Centrotec Hochleistungskunststoffe AG 7,500 122,220 Cewe Color Holding AG 7,073 155,667 Comdirect Bank AG 120,666 1,071,574 * Computec Media AG 4,650 34,624 Computerlinks AG 5,700 84,314 * Condomi AG 1,800 5,182 * CTS Eventim AG 14,800 235,001 * Curanum AG 21,500 50,227 * D. Logistics AG 37,750 79,963 *# DAB Bank AG 70,271 531,944 * Data Modul AG 2,904 57,127 * DEAG Deutsche Entertainment AG 10,500 34,990 *# Deutsche Euroshop AG 18,927 809,102 * Deutsche Steinzeug Cremer & Breuer AG 87,200 97,072 *# Deutz AG 96,790 420,279 * Dierig Holding AG 10,500 152,121 Dis Deutscher Industrie Service AG 18,524 495,273 * Dom-Braugerei AG 1,100 44,940 Douglas Holding AG 43,825 1,169,648 * Dr. Scheller Cosmetics AG 4,000 16,852 * Drillisch AG 28,287 120,878 *# Duerr Beteiligungs AG 17,593 440,484 DVB Bank AG 7,124 888,517 * Eckert and Ziegler Strahlen - und Medizintechnik AG 3,000 33,792 * Elexis AG 8,600 55,531 Elmos Semiconductor AG 23,218 359,878 ElreingKlinger AG 1,500 163,999 *# Em.TV AG 18,773 52,959 * Emprise Management Consulting AG 8,950 $ 18,758 * Epcos AG 55,500 1,126,358 Erlus Baustoffwerke AG 297 128,765 * Escada AG 20,520 359,975 * Eurobike AG 1,700 313 * Evotec Biosystems AG 42,707 218,468 Feilmann AG 29,181 1,624,007 # FJA AG 9,889 130,406 Fortec Elektronik AG 1,400 37,963 * Freenet.De AG 16,800 1,541,736 Fuchs Petrolub AG Oel & Chemie 6,693 494,747 GFK AG 37,903 1,278,675 * Gft Technologies AG 22,600 56,450 *# GPC Biotech AG 23,900 342,912 # Grenkeleasing AG 15,958 626,011 Gwag Bayerische Wohnungs-Aktiengesellschaft AG 3,383 144,994 Hamborner AG 21,000 589,789 * Hawesko Holdings AG 4,300 131,109 * Herlitz AG 6,962 25,954 Hochtief AG 34,000 746,203 * Hoeft & Wessel AG 6,100 24,252 Hucke AG 8,300 36,967 # Hugo Boss AG 25,100 515,372 Hutschenreuther AG 2,800 38,414 * I-D Media AG 9,700 20,525 * IFA Hotel & Touristik AG 7,000 61,031 * IM International Media AG 19,800 15,307 *# Innovation in Traffic Systems AG 12,300 51,017 Interseroh AG 11,845 179,416 *# Intershop Deutschland AG 7,955 16,340 * Intertainment AG 8,500 41,583 * Isra Vision Systems AG 3,650 55,571 # IVG Immobilien AG 143,237 1,655,029 Iwka AG 26,613 564,501 Jenoptik AG 67,265 821,464 # K & S Aktiengesellschaft AG 129,500 4,130,207 Kampa-Haus AG 10,375 81,101 Keramag Keramische Werke AG 13,000 796,143 * Kloeckner-Werke AG 53,211 631,966 * Kontron AG 53,965 423,322 Krones AG 10,180 919,812 KSB AG 2,387 460,515 KWS Kleinwanzlebener Saatzucht AG 1,650 1,156,027 * Leica Camera AG 4,400 27,172 # Leifheit AG 12,500 381,843 # Leoni AG 25,000 1,525,370 Loewe AG 7,100 52,653 * LPKF Laser & Electronics AG 9,000 42,942 * Masterflex AG 4,400 155,982 * Maternus-Kliniken AG, Bad Oyenhausen 2,400 2,289 * Maxdata AG 32,897 140,659 * Mediclin AG 30,850 54,489 * Medigene AG 8,600 80,559 * Mensch und Maschine Software AG 5,350 50,199 * Morphosys AG 4,800 127,516 * Mosaic Software AG 5,200 13,988
90
SHARES VALUE+ --------------- --------------- Muehlabauer Holdings AG & Co. KGAA 7,423 $ 230,977 * MVS Miete Vertrieb Service AG 13,050 27,120 MVV Energie AG 58,291 960,418 * MWG Biotech AG 30,700 46,277 * Nemetschek AG 7,400 66,065 * Neschen AG 5,800 31,843 * Norddeutsche Affinerie AG 37,449 482,917 Norddeutsche Steingutfabrik AG 5,960 31,296 Novasoft AG 18,550 61,298 * November AG 5,400 32,961 * Ohb Teledata 12,650 109,800 * Pandatel AG 5,700 21,958 * Parsytec AG 11,900 52,469 PC-Ware Information Technologies AG 5,100 54,100 * Personal & Informatik AG 5,900 42,144 Pfeiffer Vacuum Technology AG 8,250 322,003 * Pfleiderer AG 51,351 387,233 * Phoenix AG, Hamburg 37,500 687,065 * Plambeck Neue Energien AG 19,350 45,218 * Plenum AG 9,300 29,183 * Primacom AG 15,200 9,224 * Produkte und Syteme der Informationstechnologie AG 10,300 46,813 Progress-Werk Oberkirch AG 5,000 161,914 Puma AG 5,700 1,387,699 * PVATepla AG 15,550 29,890 *# Qs Communications AG 124,164 593,928 Rational AG 15,083 967,109 * Realtech AG 3,650 24,849 Renk AG 19,400 599,513 * Repower Systems AG 5,000 111,430 # Rheinmetall Berlin AG 45,000 1,726,682 Rhoen Klinikum AG 24,107 1,134,092 Rinol AG 5,900 18,580 * Rohwedder AG 4,860 35,728 * Ruecker AG 7,800 30,482 # Salzgitter AG 85,948 1,020,754 * SAP Systems Integrations AG 35,050 877,359 Sartorius AG 11,252 192,370 Schlott Sebaldus AG 7,440 215,380 Schwarz Pharma AG 30,101 846,637 Sektkellerei Schloss Wachenheim AG 15,120 144,303 * Senator Entertainment AG 9,800 3,111 * SGL Carbon AG 57,758 553,816 * Singulus Technologies AG 36,100 688,832 Sinner AG, Karlsruhe 4,160 62,690 Sixt AG 19,433 313,718 * Sm Wirtschaftsberatungs AG 3,350 33,401 * Software AG 34,296 908,821 Stada Arzneimittel AG 25,093 1,298,467 * Stahl (R.) AG 6,300 60,796 * Steag Hamtech AG 35,473 143,035 * Stoehr & Co. AG 16,000 65,668 * Strabag AG 4,840 327,288 Stratec Biomedical Systems AG 3,200 46,891 Stuttgarter Hofbraeu AG 18,000 575,785 Sued-Chemie AG 29,146 1,032,237 * Suess Microtec AG 17,785 154,840 Syskoplan AG 3,300 $ 25,471 * Syzygy AG 18,000 102,827 Takkt AG 87,707 658,758 * Techem AG 29,076 673,450 Technotrans AG 6,450 94,624 * Telegate AG 20,500 267,486 * Teles AG Informationstechnologien 26,657 293,249 Textilgruppe Hof AG 12,170 75,813 * TFG Venture Capital AG & Co. KGAA 8,800 25,572 *# Tomorrow Focus AG 42,650 137,995 * TTL Information Technology AG 6,400 23,931 * TV Loonland AG 7,000 17,230 * Umweltkontor Renewable Energy AG 14,100 10,337 # United Internet AG 79,458 1,994,814 * USU Software AG 16,850 72,162 * Utimaco Safeware AG 12,200 49,274 * Value Management & Research AG 7,650 20,357 * VBH (Vereinigter Baubeschlag-Handel) AG 9,415 34,662 * Vereinigte Deutsche Nickel-Werke AG 12,150 16,333 VK Muehlen AG 1,312 119,365 * Vossloh AG 21,469 1,033,059 Wanderer-Werke AG 7,903 231,164 * WCM Beteiligungs AG 346,726 492,274 * Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 65,580 Wuerttembergische Lebensversicherung AG 11,330 224,328 # Wuerttembergische Metallwarenfabrik AG 30,330 559,139 Wuerzburger Hofbraeu AG 133 62,429 Zapf Creation AG 7,500 159,339 --------------- TOTAL COMMON STOCKS (Cost $59,146,816) 73,151,471 --------------- RIGHTS/WARRANTS -- (0.0%) *# Em.TV AG Options 04/18/06 18,773 7,107 *# Em.TV AG Options 04/18/08 18,773 9,858 --------------- TOTAL RIGHTS/WARRANTS (Cost $61,194) 16,965 --------------- TOTAL -- GERMANY (Cost $59,208,010) 73,168,436 --------------- SWITZERLAND -- (8.7%) COMMON STOCKS -- (8.6%) * A. Hiestad Holding AG 190 96,482 * Accu Holding AG Registered Shares 60 8,610 * Actelion, Ltd. 4,400 483,436 * AFG Arbonia-Forster Holding AG 2,610 372,836 * Agie Charmilles Holding AG 3,000 209,827 Allreal Holding AG 4,357 363,568 Also Holding AG 268 70,653 * Amazys Holding AG 1,183 40,920 * Ascom Holding AG 22,120 230,306 Bachem AG 3,659 199,906 # Bank Coop AG 29,405 1,223,646 # Bank Sarasin & Cie Series B, Basel 304 432,059 * Banque Cantonale de Geneve 1,344 206,965 Banque Cantonale du Jura 450 86,060
91
SHARES VALUE+ --------------- --------------- Banque Cantonale Vaudoise 600 $ 66,009 Banque Privee Edmond de Rothschild SA, Geneve 120 1,358,296 Barry Callebaut AG 3,526 811,346 Basellandschaftliche Kantonalbank 600 402,554 Basler Kantonalbank 5,250 387,754 Batigroup Holding AG 2,902 30,066 Belimo Holdings 330 161,355 * Berna Biotech 18,727 136,630 # Berner Kantonalbank 4,815 571,926 BHB Beteiligungs und Finanzgesellschaft 150 5,251 # Bobst Group SA 18,200 581,498 Bossard Holding AG 6,350 310,772 Bucher Industries AG, Niederweningen 3,355 563,286 BVZ (Brig Visp Zermatt) Holding AG 370 71,018 # Caisse d'Epargne Cantonale Vaudoise, Lausanne 697 618,056 Calida Holding AG 396 102,553 * Carlo Gavazzi Holding AG 910 56,028 Charles Voegele Holding AG 3,960 265,820 # Cie Financiere Tradition 5,202 455,131 # Conzzeta Holdings AG 1,415 1,263,446 * Crossair AG, Basel 13,517 129,415 Daetwyler Holding AG, Atldorf 348 693,159 Edipresse SA, Lausanne 694 341,511 EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 8,390 5,624,292 Eichhof Holding AG 188 134,464 Energie Electrique du Simplon SA 350 42,659 Energiedienst Holding AG 8,265 2,570,114 Escor Casino & Entertainment AG 744 20,082 * Feintol International Holding AG 254 50,675 * Fischer (Georg) AG, Schaffhausen 1,822 397,233 * Flughafen Zuerich AG 2,810 229,198 * Forbo Holding AG, Eglisau 1,100 285,022 Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 442,425 *# Galenica Holding, Ltd. AG, Bern 4,290 644,434 Geberit AG 870 560,197 * Generale d'Affichage, Geneve 337 188,654 * Generali (Switzerland) Holdings, Adliswil 1,670 249,943 * Golay-Buchel Holding SA, Lausanne 40 31,091 Gornergrat Monte Rasa-Bahnen Zermatt 70 46,386 *# Gurit-Heberlein AG 1,125 966,407 # Helvetia Patria Holding 4,331 761,823 * HPI Holding SA 6,000 9,307 Industrieholding Cham AG, Cham 864 175,122 * Interroll-Holding SA 320 37,499 # Jelmoli Holding AG 1,521 1,903,559 # Jelmoli Holding AG, Zuerich (Namen) 2,835 707,520 Kaba Holding AG 2,040 410,355 Kardex AG, Zuerich 1,039 144,497 Kardex AG, Zuerich (Participating) 610 84,889 * Komax Holding AG 1,411 103,766 * Kudelski SA 13,000 398,382 # Kuoni Reisen Holding AG 1,470 583,704 * Leica Geosystems Holdings AG 1,057 $ 175,713 * Lem Holdings AG, Lyss 270 43,119 # Luzerner Kantonalbank AG 5,000 798,886 * Maag Holding AG, Zuerich 922 121,872 * Micronas Semi 12,202 540,442 * Mikron Holding AG, Biel 2,652 29,921 * Mobilezone Holding AG 13,349 40,304 * Moevenpick-Holding, Zuerich 1,320 827,276 Nobel Biocare Holding AG 45,460 6,757,938 Orell Fussli Graphische Betriebe Ag, Zuerich 2,400 272,853 Oz Holding AG 4,400 294,089 * Parco Industriale e Immobiliare SA 600 1,674 * Phoenix Mecano AG, Stein am Rhein 2,749 784,724 Phonak Holding AG 29,137 871,081 # PSP Swiss Property AG 35,198 1,227,492 Publicitas Holding SA, Lausanne 1,535 477,783 # Rieters Holdings AG 2,626 665,981 Roche Holding AG Genusschein 800 84,257 SAIA-Burgess Electronics AG 274 133,279 Sarna Kunststoff Holding AG 1,760 167,896 * Saurer AG 7,843 396,643 * Schaffner Holding AG 300 46,784 * Schweiter Technology AG 649 114,009 Schweizerhall Holding AG, Basel 140 203,561 # Schweizerische National Versicherungs Gesellschaft 692 331,178 Scintilla AG 170 142,894 SIA Abrasives Holding AG 337 61,313 # Siegfried Holding AG 8,560 1,087,350 Sig Holding AG 3,300 564,522 * Sihl 150 359 *# Sika Finanz AG, Baar 1,185 595,706 # Sopracenerina 2,409 378,935 # St. Galler Kantonalbank 3,636 731,250 Sulzer AG, Winterthur 1,637 407,701 * Swiss Prime Site AG 2,212 468,678 *# Swisslog Holding AG 17,025 18,246 Tamedia AG 5,300 487,914 # Tecan Group AG 5,859 250,212 * Temenos Group AG 35,359 322,285 * UMS Schweizerische Metallwerke Holding AG, Bern 2,560 65,708 * Unaxis Holding AG 2,013 227,974 Unilabs SA 2,700 53,950 *# Valiant Holding AG 9,978 830,575 # Valora Holding AG 2,097 496,492 * Vaudoise Assurances Holding, Lausanne 45 73,476 Villars Holding SA, Fribourg 150 32,286 * Von Roll Holding AG 23,024 22,749 *# Von Roll Holding AG, Gerlafingen 23,024 23,567 Vontobel Holdings AG 44,250 942,552 Walliser Kantonalbank 150 37,882 * Wmh Walter Meier Holding Ag, Zuerich 1,000 48,177 Zehnder Holding AG 193 199,108 Zschokke Holding SA, Geneve 230 101,069 * Zueblin Holding AG 13,393 104,888
92
SHARES VALUE+ --------------- --------------- # Zuger Kantonalbank 590 $ 1,342,451 TOTAL COMMON STOCKS (Cost $30,646,624) 56,740,877 --------------- PREFERRED STOCKS -- (0.1%) Fuchs Petrolub AG Oel & Chemie (Cost $266,229) 6,003 420,425 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs (Cost $4,164) 4,255 --------------- RIGHTS/WARRANTS -- (0.0%) * Accu Holding AG Rights 05/28/04 (Cost $7,757) 60 3,827 --------------- TOTAL -- SWITZERLAND (Cost $30,924,774) 57,169,384 --------------- ITALY -- (7.4%) COMMON STOCKS -- (7.4%) * Acea SpA 163,000 1,158,164 * Acegas SpA 31,875 256,030 * Actelios SpA 25,801 203,256 * Aem Torino SpA 450,627 843,820 Aeroporto de Firenze SpA 6,000 72,397 *# Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,061,803 Amplifon SpA 18,242 635,794 * Auschem SpA (In Liquidation) 82,000 0 Azienda Mediterranea Gas e Acqua SpA 360,014 561,812 # Banca Ifis SpA 19,351 211,909 # Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 888,983 Banca Monte Dei Paschi di Siena SpA 229,515 711,825 Banca Popolare Dell'etruria e Del Lazio Scrl 23,918 523,221 Banca Profilo SpA 114,243 245,428 Banco di Desio e della Brianza SpA 109,105 526,112 Banco Piccolo Valellinese Scarl SpA 56,071 554,870 * Bastogi SpA 1,183,000 189,622 * Beghelli SpA 142,000 95,703 Beni Stabili SpA, Roma 1,309,500 957,501 Biesse SpA 17,100 47,547 * Binda SpA 1,299,375 0 Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 177,070 Bremba SpA 74,782 531,677 * Brioschi Finanziaria SpA, Milano 373,400 121,587 Buzzi Unicem SpA 94,100 1,237,422 # Caltagirone Editore SpA 132,868 1,011,295 # Caltagirone SpA 178,399 1,109,571 CAMFIN (Cam Finanziaria) 36,527 83,652 Carraro SpA 34,400 113,541 # Cementir Cementerie del Tirreno SpA 249,704 794,782 CIR SpA (Cie Industriale Riunite), Torino 591,100 1,202,346 * Cirio Finanziaria SpA 175,000 $ 37,184 Class Editore SpA 83,868 179,310 *# CMI SpA 64,502 284,066 * Coats Cucirini SpA 30,000 36,128 * Compagnia Immobiliare Azionaria 44,000 7,875 Credito Artigiano SpA 114,446 425,732 # Cremonini SpA 135,428 228,323 CSP International Industria Calze SpA 10,000 16,130 Danieli & C.Officine Meccaniche SpA 66,500 279,474 * Dataconsyst C.G.S. SpA, Monza 220 0 Davide Campari - Milano SpA 27,599 1,307,154 De Longhi SpA 139,386 490,745 * Del Favero SpA 86,000 0 * Ducati Motor Holding SpA 129,900 185,167 Emak SpA 27,000 117,329 Erg SpA 173,330 1,090,133 Ergo Previdenza SpA 95,165 509,800 Ericsson SpA 24,374 967,679 Esprinet SpA 3,700 108,626 * Finarte Casa d'Aste SpA (Milano) 56,266 70,771 * Finarte Partecipazioni Pro Arte SpA 242,693 47,745 *# Finmatica SpA 35,900 136,526 * FMC (Fabbrica Milanese Condutorri SpA) 25,000 0 * Fochi (Filippo) SpA 216,000 0 * Fornara Societa Finanziaria e di Partecipazioni SpA 310,000 0 Gabetti Holding SpA 55,000 124,597 Gefran SpA 11,000 53,834 *# Gemina SpA 331,283 308,019 * Gerolimich SpA (In Liquidation) 297,400 0 # Gewiss SpA 221,700 1,023,537 * Giovanni Crespi SpA 49,200 37,869 Grandi Navi Veloci SpA 53,833 123,601 # Granitifiandre SpA 33,237 273,769 * Grassetto SpA 279,125 0 * Gruppo Ceramiche Ricchetti SpA 164,000 60,054 I Grandi Viaggi SpA 28,100 26,907 *# Immobiliare Lombardia SpA 425,000 86,699 Immsi SpA 287,000 485,832 *# Impregilo SpA 592,300 316,509 # Industria Macchine Automatique SpA 33,671 448,636 Industria Romagnola Conduttori Elettrici SpA 17,500 54,730 Industrie Zignago S. Margherita SpA 52,000 818,457 Interpump Group SpA 75,402 384,788 ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 223,575 # Italmobiliare SpA, Milano 20,975 979,514 * Juventus Footbal Club SpA 98,000 186,043 La Doria SpA 22,000 59,415 * Lavorwash SpA 10,000 21,548 Linificio and Canapificio Nazionale SpA 22,000 52,202 Maffei SpA 52,500 96,050 * Mandelli SpA 41,000 0 # Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 1,579,981
93
SHARES VALUE+ --------------- --------------- * Marcolin SpA 35,100 $ 46,749 Mariella Burani Fashion Group SpA 26,077 241,831 Meliorbanca SpA 90,667 398,133 Merloni Elettrodomestici SpA 155,000 2,649,895 Milano Assicurazioni SpA 266,700 1,003,871 Mirato SpA 12,000 86,458 * Monrif SpA 150,000 138,752 * Montefibre SpA 143,130 38,881 # Navigazione Montanari SpA 110,917 243,930 * Necchi SpA 164,250 14,241 * Negri Bossi SpA 13,700 38,485 * NGP SpA 17,891 7,647 Olidata SpA 20,000 24,935 * Opengate Group SpA 4,000 9,330 * Pagnossin SpA 9,000 10,988 * Perlier SpA 100,700 24,309 Permasteelisa SpA 24,470 420,278 # Pininfarina SpA 31,285 849,351 # Pirelli & C.Real Estate SpA 9,600 341,944 Poligrafici Editoriale SpA 132,000 263,542 * Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 438,278 # Premuda SpA 50,800 104,310 * Ratti SpA 31,768 17,466 Recordati Industria Chimica e Farmaceutica SpA 58,644 1,142,315 *# Reno de Medici SpA, Milano 332,210 301,332 * Richard-Ginori 1735 SpA 128,000 92,847 Risanamento Napoli SpA 255,850 424,393 * Rodriquez SpA 41,250 0 * Roncadin SpA 81,400 45,192 Sabaf SpA 9,200 169,693 *# Saeco International Group SpA 154,000 678,509 SAES Getters SpA 14,750 226,549 SAI SpA (Sta Assicuratrice Industriale), Torino 32,500 723,027 * Schiapparelli 1824 SpA, Milano 166,200 29,735 * Sirti SpA 29,967 73,623 SISA (Societa Imballaggi Speciali Asti SpA) 65,000 165,261 * SMI STA Metallurgica Italiana SpA 565,280 149,711 # SNIA SpA 227,590 68,573 *# Societa Sportiva Lazio SpA 18,150 23,421 # Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,055,574 Sogefi SpA 182,500 685,265 # Sol SpA 81,830 348,520 * SOPAF (Societa Partecipazioni Finanziarie SpA) 85,000 17,808 * Sorin SpA 341,385 875,453 Stefanel SpA 54,400 114,161 Targetti Sankey SpA 14,500 61,652 * Tecnodiffusione Italia SpA 3,332 8,138 Terme Demaniali di Acqui SpA 532,000 309,952 # Tod's Group SpA 30,476 1,037,865 * Trevi-Finanziaria Industriale SpA 52,400 64,011 * Tripcovich (D.) & Co. SpA Navigazione Rimorchi e Salvataggi Trieste 113,898 0 * Unione Manifatture SpA (In Liquidation) 156,000 0 * Unipar (Unione Nazionale di Participazione SpA) (In Liquidation) 539,000 $ 0 * Vemer Siber Group SpA 46,000 38,263 * Viaggi del Ventaglio SpA 23,000 34,226 Vianini Industria SpA 52,520 149,833 # Vianini Lavori SpA 180,752 1,103,423 Vittoria Assicurazioni SpA 51,500 330,906 Zucchi (Vincenzo) SpA 144,350 650,599 --------------- TOTAL COMMON STOCKS (Cost $42,678,188) 49,094,237 --------------- RIGHTS/WARRANTS -- (0.0%) * Societa Sportiva Lazio SpA Rights 06/14/04 18,150 432 * Tecnodiffusione Italia SpA Warrants 11/15/04 1,332 129 --------------- TOTAL RIGHTS/WARRANTS (Cost $104,621) 561 --------------- TOTAL -- ITALY (Cost $42,782,809) 49,094,798 --------------- SWEDEN -- (6.6%) COMMON STOCKS -- (6.6%) * Active Biotech AB 38,640 277,286 Addtech AB Series B 22,300 130,440 Alfa Laval AB 18,600 287,253 * Alfaskop AB 3,200 343 Angpannefoereningen AB Series B 10,800 184,255 *# Anoto Group AB 134,833 280,900 Axfood AB 73,400 1,843,548 *# Axis AB 76,994 139,444 * B & N Bylock & Nordsjoefrakt AB Series B 41,800 92,622 Beiger Electronics AB 11,700 104,613 Beijer AB Series B 11,700 146,129 Beijer Alma AB Series B 10,400 137,968 Bergman & Beving AB Series B 36,200 260,158 Biacore International AB 11,150 260,688 Bilia AB Series A 116,725 1,442,011 Billerud AB 58,700 913,801 * Boliden AB 197,400 720,189 * Bong Ljungdahl AB 9,000 42,251 * Boras Waefveri AB Series B 8,600 31,584 * Boss Media AB 63,200 161,346 *# Bostads AB Drott 21,350 383,743 * Capio AB 78,700 762,528 Capona AB 25,400 221,490 Carbo AB 37,100 917,167 Castellum AB 43,600 1,028,418 Cloetta AB Series B 22,250 523,083 Concordia Maritime AB Series B 37,300 92,902 * Connecta AB 250 211 * Consilium AB Series B 4,300 18,075 * Consilum AB Series B Issue 04 946 3,977 D. Carnegie & Co. AB 74,000 789,208 Digital Illusions AB Series A 7,800 79,831 * Doro Telefoni AB Series A 2,900 3,612 * Drott Series AB 89,700 1,254,548 * Duroc AB Series B 2,700 5,245
94
SHARES VALUE+ --------------- --------------- * Elekta AB 28,600 $ 571,275 *# Enea Data AB Series B 440,000 180,497 Eniro AB 154,000 1,209,611 * Expanda AB 6,547 28,914 Fagerhult AB 14,100 154,596 * Fagerlid Industrier AB 8,600 0 * Finnveden AB 57,000 472,909 * Framfab AB Issue 04 276,000 22,683 *# Framtidsfabriken AB 690,000 56,707 * Frontec AB Series B 50,800 43,723 Getinge AB 176,604 2,059,565 Geveko AB Series B 8,300 165,513 * Glocalnet AB 187,500 71,787 Gorthon Lines AB Series B 41,800 99,732 Gunnebo AB 50,000 611,837 Haldex AB 39,000 612,583 Heba Fastighets AB Series B 13,500 162,317 Hexagon AB Series B 3,572 114,306 Hiq International AB 41,889 75,912 HL Display AB Series B 6,000 99,604 Hoganas AB Series B 38,200 946,042 * IBS AB Series B 83,200 146,490 * Icon Medialab International AB 145,300 85,642 * Industrial & Financial Systems AB Series B 59,300 89,184 * Industrifoervaltnings AB Skandigen 63,975 180,553 * Intentia International AB Series B 149,420 172,510 * Intrum Justitia AB 115,700 702,643 Karlshamns AB 23,800 263,272 Kinnevik Industrifoervaltnings AB Series B 44,400 1,376,789 * Klippans Finpappersbruk AB 5,800 16,047 Klovern AB 53,276 108,621 Kungsleden AB 17,600 491,277 Lagercrantz Group AB Series B 23,800 68,754 * LGP Allgon Holding AB 41,280 326,690 Lindex AB 16,100 451,133 Ljungberg Gruppen AB Series B 3,800 55,201 * Lundin Petroleum AB 322,400 1,845,813 * Mandator AB 20,520 2,654 Meda AB Series A 9,725 261,530 * Medivir Series B 7,100 98,165 * Medivir Series B Issue 04 3,550 49,082 * Micronic Laser Systems AB 42,600 317,865 * Modern Times Group AB Series B 48,700 875,329 Naerkes Elektriska AB Series B 4,250 51,352 # NCC AB Series B 118,100 997,840 Nefab AB Series B 5,100 106,921 * Net Insight AB Series B 199,000 54,293 New Wave Group AB Series B 10,400 274,411 # Nibe Industrier AB 22,800 395,686 Nolato AB Series B 42,840 304,908 Observer AB 137,856 500,142 OEM International AB Series B 7,100 90,798 * OMHEX AB 78,100 1,036,191 # Orc Software AB 16,500 164,087 * Ortivus AB 11,507 43,984 * Partnertech AB 9,800 67,075 PEAB AB Series B 105,200 633,049 * Pergo AB 43,300 94,870 Poolia AB Series B 18,150 65,796 * Prevas AB Series B 16,000 $ 34,602 *# Pricer AB Series B 431,500 61,237 * Proact It Group AB 15,000 44,602 *# Proffice AB 72,800 168,512 Profilgruppen AB 4,000 31,675 Protect Data AB 6,500 45,446 * PyroSequencing AB 51,940 67,222 Q-Med AB 34,000 933,835 * Readsoft AB Series B 17,800 25,618 Rottneros Bruk AB 366,600 475,106 Salus Ansvar AB Series B 12,900 28,919 Sardus AB 11,200 156,323 * Scribona AB Series A 40,100 78,078 * Scribona AB Series B 46,300 93,210 * Semcon AB 18,300 59,160 * Sigma AB Series B 25,800 18,228 Skistar AB 21,000 255,229 * Song Network Holding 43,845 276,663 SSAB Swedish Steel Series A 60,300 1,008,661 SSAB Swedish Steel Series B 17,100 276,772 Sweco AB Series B 23,450 314,971 *# Switchcore AB 154,820 76,009 * Teleca AB Series B 69,200 393,021 *# Telelogic AB 196,200 363,802 * Ticket Travel Group AB 15,152 24,006 Trelleborg AB Series B 75,400 1,366,593 TV 4 AB Series A 22,200 326,440 * VBG AB Series B 271 3,577 # Wallenstam Byggnads AB Series B 16,700 439,640 * Wedins Norden AB Series B 280,000 78,874 * Westergyllen AB Series B 4,300 41,564 Whilborg Fastigheter AB Class B 69,960 910,901 Wilh. Sonesson AB Series A 4,160 11,718 Wilh. Sonesson AB Series B 4,160 11,826 WM-Data AB Series B 437,600 976,559 Xponcard Group AB 2,800 48,951 --------------- TOTAL COMMON STOCKS (Cost $31,736,191) 43,695,177 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona (Cost $8,510) 8,738 --------------- TOTAL -- SWEDEN (Cost $31,744,701) 43,703,915 --------------- GREECE -- (5.3%) COMMON STOCKS -- (5.3%) * A. Cambas Holding & Real Estate S.A. 36,750 116,030 Aegek S.A. 99,835 139,312 * Agrotiki Insurance S.A. 34,455 155,656 Aktor Technical Co. S.A. 163,650 898,111 Alco Hellas ABEE S.A. 38,730 81,503 * Alfa Alfa Energy S.A. 3,810 21,305 Alfa-Beta Vassilopoulos S.A. 15,172 311,738 * Alisida S.A. 2,160 6,894 * Allatini Industrial & Commercial Co. 15,370 25,710 * Alte Technological Co. S.A. 85,048 60,371 * Altec Information & Communication Systems S.A. 80,278 55,047
95
SHARES VALUE+ --------------- --------------- Alumil Milonas S.A. 27,516 $ 118,973 * Aluminum of Attica S.A. 104,982 73,354 Anek Lines S.A. 60,821 86,861 Arcadia Metal Industry C. Rokas S.A. 22,389 134,047 * AS Co. S.A. 25,370 41,210 * Aspis Bank 45,604 160,199 * Aspis Pronia General Insurance S.A. 48,640 68,398 * Astir Palace Vouliagmenis S.A. 48,800 380,806 Athens Medical Center S.A. 104,974 170,855 Athens Water Supply & Sewage Co. S.A. 53,245 367,162 * Atlantic Super Market S.A. 13,640 23,016 Attica Enterprises S.A. Holdings 138,964 560,873 Attica Publications S.A. 16,674 96,877 Atti-Kat S.A. 88,984 65,304 Autohellas S.A. 22,490 186,833 Babis Vovos S.A. 50,982 1,020,513 * Balafas Construction Holdings S.A. 15,200 13,376 * Bank of Attica S.A. 115,721 565,769 Bank of Greece 7,296 771,155 Bank of Piraeus S.A. 163,829 1,908,614 Benrubi S.A. 11,121 179,607 * Betanet S.A. 11,220 58,409 * Bitros Holdings S.A. 19,302 66,236 * Byte Computers S.A. 17,230 47,922 Chipita S.A. 46,325 136,539 Commercial Bank of Greece 1,960 51,891 * Compucon Computer Applications S.A. 11,260 11,566 Computer Peripherals International S.A. 9,110 18,660 * Cyclon Hellas S.A. 18,131 22,835 * Daios Plastics S.A. 16,350 97,776 Delta Holdings S.A. 33,747 217,732 Dionic S.A. 12,948 13,942 * Domiki Krittis S.A. 17,730 38,731 Edrasi Psalllidas Technical Co. S.A. 31,108 37,221 Egnatia Bank S.A. 117,107 394,912 El. D. Mouzakis S.A. 31,653 47,200 Elais Oleaginous Production S.A. 16,707 334,188 * Elbisco Holding S.A. 56,000 349,985 Elektrak S.A. 14,040 36,780 Elektroniki of Athens S.A. 21,560 75,870 * Elgeka S.A. 18,590 118,004 Elmec Sport S.A. 64,256 188,624 * Elton S.A. 18,640 102,926 Ethniki General Insurance Co. S.A. 118,768 502,415 * Etma Rayon S.A. 11,242 10,839 * Euro Reliance General Insurance 14,830 33,432 * Eurodrip S.A. 11,620 72,059 * Euromedica S.A. 33,300 82,617 * Europaiki Techniki 32,750 9,247 Everest S.A. 30,730 96,016 Evrofarma S.A. 9,500 20,032 F.G. Europe SA Common Registered Shares 4,536 21,169 * Fanco S.A. 10,110 12,746 * Forthnet S.A. 17,510 124,455 Fourlis S.A. 64,420 $ 375,049 Frigoglass S.A. 49,990 224,403 * G.Polyhronos S.A. 10,580 19,288 * Galaxidi Fish S.A. 12,940 10,746 General Construction Co. S.A. 34,649 274,351 General Commercial & Industry 24,060 23,268 * General Hellenic Bank 35,139 307,113 Germanos S.A. 61,810 1,654,794 Gnomon Construction S.A. 39,937 16,575 Goody's S.A. 17,740 292,448 Halkor S.A. 121,226 230,977 Hatziioannou S.A. 44,200 131,466 Hellas Can Packaging Manufacturers S.A. 27,902 260,751 Hellenic Cables S.A. 26,908 32,807 Hellenic Duty Free Shops S.A. 80,020 1,469,699 Hellenic Fabrics S.A. 17,110 41,389 Hellenic Sugar Industry S.A. 35,750 185,506 Hellenic Technodomiki S.A. 136,556 681,167 Heracles General Cement Co. 93,293 902,740 Hermes Real Estate S.A. 23,136 91,698 * Hippotour S.A. 12,155 21,640 Hyatt Regency S.A. 130,260 1,438,243 * Iaso S.A. 49,300 317,671 * Iktinos Hellas S.A. 6,500 19,968 * Inform P. Lykos S.A. 20,610 78,584 * Informatics S.A. 18,890 20,572 * Intersat S.A. 19,392 8,288 Intertech S.A. 12,236 43,100 * Intracom Constructions S.A. 30,520 42,089 Intracom S.A. 172,366 867,145 * Ionian Hotel Enterprises 16,754 196,136 * J Boutaris & Son Holding S.A. 28,150 40,951 J&P-Avax S.A. 100,626 541,326 Kalpinis Simos Steel Service Center 12,432 42,844 Karelia Tobacco Co., Inc. S.A. 2,160 155,130 Kathimerini S.A. 21,240 151,902 Katselis Sons S.A. 18,000 54,283 * Kego S.A. 21,670 42,748 * Kekrops S.A. 2,244 41,224 * Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 31,465 * Klonatex Group S.A. Bearer Shares 20,351 56,774 * Kordellou Brothers S.A. 12,300 19,096 * Kotsovolos S.A. 2,872 17,537 * Lambrakis Press S.A. 107,586 437,400 * Lampsa Hotel Co. 19,051 162,858 * Lan-Net S.A. 19,045 54,886 Lavipharm S.A. 39,294 64,751 * Lazarides Vineyards S.A. 18,326 58,991 Light Metals Industry 37,502 93,921 * Logic Dis S.A. 77,230 50,091 * Loulis Mills S.A. 15,382 51,603 * Mailis (M.J.) S.A. 101,594 345,789 * Maritime Company of Lesvos S.A. 30,753 20,336 * Maxim Knitwear Factory C.M. 16,360 11,436 * Medicon Hellas S.A. 2,600 21,452 Mesochoritis Bros. Construction Co. 23,700 14,261 Metka S.A. 59,820 332,002
96
SHARES VALUE+ --------------- --------------- Michaniki S.A. 98,065 $ 247,154 Minerva Knitwear 5,140 16,983 * Minoan Lines S.A. 77,309 201,487 * MLS Multimedia S.A. 8,300 17,544 Mochlos S.A. 101,679 54,701 Motor Oil (Hellas) Corinth Refineries S.A. 152,870 1,479,494 Mytilineos Holdings S.A. 47,000 293,977 * N. Levederis S.A. 8,355 5,720 N.B.G. Real Estate Development Co. 134,960 548,750 * Naoussa Spinning Mills S.A. 21,832 55,362 * Naytemporiki S.A. 26,080 64,777 * Neorion-Syro's Shipyards S.A. 27,210 75,527 Nexans Hellas S.A. 3,003 10,805 Nikas S.A. 25,287 225,762 Notos Com.Holdings S.A. 94,554 420,611 * O. Daring Sain 7,760 2,850 Pantechniki S.A. 50,460 93,372 * Pegasus Publishing & Printing S.A. 58,590 129,553 * Persefs S.A. Health Care 23,592 76,801 Petros Petropoulos S.A. 7,360 51,031 * Petzetakis S.A. 22,560 67,417 * Pilias S.A. 103,584 32,899 * Pipeworks L. Girakian Profil S.A. 11,730 14,476 Piraeus Leasing 5,765 47,055 * Prodeftiki Technical Co. 32,257 18,546 * Promota Hellas S.A. 26,580 29,976 Rilken S.A. 1,982 20,130 * Sanyo Hellas S.A. 59,251 81,231 Sarantis S.A. 43,940 216,994 * Sato S.A. 28,850 26,473 Selected Textile Industry Assoc. S.A. 44,649 42,085 Sfakianakis S.A. 13,390 48,076 * Sheet Steel S.A. 25,850 12,644 * Shelman Hellenic-Swiss Wood S.A. 38,042 51,219 Silver and Baryte Ores Mining Co. S.A. 34,961 252,107 Singular S.A. 54,600 118,301 Spyroy Agricultural House S.A. 22,258 26,720 * Stabilton S.A. 27,530 2,689 Strintzis Shipping Lines S.A. 131,240 171,857 Technical Olympic S.A. 180,370 843,157 * Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 4,293 Teletypos S.A. Mega Channel 36,227 206,649 Terna Tourist Technical & Maritime S.A. 63,180 529,252 * Themeliodomi S.A. 37,422 69,958 Thrace Plastics Co. S.A. 45,500 59,532 Uncle Stathis S.A. 10,999 78,220 Unisystems S.A. 41,820 81,179 * Vardas S.A. 13,780 47,516 * Varvaressos S.A. European Spinning Mills 7,200 17,764 Veterin S.A. 18,984 71,440 Viohalco S.A. 296,585 1,878,209 Vioter S.A. 61,470 88,526 * Vis Container Manufacturing Co. 4,259 $ 14,478 Zampa S.A. 830 10,465 --------------- TOTAL COMMON STOCKS (Cost $33,864,979) 34,866,977 --------------- PREFERRED STOCKS -- (0.0%) Egnatia Bank S.A (Cost $8,591) 3,196 9,368 --------------- TOTAL -- GREECE (Cost $33,873,570) 34,876,345 --------------- NETHERLANDS -- (5.1%) COMMON STOCKS -- (5.1%) Aalberts Industries NV 25,910 731,834 Accell Group NV 5,260 176,853 * AFC Ajax NV 10,787 94,614 * Air France 27,280 443,063 Airspray NV 3,800 88,587 AM NV 71,761 630,286 Arcadis NV 14,000 196,024 *# ASM International NV 40,484 871,477 * Atag Group NV 4,630 1,640 Athlon Groep NV 34,250 710,516 Batenburg Beheer NV 3,000 117,303 * Begemann Groep NV 11,909 45,149 * Begemann Groep NV Series B 13,451 10,182 Beter Bed Holding NV 4,900 62,759 Boskalis Westminster NV 51,300 1,254,008 Brunel International NV 12,000 95,708 Buhrmann NV 110,719 1,055,010 Copaco NV 7,000 29,119 * Crucell NV 26,050 200,117 # Draka Holding NV 14,287 232,175 * Econosto NV 17,305 30,761 Eriks Group NV 9,032 365,853 Exact Holding NV 19,764 488,548 # Fornix Biosciences NV 2,611 38,923 * Fox Kids Europe NV 66,840 665,786 Gamma Holding NV 15,705 685,311 Gemeenschappeljk Bezit Crown van Gelder NV 12,000 205,713 *# Getronics NV 331,423 916,464 Grolsche NV 32,100 975,983 Grontmij NV 2,053 75,902 *# Hagemeyer NV 339,750 727,438 Heijmans NV 18,173 409,819 ICT Automatisering NV 5,800 75,371 # Imtech NV 28,645 738,596 * Ispat International NV 84,322 1,072,104 Kas Bank NV 42,888 780,773 * Kendrion NV 21,454 59,046 Koninklijke Bam NV 25,037 742,236 Koninklijke Frans Maas Groep NV 12,349 410,257 Koninklijke Nedlloyd NV 33,528 1,022,476 Koninklijke Ten Cate NV 11,531 604,503 Koninklijke Vendex KBB NV 76,204 1,417,510 Koninklijke Vopak NV 48,540 799,037 * Laurus NV 464,928 618,864 MacIntosh NV 15,590 398,907 * Maverix Capital NV 1,500 69,606
97
SHARES VALUE+ --------------- --------------- Nederlandsche Apparatenfabriek 14,000 $ 401,251 New Skies Satellites NV 94,650 766,195 * NH Hoteles 21,703 243,941 Nutreco Holding NV 27,519 845,962 NV Holdingsmij de Telegraaf 42,524 941,612 Oce NV 60,200 895,927 Opg Groep NV Series A 10,100 492,522 *# Petroplus International NV 22,363 211,275 Pinkroccade NV 16,700 207,049 * Pinkroccade NV Coupons 16,700 0 Randstad Holdings NV 42,700 1,121,731 Reesink NV 2,050 131,469 Roto Smeets de Boer NV 2,640 106,154 Rubber Cultuur Maatschappij Amsterdam NV 40,800 145,333 * Samas-Groep NV, Zaandam 24,184 158,170 * Scala Business Solutions NV 12,100 50,379 * Semiconductor Industries NV 21,900 143,075 Sligro Food Group Beheer 15,046 446,278 Smit Internationale NV 20,578 696,089 * SNT Groep NV 9,400 151,639 Stern Groep NV 1,236 45,258 Stork NV 26,745 528,580 * Textielgroep Twenthe NV 1,000 3,053 * Tulip Computers NV 53,860 15,179 Twentsche Kabel Holding NV 18,244 499,770 United Services Group NV 18,374 255,786 Univar NV 7,050 118,154 *# Van Der Mollen Holding NV 57,660 439,208 Vedior NV 74,880 1,116,481 * Versatel Telecom International NV 376,079 750,005 * Wegener Arcade NV 70,830 692,254 --------------- TOTAL COMMON STOCKS (Cost $21,699,486) 34,061,990 --------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 24,800 31,193 * AM NV Coupons 06/04/04 71,761 0 * Eriks Group NV Coupons 06/02/04 9,032 0 * Koninklijke Vopak NV Coupons 06/04/04 48,540 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $19,048) 31,193 --------------- TOTAL -- NETHERLANDS (Cost $21,718,534) 34,093,183 --------------- SPAIN -- (4.7%) COMMON STOCKS -- (4.7%) # Abengoa SA 66,042 539,091 Adolfo Dominguez SA 3,700 65,505 Aldeasa SA 15,329 429,375 *# Amper SA 56,800 285,285 * Avanzit SA 17,275 49,574 *# Azkoyen SA 52,500 362,360 Banco de Andalucia 9,800 866,187 Banco de Credito Balear SA 35,424 862,114 # Banco de Valencia SA 188,053 3,921,612 Banco Guipuzcoano SA 21,194 585,532 # Banco Pastor SA 34,300 1,017,728 *# Baron de Ley SA 5,642 232,169 CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 $ 531,517 Campofrio Alimentacion SA 92,800 1,335,597 Cementos Portland SA 16,881 1,012,633 Compania de Distribucion Integral Logista SA 29,600 949,994 Cortefiel SA 57,093 578,363 * Dogi International Fabrics SA 4,000 23,753 * Duro Felguera SA 10,860 76,739 Elecnor SA 18,300 756,452 * Ercros SA 100,518 40,505 * Espanola del Zinc SA 29,250 65,033 * Estacionamientos Urbanos SA 4,200 0 # Europistas Concesionaria Espanola SA 174,940 1,092,612 # Faes Farma SA 32,498 482,884 * Faes Farma SA Issue 04 3,610 53,641 Funespana SA 4,500 35,644 Grupo Empresarial Ence SA 18,593 491,228 * Grupo Picking Pack SA 145,775 72,979 Hullas del Coto Cortes 8,666 109,000 Iberpapel Gestion SA 6,700 129,089 Inbesos SA 8,050 44,064 Indo Internacional SA 33,600 296,121 Indra Sistemas SA 75,200 961,588 Inmobiliaria Colonial SA ICSA 35,200 853,405 Inmobiliaria del Sur SA 331 49,919 Inmobiliaria del Sur SA Issue 2003 47 6,278 Inmobiliaria Urbis SA 80,282 888,193 Lingotes Especiales SA 22,080 127,800 * LSB (La Seda de Barcelona SA) Series B 25,200 61,252 * Mecalux SA 9,500 64,934 # Metrovacesa SA 14,895 570,753 Miquel y Costas y Miquel SA 4,891 242,401 Natra SA 14,979 69,658 * Nicolas Correa SA 15,750 56,303 Obrascon Huarte Lain SA 65,366 514,114 Pescanova SA 26,443 490,261 Prosegur Cia de Seguridad SA 45,049 704,950 # Recoletos Grupo de Comunicacion SA 95,420 688,621 * Sogecable SA 34,600 1,432,153 # Sol Melia SA 112,700 970,621 # SOS Cuetara SA 20,902 590,517 Tavex Algodonera SA 31,944 123,249 * Tecnocom Telecomunicaciones y Energia SA 6,300 54,851 *# Tele Pizza SA 163,225 296,931 # Transportes Azkar, SA 35,477 250,505 Tubacex SA 73,130 142,948 Tubos Reunidos SA 12,466 98,848 Unipapel SA 41,935 795,699 *# Uralita SA 112,831 1,176,721 Vidrala SA, Alava 47,040 635,884 Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 904,236 --------------- TOTAL COMMON STOCKS (Cost $16,578,339) 31,217,973 ---------------
98
SHARES VALUE+ --------------- --------------- RIGHTS/WARRANTS -- (0.0%) * Faes Farma SA Rights 06/08/04 (Cost $0) 8 $ 13 --------------- TOTAL -- SPAIN (Cost $16,578,339) 31,217,986 --------------- FINLAND -- (4.6%) COMMON STOCKS -- (4.6%) Alandsbanken AB Series B 4,890 104,976 * Aldata Solutions Oyj 64,735 126,228 Alma Media Oyj 34,388 295,730 * Amanda Capital Oyj 180,700 37,558 Amer-Yhtymae Oyj Series A 25,370 1,302,258 Aspo P.L.C. 8,200 126,092 # Aspocomp Group P.L.C. 12,738 185,355 Basware Oyj 7,050 62,039 * Benefon Oy 1,900 488 * Biotie Therapies Oyj 39,754 54,404 Capman Oyj Series B 12,485 25,090 Chips Corp. Series B 17,750 391,799 # Comptel Oyj 149,541 332,860 Efore Oy 12,920 110,435 Elcoteq Network Corp. 21,260 350,467 Elektrobit Group Oyj 663,597 364,863 * Elisa Communications Corp. 74,525 929,039 * Eq Online Oyj 23,900 61,303 * Evox Rifa Group Oyj 51,210 6,877 Finnair Oyj 118,150 757,041 Finnlines Oyj 30,280 836,008 Fiskars Oy AB Series A 41,270 503,052 *# F-Secure Oyj 140,928 233,997 HK Ruokatalo Oy Series A 19,620 154,152 Honkarakenne Oy Series B 3,030 24,896 Huhtamaki Van Leer Oyj 125,650 1,648,682 Ilkka-Yhtyma Oyj 7,560 61,405 * Incap Oyj 11,000 29,727 J.W. Suominen Yhtyma Oy 17,955 115,905 Jaakko Poyry Group Oyj 14,610 374,274 KCI Konecranes International Oyj 13,800 476,790 Kemira Oyj 118,400 1,495,483 Kesko Oyj 32,060 631,189 Laennen Tehtaat Oy 5,870 92,011 Lassila & Tikanoja Oyj 16,990 531,093 # Lemminkainen Oy 16,600 286,210 Leo Longlife Oy 2,920 26,558 Martela Oy 530 7,552 Metsaemarkka Oyj Series B 700 5,711 New Kyro Corp. Oyj 45,670 416,917 Nokian Renkaat Oyj 12,180 1,125,512 Nordic Aluminium Oy 1,900 20,443 * Okmetic Oyj 16,204 51,125 Okobank Class A 101,080 1,005,169 Olvi Oyj Series A 3,320 51,596 Orion-Yhtyma Oyj Series A 20,590 520,112 Orion-Yhtyma Oyj Series B 30,460 774,447 Outokumpu Oyj Series A 21,100 319,672 # Oy Stockmann AB Series B 30,200 692,771 Perlos P.L.C. Warrants 04/04/04 72,311 706,734 PK Cables Oyj 5,530 157,375 * Pmj Automec Oyj 23,910 14,303 Pohjola Group P.L.C. Series D 146,205 1,424,311 Ponsse Oyj 6,300 $ 156,071 * Proha Oyj 51,232 30,597 Raisio Group P.L.C. Series V 118,423 246,827 Rakentajain Koneuvokrammo Oy 10,260 75,108 Ramirent Oyj 12,270 235,240 Rapala VMC Oyj 36,040 263,692 Rautaruukki Oyj Series K 188,780 1,405,418 Raute Oy Series A 2,390 20,892 Rocla Oy 1,300 10,604 *# Saunalahti Group Oyj 124,754 172,294 Scanfil Oyj 63,879 406,243 Sponda Oyj 109,111 877,237 Stockmann Oyj AB 35,240 794,290 * Stonesoft Corp. 49,279 36,161 Sysopen P.L.C. 7,720 31,554 Talentum Oyj 18,300 135,798 * Tecnomen Holding Oyj 49,370 69,479 # Teleste Corp. Oyi 14,699 100,496 Tulikivi Oyj 5,710 47,043 Turkistuottajat Oy 2,590 23,379 Uponor Oyj Series A 44,400 1,411,984 Vacon Oyj 14,537 195,157 Vaisala Oy Series A 19,050 418,738 Viking Line AB 10,360 256,781 Wartsila Corp. Oyj Series B 66,460 1,357,264 Yit-Yhtymae Oyj 67,708 1,346,318 Yomi Oyj 15,450 104,659 --------------- TOTAL -- FINLAND (Cost $21,901,896) 30,669,408 --------------- DENMARK -- (4.1%) COMMON STOCKS -- (4.1%) Aarhus Oliefabrik A.S. Aeries A 4,950 261,794 * Alm. Brand A.S. 28,360 698,351 # Amagerbanken A.S. 2,734 278,442 Ambu International A.S. Series B 1,500 23,420 Amtssparekassen Fyn A.S. 2,243 264,732 AS Dampskibsselsk Torm 49,460 1,146,129 Bang & Olufsen Holding A.S. Series B 13,387 778,490 * Bavarian Nordic A.S. 4,930 328,102 * Brodrene Hartmann A.S. Series B 5,865 100,121 Bryggerigruppen A.S. 8,515 559,580 # Christian Hansen Holding A.S. Series B 10,855 659,833 # Codan A.S. 43,400 1,818,907 Dalhoff, Larsen & Hornemann A.S. Series B 1,370 65,510 Danware A.S. 4,185 69,952 DFDS A.S., Copenhagen 11,760 448,812 DiskontoBanken A.S. 713 118,693 DSV, De Sammensluttede Vognmaend A.S. 22,630 1,042,126 East Asiatic Co., Ltd. 22,723 1,009,259 Edb Gruppen A.S. 3,230 80,070 * Fimiston Resources & Technology Ltd. 400 3,675 * FLS Industries 73,180 991,184 Fluegger A.S. Series B 2,913 168,510 Foras Holding A.S. Series A 13,292 145,304 # Forstaedernes Bank 4,322 252,637 * Genmab A.S. 28,629 470,533
99
SHARES VALUE+ --------------- --------------- * Glunz & Jensen A.S. 1,470 $ 9,435 GN Great Nordic A.S. 210,980 1,584,031 H&H International A.S. Series B 1,140 278,164 *# Harboes Bryggeri A.S. 575 135,909 Hedegaard (Peder P.) A.S. 660 42,388 Hojgaard Holding A.S. Series B 2,500 69,871 * IC Co. A.S. 3,510 21,322 * Incentive A.S. 3,575 10,859 * Junckers (F.) Industrier A.S. 860 1 * Jyske Bank A.S. 37,760 1,990,859 Kjobenhavns Sommer Tivoli A.S. 580 185,396 Koebenhavns Lufthavne 9,910 1,405,633 Kompan A.S. 230 34,618 Lan & Spar Bank A.S. 2,250 102,164 Lollands Bank 150 23,619 *# Neurosearch A.S. 9,160 290,933 NKT Holding A.S. 30,245 591,781 Nordjyske Bank A.S. 920 149,592 * NTR Holdings A.S. 1,130 7,636 Oestjydsk Bank 400 44,678 Ove Arkil Series B 270 27,395 Per Aarsleff A.S. Series B 1,545 57,621 * Pharmexa A.S. 3,235 9,887 * Pharmexa A.S. Issue 04 9,705 29,637 Ringkjobing Bank 1,670 101,376 Ringkjobing Landbobank 1,620 458,456 Rockwool, Ltd. 24,520 1,006,885 *# RTX Telecom A.S. 8,400 60,644 Salling Bank 250 22,156 Sanistal A.S. Series B 1,786 94,758 *# SAS Danmark A.S. 34,300 304,839 Satair A.S. 1,350 27,306 Schouw & Co. A.S. 15,485 333,494 Simcorp A.S. 5,240 207,857 Sjaelso Gruppen A.S. 2,388 172,549 Skjern Bank A.S. 725 49,117 * Sondagsavisen A.S. 21,165 75,193 Spar Nord Holding 6,823 598,270 Sparbank Vest A.S. 6,600 243,985 Sparekassen Faaborg A.S. 481 111,974 Sydbank A.S. 8,172 1,169,618 Thrane & Thrane A.S. 5,258 187,000 *# TK Development 12,478 26,845 * Topdanmark A.S. 28,300 1,711,231 * Treka A.S. 8,498 106,231 *# Vestas Wind Systems A.S. 27,377 364,922 * Vestas Wind Systems A.S. Issue 04 9,125 118,356 Vestfyns Bank 200 20,254 Vestjysk Bank A.S. 10,800 280,047 VT Holdings Shares B 3,130 138,945 * Wessel & Vett Magasin du Nord A.S. Series C 2,102 39,566 --------------- TOTAL COMMON STOCKS (Cost $17,507,964) 26,919,469 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone (Cost $74,250) 74,909 --------------- RIGHTS/WARRANTS -- (0.0%) * Vestas Wind Systems A.S Rights 06/03/04 (Cost $0) 2 $ 3 --------------- TOTAL -- DENMARK (Cost $17,582,214) 26,994,381 --------------- NORWAY -- (3.7%) COMMON STOCKS -- (3.7%) * Aker Kvaerner ASA 73,730 1,177,219 Aktiv Kapital ASA 57,017 810,181 Arendals Fosse Kompani ASA 100 7,562 * Blom ASA 18,367 11,333 Bonheur ASA 16,850 432,715 * Choice Hotel Scandinavia ASA 27,740 74,400 * Corrocean ASA 19,321 7,353 Det Norske Oljeselskap ASA Series A 85,320 335,757 *# DOF ASA 97,006 230,816 * EDB Elektronisk Data Behandling ASA 149,417 902,984 Ekornes ASA 56,490 1,093,360 *# Eltek ASA 40,842 356,981 Expert ASA 48,758 318,254 Farstad Shipping ASA 60,790 521,174 *# Fjord Seafood ASA 783,483 351,473 *# Fred Olsen Energy ASA 91,600 595,414 Ganger Rolf ASA 6,690 158,303 Gresvig ASA 4,590 23,953 Hafslund ASA 58,700 305,825 * Home Invest ASA 15,077 11,233 * Industrifinans Naeringseiendom ASA 7,582 17,069 Kongsberg Gruppen ASA 49,500 641,109 Kverneland ASA 16,160 211,710 * Merkantildata ASA 320,521 240,821 Natural ASA 10,143 57,286 # Nera ASA 187,753 498,203 * Nordic Semiconductor ASA 25,000 93,778 * Northern Offshore, Ltd. 214,000 101,115 *# Ocean Rig ASA 105,531 283,380 Odfjell ASA Series A 24,910 779,714 Olav Thon Eiendomsselskap ASA 8,320 370,922 * P4 Radio Hele Norge ASA 32,200 44,142 * Photocure ASA 26,690 208,467 Prosafe ASA 55,980 1,226,476 Rieber and Son ASA Series A 63,654 526,927 Schibsted ASA 112,960 1,984,868 * Sinvest ASA 6,220 9,920 Smedvig ASA Series A 83,580 785,335 * Software Innovation ASA 13,423 59,416 Solstad Offshore ASA 54,100 403,803 Steen and Stroem ASA 19,512 362,974 Storebrand ASA 183,330 1,231,400 Tandberg ASA Series A 217,280 2,188,218 *# Tandberg Data ASA 58,950 128,375 * Tandberg Storage ASA 48,450 17,398 * Tandberg Television ASA 90,430 570,546 * Telecomputing ASA 44,963 75,209 *# Tgs-Nopec Geophysical Co. ASA 40,910 547,907 Tomra Systems ASA 294,480 1,185,566 * Tybring-Gjed ASA 145,145 60,495
100
SHARES VALUE+ --------------- --------------- * Unit 4 Agresso NV 4,620 $ 47,499 Veidekke ASA 21,846 206,725 Visma ASA 47,393 494,421 Wilhelmshaven (Wilhelm), Ltd. ASA 30,400 844,901 --------------- TOTAL COMMON STOCKS (Cost $19,143,084) 24,232,385 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone (Cost $50,721) 50,620 --------------- TOTAL -- NORWAY (Cost $19,193,805) 24,283,005 --------------- BELGIUM -- (3.5%) COMMON STOCKS -- (3.5%) * Abfin SA 2,560 0 # Ackermans & Van Haaren SA 32,186 768,565 * Arinso International NV 14,739 225,313 # Banque Nationale de Belgique 710 2,425,215 # Barco (New) NV 12,051 1,052,946 # Bekaert SA 23,290 1,345,848 BMT NV 2,040 268,903 Brantano NV 2,060 78,316 Brederode SA 12,180 247,184 Carrieres Unies Porphyre 20 32,363 # CFE (Compagnie Francois d'Entreprises) 2,080 520,647 # Cie Martime Belge SA 8,237 774,390 Cofinimmo SA 9,778 1,253,737 Commerciale de Brasserie SA COBRHA 115 118,559 # Deceuninck SA 63,700 2,060,616 # D'Ieteren SA 5,831 1,160,750 Distrigaz 57 109,360 * Docpharma SA NV 4,489 168,724 * Duvel Moorgat NV 5,019 146,297 EVS Broadcast Equipment SA 1,100 57,129 # Exmar NV 3,080 169,072 Floridienne NV 2,033 114,632 Glaces de Moustier-sur-Sambre SA 13,370 456,648 # Immobel (Cie Immobiliere de Belgique SA) 4,600 186,388 * Integrated Production & Test Engineering NV 4,380 25,132 *# Ion Beam Application SA 23,058 166,322 * Ipso-Ilg SA 5,990 47,597 Keytrade Bank SA 2,800 74,088 * Kinepolis Group NV 5,020 136,087 Lotus Bakeries NV 650 60,096 # Melexis NV 47,001 516,941 Metiers Automatiques Picanol 16,120 364,776 * Neuhaus NV 670 25,064 Nord-Sumatra Investissements SA 650 166,177 # Omega Pharma SA 26,708 1,291,876 Papeteries de Catala SA 315 36,581 Quick Restaurants SA 19,501 262,408 *# Real Software SA 10,280 6,292 Recticel SA 22,870 192,465 Resilux NV 1,754 143,326 Rosier SA 655 85,642 # Roularta Media Groep 9,837 $ 542,305 * Sait Radioholland 7,313 45,326 Sapec SA 3,635 270,918 * Sapec SA VVPR 75 124 Sioen Industries 21,502 239,937 * SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,545 217,610 Societe Belge Des Betons SA 8,500 491,716 *# Solvus SA 38,344 568,173 * Solvus SA Interim Strip VVPR 18,176 222 Spector Photo Group SA 5,408 63,439 * Systemat SA 6,330 35,507 *# Telindus Group SA 39,392 380,048 Ter Beke NV 2,281 156,772 # Tessenderlo Chemie 28,984 1,014,591 *# Umicore-Strip VVPR 456 83 UNIBRA 1,600 143,561 Union Miniere SA 9,586 581,947 Van de Velde NV 2,683 314,928 VPK Packaging Group SA 7,185 224,333 Warehouses de Pauw Sicafi 6,608 250,094 --------------- TOTAL COMMON STOCKS (Cost $16,261,563) 22,884,106 --------------- RIGHTS/WARRANTS -- (0.0%) * Cofinimmo SA Rights 06/11/04 (Cost $0) 9,778 0 --------------- TOTAL -- BELGIUM (Cost $16,261,563) 22,884,106 --------------- AUSTRIA -- (2.6%) COMMON STOCKS -- (2.6%) Andritz AG 13,609 629,977 * Austria Email AG 715 2,626 * Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 578,212 Bank Fuer Kaernten und Steiermark AG 520 60,373 * Betandwin.com Interactive Entertainment AG 12,749 401,870 Bohler Uddeholm AG 11,195 853,701 BWT AG 21,819 533,887 * Ca Immobilien Invest AG 28,791 686,371 Constantia-Iso Holding AG 15,000 165,504 Constantia-Verpackungen AG 19,123 455,606 Flughafen Wien AG 25,698 1,430,185 * Immofinanz Immobilien Anlagen AG 165,130 1,305,119 * Lenzing AG 3,948 819,262 Manner (Josef) & Co. AG 870 39,309 Mayr-Melnhof Karton AG 11,760 1,411,719 Oberbank AG 5,384 494,560 Palfinger AG 10,383 352,584 * Readymix Kies-Union AG 500 55,632 * RHI AG, Wien 19,649 408,075 Rosenbauer International AG 1,530 92,610 * Sparkassen Immobilien 29,760 283,539 Ubm Realitaetenentwicklung AG 360 42,216 Uniqa Versicherungen AG 128,555 1,573,600 * VA Technologie AG 17,392 928,120
101
SHARES VALUE+ --------------- --------------- Voestalpine AG 30,095 $ 1,342,886 Wienerberger AG 63,642 2,156,762 *# Wolford AG 4,900 136,346 --------------- TOTAL COMMON STOCKS (Cost $12,179,339) 17,240,651 --------------- RIGHTS/WARRANTS -- (0.0%) * Jenbacher AG Rights 03/31/08 7,860 0 * Wienerberger AG Rights 06/02/04 63,642 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 --------------- TOTAL -- AUSTRIA (Cost $12,179,339) 17,240,651 --------------- IRELAND -- (2.6%) COMMON STOCKS -- (2.6%) Abbey P.L.C. 25,557 243,724 * Arcon International Resources P.L.C. 143,750 6,070 * Ardagh P.L.C. 14,262 20,899 DCC P.L.C. 91,965 1,496,544 * Dragon Oil P.L.C. 104,167 85,671 * Elan Corp. P.L.C. 154,046 3,637,877 Fyffes P.L.C. 380,502 744,692 Glanbia P.L.C. 321,765 873,552 * Grafton Group P.L.C. 253,939 1,826,994 Greencore Group P.L.C. 218,422 826,444 Heiton Holdings P.L.C. 51,677 303,186 IAWS Group P.L.C. 105,879 1,191,636 IFG Group P.L.C. 37,599 48,251 Independent News & Media P.L.C. 618,550 1,463,247 * Iona Technologies P.L.C. 21,281 110,028 * Irish Intercontental Group P.L.C. 18,872 247,600 IWP International P.L.C. 39,611 14,995 Jurys Hotel Group P.L.C. 69,061 839,965 Kingspan Group P.L.C. 183,188 1,084,945 McInerney Holdings P.L.C. 33,991 199,328 Paddy Power P.L.C. 49,663 576,587 Readymix P.L.C. 109,762 209,581 * Ryan Hotels P.L.C. 68,061 108,209 United Drug P.L.C. 190,860 626,973 Waterford Wedgwood P.L.C. 1,026,650 245,963 --------------- TOTAL -- IRELAND (Cost $9,414,821) 17,032,961 --------------- PORTUGAL -- (1.4%) COMMON STOCKS -- (1.4%) * Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 300,900 Efacec Capital SGPS SA 60,600 154,748 Ibersol SGPS SA 14,462 79,203 * Impresa Sociedade Gestora de Participacoes Socias SA 190,166 884,290 * Investimentos Participacoes e Gestao SA Inapa 43,702 166,889 * Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) 130,000 1,534,348 Mota-Engil SGPS SA 250,900 528,610 * Novabase SGPS 56,005 409,732 Portucel-Empresa Produtora de Pasta de Papel SA 466,977 $ 786,636 Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 376,183 Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 245,318 * Sociedad Construcoes Soares da Costa SA 19,200 68,200 Sociedade de Investimento e Gestao SGPS SA 160,396 733,084 Sonae SGPS SA 1,079,900 1,121,565 * Sonaecom SGPS SA 321,175 1,180,914 Teixeira Duarte Engenharia e Construcoes SA 609,000 891,595 --------------- TOTAL -- PORTUGAL (Cost $6,340,397) 9,462,215 --------------- EMU -- (0.1%) INVESTMENT IN CURRENCY -- (0.1%) * Euro Currency (Cost $413,489) 413,235 --------------- UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * InFocus Corp. 10,455 84,267 --------------- UNITED KINGDOM -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling (Cost $7,676) 8,904 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (16.5%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $2,355,000 FHLB Notes 3.375%, 06/15/04, valued at $2,393,269) to be repurchased at $2,357,000 (Cost $2,357,000) $ 2,357 2,357,000 Repurchase Agreement, Mizuho Securities USA 1.00%, 06/01/04 (Collateralized by $112,867,000 U.S. Treasury Obligations rates ranging from 2.625% to 4.25%, maturities ranging from 08/15/08 to 08/15/13 valued at $109,888,930 to be repurchased at $107,746,214 (Cost $107,734,244)^ 107,734 107,734,244 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $498,965,942)++ $ 661,841,192 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. ++ The cost for federal income tax purposes is $498,965,972. See accompanying Notes to Financial Statements. 102 THE EMERGING MARKETS SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- TAIWAN -- (9.8%) COMMON STOCKS -- (9.1%) Accton Technology Corp. 99,296 $ 63,940 Acer, Inc. 559,767 822,843 * Advanced Semiconductor Engineering, Inc. 1,040,500 771,006 Advantech Co., Ltd. 91,706 187,068 Amtran Technology Co., Ltd. 66,080 56,720 * Arima Computer Corp. 178,800 61,738 Asia Cement Corp. 550,000 305,020 Askey Computer Co., Ltd. 60,200 38,760 Asustek Computer, Inc. 654,875 1,600,777 Au Optronics Corp. 1,308,487 2,589,328 Benq Corp. 563,600 800,659 Catcher Co., Ltd. 38,000 147,082 Cathay Financial Holdings Co., Ltd. 1,215,529 2,168,783 * Cathay Real Estate Development Co., Ltd. 447,213 256,570 * Chang Hwa Commercial Bank 985,796 562,068 Cheng Shin Rubber Industry Co., Ltd. 257,698 329,662 Cheng Uei Precision Industry Co., Ltd. 39,215 74,618 * Chi Mei Optoelectronic Corp. 967,000 2,090,645 Chicony Electronics Co., Ltd. 80,240 150,010 * China Airlines 711,579 393,108 * China Development Financial Holdong Co., Inc. 3,221,000 1,728,581 China Motor Co., Ltd. 362,628 514,515 China Steel Corp. 2,747,916 2,495,074 * Chinatrust Financial Holdings Co., Ltd. 350,024 388,171 * Chungwa Picture Tubes Co., Ltd. 1,856,298 1,096,034 * CMC Magnetics Corp. 876,400 590,303 Compal Electronics 919,810 1,129,982 * Compeq Manufacturing Co., Ltd. 131,300 53,203 * Cosmos Bank Taiwan 478,000 226,896 CTB Financial Holding Co., Ltd. 3,104,535 2,076,588 Delta Electronics Industrial Co., Ltd. 370,027 509,851 D-Link Corp. 138,100 178,375 * E.Sun Financial Holding Co., Ltd. 676,000 443,550 Elitegroup Computer Systems Co., Ltd. 100,750 64,779 Eternal Chemical Co., Ltd. 93,000 49,751 Eva Airways Corp. 687,762 322,081 Evergreen Marine Corp., Ltd. 578,682 468,867 Far East Textile, Ltd. 896,980 501,385 Far Eastern International Bank 409,000 207,409 * First Financial Holding Co., Ltd. 1,333,000 1,004,925 Formosa Chemicals & Fiber Co., Ltd. 1,313,491 1,885,361 Formosa Plastics Corp. 1,397,123 2,002,693 Formosa Taffeta Co., Ltd. 428,203 181,273 Fu Sheng Industria 145,863 284,237 Fubon Financi 2,418,052 2,406,652 Fuh-Hwa Financial Holding Co., Ltd. 780,799 340,233 Giga-Byte Technology Co., Ltd. 159,200 251,123 * High Tech Computer Corp. 58,000 250,724 Hon Hai Precision Industry Co., Ltd. 569,832 2,336,582 Hotai Motor Co., Ltd. 147,000 $ 201,110 * Hsinchu International Bank 348,000 196,132 * Hua Nan Financial Holding Co., Ltd. 735,000 638,623 * International Bank of Taipei 444,122 292,907 Inventec Corp. 546,560 358,935 * King Yuan Electronics Co., Ltd. 127,000 125,839 Kinpo Electronics, Inc. 189,200 99,252 * Largan Precision Co., Ltd. 25,000 294,095 Lite-On Technology Corp. 674,646 756,411 * Macronix International Co., Ltd. 1,188,500 429,093 Media Tek, Inc. 172,390 1,652,012 Micro-Star International Co., Ltd. 180,700 212,378 Mitac International Corp. 166,000 77,174 * Mosel Vitelic Inc. Co., Ltd. 300,826 60,480 Nan Ya Plastic Corp. 1,804,156 2,427,710 * Nanya Technology Co., Ltd. 1,038,989 773,262 Nien Hsing Textile Co., Ltd. 95,000 92,909 * Nien Made Enterprise Co., Ltd. 45,216 78,660 * Optimax Technology Corp. 70,694 286,621 Oriental Union Chemical Corp. 106,920 117,129 * Pacific Electric Wire & Cable Corp. 233,200 3,639 Pihsiang Machinery Mfg. Co., Ltd. 32,760 78,576 Pou Chen Corp. 470,415 469,879 Premier Image Technology Corp. 138,800 208,031 President Chain Store Corp. 230,927 415,807 Quanta Computer, Inc. 755,255 1,722,149 * Quanta Display, Inc. 189,000 150,505 Realtek Semiconductor Corp. 175,920 231,852 * Ritek Corp. 565,750 309,010 * Shin Kong Fin 654,000 617,414 * Silicon Integrated Systems Corp. 361,000 191,975 * Siliconware Precision Industries Co., Ltd. 508,000 395,772 * SinoPac Holdings 270,000 145,021 Sunplus Technology Co., Ltd. 193,950 395,684 Synnex Tech International Corp. 160,800 279,463 Systex Corp., Ltd. 159,500 75,676 Taishin Financial Holdings Co., Ltd. 1,029,000 931,422 * Taiwan Business Bank 579,120 197,190 Taiwan Cement Corp. 686,697 315,118 Taiwan Glass Ind. Corp. 346,370 270,386 Taiwan Life Insurance Co., Ltd 92,000 161,454 * Taiwan Semiconductor Manufacturing Co., Ltd. 5,223,480 9,180,975 Taiwan Styrene Monomer Corp. 84,700 64,661 * Tatung Co., Ltd. 1,133,000 463,767 Teco Electric & Machinery Co., Ltd. 501,000 173,513 * The Farmers Bank of China 375,000 122,725 Tong Yang Industry Co., Ltd. 76,220 129,370 Transcend Information, Inc. 29,344 71,763 U-Ming Marine Transport Corp. 167,000 210,388 Uni-President Enterprises Corp. 916,020 406,730 * United Microelectronics Corp. 4,222,381 3,660,881 Via Technologies, Inc. 342,245 330,471 * Walsin Lihwa Corp. 881,000 428,594 Wan Hai Lines Co., Ltd. 377,080 309,833
103
SHARES VALUE+ --------------- --------------- * Waterland Financial Holdings 572,000 $ 212,782 * Winbond Electronics Corp. 1,108,000 559,804 Ya Hsin Industrial Co., Ltd. 130,212 172,744 * Yageo Corp. 608,440 320,007 Yang Ming Marine Transport Corp. 587,000 515,956 Yieh Phui Enterprise Co., Ltd. 248,300 170,723 * Yuen Foong Yu Paper Manufacturing Co., Ltd. 354,650 194,688 Yulon Motor Co., Ltd. 370,200 416,042 Zyxel Communication Corp. 85,200 179,245 --------------- TOTAL COMMON STOCKS (Cost $62,538,444) 72,492,020 --------------- INVESTMENT IN CURRENCY -- (0.7%) * Taiwan Dollar (Cost $5,304,822) 5,316,923 --------------- TOTAL -- TAIWAN (Cost $67,843,266) 77,808,943 --------------- SOUTH AFRICA -- (9.7%) COMMON STOCKS -- (9.7%) * ABSA Group, Ltd. 392,236 2,808,341 African Oxygen, Ltd. 206,548 568,342 * Amalgamated Beverage Industries, Ltd. 80,191 853,932 Anglo American PLC 662,129 13,979,129 Anglo American Platinum Corp., Ltd. 138,689 5,108,275 Anglogold, Ltd. 141,049 4,952,254 AVI, Ltd. 145,875 385,791 Barloworld, Ltd. 105,674 1,124,273 Bidvest Group, Ltd. 156,588 1,251,287 * Dimension Data Holdings PLC 246,926 137,920 * Discovery Holdings, Ltd. 167,710 322,811 Edgars Consolidated Stores, Ltd. 26,859 576,642 Firstrand, Ltd. 3,379,947 5,160,785 Gold Fields, Ltd. 251,697 2,910,853 Harmony Gold Mining Co., Ltd. 137,081 1,643,723 Impala Platinum Holdings, Ltd. 32,630 2,411,426 Imperial Holdings, Ltd. 116,858 1,252,138 * Investec, Ltd. 23,111 427,873 Iscor, Ltd. 285,549 1,485,446 * JD Group, Ltd. 87,800 538,222 Kumba Resources, Ltd. 15,092 83,350 Liberty Group, Ltd. 173,556 1,389,397 * Massmart Holdings, Ltd. 95,249 458,992 * MTN Group, Ltd. 966,699 4,338,354 Nampak, Ltd. 313,953 670,144 * Naspers, Ltd. Series N 145,439 1,019,369 Nedcor, Ltd. 216,270 2,068,268 * Network Healthcare Holdings, Ltd. 888,707 603,536 Old Mutual PLC 1,763,742 3,081,574 * Pick'n Pay Stores, Ltd. 309,695 816,365 Pretoria Portland Cement Co., Ltd. 30,295 661,038 Sanlam, Ltd. 1,300,739 1,763,089 Sappi, Ltd. 117,144 1,634,751 Standard Bank Group, Ltd. 686,654 4,424,884 * Steinhoff International Holdings, Ltd. 605,515 760,766 * Telkom SA, Ltd. 355,518 4,290,927 Tiger Brands, Ltd. 30,753 $ 424,323 * Woolworths Holdings, Ltd. 402,268 434,773 --------------- TOTAL COMMON STOCKS (Cost $77,209,321) 76,823,363 --------------- INVESTMENT IN CURRENCY -- (0.0%) * South African Rand (Cost $64) 69 --------------- TOTAL -- SOUTH AFRICA (Cost $77,209,385) 76,823,432 --------------- SOUTH KOREA -- (8.9%) COMMON STOCKS -- (8.9%) Amorepacific Corp. 2,930 503,270 * Cho Hung Bank Co., Ltd. 155,557 338,978 CJ Corp. 6,550 346,102 Daelim Industrial Co., Ltd. 9,830 326,831 Daewoo Engineering & Construction Co., Ltd. 77,960 270,737 * Daewoo Heavy Industries & Machinery, Ltd. 48,150 323,874 * Daewoo Securities Co., Ltd. 56,445 182,018 Daewoo Shipbuilding & Marine Engineering Co., Ltd. 66,720 718,816 Daishin Securities Co., Ltd. 5,340 62,484 Halla Climate Control Corp. 30,000 228,055 Hankook Tire Manufacturing Co., Ltd. 42,940 339,308 Hanwha Chemical Corp. 32,000 183,489 Hite Brewery Co., Ltd. 7,100 458,608 Hyundai Development Co. 24,000 254,861 Hyundai Heavy Industries Co., Ltd. 24,070 587,034 * Hyundai Merchant Marine Co., Ltd. 27,000 182,509 Hyundai Mobis 26,460 1,078,985 Hyundai Motor Co., Ltd. 95,919 3,671,963 * Hyundai Securities Co., Ltd. 61,090 249,158 INI Steel Co., Ltd. 33,910 252,556 * Kangwon Land, Inc. 20,000 218,543 Kia Motors Corp. 128,970 1,102,902 * Kookmin Bank 139,085 4,795,792 Korea Electric Power Corp. 232,010 3,742,507 * Korea Exchange Bank 166,780 839,328 Korea Gas 27,040 731,727 * Korean Air Co., Ltd. 20,670 261,372 KT Corp. 67,490 2,284,767 KT&G Corp. 62,340 1,415,438 Kumgang Korea Chemical Co., Ltd. 3,000 301,092 LG Chemical Investment, Ltd. 95,890 1,313,208 LG Chemical, Ltd. 28,206 990,902 LG Electronics, Inc. 40,160 2,328,042 LG Engineering & Construction Corp. 12,480 194,715 * LG Investment & Securities Co., Ltd. 29,880 228,429 LG Petrochemical Co., Ltd. 13,070 260,402 * NCsoft Corp. 2,250 185,218 Nong Shim Co., Ltd. 1,710 321,052 POSCO 24,840 3,096,722 Pusan Bank 34,160 208,723 S1 Corp. 16,638 359,710 Samsung Corp. 41,960 527,726
104
SHARES VALUE+ --------------- --------------- * Samsung Electro-Mechanics Co., Ltd. 32,707 $ 1,024,695 Samsung Electronics Co., Ltd. 37,988 16,940,498 Samsung Fire and Marine Insurance, Ltd. 21,719 1,387,941 Samsung Heavy Industries Co., Ltd. 66,240 285,468 Samsung SDI Co., Ltd. 20,352 2,240,599 Samsung Securities Co., Ltd. 18,040 321,187 * Samsung Techwin Co., Ltd. 28,000 234,982 * Seoul Bank 38,700 858,260 Shinhan Financial Group Co., Ltd. 151,242 2,440,589 Shinsegae Co., Ltd. 4,610 1,035,789 SK Corp., Ltd. 55,584 2,379,221 SK Telecom Co., Ltd. 17,960 3,025,591 S-Oil Corp. 53,150 2,087,466 * Ssangyong Motor Co. 39,000 245,793 --------------- TOTAL -- SOUTH KOREA (Cost $38,998,017) 70,776,032 --------------- MEXICO -- (8.9%) COMMON STOCKS -- (8.9%) Alfa S.A. de C.V. Series A 375,190 1,232,934 America Movil S.A. de C.V. Series L 6,377,000 11,176,445 * America Telecom S.A. de C.V. Series A 2,243,071 4,245,746 * Carso Global Telecom S.A. de C.V. Telecom Series A1 2,183,071 3,223,480 Cementos de Mexico S.A. de C.V. Series B 970,682 5,665,112 Coca Cola Femsa S.A. de C.V. Series L 374,700 794,943 * Consorcio Ara S.A. 157,500 432,965 Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 744,125 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 75,000 158,393 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 102 Corporativo Fragua S.A. de C.V. Series B 21 55 * Desc S.A. de C.V. Series B 619,841 181,963 El Puerto de Liverpool S.A. Series C1 339,500 478,986 Embotelladora Arca SA de CV , Mexico 466,500 856,023 * Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 191,840 Empresas la Moderna S.A. de C.V. Series A 120,000 25,448 Fomento Economico Mexicano Series B & D 554,000 2,370,090 Gruma S.A. de C.V. Series B 90,406 151,713 Grupo Carso S.A. de C.V. Series A-1 542,000 2,089,822 Grupo Continental S.A. 358,600 559,355 Grupo Elektra S.A. de C.V. 114,000 593,401 Grupo Financiero del Norte S.A. Series C 340,000 1,188,801 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,746 4,784 Grupo Financiero Inbursa S.A. de C.V. Series O 1,697,097 2,157,900 * Grupo Gigante S.A. de C.V. Series B 117,282 75,026 Grupo Industrial Bimbo S.A. de C.V. Series A 711,500 1,536,912 * Grupo Industrial Maseca S.A. de C.V. Series B 229,000 $ 100,438 Grupo Modelo S.A. de C.V. Series C 1,806,300 4,479,542 * Grupo Nutrisa S.A. de C.V. 129 29 * Grupo Qumma S.A. de C.V. Series B 1,591 25 Grupo Televisa S.A. (Certificate Representing Series A, Series D & Series L) 1,510,000 3,175,744 * Grupo Tribasa S.A. de C.V. 2,120 0 * Hylsamex S.A. de C.V. 93,914 133,322 * Hylsamex S.A. de C.V. Series B 60,000 84,652 Industrias Penoles S.A. de C.V. 247,800 890,312 Kimberly Clark de Mexico S.A. de C.V. Series A 648,000 1,700,705 * Nueva Grupo Mexico S.A. de C.V. Series B 505,358 1,511,003 * Organizacion Soriana S.A. de C.V. Series B 361,600 1,137,575 Telefonos de Mexico S.A. Series A 100,000 168,339 Telefonos de Mexico S.A. Series L 5,217,400 8,755,484 TV Azteca S.A. de C.V. Series A 1,387,100 717,162 * US Commercial Corp. S.A. de C.V. 223,000 116,859 Vitro S.A. 121,600 127,871 Walmart de Mexico S.A. de C.V. Series V 2,320,149 6,933,060 --------------- TOTAL -- MEXICO (Cost $50,739,967) 70,168,486 --------------- BRAZIL -- (8.3%) PREFERRED STOCKS -- (6.4%) Ambev Cia de Bebidas das Americas 12,453,835 2,356,946 Aracruz Celulose SA Series B 711,999 2,304,405 Banci Itau Holding Financeira 68,900,000 5,813,924 Banco Bradesco SA 82,118 3,517,639 Brasil Telecom Participacoes SA 164,643,872 946,211 Brasileira de Distribuicao Pao de Acucar 38,610,000 576,845 * Braskem SA 30,000,000 472,411 Cimento Portland Itau 860,000 161,235 * Companhia Siderurgica Paulista 65,000 14,472 Compania Paranaense de Energia Series B 100,000,000 305,905 Embratel Participacoes SA 143,582,922 331,274 Gerdau SA 200,304 2,143,944 Investimentos Itau SA 3,297,432 3,543,223 Klabin SA 542,875 702,462 * Lojas Renner SA 800,000 5,163 Siderurgica Belgo-Mineira 4,010,000 892,836 Siderurgica de Tubarao Sid Tubarao 37,920,000 1,064,672 Siderurgica Paulista Casipa Series B 325 3,146 Suzano de Papel e Celulose 143,544 592,889 Tele Centro Oeste Celular Participacoes SA 230,437,922 658,075 Tele Norte Leste Participacoes SA 180,034,131 2,033,299 Telemar Norte Leste SA Series A 175,300,000 2,783,078 * Telesp Celular Participacoes 913,941,089 2,551,013 Telesp Participacoes SA 331,500,000 4,444,603 Telesudeste Celular Participacoes SA 81,000,000 131,994 Unibanco Unias de Bancos Brasileiros SA 2,000,000 33,559
105
SHARES VALUE+ --------------- --------------- Unibanco-Uniao de Bancos Brasileiros SA 13,713,000 $ 527,457 Usinas Siderurgicas de Minas Gerais SA 118,039 1,137,349 Vale do Rio Doce Series A 223,160 9,649,384 Vale do Rio Doce Series B 81,160 0 Votorantim Celulose e Papel SA 12,467,325 776,482 Weg SA 185,000 423,846 --------------- TOTAL PREFERRED STOCKS (Cost $37,226,680) 50,899,741 --------------- COMMON STOCKS -- (1.9%) Ambev Cia de Bebidas das Americas 5,420,000 1,976,315 Brasil Telecom Participacoes SA 59,520,574 303,461 Brasil Telecom SA 409,930,875 1,388,924 Cemig Cia Ene 77,000,000 1,083,317 Cpfl Geracao Energia SA 3,140,000 5,573 Embraer Empresa Brasileira de Aeronautica 525,521 3,342,375 * Embratel Participacoes 57,550,000 256,459 * Empresa Nasional de Comercio Redito e Participacoes SAncorpar 480,000 929 Petroquimica do Sul Copesul 2,276,000 112,368 Siderurgica Nacional Sid Nacional 60,351,000 2,804,306 Souza Cruz Industria e Comercio 291,000 2,572,895 Tele Centro Oeste Celular Participacoes SA 57,876,799 182,651 * Tele Centro Oeste Celular Participacoes SA 1,365,528 4,309 * Tele Norte Celular Participacoes 57,624,254 13,016 Tele Norte Leste Participacoes SA 59,264,568 583,084 * Tele Sudeste Celular Participacoes SA 3,072,951 4,294 Tractebel Energia SA 96,600,000 268,074 --------------- TOTAL COMMON STOCKS (Cost $11,162,959) 14,902,350 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Brazilian Real (Cost $23) 219 --------------- TOTAL -- BRAZIL (Cost $48,389,870) 65,802,310 --------------- ISRAEL -- (7.8%) COMMON STOCKS -- (7.8%) Africa-Israel Investments, Ltd. 108,700 2,159,744 Agis Industries (1983), Ltd. 71,436 2,003,187 Bank Hapoalim, Ltd. 2,309,640 5,918,274 Bank Leumi Le-Israel 2,802,069 5,148,201 * Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 4,291,803 Blue Square Israel, Ltd. 16,186 173,511 CLAL Industries, Ltd. 289,038 1,374,645 CLAL Insurance, Ltd. 114,684 1,832,234 Delek Group, Ltd. 4,584 373,733 Discount Investment Corp 66,100 1,519,035 Elbit Systems, Ltd. 98,319 1,815,882 * Elron Electronic Industries, Ltd. 0 4 * First International Bank of Israel 48,660 259,925 * First International Bank of Israel, Ltd. 347,200 377,530 IDB Development Corp., Ltd. Series A 101,015 $ 2,306,607 IDB Holding Corp., Ltd. 36,578 628,339 Israel Chemicals, Ltd. 2,410,526 4,145,038 Israel Corp. Series A 5,500 877,081 * Koor Industries, Ltd. 25,971 984,923 M.A.Industries, Ltd. 843,283 3,520,356 Migdal Insurance Holdings 2,079,107 2,813,598 Osem Investment, Ltd. 210,522 2,301,869 Strauss Elite, Ltd. 33,250 305,002 Super-Sol, Ltd. Series B 372,926 841,904 Tefahot Israel Mortgage Bank, Ltd. 56,600 524,862 Teva Pharmaceutical Industries, Ltd. 209,140 13,734,393 United Mizrahi Bank, Ltd. 384,693 1,274,138 --------------- TOTAL -- ISRAEL (Cost $37,527,997) 61,505,818 --------------- TURKEY -- (7.4%) COMMON STOCKS -- (7.4%) Akbank T.A.S. 1,811,999,062 7,604,412 * Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246,814 2,257,545 * Arcelik A.S. 1,549,702,646 7,236,348 Aygaz A.S. 593,998,416 1,189,366 * BSH Profilo Elektrikli Gerecler Sanayii A.S. 4,725,086 55,114 * Dogan Sirketler Grubu Holdings A.S 577,649,971 981,646 * Dogan Yayin Holding A.S. 282,794,524 839,612 Enka Insaat Ve Sanayi A.S. 164,940,663 3,159,694 * Eregli Demir ve Celik Fabrikalari Turk A.S. 145,031,000 3,701,503 Ford Otomotiv Sanayi A.S. 722,990,000 5,114,990 * Hurriyet Gazetecilik ve Matbaacilik A.S. 370,163,648 945,235 Koc Holding A.S. 1,058,111,057 4,374,954 Migros Turk A.S. 450,270,375 2,089,777 * Tat Konserve Sanayii A.S. 36 0 * Tofas Turk Otomobil Fabrikasi A.S. 1,489,092,271 2,560,485 Trakya Cam Sanayii A.S. 187,301,438 423,729 Tupras-Turkiye Petrol Rafineleri A.S. 289,886,950 1,745,862 * Turk Sise de Cam Fabrikalari A.S. Issue 04 178,179,930 290,736 * Turk Sise ve Cam Fabrikalari A.S. 430,349,924 724,861 * Turkiye Garanti Bankasi A.S. 1,549,482,967 4,318,556 Turkiye Is Bankasi A.S. Series C 1,741,718,616 5,853,375 * Vestel Elektronik Sanayi Ticaret A.S. 240,241,000 741,018 * Yapi ve Kredi Bankasi A.S. 1,232,184,338 2,591,757 --------------- TOTAL COMMON STOCKS (Cost $30,184,710) 58,800,575 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Turkish Lira (Cost $155) 150 --------------- TOTAL -- TURKEY (Cost $30,184,865) 58,800,725 --------------- INDONESIA -- (7.4%) COMMON STOCKS -- (7.4%) PT Astra Agro Lestari Tbk 2,153,000 581,077 PT Astra International Tbk 8,470,461 5,247,437
106
SHARES VALUE+ --------------- --------------- PT Bank Central Asia Tbk 990,000 $ 394,856 PT Bank Danamon Indonesia Tbk 1,762,000 564,668 PT Bimantara Citra Tbk 1,758,000 550,943 PT Gudang Garam Tbk 4,695,500 7,334,130 PT Hanjaya Mandala Sampoerna Tbk 13,377,500 7,074,322 * PT Indocement Tunggal Prakarsa Tbk 7,362,000 1,271,541 PT Indofood Sukses Makmur Tbk 18,886,400 1,429,908 PT Indonesian Satellite Corp.Tbk 14,967,500 6,394,373 PT International Nickel Indonesia Tbk 145,000 507,470 PT Kalbe Farma Tbk 2,500,000 97,164 * PT Lippo Bank Tbk Series A 3,281,200 194,890 * PT Lippo Land Development Tbk 166,500 12,566 * PT Makindo Tbk 2,236,500 241,132 * PT Medco Energi International Tbk 9,754,000 1,474,625 * PT Panasia Indosyntec Tbk 75,100 3,198 PT Ramayana Lestari Sentosa Tbk 4,004,000 1,750,783 PT Sari Husada Tbk 13,793 29,013 PT Semen Gresik Tbk 1,739,502 1,741,826 PT Telekomunikasi Indonesia (Persero) Tbk Series B 18,576,820 14,695,839 PT Tempo Scan Pacific 646,000 484,226 PT Unilever Tbk 16,022,000 6,211,478 --------------- TOTAL -- INDONESIA (Cost $47,714,707) 58,287,465 --------------- THAILAND -- (7.0%) COMMON STOCKS -- (7.0%) * Advance Agro Public Co., Ltd. (Foreign) 534,100 296,210 Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 13,122,948 * Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 1,598,857 Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,034,803 * Bank of Asia Public Co., Ltd. (Foreign) 9,363,000 1,177,010 * Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,568,803 Banpu Public Co., Ltd. (Foreign) 132,000 400,197 BEC World Public Co., Ltd. (Foreign) 3,915,000 1,592,248 * Capetronic International (Thailand) Public Co., Ltd. (Foreign) 4,490,000 227,986 Central Pattana Public Co., Ltd. (Foreign) 4,177,500 916,434 Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,238,801 * DBS Thai Danu Bank Public Co., Ltd. (Foreign) 842,200 65,599 Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 2,456,181 Hana Microelectronics Public Co., Ltd. (Foreign) 238,300 734,225 * International Broadcasting Corp. Public Co., Ltd. (Foreign) 612,000 268,514 Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 4,691,463 Land & Houses Public Co., Ltd. (Foreign) 2,130,310 546,099 National Finance and Securities Public Co., Ltd. (Foreign) 630,150 229,880 National Petrochemical Public Co., Ltd. (Foreign) 441,500 $ 979,418 Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 2,200,000 1,979,295 Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,281,489 Shinawatra Satellite Public Co., Ltd. (Foreign) 2,762,450 871,564 Siam Cement Public Co., Ltd. (Foreign) 270,000 1,530,688 Siam City Cement Public Co., Ltd. (Foreign) 633,413 3,559,728 Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 2,874,645 Siam Makro Public Co., Ltd. (Foreign) 727,100 860,261 * Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 1,049,164 * Thai Military Bank Public Co., Ltd. (Foreign) 11,657,100 1,022,905 Thai Stanley Electric (Thailand) Public Co., Ltd. (Foreign) 89,000 574,760 Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 1,942,995 TISCO Finance Public Co., Ltd. (Foreign) 1,231,100 842,076 Vanachai Group Co-Foreign 950,200 252,950 --------------- TOTAL COMMON STOCKS (Cost $48,898,097) 55,788,196 --------------- RIGHTS/WARRANTS -- (0.0%) * Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants 03/31/08 (Cost $0) 1,444,563 0 --------------- TOTAL -- THAILAND (Cost $48,898,097) 55,788,196 --------------- MALAYSIA -- (6.6%) COMMON STOCKS -- (6.6%) AMFB Holdings Berhad 317,000 508,893 AMMB Holdings Berhad 1,131,731 1,029,696 * Aokam Perdana Berhad 333 5 Berjaya Sports Toto Berhad 622,000 674,707 British American Tobacco Berhad 175,000 2,210,132 Commerce Asset Holding Berhad 1,759,000 2,258,743 * Digi.Com Berhad 449,862 554,142 Diversified Resources Berhad 581,000 278,214 Gamuda Berhad 510,000 730,954 Genting Berhad 477,000 1,944,494 Golden Hope Plantations Berhad 711,000 639,501 Hong Leong Bank Berhad 874,250 1,061,871 Hong Leong Credit Berhad 795,429 849,788 Hong Leong Properties Berhad 175,328 24,713 IOI Corp. Berhad 665,000 1,415,772 IOI Oleochemical Industries Berhad 22,041 56,280 IOI Properties Berhad 103,000 194,061 Kuala Lumpur Kepong Berhad 462,500 772,044 Magnum Corp. Berhad 1,007,500 678,929 Malakoff Berhad 566,000 825,460 Malayan Banking Berhad 2,028,500 5,498,743
107
SHARES VALUE+ --------------- --------------- Malayan Cement Berhad 1,739,000 $ 359,544 Malaysia Mining Corp. Berhad 675,000 356,340 * Malaysian Airlines System Berhad 889,000 1,096,117 Malaysian International Shipping Corp. (Foreign) 667,666 2,092,228 Malaysian Pacific Industries 136,000 566,217 Maxis Communications Berhad 151,000 333,847 * MBF Holdings Berhad 7,050 241 Nestle (Malaysia) Berhad 146,000 844,876 Oriental Holdings Berhad 168,000 172,315 Oyl Industries Berhad 89,000 849,452 Perusahaan Otomobil Nasional Berhad 389,000 803,592 Petronas Dagangan Berhad 322,000 576,326 Petronas Gas Berhad 1,344,000 2,422,746 * Plus Expressways Berhad 440,000 251,373 PPB Group Berhad 348,000 595,426 Public Bank Berhad 1,550,201 2,529,275 Resorts World Berhad 743,000 1,731,416 RHB Capital Berhad 1,185,000 602,164 * Silverstone Corp. Berhad 11,587 746 Sime Darby Berhad (Malaysia) 1,479,800 2,046,924 Southern Bank Berhad 48,440 33,791 Southern Bank Berhad (Foreign) 734,437 512,122 Telekom Malaysia Berhad 1,873,000 4,830,628 Tenaga Nasional Berhad 1,759,000 4,398,924 * Time Dotcom Berhad 1,518,000 391,529 UMW Holdings Berhad 268,333 353,042 YTL Corp. Berhad 981,362 1,135,780 --------------- TOTAL -- MALAYSIA (Cost $49,078,638) 52,094,123 --------------- UNITED STATES -- (5.0%) COMMON STOCKS -- (5.0%) Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,547,220 Banco de Chile Series F ADR 47,643 1,403,086 Banco Santander Chile Sponsored ADR 295,998 7,849,867 * Chilesat Corp. S.A. ADR 788 1,812 Cia Telecom de Chile ADR 421,400 5,018,874 Compania Cervecerias Uni ADR 115,400 2,313,770 Cristalerias de Chile SA ADR 35,600 779,996 Distribucion y Servicio D&S SA ADR 176,800 2,584,816 Embotelladora Andina SA Andina ADR 109,600 1,233,000 Embotelladora Andina SA Andina Series B ADR 89,100 1,006,830 Empresa Nacional de Elec ADR 514,018 6,512,608 Enersis SA ADR 285,903 1,769,740 Grupo Financiero Galicia S.A. ADR 211,011 1,187,992 Lan Chile SA ADR 125,900 2,159,185 * Madeco SA 4,450 27,234 Masisa SA ADR 25,100 310,738 Sociedad Quimica y Minera de Chile SA ADR 61,300 2,182,893 Sociedad Quimica y Minera de Chile SA ADR Class A 902 34,006 Vina Concha y Toro SA Conchatoro ADR 27,100 $ 1,222,210 --------------- TOTAL -- UNITED STATES (Cost $39,950,627) 39,145,877 --------------- HUNGARY -- (3.4%) COMMON STOCKS -- (3.4%) Budapesti Elektromos Muvek RT 185 12,963 Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 127,035 Egis RT 37,757 1,467,774 Gedeon Richter, Ltd. 46,937 4,627,712 Magyar Olay-Es Gazipari RT 168,429 6,459,737 Matav RT 1,050,555 4,094,090 * Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 8,065,863 * Tiszai Vegyi Kombinat RT 117,534 2,153,562 --------------- TOTAL -- HUNGARY (Cost $15,788,433) 27,008,736 --------------- POLAND -- (3.4%) COMMON STOCKS -- (3.4%) * Agora SA 98,779 1,176,349 Bank Polska Kasa Opieki - Grupa Pekao SA 156,792 5,095,264 Bank Przemyslowo Handlowy Pbk 31,526 3,497,934 Bank Zackodni Wbk SA 93,312 2,112,519 * Big Bank Gdanski SA 2,029,541 1,635,576 Browary Zywiec SA 15,860 1,731,197 * Budimex SA 36,763 454,010 * Cersanit-Krasnystaw SA 19,143 489,646 Debica SA 19,800 681,375 Frantschach Swiecie SA 103,599 1,693,832 * Kredyt Bank SA 418,562 1,003,684 * Netia Holdings SA 495,665 555,557 * Optimus Technologie 6,873 19,199 Orbis SA 77,409 479,683 Polski Koncern Naftowy Orlen S.A. 267,237 2,000,335 * Prokom Software SA 21,336 1,043,317 Telekomunikacja Polska SA 712,274 2,757,406 Zaklady Metali Lekkich Kety SA 15,120 486,133 --------------- TOTAL -- POLAND (Cost $20,586,160) 26,913,016 --------------- PHILIPPINES -- (3.3%) COMMON STOCKS -- (3.3%) Aboitiz Equity Ventures, Inc. 7,803,400 405,952 Ayala Corp. 42,503,520 4,029,199 Ayala Land, Inc. 27,511,576 2,712,243 Bank of the Philippine Island 4,641,373 3,492,601 * Equitable PCI Bank, Inc. 2,217,300 1,723,317 * Filipina Water Bottling Corp. 2,006,957 0 Metro Bank and Trust Co. 4,584,435 2,049,982 Petron Corp. 28,593,000 1,559,337 * Philippine Long Distance Telephone Co. 347,030 6,659,057 SM Prime Holdings, Inc. 29,223,000 3,087,076 Union Bank of the Philippines 1,572,300 646,999 --------------- TOTAL -- PHILIPPINES (Cost $42,708,447) 26,365,763 ---------------
108
SHARES VALUE+ --------------- --------------- ARGENTINA -- (1.8%) COMMON STOCKS -- (1.8%) * Acindar Industria Argentina de Aceros SA Series B 899,000 $ 866,690 * Alpargatas SA Industrial y Comercial 1,078 537 Alto Palermo SA Series A 5,000 5,302 * Banco del Sud Sociedad Anonima Series B 29,000 25,628 * Banco Frances del Rio de la Plata SA 467,809 841,859 * Capex SA Series A 52,893 53,967 * Celulosa Argentina SA Series B 18,750 13,557 * Central Costanera SA Series B 114,100 145,932 * Central Puerto SA Series B 16,000 8,227 * Garovaglio y Zorraquin SA 28,000 3,869 * Gas Natural SA, Buenos Aires 345,000 164,083 * IRSA Inversiones y Representaciones SA 657,649 460,716 * Juan Minetti SA 353,151 360,886 * Ledesma S.A.A.I. 242,632 140,347 * Metrogas SA Series B 543,115 209,438 * Molinos Rio de la Plata SA Series B 694,833 870,819 * Perez Companc SA 2,274,901 2,149,278 * Renault Argentina SA 399,465 62,901 Siderar SAIC Series A 721,484 3,153,177 Solvay Indupa S.A.I.C. 555,366 460,449 * Telecom Argentina Stet-France SA Series B 977,000 1,601,207 Tenaris SA 653,898 2,038,283 * Transportadora de Gas del Sur SA Series B 1,028,000 776,325 --------------- TOTAL COMMON STOCKS (Cost $24,508,605) 14,413,477 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso (Cost $155,706) 155,455 --------------- TOTAL -- ARGENTINA (Cost $24,664,311) 14,568,932 --------------- CZECH REPUBLIC -- (0.1%) COMMON STOCKS -- (0.1%) * CEZ A.S. 35,236 $ 250,425 * Ceske Radiokomunikace A.S. 1,575 27,607 * Ceske Telecom A.S. 27,377 344,528 * Komercni Banka A.S. 2,584 283,551 * Phillip Morris CR A.S. 113 67,760 --------------- TOTAL -- CZECH REPUBLIC (Cost $1,017,504) 973,871 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (1.2%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $9,965,000 FNMA Discount Notes 0.96%, 06/16/04, valued at $9,960,018 (Cost $9,812,000) $ 9,812 9,812,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $651,112,291)++ $ 792,643,725 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. ++ The cost for federal income tax purposes is $651,539,175. See accompanying Notes to Financial Statements. 109 THE EMERGING MARKETS SMALL CAP SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- SOUTH AFRICA -- (11.1%) COMMON STOCKS -- (11.1%) * ADCorp Holdings, Ltd. 43,285 $ 85,943 Advtech, Ltd. 120,000 14,161 Aeci, Ltd. 79,460 387,165 * Afgri, Ltd. 280,296 257,596 African Life Assurance Co., Ltd. 102,921 232,367 * African Rainbow Minerals, Ltd. 93,461 502,093 * Afrikander Lease, Ltd. 116,023 41,672 Afrox Healthcare 45,403 95,055 * AG Industries, Ltd. 107,512 32,912 * Alexander Forbes, Ltd. 259,170 369,567 * Allied Electronics Corp., Ltd. 84,012 154,363 Allied Technologies, Ltd. 82,724 411,649 * Amalgamated Appliance Holdings, Ltd. 142,094 60,987 * Aspen Pharmacare Holdings PLC 297,721 584,115 Astral Foods, Ltd. 33,426 161,332 * Aveng, Ltd. 241,648 291,660 * Bearing Man, Ltd. 69,024 68,629 * Bell Equipment, Ltd. 57,476 74,079 * Brandcorp Holdings, Ltd. 43,383 29,934 * Business Connexion Group, Ltd. 229,687 128,681 Bytes Technology Group, Ltd. 113,445 100,955 * Capital Alliance Holdings, Ltd. 148,529 243,159 * Capitec Bank Holdings, Ltd. 37,860 33,816 Cashbuild, Ltd. 13,473 45,035 * Caxton & CTP Publishers & Printers, Ltd. 356,504 448,187 Ceramic Industries, Ltd. 13,297 132,326 City Lodge Hotels, Ltd. 28,074 113,214 * Connection Group Holdings, Ltd. 26,487 21,910 * Corpcapital, Ltd. 241,136 19,541 Cullinan Holdings, Ltd. 10,000 598 * Datacentrix Holdings, Ltd. 162,198 53,018 * Datatec, Ltd. 92,603 134,530 Delta Electrical Industries, Ltd. 38,338 199,257 Distell Group, Ltd. 160,135 361,626 * Distribution & Warehousing Network, Ltd. 98,577 28,751 Dorbyl, Ltd. 18,237 50,313 * Durban Roodeport Deep, Ltd. 196,023 554,626 * Ellerine Holdings, Ltd. 62,039 303,991 * Energy Africa, Ltd. 85,189 424,568 * Enviroserv Holdings, Ltd. 64,500 35,591 * Famous Brands, Ltd. 9,678 5,798 Foschini, Ltd. 168,564 515,510 * Frontrange, Ltd. 62,223 33,288 Gold Reef Casino Resorts, Ltd. 169,887 192,225 Grindrod, Ltd. 21,833 63,740 Group Five, Ltd. 40,465 59,281 Highveld Steel & Vanadilum Corp., Ltd. 80,938 229,707 Hudaco Industries, Ltd. 23,083 78,698 Iliad Africa, Ltd. 112,877 92,542 Illovo Sugar, Ltd. 203,494 236,769 * Ist Group PLC 83,223 $ 20,350 * JCI, Ltd. 1,622,051 136,552 * Johnic Communications, Ltd. 86,930 326,242 Kersaf Investments, Ltd. 58,532 341,097 M Cubed Holdings, Ltd. 385,000 18,300 * Medi-Clinic Corp., Ltd. 277,002 541,017 Metair Investment, Ltd. 4,447 103,806 * Metorex, Ltd. 101,510 36,879 * Metro Cash & Carry, Ltd. 1,278,869 479,657 Metropolitan Holdings, Ltd. 451,465 535,628 Murray & Roberts Holdings, Ltd. 215,729 460,722 Mustek, Ltd. 20,612 23,687 * Net 1 Applied Technology Holdings, Ltd. 47,395 59,496 * New Clicks Holdings, Ltd. 290,335 329,578 Northam Platinum, Ltd. 183,217 255,498 * Nu-World Holdings 11,932 42,263 Oceana Group 86,619 203,206 * Omnia Holdings, Ltd. 35,992 163,079 * Palabora Mining Co., Ltd. 20,554 185,566 * Peregrine Holdings, Ltd. 134,813 46,380 * Primedia Limited 'n' 161,922 208,197 PSG Group, Ltd. 63,250 25,695 Rainbow Chicken, Ltd. 209,727 165,323 * Randgold and Expl CO 42,939 141,325 Rebserve Holdings, Ltd. 151,070 179,139 Redefine Income Fund, Ltd. 34,692 13,475 * Relyant Retail, Ltd. 724,775 161,902 Reunert 126,412 485,582 * SA Chrome and Alloys 798,852 94,473 * Sage Group, Ltd. 201,897 52,436 Santam, Ltd. 47,060 333,043 Shoprite Holdings Ltd 378,315 534,238 * Specialty Stores Ltd. 173,245 209,974 * Spur Corp., Ltd. 53,697 39,211 Sun International (Sth Afr) 235,076 120,626 * Super Group, Ltd. 280,556 449,184 * Tiger Wheels, Ltd. 47,140 145,045 Tongaat-Hulett Group, Ltd. 93,729 644,025 * Tourism Investment 647,510 141,642 * Trans Hex Group, Ltd. 69,964 241,334 * Trencor, Ltd. 142,114 265,481 Truworths International, Ltd. 312,815 452,238 UCS Group, Ltd. 144,872 26,750 * Unitrans Ltd 65,023 259,134 * Value Group, Ltd. 49,189 10,947 * Western Areas Ltd 90,489 430,149 Wilson Bayly Holme 40,403 108,329 --------------- TOTAL COMMON STOCKS (Cost $19,146,850) 19,044,430 --------------- INVESTMENT IN CURRENCY -- (0.0%) * South African Rand (Cost $1,381) 1,482 --------------- TOTAL -- SOUTH AFRICA (Cost $19,148,231) 19,045,912 ---------------
110
SHARES VALUE+ --------------- --------------- SOUTH KOREA -- (11.0%) COMMON STOCKS -- (11.0%) * Anam Semiconductor, Inc. 69,073 $ 198,053 Asia Cement Manufacturing Co., Ltd. 1,243 27,368 Bing Grae Co., Ltd. 3,480 68,235 Bu Kwang Pharmaceutical Co., Ltd. 6,237 39,865 Byuck San Engineering and Construction Co., Ltd. 8,750 19,892 Cheil Communications, Inc. 2,497 328,387 Cheil Industrial, Inc. 18,690 229,160 Choong Wae Pharmaceutical 1,877 18,024 Chungho Comnet Co., Ltd. 720 2,312 * Comtec Systems Co., Ltd. 2,000 1,081 * Dae Ho Corp. 543 61 Dae Sang Corp. 8,020 18,904 Dae Won Kang Up Co., Ltd. 1,740 14,950 Daeduck Electronics Co., Ltd. 22,437 175,337 Daeduck Industries Co., Ltd. 7,526 64,535 Daegu Bank Co., Ltd. 63,640 376,818 Daehan City Gas Co., Ltd. 2,621 30,761 Daehan Flour Mills Co., Ltd. 470 16,485 Daelim Industrial Co., Ltd. 9,480 315,194 Daesung Industrial Co., Ltd. 1,690 25,199 * Daewoo Heavy Industries & Machinery, Ltd. 40,300 271,072 * Daewoo International Corp. 54,700 323,761 Daewoo Motor Sales Corp. 10,240 59,852 * Daewoo Precision Industries Co., Ltd. 2,800 38,254 * Daewoo Securities Co., Ltd. 119,000 383,739 Daewoong Co., Ltd. 4,686 21,599 * Daewoong Pharmaceutical Co., Ltd. 3,630 58,519 Daishin Securities Co., Ltd. 24,720 289,253 * Daou Technology, Inc. 7,000 8,398 DC Chemical Co., Ltd. 7,316 91,600 Dong Ah Tire Industrial Co., Ltd. 7,300 22,045 Dong Bu Insurance Co., Ltd. 30,810 123,975 * Dong Yang Mec 7,020 19,644 Dong-A Pharmaceutical Co., Ltd. 3,229 43,181 Dongbu Corp. 6,310 29,758 Dongbu Steel Co., Ltd. 7,290 38,007 Dongkuk Steel Mill Co., Ltd. 35,037 239,438 Dongwon F&B Co., Ltd. 900 27,099 Dongwon Financial Holding Co., Ltd. 19,848 99,932 * Doosan Corp. 7,390 66,381 Doosan Heavy Industries & Construction Co., Ltd. 54,500 332,257 * Doosan Industrial Development Co., Ltd. 12,850 20,440 * Eastel Systems Corp. 4,307 4,238 * Fursys, Inc. 2,880 21,369 Global Enterprise Co., Ltd. 5,900 14,071 * Good Morning Securities Co., Ltd. 94,500 254,526 Green Cross Corp. 1,825 38,945 Hae In Co., Ltd. 5,964 6,662 Halla Climate Control Corp. 20,000 152,037 Han Kuk Carbon Co., Ltd. 7,903 8,133 Han Wha Corp. 33,650 240,324 Hana Securities Co., Ltd. 5,930 26,686 Handok Pharmaceuticals Co., Ltd. 3,860 30,967 Handsome Corp. 13,420 105,235 Hanil Cement Manufacturing Co., Ltd. 3,308 138,570 Hanjin Heavy Industry Co., Ltd. 26,190 $ 101,892 Hanjin Shipping Co., Ltd. 17,204 225,428 Hanjin Transportation Co., Ltd. 3,471 27,410 * Hankook Synthetics, Inc. 1,000 4,624 Hankook Tire Manufacturing Co., Ltd. 26,040 205,766 Hankuk Electric Glass Co., Ltd. 4,480 187,905 Hankuk Glass Industries, Inc. 5,120 152,283 Hankuk Paper Manufacturing Co., Ltd. 1,450 22,415 Hanmi Pharmaceutical Industrial Co, Ltd. 2,620 75,689 * Hansol Electronics Inc. 797 7,314 Hansol Paper Co., Ltd. 17,360 117,073 * Hanssem Co., Ltd. 6,820 48,604 * Hansung Enterprise Co., Ltd. 620 1,561 Hanwha Chemical Corp. 56,030 321,279 Hanwha Securities Co., Ltd. 13,070 24,592 Hotel Shilla, Ltd. 15,138 64,731 Huchems Fine Chemical Corp. 5,616 17,747 * Hung Chang Co., Ltd. 27 44 Hyosung T & C Co., Ltd. 12,038 89,530 * Hyundai Auton Co., Ltd. 81,580 189,825 Hyundai Cement Co., Ltd. 2,570 58,254 * Hyundai Corp. 1,505 2,978 Hyundai Department Store Co., Ltd. 13,140 309,440 Hyundai Development Co. 39,110 415,317 * Hyundai Elevator Co., Ltd. 2,354 76,509 Hyundai Fire & Marine Insurance Co., Ltd. 4,020 126,135 Hyundai Hysco 36,380 138,846 * Hyundai Merchant Marine Co., Ltd. 65,410 442,144 * Hyundai Mipo Dockyard Co., Ltd. 8,568 129,199 * Hyundai Securities Co., Ltd. 71,159 290,224 * Il Jin Diamond Co., Ltd. 2,000 21,425 * IlJin Electric, Ltd. 9,150 18,872 IlShin Spinning Co., Ltd. 380 12,200 * Inchon Oil Refinery Co., Ltd. 373 18 INI Steel Co., Ltd. 33,750 251,365 ISU Chemical Co., Ltd. 1,530 8,276 * Isupetasys Co., Ltd. 7,160 15,919 Jahwa Electronics Co., Ltd. 6,230 60,711 Jeonbuk Bank, Ltd. 8,590 31,308 K.C. Tech Co., Ltd. 6,000 18,469 * KDB Capital Corp. 21,440 61,614 KEC Corp. 3,035 63,139 Kolon Industries, Inc. 5,090 27,081 * Kolon International 321 944 Kolon International Corp. 2,264 10,937 Korea Circuit Co. 7,800 24,113 * Korea Data Systems Co., Ltd. 35,000 6,161 * Korea Development Co., Ltd. 3,480 25,682 Korea Electric Terminal Co., Ltd. 3,530 58,009 * Korea Exchange Bank 9,888 49,762 * Korea Express Co., Ltd. 3,200 62,414 Korea Fine Chemical Co., Ltd. 1,388 14,515 Korea Iron & Steel Co., Ltd. 3,120 40,307 Korea Iron & Steel Works Co., Ltd. 3,328 29,822 Korea Komho Petrochemical 9,100 57,069 Korea Line Corp. 3,940 85,976 Korea Polyol Co., Ltd. 1,450 39,718 Korea Zinc Co., Ltd. 8,810 143,130 Korean Reinsurance Co., Ltd. 4,547 168,850
111
SHARES VALUE+ --------------- --------------- * KP Chemical Corp. 34,521 $ 83,929 * KTB Network, Ltd. 17,000 33,643 Kukdong City Gas Co., Ltd. 1,740 20,301 Kumho Electronics Co., Ltd. 1,987 89,335 Kumho Industrial Co., Ltd. 16,300 112,610 Kyeryong Construction Industrial Co., Ltd. 2,060 20,827 Kyobo Securities Co., Ltd. 10,440 20,860 LG Ad Inc., Ltd. 4,120 64,949 LG Cable, Ltd. 15,520 243,856 LG Caltex Gas Co., Ltd. 1,980 32,915 LG Engineering & Construction Corp. 20,910 326,241 LG Household & Healthcare Co., Ltd. 6,610 169,912 * LG Industrial Systems, Ltd. 16,950 233,691 LG Insurance Co., Ltd. 27,140 135,136 LG International Corp. 33,488 230,994 * LG Life Sciences, Ltd. 6,855 163,353 LG Petrochemical Co., Ltd. 13,800 274,946 Lotte Chilsung Beverage Co., Ltd. 760 443,020 Lotte Confectionary Co., Ltd. 910 402,994 Lotte Sam Kang Co., Ltd. 230 18,298 Meritz Securities Co., Ltd. 2,940 5,382 * Midopa Co., Ltd. 27,910 106,325 Namhae Chemical Corp. 13,104 17,946 Namyang Dairy Products Co., Ltd. 340 93,051 Nong Shim Co., Ltd. 2,463 462,427 Nong Shim Holdings Co., Ltd. 780 28,692 Oriental Fire & Marine Insurance Co., Ltd. 2,750 36,976 ORION Corp. 2,700 161,536 Ottogi Corporation 990 21,556 * Pacific Industries, Inc. 2,100 20,652 * Pantech Co., Ltd. 8,690 51,347 Poong San Corp. 12,640 104,184 Pulmuone Co., Ltd. 2,030 83,324 Pusan Bank 42,780 261,393 Pusan City Gas Co., Ltd. 3,000 30,237 Pyung Hwa Industrial Co., Ltd. 6,170 16,284 S1 Corp. 15,730 340,079 * Saehan Industries, Inc. 7,440 11,943 Samchully Co., Ltd. 1,370 64,243 * Samlip Industrial Co., Ltd. 4,560 16,060 * Samsung Engineering Co., Ltd. 15,780 75,516 Samsung Fine Chemicals 11,080 144,850 * Samsung Techwin Co., Ltd. 44,140 370,433 Samyang Corp. 1,870 30,476 Samyang Genex Co., Ltd. 220 4,998 * Samyoung Corp. 2,170 17,874 Samyoung Electronics Co., Ltd. 5,800 33,813 Sejong Securities Co., Ltd. 4,840 7,074 Seondo Electric Co., Ltd. 4,400 4,791 Seoul City Gas Co., Ltd. 2,750 41,670 * Seoul Securities Co., Ltd. 19,500 45,873 Shin Young Securities Co., Ltd. 2,620 26,157 * Shindongbang Corp. 2,590 24,759 Shinmoorim Paper Manufacturing Co., Ltd. 2,858 11,841 * Shinsung Engineering Co., Ltd. 11,880 44,389 Sindo Ricoh 4,630 225,879 * SK Chemicals Co., Ltd. 5,140 33,447 SK Gas Co., Ltd. 2,500 39,206 * SKC Co., Ltd. 14,290 $ 103,391 * Ssang Bang Wool Co., Ltd. 6,950 20,848 * Ssangyong Cement Industry Co., Ltd. 148,450 197,288 * Ssangyong Motor Co. 53,830 339,258 STX Corp. 5,508 18,493 * STX Engine 4,692 13,251 Suheung Capsule Co., Ltd. 1,900 9,136 Sung Shin Cement Co., Ltd. 7,920 117,799 * Sunkyong Securities Co., Ltd. 120,920 60,072 Tae Kwang Industrial Co., Ltd. 200 26,023 Tae Young Corp. 3,274 99,266 Taegu Department Store Co., Ltd. 3,130 17,660 Tai Han Electric Wire Co., Ltd. 13,991 65,763 * Tong Yang Investment Bank 28,710 40,883 * Tongil Heavy Industries Co., Ltd. 46,780 20,895 * Trigem Computer, Inc. 21,159 73,382 Union Steel Manufacturing Co., Ltd. 2,220 95,565 Woongjin Coway Co., Ltd. 6,930 30,330 Woongjin.Com Co., Ltd. 6,810 16,162 Woori Securities Co., Ltd. 9,550 31,554 Youlchon Chemical Co., Ltd. 8,890 55,345 * Young Poong Mining & Construction Corp. 1,580 75 Youngone Corp. 18,210 39,720 Yuhan Corp. 3,702 212,792 --------------- TOTAL -- SOUTH KOREA (Cost $18,013,632) 18,846,596 --------------- TAIWAN -- (10.9%) COMMON STOCKS -- (10.9%) Ability Enterprise Co., Ltd. 64,192 53,741 * Abit Computer Co., Ltd. 118,300 51,111 Accton Technology Corp. 178,000 114,621 Advantech Co., Ltd. 119,000 242,744 * Altek Corp. 14,000 13,926 * Ambassador Hotel 60,000 35,421 Amtran Technology Co., Ltd. 110,802 95,108 * Arima Computer Corp. 386,000 133,282 Asia Polymer Corp. 41,000 22,006 Askey Computer Co., Ltd. 79,550 51,219 Audix Co., Ltd. 17,513 21,970 Aurora Corp. 52,250 30,820 * Avermedia Technologies, Inc. 28,000 27,248 Avision, Inc. 25,030 18,704 Bank of Kaohsiung Co., Ltd. 129,060 96,305 Basso Industry Corp., Ltd. 26,000 53,420 * Behavior Tech Computer Corp. 117,000 43,203 * Bes Engineering Corp. 446,640 90,307 * Carnival Industrial Corp. 95,000 17,657 Catcher Co., Ltd. 58,910 228,015 * Cathay Real Estate Development Co., Ltd. 439,753 252,290 * Central Insurance Co., Ltd. 60,000 31,007 Central Reinsurance Co., Ltd. 61,000 25,219 Cheng Loong Corp. 311,000 120,281 Cheng Uei Precision Industry Co., Ltd. 81,200 154,507 * Chia Hsin Cement Corp. 196,000 92,741 * Chia Hsin Food & Synthetic Fiber Co., Ltd. 269,000 28,156 Chicony Electronics Co., Ltd. 123,866 231,570
112
SHARES VALUE+ --------------- --------------- * Chien Shing Stainless Steel Co., Ltd. 56,000 $ 24,120 * China General Plastics Corp. 76,000 31,682 * China Life Insurance Co., Ltd. 219,400 127,872 * China Man-Made Fiber Co., Ltd. 390,280 222,443 China Metal Products Co., Ltd. 22,000 25,618 * China Petrochemical Development Corp. 529,000 95,946 * China Rebar Co., Ltd. 200,000 23,739 China Steel Chemical Corp. 46,620 64,712 * China Synthetic Rubber Corp. 59,987 18,734 * China United Trust & Investment Corp. 220,000 37,382 Chin-Poon Industrial Co., Ltd. 34,244 23,734 * Chou Chin Industrial Co., Ltd. 42,180 0 Chroma Ate, Inc. 56,252 62,806 * Chun Yu Works & Co., Ltd. 69,000 27,107 Chun Yuan Steel Industrial Co., Ltd. 100,000 57,377 Chung Hsin Electric & Machinery Co., Ltd. 120,000 49,436 Chung Hwa Pulp Corp. 135,804 73,842 * Clevo Co. 80,340 37,357 Compal Commun 76,250 179,614 * Compeq Manufacturing Co., Ltd. 273,000 110,620 Continental Engineering Corp. 244,098 124,568 CTCI Corp. 164,000 86,824 Der Pao Construction Co., Ltd. 78,000 27,595 D-Link Corp. 202,000 260,911 * Edom Technology Co., Ltd. 12,000 15,299 Elan Microelectronincs Corp. 80,210 63,979 * Elite Semiconductor Memory Technology, Inc. 36,000 136,628 Elitegroup Computer Systems Co., Ltd. 185,000 118,950 * Enlight Corp. 53,000 20,035 * Entie Commercial Bank 580,246 164,381 Epistar Corp. 34,619 87,078 * ET Internet Technology Corp. 195,114 99,590 Eternal Chemical Co., Ltd. 164,700 88,108 Everest Textile Co., Ltd. 112,000 30,220 Evergreen International Storage & Transport Corp. 391,000 160,633 Everlight Chemical Industrial Corp. 65,000 22,668 Everlight Electronics Co., Ltd. 83,640 133,039 Everspring Industry Co., Ltd. 51,000 17,369 * Far East Department Stores, Ltd. 312,000 129,754 Far Eastern International Bank 381,000 193,210 * Federal Corp. 73,552 52,876 Feng Hsin Iron & Steel Co., Ltd. 192,180 162,147 Feng Tay Enterprise Co., Ltd. 117,100 122,797 First Copper Technology Co., Ltd. 62,000 20,778 * First International Computer, Inc. 375,000 71,648 * Formosa International Hotels Corp. 49,500 60,629 Formosa Taffeta Co., Ltd. 600,000 254,000 * Formosan Rubber Group, Inc. 68,000 29,350 Giant Manufacture Co., Ltd. 81,170 97,290 * Giga Storage Corp. 42,000 23,966 Globe Union Industrial Corp. 32,634 43,345 * Gold Circuit Electronics, Ltd. 77,446 31,255 * Goldsun Development & Construction Co., Ltd. 295,000 74,005 * Grand Pacific Petrochemical Corp. 115,000 46,835 Great China Metal Industry Co., Ltd. 63,000 $ 36,818 Great Taipei Gas Co., Ltd. 97,000 37,544 Great Wall Enterprise Co., Ltd. 63,000 16,363 Greatek Co., Ltd. 82,030 90,110 Hey Song Corp. 96,000 30,807 Ho Tung Holding Corp. 145,901 53,392 * Hocheng Corp. 71,000 21,904 Hotai Motor Co., Ltd. 179,000 244,889 * Hsin Kuang Steel Co., Ltd. 23,000 40,287 * Hsinchu International Bank 527,000 297,015 Hsing Ta Cement Co., Ltd. 100,000 30,003 Hua Eng Wire & Cable Co., Ltd. 113,565 31,494 * Hung Poo Construction Corp. 76,000 53,591 * Hung Sheng Construction Co., Ltd. 161,000 87,975 * Ichia Technologies, Inc. 61,200 152,512 * Infodissc Technology Co., Ltd. 115,000 32,626 * Infortrend Technology, Inc. 34,000 118,389 K Laser Technology, Inc. 20,343 14,722 * Kao Hsing Chang Iron & Steel Corp. 101,000 30,250 Kaulin Manufacturing Co., Ltd. 16,000 21,267 Kendra Rubber Industrial Co., Ltd. 100,793 72,532 * King Yuan Electronics Co., Ltd. 116,000 114,939 * Kingdom Construction Co., Ltd. 107,000 39,231 * King's Town Construction Co., Ltd. 36,000 66,478 Kinpo Electronics, Inc. 457,000 239,738 Knowledge-Yield-Excellence Systems Corp. 23,995 24,906 * Lead Data Co., Ltd. 82,000 29,279 * Lealea Enterprise Co., Ltd. 110,000 20,283 Lee Chang Yung Chemical Industry Corp. 70,019 26,573 * Lelon Co., Ltd. 27,378 13,199 * Leofoo Development Co., Ltd. 35,000 13,893 Li Shin International Enterprise Corp. 25,280 13,499 Lien Hwa Industrial Corp. 119,000 37,155 * Ling Sheng PrecisionIndustrial Corp. 45,000 25,682 * Long Bon Development Co., Ltd. 98,000 34,897 Long Chen Paper Co., Ltd. 89,000 31,973 Lucky Cement Corp. 97,000 30,281 Meiloon Co., Ltd. 43,060 55,800 Mercuries & Associates, Ltd. 110,250 40,642 * Mercuries Data Co., Ltd. 50,000 23,520 Merry Electronics Co., Ltd. 24,480 65,345 * Microelectronics Technology, Inc. 77,000 39,105 Mitac International Corp. 383,000 178,058 * Mustek Systems, Inc. 36,000 18,046 * Nankang Rubber Tire Co., Ltd. 75,000 78,984 National Petroleum Co., Ltd. 33,325 22,978 Nien Hsing Textile Co., Ltd. 229,000 223,959 * Nien Made Enterprise Co., Ltd. 81,752 142,220 * Opto Tech Corp. 61,000 18,833 * Orient Semiconductor Electronics, Ltd. 455,917 54,141 Oriental Union Chemical Corp. 179,720 196,881 * Pacific Electric Wire & Cable Corp. 726,000 11,328 * Pan Jit International, Inc. 33,000 30,792 * Pan Overseas Electronics Co., Ltd. 67,000 30,004 * Pan-International Industrial 105,000 67,569 Phihong Technology Co., Ltd. 39,472 22,024 * Phoenix Precision Technology Corp. 152,000 113,756 Phoenixtec Power Co., Ltd. 172,725 195,048
113
SHARES VALUE+ --------------- --------------- * Picvue Electronics, Ltd. 181,900 $ 65,739 Pihsiang Machinery Mfg. Co., Ltd. 48,000 115,130 Premier Image Technology Corp. 51,000 76,438 Primax Electronics, Ltd. 59,987 21,763 * Prince Housing & Development Corp. 223,000 60,950 * Procomp Informatics, Ltd. 21,675 7,049 * Prodisc Technology Inc. 218,560 167,914 * Q-Run Technology Co., Ltd. 94,000 166,159 Radium Life Tech 33,000 33,319 * Ruentex Development Co., Ltd. 140,000 29,974 * Ruentex Industries, Ltd. 141,000 51,162 * Sampo Corp. 438,000 147,068 * San Fang Chemical Industry Co., Ltd. 40,700 28,192 * Sanyang Industrial Co., Ltd. 205,000 80,994 Sanyo Electric Co., Ltd. 56,000 34,254 Senao International Co., Ltd. 31,900 18,408 Sheng Yu Steel Co., Ltd. 116,980 129,750 Shihlin Electric & Engineering Corp. 162,000 99,086 * Shihlin Paper Corp. 56,000 40,170 * Shinkong Synthetic Fibers Co., Ltd. 388,000 79,725 * Shuttle, Inc. 28,200 35,077 * Silicon Integrated Systems Corp. 150,000 79,768 Sincere Navigation Corp. 91,015 63,492 * Sinkong Spinning Co., Ltd. 60,000 24,478 * Sintek Photronics Corp. 177,000 142,286 Sinyi Realty, Inc. 20,000 50,959 * Solomon Technology Corp. 90,000 29,719 Southeast Cement Co., Ltd. 94,000 26,194 Springsoft, Inc. 35,466 87,169 Stark Technology, Inc. 45,100 29,913 Sunonwealth Electric Machine Industry Co., Ltd. 44,719 22,125 Sunrex Technology Corp. 37,260 31,571 Systex Corp., Ltd. 299,000 141,863 Ta Chen Stainless Pipe Co., Ltd. 25,000 17,738 * Ta Chong Bank 413,000 139,914 Ta Ya Elec Wire & Cable Co., Ltd. 87,000 33,423 * Taichung Commercial Bank 484,000 132,880 * Tainan Business Bank 179,000 61,856 Tainan Enterprises Co., Ltd. 28,000 38,879 Tainan Spinning Co., Ltd. 541,000 162,909 Taiwan Acceptance Corp. 37,000 32,717 Taiwan Fire & Marine Insurance Co., Ltd. 67,000 39,004 Taiwan Fu Hsing Industrial Co., Ltd. 30,000 27,092 * Taiwan Green Point Enterprises Co., Ltd. 22,000 83,836 Taiwan Hon Chuan Enterprise Co., Ltd. 19,059 19,229 Taiwan Kai Yih Industrial Co., Ltd. 27,270 25,360 * Taiwan Kolin Co., Ltd. 90,000 25,609 Taiwan Life Insurance Co., Ltd 164,350 288,424 Taiwan Mask Corp. 49,720 26,576 Taiwan Navigation Co., Ltd. 81,240 54,903 Taiwan Polypropylene Co., Ltd. 63,416 54,018 Taiwan Secom 156,912 156,057 Taiwan Sogo Shinkong Security Co., Ltd. 45,150 22,760 Taiwan Styrene Monomer Corp. 169,000 129,017 * Taiwan Tea Corp. 220,917 53,258 Teco Electric & Machinery Co., Ltd. 225,000 77,925 Tecom, Ltd. 41,114 $ 17,035 Test-Rite International Co., Ltd. 82,541 44,500 * The Chinese Bank 464,000 106,369 * The Farmers Bank of China 569,720 186,450 The First Insurance Co., Ltd. 50,000 36,333 * Ton Yi Industrial Corp. 512,280 152,894 Tong Yang Industry Co., Ltd. 158,824 269,575 Transcend Information, Inc. 91,440 223,623 Tsann Kuen Enterprise Co., Ltd. 62,000 84,750 * TSRC Corp. 127,000 50,036 * Tung Ho Steel Enterprise Corp. 219,687 153,297 * Twinhead International Corp. 121,000 24,570 TYC Brother Industrial Co., Ltd. 43,680 47,880 * Tycoons Group Enterprise Co., Ltd. 72,000 21,419 U-Ming Marine Transport Corp. 174,000 219,207 * Union Bank of Taiwan 602,000 192,278 * Union Insurance Co., Ltd. 90,185 30,289 * Unitech Printed Circuit Board Corp. 62,000 38,862 * United Epitaxy Co., Ltd. 50,000 26,694 United Integration Service Co., Ltd. 44,450 55,055 * Universal Cement Corp. 63,000 23,237 * Universal Scientific Industrial Co., Ltd. 211,000 93,966 UPC Technology Corp. 171,680 65,109 * Usi Corp. 238,000 93,827 Walsin Technology Corp., Ltd. 98,793 83,688 * Waterland Financial Holdings 375,000 139,499 * Wei Chuan Food Corp. 70,000 29,321 Weltrend Semiconductor, Inc. 32,480 20,677 Wintek Corp. 199,800 266,579 * Wistron Corp. 199,000 130,214 World Peace Industrial Co., Ltd. 87,425 84,414 * WUS Printed Circuit Co., Ltd. 134,000 90,590 Ya Hsin Industrial Co., Ltd. 60,000 79,598 * Yeung Cyang Industrial Co., Ltd. 26,000 25,073 Yieh Phui Enterprise Co., Ltd. 280,580 192,918 Yosun Industrial Corp. 19,257 20,137 * Yuen Foong Yu Paper Manufacturing Co., Ltd. 438,863 240,918 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,672 33,120 Yung Shin Pharmaceutical Industrial Co., Ltd. 33,000 24,836 Yung Tay Engineering Co., Ltd. 127,000 74,570 Zig Sheng Industrial Co., Ltd. 71,000 20,420 Zinwell Corp. 23,320 21,565 Zyxel Communication Corp. 73,515 154,662 --------------- TOTAL COMMON STOCKS (Cost $17,055,682) 18,559,325 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Taiwan Dollar (Cost $31,141) 31,333 --------------- RIGHTS/WARRANTS -- (0.0%) * Yeun Chyang Industrial Co., Ltd. Rights 05/31/04 (Cost $0) 2,484 0 --------------- TOTAL -- TAIWAN (Cost $17,086,823) 18,590,658 ---------------
114
SHARES VALUE+ --------------- --------------- MALAYSIA -- (10.6%) COMMON STOCKS -- (10.6%) * A&M Realty Berhad 65,000 $ 23,595 ACP Industries Berhad 34,000 17,789 Affin Holdings Berhad 562,100 199,908 Amalgamated Industrial Steel Berhad 11,250 2,076 * AMBD Berhad 58,000 2,976 Amway (Malaysia) Holdings Berhad 92,000 165,959 Ann Joo Resources Berhad 83,000 34,552 * Anson Perdana Berhad 10,000 118 Antah Holding Berhad 23,000 939 * Aokam Perdana Berhad 733 12 APM Automotive Holdings Berhad 74,500 49,616 * Arab Malaysia Corp. Berhad 558,000 198,288 Asas Dunia Berhad 16,000 4,422 * Asia Pacific Land Berhad 70,000 4,791 Asiatic Development Berhad 447,100 205,927 * Avenue Assets Berhad 254,000 35,100 Ayer Hitam Planting Syndicate Berhad 6,000 3,789 Bandar Raya Developments Berhad 295,200 169,933 Batu Kawan Berhad 209,100 329,778 * Berjaya Capital Berhad 391,000 92,170 * Berjaya Land Berhad 465,000 96,680 * Bernas Padiberas Nasional Berhad 143,700 48,766 Bimb Holdings Berhad 208,200 93,054 Bintai Kinden Corp. Berhad 16,000 6,232 Bolton Properties Berhad 96,000 18,453 Boustead Holdings Berhad 233,000 107,393 Cahya Mata Sarawak Berhad 153,000 67,289 * Camerlin Group Berhad 58,000 13,647 Carlsberg Brewery Malaysia Berhad 111,600 308,337 Cement Industries of Malaysia Berhad 48,800 26,313 Chemical Co. of Malaysia Berhad 102,000 64,672 Chin Teck Plantations Berhad 33,000 46,845 * Cosway Corp. Berhad 113,000 26,940 Courts Mammoth Berhad 149,000 89,419 Cycle & Carriage Bintang Berhad 15,000 13,331 * Damansara Realty Berhad 65,000 1,803 * Datuk Keramik Holdings Berhad 24,000 784 * Digi.Com Berhad 232,000 285,779 * Dijaya Corp. Berhad 96,000 20,456 Diperdana Corp. Berhad 3,000 910 Diversified Resources Berhad 704,300 337,257 DNP Holdings Berhad 34,000 6,390 * E&O Property Development Berhad 563,200 100,729 Eastern & Oriental Berhad 72,000 17,247 * Econstates Berhad 55,500 16,840 Edaran Otomobil Nasional Berhad 173,600 404,359 Esso Malaysia Berhad 126,600 87,403 Europlus Berhad 25,700 4,866 * Faber Group Berhad 16,000 1,428 Far East Holdings Berhad 23,700 21,675 * FCW Holdings Berhad 24,000 2,524 FFM Berhad 82,600 186,838 Fraser & Neave Holdings Berhad 210,700 234,241 Globetronics Technology Berhad 796,400 112,173 Glomac Berhad 70,200 42,709 * Gold IS Berhad 77,000 27,362 * Golden Plus Holdings Berhad 16,000 2,881 * Gopeng Berhad 17,000 2,234 Guiness Anchor Berhad 192,300 $ 228,603 * Gula Perak Berhad 97,700 41,624 Guthrie Ropel Berhad 35,900 35,901 Hap Seng Consolidated Berhad 305,300 202,225 Heitech Padu Berhad 26,000 19,522 Highlands and Lowlands Berhad 411,700 401,040 * HLG Capital Berhad 12,000 3,734 Hock Seng Lee Berhad 44,160 34,831 Hong Leong Industries Berhad 148,100 182,979 Hong Leong Properties Berhad 259,100 36,521 Hume Industries (Malaysia) Berhad 93,867 113,550 Hwang-DBS (Malaysia) Berhad 97,500 44,395 IGB Corp. Berhad 706,850 226,829 IJM Corp. Berhad 255,500 312,991 IJM Plantations Berhad 37,600 11,468 * Insas Berhad 226,000 24,375 IOI Properties Berhad 127,000 239,279 Island & Peninsular Berhad 179,300 217,910 Jaya Jusco Stores Berhad 49,000 142,979 Jaya Tiasa Holdings Berhad 158,400 156,648 * Johan Holdings Berhad 30,000 2,716 John Hancock Life Insurance (M) Berhad 46,000 27,983 Johor Port Berhad 162,700 99,354 * Johore Tenggara Oil Palm Berhad 59,200 19,032 JT International Berhad 122,700 141,468 * K & N Kenanga Holdings Berhad 287,300 73,396 Keck Seng (Malaysia) Berhad 23,000 9,746 KFC Holdings (Malaysia) Berhad 64,000 62,303 Kian Joo Can Factory Berhad 72,900 55,869 Kim Hin Industry Berhad 52,000 38,346 KPJ Healthcare Berhad 62,000 23,513 * Kretam Holdings Berhad 15,000 3,915 * KSL Holdings Berhad 64,500 47,735 * Kub Malaysia Berhad 181,000 32,355 Kulim Malaysia Berhad 53,000 34,143 * Kumpulan Hartanah Selangor Berhad 166,500 28,481 Kwantas Corp. Berhad 68,600 96,655 Ladang Perbadanan-Fima Berhad 11,000 7,682 * Land & General Berhad 180,000 14,681 Landmarks Berhad 182,600 33,150 * Leader Universal Holdings Berhad 69,000 8,165 * Leong Hup Holdings Berhad 46,000 13,915 Lingkaran Trans Kota Holdings Berhad 251,600 176,304 Lingui Development Berhad 219,000 91,198 Lion Diversified Holdings Berhad 114,000 32,131 Lion Industries Corp. Berhad 260,700 66,556 * Liqua Health Corp. Berhad 173 29 MAA Holdings Berhad 85,933 123,341 Magnum 4D Berhad 80,000 85,559 Malayan Cement Berhad 1,453,050 300,423 Malayawata Steel Berhad 72,000 40,764 * Malaysia Aica Berhad 48,200 25,057 * Malaysia Building Society Berhad 35,000 6,808 Malaysia Industrial Development Finance Berhad 544,600 169,498 Malaysia Mining Corp. Berhad 732,900 386,906 Malaysia Smelting Corp. Berhad 23,000 44,785 Malaysian Mosaics Berhad 229,300 96,997
115
SHARES VALUE+ --------------- --------------- Malaysian National Reinsurance Berhad 80,500 $ 69,833 Malaysian Oxygen Berhad 99,100 310,225 Malaysian Plantations Berhad 622,500 372,439 * Malaysian Resources Corp. Berhad 94,666 18,443 * Mancon Berhad 12,000 2,747 Maruichi Malaysia Steel Tube Berhad 58,600 36,523 Matsushita Electric Co. (Malaysia) Berhad 23,884 64,073 MBM Resources Berhad 102,966 67,231 * Media Prima Berhad 61,533 29,181 * Merces Holdings Berhad 1,250 76 Metro Kajang Holdings Berhad 44,100 21,829 * Mieco Chipboard Berhad 69,000 43,825 * MTD Infraperdana Berhad 420,300 80,356 MUI Properties Berhad 75,200 6,526 * Mulpha International Berhad 739,950 123,746 * Multi-Purpose Holdings Berhad 457,000 132,431 * Mycron Steel Berhad 14,650 0 Naim Cendera Berhad 60,700 55,267 * Naluri Berhad 365,000 112,492 * Nam Fatt Berhad 9,000 1,630 Narra Industries Berhad 16,000 8,230 NCB Holdings Berhad 122,000 76,664 Negara Properties (Malaysia) Berhad 6,000 6,388 * New Straits Times Press (Malaysia) Berhad 131,700 135,144 * Nikko Electronics Berhad 36,600 14,528 NV Multi Corp. Berhad 25,900 21,649 * NWP Holdings Berhad 112,000 27,037 Nylex (Malaysia) Berhad 83,000 22,924 Oriental Holdings Berhad 322,200 330,476 OSK Holdings Berhad 301,333 130,659 OSK Property Holdings Berhad 3,393 975 Pacific & Orient Berhad 40,400 20,360 * Pacificmas Berhad 9,500 14,195 Pan Malaysia Cement Works Berhad 192,000 25,231 * Pan Malaysian Industries Berhad 818,000 19,435 * Pan Pacific Asia Berhad 12,000 284 * Panglobal Berhad 14,000 6,963 * PBA Holdings Berhad 52,400 20,655 Pelangi Berhad 268,700 43,427 * Pernas International Holdings Berhad 224,000 32,415 Petaling Garden Berhad 94,000 32,187 Phileo Allied Berhad 279,200 143,382 * Pilecon Engineering Berhad 42,000 940 PK Resources Berhad 14,000 2,723 PPB Group Berhad 145,333 248,664 * Prime Utilities Berhad 3,000 942 * Promet Berhad 52,000 3,968 * Puncak Niaga Holdings Berhad 231,200 165,510 * QL Resources Berhad 57,000 34,519 * QSR Brand Berhad 32,000 17,090 Ramatex Berhad 292,700 273,991 Ranhill Berhad 66,400 119,587 * Ranhill Utilities Berhad 107,800 71,207 * Rashid Hussain Berhad 182,000 34,991 * Rekapacific Berhad 55,000 0 Road Builders (Malaysia) Holdings Berhad 287,700 221,792 Sapura Telecommunications Berhad 64,846 37,193 Sarawak Enterprise Corp. Berhad 421,000 $ 147,313 * Saship Holdings Berhad 23,000 5,387 SCB Developments Berhad 45,000 53,319 Selangor Properties Berhad 171,800 101,656 Shangri-La Hotels (Malaysia) Berhad 114,000 35,005 Shell Refining Co. Federation of Malaysia Berhad 160,900 287,607 * SHL Consolidated Berhad 75,000 26,081 Sime Engineering Services Berhad 279,100 113,946 Sime UEP Properties Berhad 133,000 140,419 Southern Acids (Malaysia) Berhad 41,000 19,863 Southern Bank Berhad (Foreign) 188,750 131,615 Southern Steel Berhad 118,400 68,855 SP Setia Berhad 351,400 349,500 * SRI Hartemas Berhad 65,000 7,099 Star Publications (Malaysia) Berhad 229,300 380,122 * Subur Tiasa Holdings Berhad 65,000 45,442 Sunrise Berhad 91,200 65,545 * Sunway City Berhad 139,000 61,058 * Sunway Construction Berhad 59,000 40,263 * Sunway Holdings, Inc. Berhad 245,700 105,368 * Suria Capital Holdings Berhad 186,000 28,397 * Symphony House Berhad 13,714 5,774 Ta Ann Holdings Berhad 86,800 157,665 Ta Enterprise Berhad 797,000 153,169 Talam Corp. Berhad 12,850 3,956 Tan Chong Motor Holdings Berhad 393,900 122,183 * Tanah Emas Corp. Berhad 65,000 30,534 Tasek Corp. Berhad 37,000 25,058 * Time Dotcom Berhad 1,001,500 258,311 Top Glove Corp. Berhad 30,000 55,257 Tractors Malaysia Holdings Berhad 143,400 94,372 Tradewinds (Malaysia) Berhad 117,000 82,613 * Trengganu Development & Management Berhad 79,700 20,562 Tronoh Mines Malaysia Berhad 148,300 113,696 UAC Berhad 25,000 31,588 Uchi Technologies Berhad 177,500 85,566 UDA Holdings Berhad 81,000 31,779 * UEM World Berhad 745,100 224,695 Unico-Desa Plantations Berhad 79,000 38,428 Union Paper Holdings Berhad 70,000 16,592 * Uniphone Telecommunications Berhad 43,000 12,661 Unisem (M) Berhad 82,500 195,342 United Malacca Rubber Estates Berhad 47,500 43,228 United Malayan Land Berhad 13,000 3,858 United Plantations Berhad 101,700 125,612 * Utama Banking Group Berhad 122,000 31,911 Wah Seong Corp 164,000 70,406 * Wing Tiek Holdings Berhad 8,000 1,874 Worldwide Holdings Berhad 52,000 26,738 WTK Holdings Berhad 93,600 145,390 Yeo Hiap Seng (Malaysia) Berhad 47,300 23,622 * Yu Neh Huat Berhad 500 176 --------------- TOTAL COMMON STOCKS (Cost $19,134,333) 18,048,034 ---------------
116
SHARES VALUE+ --------------- --------------- RIGHTS/WARRANTS -- (0.0%) * FCW Holdings Berhad Warrants 11/11/13 8,000 $ 432 * Kulim Malaysia Berhad Rights 06/04/04 13,250 4,359 * Liqua Health Marketing Berhad Warrants 09/09/08 34 2 * Mieco Chipboard Berhad Warrants 04/01/04 23,000 8,050 * OSK Property Holdings Berhad Rights 06/28/04 1,696 0 * QSR Brand Berhad Warrants 01/24/07 12,800 2,869 --------------- TOTAL RIGHTS/WARRANTS (Cost $605) 15,712 --------------- TOTAL -- MALAYSIA (Cost $19,134,938) 18,063,746 --------------- BRAZIL -- (10.1%) PREFERRED STOCKS -- (9.4%) * Acesita SA 978,765,315 748,523 Alpargatas-Santista Textil SA 500,000 62,117 Bahia Sul Celulose SA 260,593 54,658 Banco Mercantil do Brasil SA 130,000 14,682 Brasileira de Petroleo Ipiranga 60,800,000 243,671 * Braskem SA 40,500,000 637,754 Centrais Electricas de Santa Catarin Celesc Series B 840,000 227,686 Compania Paranaense de Energia Series B 213,000,000 651,578 Confab Industrial SA 119,000 155,518 Coteminas Cia Tecidos Norte de Minas 6,977,102 459,287 Distribuidora de Produtos Petreleo Ipirangi SA 3,900,000 30,203 Duratex SA 13,400,000 264,844 * Electropaulo Electrecidade Metropolitana 28,790,000 452,985 Embraco SA 262,000 102,298 Embratel Participacoes SA 273,800,000 631,710 * Empressa Metropolitanade Aguas e Energia SA 24,000,000 37,018 Energetica do Ceara Coelce 72,000,000 99,903 * ENERSUL Empresa Energetjica de Mato Grosso do Sul SA Series B 13,156,000 35,214 Fertibras SA 3,400 20,845 Forca Luz Cataguazes Leopoldina Series A 23,400,000 10,571 Fras-Le Preferred 20,200 33,178 Globex Utilidades SA 25,268 66,044 * Gradiente Eletronica SA 2,600 3,675 * Industria de Bebidas Antarctica Polar SA 23,000 19,482 * Inepar SA Industria e Construcoes 9,900,001 1,406 Klabin SA 652,000 843,666 Lojas Americanas SA 68,290,369 572,722 Magnesita SA Series A 20,500,000 59,205 Magnesita SA Series C 202,338 570 Marcopolo SA 124,000 211,668 Metal Leve SA 3,400,000 124,524 Metalurgica Gerdau SA 59,302 $ 759,693 * Net Servicos de Communication SA 1,604,500 398,666 * Paranapanema SA 146,200,000 155,211 Perdigao SA NPV 47,900 421,965 Randon Participacoes SA 162,500 192,966 * Rasip Agro-Pastoril SA 51,000 3,785 * Refinaria de Petroleo Ipiranga SA 12,300,000 70,649 Ripasa SA Papel e Celulose 442,000 386,518 Sadia SA 585,000 739,981 Saraiva Livreiros Editores 4,000 11,617 * Sharp SA Equipamentos Eletronicos 30,200,000 195 Siderurgica Belgo-Mineira 1,000,000 222,652 Suzano de Papel e Celulose 248,383 1,025,912 Suzano Petroquimica SA 30,000 33,882 Tele Celular Sul Participacoes SA 405,908,039 517,372 Tele Centro Oeste Celular Participacoes SA 229,000,000 653,969 * Tele Leste Celular Participacoes SA 559,666,572 133,641 Tele Norte Celular Participacoes SA 549,505,027 97,524 Telemig Celular Participacoes SA 398,290,371 568,068 Telenordeste Celular Participacoes SA 408,041,513 492,441 Telesudeste Celular Participacoes SA 285,800,000 465,728 Tim Sul SA Preferred Series B 13,950,000 299,347 Ultrapar Participants 66,639,437 645,106 Uniao des Industrias Petroquimicas SA Series B 563,520 340,040 * Varig Participacoes Em Transportes 122,026 650 * Varig Particpacoes Em Servicos 116,823 109 * Varig SA Viacao Aerea Riograndense 16,000 4,956 Weg SA 280,100 641,726 --------------- TOTAL PREFERRED STOCKS (Cost $14,370,746) 16,161,574 --------------- COMMON STOCKS -- (0.7%) * Acos Especiais Itabira-Acesita Aces 42,900,000 30,593 * Acos Villares SA Avil 120,000 5,305 Avipal SA Avicultura e Agropecua 50,900,000 80,481 Eternit SA 120,000 10,339 Forjas Taurus SA 88,000 41,459 Metalurgica Gerdau SA 1,292 14,012 Petroquimica do Sul Copesul 18,200,000 898,548 * Rhodia Ster SA 640,780 24,812 Sao Paulo Alpargatas SA 510,000 29,622 --------------- TOTAL COMMON STOCKS (Cost $1,185,597) 1,135,171 --------------- RIGHTS/WARRANTS -- (0.0%) * Tele Celular Sul Participacoes SA Rights 06/07/04 8,289,621 0 * Tele Nordeste Celular Participacoes SA Rights 05/24/04 7,392,740 24 * Tim Sul SA Rights 05/19/04 243,591 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 24 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Brazilian Real (Cost $3) 3 --------------- TOTAL -- BRAZIL (Cost $15,556,346) 17,296,772 ---------------
117
SHARES VALUE+ --------------- --------------- TURKEY -- (7.6%) COMMON STOCKS -- (7.6%) * Adana Cimento Sanayi Ticaret A.S. 253,683,148 $ 166,050 * Ak Enerji A.S. 72,903,000 346,079 * Akal Tekstil A.S. 2,779,875 9,127 Akcansa Cimento Sanayi ve Ticaret A.S. 274,876,875 583,334 * Aksa 38,821,296 326,505 Aksigorta A.S. 285,150,627 674,484 * Aksu Iplik Dokuma ve Boya Apre Fab A.S. 4,477,695 6,969 * Aktas Elektrik Ticaret A.S. 370,000 36,963 * Alarko Holding 21,706,400 430,449 * Alarko Sanayii ve Ticaret A.S. 14,579,992 95,623 Alkim Alkali Kimya A.S. 23,650,000 95,605 * Alternatifbank A.S. 97,063,680 45,245 * Altinyildiz Mensucat ve Konfeksiyan Fabrikalari A.S. 21,960,000 28,563 * Anadolu Anonim Turk Sigorta Sirketi 122,999,220 131,762 Anadolu Cam Sanayii A.S. 250,675,663 622,762 * Anadolu Cam Sanayii A.S. 417,324 1,834 * Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. Series C 15,586,000 91,980 * Ayen Enerji A.S. 17,941,000 122,489 * Bagfas Bandirma Gubre Fabrik 2,300,000 49,890 * Bandirma Vitaminli Yem Sanayii Ticaret A.S. 36,924,546 232,406 Bati Cimento A.S. 96,109,301 150,942 * Bekoteknik Sanayi A.S. 80,999,725 450,272 * Bolu Cimento Sanayi A.S. 111,833,881 128,556 Borusan 36,993,000 193,360 * Bossa Ticaret ve Sanayi Isletmeleri A.S. 128,217,000 112,080 * Brisa Bridgestone Sanbanci Lastik San & Tic A.S. 5,857,000 189,240 Bursa Cimento Fabrikasi A.S. 28,840,000 217,128 * Carsi Buyuk Magazacilik 122,086,500 100,119 Celebi Hava Servisi A.S. 18,903,000 114,692 CIMSA A.S. (Cimento Sanayi ve Ticaret) 228,659,400 443,008 * Deva Holding A.S. 21,599,332 61,671 * Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993,600 81,967 * Eczacibasi Ilac 49,338,000 60,044 * Eczacibasi Ilac Sanayi Issue 197,352,000 220,813 * Eczacibasi Yapi Gere 116,012,250 116,070 * Ege Seramik Co., Inc. 44,835,048 29,273 * Egeplast Plastik Ticaret ve Sanayi A.S. 7,720,000 7,964 * Finansbank 523,018,021 515,643 * Global Menkul Degerler A.S. 31,200,000 22,117 * Global Menkul Degerler A.S. 15,376,164 10,548 * Goldas Kuyumculuk Sanayi A.S. 88,799,600 42,748 * Goltas Cimento 7,128,000 47,043 * Good Year Lastikleri A.S. 14,659,125 121,321 * GSD Holdings A.S. 62,399,999 21,233 * Gubre Fabrikalari Ticaret A.S. 8,436,960 13,456 * Gunes Sigorta A.S. 68,999,261 45,887 * Hektas Ticaret A.S. 25,477,234 15,783 * Ihlas Holding 285,533,822 220,847 * Is Gayrimenk 289,898,200 272,854 * Isiklar Ambalaj Sansuii ve Ticaret A.S. 2,685,000 $ 3,176 * Istanbul Motor Piston ve Pim Sanayi A.S. 229,000 28,135 * Izmir Demir Celik 57,269,250 66,299 Karsu Tekstil Sanayii ve Ticaret A.S. 5,680,000 15,737 Kartonsan 1,698,750 83,644 * Kav Orman Sanayii A.S. 4,654,650 10,781 * Kerevitas Gida Sanayi ve Ticaret A.S. 2,532,000 6,536 Konya Cimento 4,921,000 54,162 * Kordsa Sabanci Dupont Endustriye Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 146,305,500 198,445 * Kutahya Porslen Sanayii A.S. 2,617,000 31,216 * Mardin Cimento 38,235,750 134,209 * Marshall Boya ve Vernik Sanayii A.S. 2,186,000 26,381 * Marshall Boya ve Vernik Sanayii A.S. 2,186,000 25,769 * Medya Holdings A.S. Series C 15,849,000 72,833 * Menderes Tekstil Sanayi ve Ticaret A.S. 104,549,000 48,792 * Merko Gida Sanayi ve Ticaret A.S. Series A 10,580,000 7,188 * Milliyet Gazetecilik A.S. 28,557,680 108,508 * Milpa Ticari ve Sinai Urunler Pazarlama 13,329,360 9,519 * Mudurnu Tavukculuk A.S. 1,740,000 522 * Mutlu Aku 1,527,000 11,304 * Nergis Holding A.S. 1,784,000 4,396 * Net Holding A.S. 15,942,722 12,487 * Net Turizm Ticaret ve Sanayi 16,830,000 14,289 * Netas Northern Electric Telekomunikasyon A.S. 8,756,500 166,698 * Olmuksa Mukavva Sanayi ve Ticaret A.S. 20,976,000 28,514 * Otobus Karoseri Sanayi A.S. 44,321,167 166,879 * Pinar Sut Mamulleri Sanayii A.S. 12,143,250 37,908 * Raks Elektroniks A.S. 2,730,000 2,289 * Sanko Pazarlama Ithalat Ihracat A.S. 48,903,000 128,002 * Sarkuysan Elektrolitik Bakir Sanayi A.S. 10,999,662 14,949 * Sarkuysan Elektrolitik Bakir Sanayi A.S. Issue 04 43,998,648 53,332 * Sasa Suni ve Sentetik Elyat Sanayi A.S. 310,985,000 307,680 * Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 6,300,000 5,006 * T. Tuborg Bira ve Malt Sanayi A.S. 10,974,754 62,060 * Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret A.S. 365,309,000 294,628 * Tat Konserve Sanayii A.S. 63,787,500 93,117 * Tekstil Bankasi A.S. 121,274,079 34,779 * Teletas Telekomunikasyon Endustri Ticaret A.S. 8,799,000 68,168 Tire Kutsan Oluklu Mukavvakutu ve Kagit Sanayi A.S. 39,939,000 63,398 Trakya Cam Sanayii A.S. 154,764,866 350,122 * Turk Demir Dokum Fabrikalari 60,749,982 105,132 Turk Dis Ticaret Bankasi A.S. 334,067,850 410,033 * Turk Siemens Kablo ve Elektrik Sanayi A.S. 9,925,500 69,357
118
SHARES VALUE+ --------------- --------------- * Turk Sise de Cam Fabrikalari A.S. Issue 04 74,340,010 $ 121,301 * Turk Sise ve Cam Fabrikalari A.S. 179,550,063 302,426 * Ulker Gida Sanayi Ve Ticaret 101,003,282 413,700 USAS (Ucak Servisi A.S.) 11,938,000 128,841 * Uzel Makina Sanayi A.S. 41,851,000 177,841 * Vakif Finansal Kiralama A.S. 5,450,302 6,642 * Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027,800 8,708 * Zorlu Enerji Elektrik Uretimi Otoproduktor Gruba A.S. 98,400,000 356,973 --------------- TOTAL -- TURKEY (Cost $10,681,810) 13,077,609 --------------- ISRAEL -- (7.3%) COMMON STOCKS -- (7.3%) * Afcon Industries 159 1,745 Albad Massuot Yitzhak, Ltd. 7,600 120,951 Alony Hetz Properties & Investments, Ltd. 46,080 86,204 American Israeli Paper Mills, Ltd. 4,542 242,610 * Azorim Investment Development & Construction Co., Ltd. 40,322 347,470 * Baran Group, Ltd. 9,500 55,493 * Beit Shemesh Engines Holdings (1997), Ltd. 3,351 10,988 Blue Square Israel, Ltd. 45,312 485,735 * C Mer Industries, Ltd. 7,900 77,446 Danya Cebus, Ltd. 19,413 92,633 Delek Automotive Systems, Ltd. 96,288 697,006 * Delek Drilling 599,731 251,431 Delta Galil Industries, Ltd. 27,362 411,522 * Direct Insurance - I.D.I. Insurance Co., Ltd. 59,860 116,056 * Discount Mortgage Bank, Ltd. 1,320 109,589 * Elbit Medical Imaging 27,990 210,890 Elco Industries (1975) 5,476 28,562 Electra Consumer 22,800 274,169 Electra Israel, Ltd. 3,700 274,679 * Electronics Line, Ltd. 3,169 22,199 * Elron Electronic Industries, Ltd. 34,325 453,233 * Feuchtwanger Investments 1984, Ltd. 4,200 2,301 FMS Enterprises Migun, Ltd. 7,300 215,353 * Formula Systems (1985), Ltd. 12,170 230,706 * Formula Vision Technologies, Ltd. 1,604 1,803 Frutarom Industries (1995), Ltd. 48,400 252,629 Gachelet Invetment Co., Ltd. 653 33,132 * Granite Hacarmel Investments, Ltd. 19,200 31,882 * Housing & Construction Holding Co., Ltd. 473,282 316,153 Industrial Building Corp., Ltd. 284,973 292,967 Investec Bank, Ltd. 3,222 91,886 * Israel Land Development Co., Ltd. 26,000 89,725 * Israel Petrochemical Enterprises, Ltd. 32,500 150,525 * Israel Salt Industries 38,139 117,462 Ituran 7,011 134,836 * J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 34,122 * Knafaim-Arkia Holdings, Ltd. 14,161 179,337 * Koor Industries, Ltd. 19,500 739,512 * Leader Holding & Investments, Ltd. 11,500 14,131 * Lipman Electronic Engineering, Ltd. 12,968 614,645 * Magic Software Enterprises, Ltd. 24,908 $ 114,193 Maman Cargo Terminals & Handling, Ltd. 33,600 45,966 * Matav Cable Israel 35,613 332,067 Medtechnica, Ltd. 14,470 66,318 * Mehadrin, Ltd. 3,887 68,253 * Metalink, Ltd. 22,247 137,548 Middle East Tube Co. 19,000 24,873 Miloumor, Ltd. 12,658 48,526 Mivtach Shamir Holdings, Ltd. 12,000 162,911 * Naphtha Israel Petroleum Corp. 105,630 15,690 * Nice Systems, Ltd. 15,600 342,578 * OCIF Investments and Development, Ltd. 1,100 14,553 Ormat Industries, Ltd. 75,100 324,394 Property and Building Corp., Ltd. 4,894 418,539 * Rapac Electronics, Ltd. 6,000 16,744 * Rapac Technologies (2000), Ltd. 6,000 15,771 * Retalix, Ltd. 13,300 261,467 * Scitex Corp., Ltd. 46,509 263,495 * Shrem Fudim Kelner & Co., Ltd. 6,600 17,251 Strauss Elite, Ltd. 44,000 403,612 Suny Electronic Inc., Ltd. 37,700 215,211 Tadiran Communications, Ltd. 12,806 438,801 * Team Computer & Systems, Ltd. 1,400 25,384 Tefahot Israel Mortgage Bank, Ltd. 33,330 309,075 Telsys, Ltd. Electronic Engineering 5,300 29,945 * Tower Semiconductor, Ltd. 59,093 298,062 * Union Bank of Israel, Ltd. 55,564 184,263 Ytong Industries, Ltd. 52,500 53,290 --------------- TOTAL COMMON STOCKS (Cost $8,415,304) 12,562,498 --------------- RIGHTS/WARRANTS -- (0.0%) * Alony Hetz Properties & Investments, Ltd. Warrants 11/20/07 16,263 6,985 * Delek Drilling Warrants 07/31/04 27,376 5,679 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 12,664 --------------- TOTAL -- ISRAEL (Cost $8,415,304) 12,575,162 --------------- MEXICO -- (6.9%) COMMON STOCKS -- (6.9%) * Cintra S.A. de C.V. 137,000 24,011 * Consorcio Ara S.A. 599,000 1,646,640 * Consorcio Hogar S.A. de C.V. Series B 325,000 105,091 Controladora Comercial Mexicana S.A. de C.V. Series B 1,326,100 1,557,178 * Corporacion Geo S.A. de C.V. Series B 1,330,000 1,713,272 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 703,769 1,486,293 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,623 149 Corporativo Fragua S.A. de C.V. Series B 31 82 * Desc S.A. de C.V. Series B 981,833 288,230 * Empaques Ponderosa S.A. de C.V. Series B 206,000 10,831
119
SHARES VALUE+ --------------- --------------- * Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 $ 1,924,356 Empresas la Moderna S.A. de C.V. Series A 610,700 129,509 * GPo Iusacell 51,405 62,975 Gruma S.A. de C.V. Series B 138,000 231,582 Grupo Casa Saba S.A. de C.V. 39,700 51,141 Grupo Cementos de Chihuahua, S.A. de C.V. 398,000 652,202 Grupo Corvi S.A. de C.V. Series L 100,000 16,562 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 1,870 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 23,928 5,032 * Grupo Industrial Maseca S.A. de C.V. Series B 446,000 195,612 Grupo Industrial Saltillo Unique Series 90,600 148,466 * Grupo Nutrisa S.A. de C.V. 188 42 Grupo Posadas S.A. de C.V. Series L 199,000 115,095 * Grupo Qumma S.A. de C.V. Series B 105,334 1,662 * Grupo Tribasa S.A. de C.V. 67,110 0 Herdez Common Series 107,000 46,883 * Hylsamex S.A. de C.V. Series B 82,000 115,690 Industrias Bachoco S.A. de C.V. (Certificate Representing Series B and Series L) 66,000 106,997 * Industrias S.A. de C.V. Series B 33,000 151,821 * Jugos del Valle S.A. de C.V. Series B 37,900 59,848 * Movilaccess S.A. de C.V. Series B 13,489 44,918 Nadro S.A. de C.V. Series B 242,967 128,174 * Sanluis Corporacion S.A. de C.V. (Certificates representing 1 share Series B, 1 share Series C & 1 share Series D) 3,300 1,345 Vitro S.A. 811,000 852,824 --------------- TOTAL COMMON STOCKS (Cost $8,982,127) 11,876,383 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Mexican Peso (Cost $8,636) 6,893 --------------- TOTAL -- MEXICO (Cost $8,990,763) 11,883,276 --------------- THAILAND -- (6.5%) COMMON STOCKS -- (6.5%) A.J. Plast Public Co., Ltd. (Foreign) 166,500 18,222 * Adkinson Securities Public Co., Ltd. (Foreign) 138,150 32,179 * Advance Agro Public Co., Ltd. (Foreign) 809,000 448,669 Aeon Thana Sinsap (Thailand) Public Co., Ltd. 28,500 91,324 Amarin Plaza Public Co., Ltd. (Foreign) 523,680 28,914 Amata Corp. Public Co., Ltd. 782,800 227,682 Asian Property Development Public Co., Ltd. (Foreign) 1,435,000 148,558 Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 250,000 51,454 Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 $ 675,064 Bangkok Insurance Public Co., Ltd. 35,880 212,255 * Bangkok Land Co., Ltd. (Foreign) 4,830,900 111,931 * Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 893 Banpu Public Co., Ltd. (Foreign) 133,600 405,048 Big C Supercenter Public Co., Ltd. (Foreign) 87,000 38,386 * Book Club Finance Public Co., Ltd. 157,200 24,992 Cal-Comp Electronics (Thailand) Public Co., Ltd. 173,800 139,229 * Capetronic International (Thailand) Public Co., Ltd. (Foreign) 1,020,399 51,812 Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 86,172 * Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,025 Central Pattana Public Co., Ltd. (Foreign) 490,000 107,493 Central Plaza Hotel Public Co., Ltd. (Foreign) 79,000 28,625 * Ch Karnchang Public Co., Ltd. (Foreign) 797,400 257,479 Charoong Thai Wire & Cable Public Co., Ltd. 130,000 29,800 Compass East Ind-Foreign 122,000 24,508 * DBS Thai Danu Bank Public Co., Ltd. (Foreign) 1,306,000 101,724 Dynasty Ceramic Public Co., Ltd. 232,500 115,190 * Eastern Star Real Estate Public Co., Ltd. (Foreign) 1,537,600 20,466 Eastern Water Resources Development & Management Public Co., Ltd. (Foreign) 90,100 111,043 Fancy Wood Industries Public Co., Ltd. 260,800 33,106 * GFPT Public Co., Ltd. 71,400 25,871 GMM Grammy Public Co., Ltd. (Foreign) 460,000 179,147 * Golden Land Property Development Public Co., Ltd. (Foreign) 485,616 114,312 Hana Microelectronics Public Co., Ltd. (Foreign) 73,894 227,674 Hermraj Land & Development Public Co., Ltd. 3,087,400 75,340 Home Product Center Public Co., Ltd. 417,900 45,117 ICC International Public Co., Ltd. 155,000 135,630 * International Broadcasting Corp. Public Co., Ltd. (Foreign) 408,170 179,084 * International Engineering Public Co., Ltd. (Foreign) 20,000 503 * ITV Public Co., Ltd. 254,000 93,912 * Jasmine International Public Co., Ltd. (Foreign) 7,000,000 151,836 * K.R. Precision Public Co., Ltd. (Foreign) 320,598 18,650 Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 9,672 KCE Electronics Public Co., Ltd. (Foreign) 204,000 54,809
120
SHARES VALUE+ --------------- --------------- * Keppel Thai Properties Public Co., Ltd. 8,360 $ 828 KGI Securities One Public Co., Ltd. (Foreign) 1,070,446 102,902 Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 41,272 Loxley Public Co., Ltd. (Foreign) 958,120 87,853 LPN Development Public Co., Ltd. (Foreign) 340,505 23,668 MBK Development Public Co., Ltd. 114,000 140,498 * Media of Medias Public Co., Ltd. (Foreign) 9,100 3,701 MFC Asset Management Public Co., Ltd. (Foreign) 5,000 1,972 MK Real Estate Development Public Co., Ltd. (Foreign) 472,260 26,541 Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 9,900 64,910 * Nakornthai Strip Mill Public Co., Ltd. 1,902,400 83,936 Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 53,716 National Finance and Securities Public Co., Ltd. (Foreign) 476,800 173,937 National Petrochemical Public Co., Ltd. (Foreign) 447,300 992,285 Noble Development Public Co., Ltd. 260,100 57,700 * Pacific Assets Public Co., Ltd. (Foreign) 141,000 20,332 * Padaeng Industry Public Co., Ltd. (Foreign) 73,800 25,649 Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 4,338 Phatra Insurance Public Co., Ltd. 10,000 40,424 Phoenix Pulp and Paper Public Co., Ltd. (Foreign) 62,800 151,698 * Prasit Development Public Co., Ltd. (Foreign) 29,700 1,098 Quality Houses Public Co., Ltd. (Foreign) 3,370,500 95,540 Regional Container Lines Public Co., Ltd. 482,900 171,402 * Robinson Department Store Public Co., Ltd. (Foreign) 18,525 1,827 Saha Pathana Inter-Holding Public Co., Ltd. 350,000 114,740 Saha-Union Public Co., Ltd. (Foreign) 279,500 141,231 * Samart Corporation Public Co., Ltd. 539,500 94,416 Sammakorn Public Co., Ltd. (Foreign) 75,000 4,770 Sansiri Public Co., Ltd. 780,566 107,744 Seamico Securities Public Co., Ltd. 448,722 111,710 Serm Suk Public Co., Ltd. (Foreign) 10,000 6,039 Shinawatra Satellite Public Co., Ltd. (Foreign) 307,400 96,986 Siam Food Products Public Co., Ltd. (Foreign) 9,000 17,747 Siam Industrial Credit Public Co., Ltd. 352,862 61,318 Siam Makro Public Co., Ltd. (Foreign) 136,800 161,854 Sino-Thai Engineering & Construction Public Co., Ltd. (Foreign) 502,100 172,028 Sri Trang Agro Industry Public Co., Ltd. (Foreign) 30,496 26,685 Srithai Superware Public Co., Ltd. (Foreign) 16,400 2,870 * Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 54 $ 4,392 * STP & I Public Co., Ltd. 138,700 7,453 * Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,877 Supalai (Forign) 346,000 26,609 SVI Public Co., Ltd. 122,266 39,781 * Tanayong Public Co., Ltd. (Foreign) 261,000 6,433 TCJ Motor Public Co., Ltd. (Foreign) 730 828 * Telecomasia Corp. Public Co., Ltd. (Foreign) 765,100 115,039 * Thai Gypsum Public Co., Ltd. 650,000 108,146 Thai Plastic and Chemicals Public Co., Ltd. (Foreign) 40,500 179,689 Thai Reinsurance Public Co., Ltd. (Foreign) 660,300 69,334 Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 62,226 Thai Stanley Electric (Thailand) Public Co., Ltd. (Foreign) 16,000 103,328 Thai Vegetable Oil-Foreign 482,600 141,556 Thai Wacoal Public Co., Ltd. 78,000 59,601 Thai-German Ceramic Industry Public Co., Ltd. (Foreign) 361,000 46,271 * Tipco Asphalt Public Co., Ltd. (Foreign) 95,200 67,464 TIPCO Foods (Thailand) Public Co., Ltd. 147,620 18,557 TISCO Finance Public Co., Ltd. (Foreign) 745,900 510,198 * TPI Polene Public Co., Ltd. (Foreign) 458,476 367,278 * TT&T Public Co., Ltd. (Foreign) 1,020,000 96,544 * Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 5,998 * United Communication Industry Public Co., Ltd. (Foreign) 139,000 150,752 United Palm Oil Industry Public Co., Ltd. 21,000 21,093 Vanachai Group Co-Foreign 953,066 253,712 * Vinythai Public Co., Ltd. (Foreign) 861,634 244,239 --------------- TOTAL COMMON STOCKS (Cost $8,462,706) 11,131,363 --------------- RIGHTS/WARRANTS -- (0.0%) * Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) Rights 06/25/04 8,333 483 * Bangkok Land (Foreign) Warrants 2006 217,330 0 * Ch Karnchang Public Co., Ltd. Warrants 12/06 125,600 25,541 * Seamico Securities Public Co., Ltd. (Foreign) Warrants 12/02/04 13,680 0 * Seamico Securities Public Co., Ltd. (Foreign) Warrants 2008 98,500 13,596 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 39,620 --------------- TOTAL -- THAILAND (Cost $8,462,706) 11,170,983 ---------------
121
SHARES VALUE+ --------------- --------------- INDONESIA -- (6.0%) COMMON STOCKS -- (6.0%) * PT Apac Centretex Corporation Tbk 122,000 $ 1,973 * PT Argha Karya Prima Industry Tbk 90,666 7,087 * PT Artha Graya Investama Sentral Tbk 4,773,000 51,331 PT Asahimas Flat Glass Co., Ltd. 1,271,000 255,832 PT Astra Agro Lestari Tbk 6,656,000 1,796,401 PT Astra Graphia Tbk 4,549,000 122,740 * PT Bank NISP Tbk 13,832,920 762,519 * PT Batu Buana 77,715 670 PT Berlian Laju Tanker Tbk 7,383,600 734,381 PT Bhakti Investama Tbk 9,031,500 287,573 PT Branta Mulia Tbk 66,000 5,515 * PT Budi Acid Jaya Tbk 1,449,000 14,106 PT Charoen Pokphand Indonesia Tbk 3,406,500 84,838 * PT Ciputra Development Tbk 161,250 5,133 PT Citra Marga Nusaphala Persada 6,649,500 336,955 * PT Clipan Finance Indonesia Tbk 3,133,000 105,379 PT Dankos Laboratories Tbk 6,022,800 422,518 * PT Davomas Adabi Tbk 4,192,000 266,609 * PT Dharmala Intiland 277,400 2,247 PT Dynaplast Tbk 1,038,000 170,675 PT Enseval Putera Megatrading Tbk 6,380,000 279,190 * PT Eterindo Wahanatama Tbk 397,000 6,007 * PT Ever Shine Textile Tbk 4,029,640 40,188 * PT Gajah Tunggal Tbk 236,000 13,363 * PT GT Petrochem Industries Tbk 918,000 38,324 * PT Hero Supermarket Tbk 33,000 3,563 * PT Indal Aluminium Industry 47,000 709 PT Indorama Synthetics Tbk 2,211,000 100,411 * PT Jakarta International Hotel and Development Tbk 790,000 19,236 * PT Jaya Real Property 393,500 69,968 PT Kalbe Farma Tbk 25,907,600 1,006,919 * PT Karwell Indonesia 138,000 4,947 * PT Kawasan Industry Jababeka Tbk 43,401,000 375,127 * PT Keramika Indonesia Assosiasi Tbk 100,000 1,887 PT Komatsu Indonesia Tbk 860,000 119,495 PT Lautan Luas Tbk 1,887,500 46,781 PT Matahari Putra Prima Tbk Foreign 2,609,000 140,892 PT Mayorah Indah 2,473,500 246,923 * PT Metrodata Electronics Tbk 3,981,000 32,219 * PT Modern Photo Tbk 40,000 2,711 * PT Mulia Industrindo 542,000 12,836 PT Mustika Ratu Tbk 723,000 31,199 * PT Pakuwon Jati Tbk 63,000 2,412 * PT Panasia Indosyntec Tbk 79,000 3,364 PT Panin Insurance Tbk 7,979,000 205,996 * PT Prasidha Aneka Niaga Tbk 84,000 951 PT Pudjiadi Prestige, Ltd. Tbk 45,500 920 * PT Putra Sejahtera Pioneerindo 29,000 1,180 * PT Rig Tenders Indonesia Tbk 178,000 133,645 PT Selamat Semp Tbk 1,920,000 50,897 * PT Semen Cibinong Tbk 702,000 23,077 * PT Sinar Mas Agro Resources and Technology Tbk 87,792 26,292 PT Summarecon Agung Tbk 6,332,000 307,947 * PT Sunson Textile Manufacturer Tbk 343,000 3,940 * PT Suparma Tbk 2,400,000 46,495 * PT Surabaya Agung Industri Pulp & Paper 64,500 452 * PT Surya Dumai Industri Tbk 3,298,500 $ 121,804 * PT Suryamas Dutamakmur 125,000 911 PT Tempo Scan Pacific 471,500 353,425 * PT Texmaco Jaya Tbk 93,000 29,580 PT Timah Tbk 1,701,000 357,971 * PT Trias Sentosa Tbk 9,198,400 193,523 PT Trimegah Sec Tbk 9,961,000 145,636 PT Tunas Ridean Tbk 1,987,000 72,735 PT Ultrajaya Milk Industry & Trading Co. 390,000 16,387 PT Unggul Indah Corp. Tbk 48,239 12,157 * PT United Tractors 1,128,960 139,780 * PT Wicaksana Overseas International 28,560 762 --------------- TOTAL -- INDONESIA (Cost $8,401,293) 10,279,616 --------------- POLAND -- (4.0%) COMMON STOCKS -- (4.0%) * Amica Wronki SA 18,410 219,619 * Budimex SA 28,076 346,729 * Cersanit-Krasnystaw SA 22,217 568,274 * Computerland SA 14,630 454,902 Debica SA 19,184 660,176 * Echo Investment SA 19,155 428,928 * Fabryki Mebli Forte SA 39,475 143,989 * Farmacol SA 39,250 286,331 * Huta Ferrum SA 309 522 * Impexmetal SA 23,067 202,975 Kroscienskie Huty Szkla Krosno SA 2,000 56,629 * Kutnowskie Zaklady Farmaceutyczne Polfa SA 3,498 302,773 Lentex SA 13,464 104,686 * Mostostal Export SA 42,087 19,028 * Mostostal Siedlce SA 17,520 60,255 * Mostostal Warszawa SA 18,600 65,550 * Mostostal Zabrze Holding SA 18,293 5,462 * Netia Holdings SA 43,672 48,949 * Ocean Company SA 8,530 270 * Optimus Technologie 7,500 20,951 Orbis SA 25,000 154,918 Polifarb Cieszyn Wroclaw SA 98,435 266,097 Polska Grupa Farmaceutyczna SA 22,323 326,151 * Prosper SA 12,770 55,559 Przedsiebiorstwo Farmaceutyczne JELFA SA 14,330 258,893 * Przedsiebiorstwo Telekomunikacyjne Szeptel A.S. 16,774 18,020 Raciborska Fabryka Kotlow SA 37,758 140,498 * Softbank SA 44,730 247,912 * Sokolowskie Zaklady Miesne SA 217,420 332,796 * Stalexport SA 11,514 9,582 * Ster-Projekt SA 20,650 78,855 * Zaklad Przetworstwa Hutniczego Stalprodukt SA 8,169 110,536 Zaklady Metali Lekkich Kety SA 19,615 630,654 * Zaklady Tluszcowe Kruszwica SA 23,610 242,897 --------------- TOTAL -- POLAND (Cost $4,254,114) 6,870,366 ---------------
122
SHARES VALUE+ --------------- --------------- HUNGARY -- (2.6%) COMMON STOCKS -- (2.6%) * Danubius Hotel & Spa RT 58,038 $ 1,127,881 Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 870,034 * Fotex First Hungarian-American Photo Service Co. 749,391 545,350 Globus Konzervipari RT 92,126 380,252 * Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 67,414 324,636 * North American Business Industries RT 51,024 215,902 * Pannonplast P.L.C. 39,441 303,215 * Raba Hungarian Railway Carriage & Machine Works 143,528 522,670 * Synergon Information Systems Ltd., Budapest 30,190 59,952 * Tiszantuli Aramszolgaltato RT Titasz, Debrecen 1,801 88,333 * Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 39,822 --------------- TOTAL -- HUNGARY (Cost $4,893,648) 4,478,047 --------------- PHILIPPINES -- (2.4%) COMMON STOCKS -- (2.4%) Alaska Milk Corp. 1,404,000 74,143 * Bacnotan Consolidated Industries, Inc. 122,234 21,867 * Bankard, Inc. 412,000 6,731 * Belle Corp. 20,937,000 183,716 * C & P Homes, Inc. 6,477,000 19,714 * Digital Telecommunications (Philippines), Inc. 20,973,000 243,553 EDSA Properties Holdings, Inc. 1,759,970 15,585 * EEI Corp. 1,108,000 5,666 * Fil-Estate Land, Inc. 3,170,700 14,823 * Filinvest Development Corp. 4,664,500 78,854 * Filinvest Land, Inc. 25,798,050 479,740 * First E-Bank Corp. 77,000 1,033 Ginebra San Miguel, Inc. 1,065,200 551,888 * Global Equities, Inc. 886,462 799 * House of Investments, Inc. 732,000 4,714 International Container Terminal Services, Inc. 4,593,837 250,777 * Ionics, Inc. 769,825 16,360 * iVantage Corp. 593,400 3,985 Keppel Philippines Marine, Inc. 610,000 2,946 * Lepanto Consolidated Mining Co. Series B 1,925,000 8,446 * Mabuhay Holdings Corp. 516,000 1,200 * Macroasia Corp. 2,237,500 22,615 * Manila Jockey Club, Inc. 65,311 8,763 * Megaworld Properties & Holdings, Inc. 21,843,500 438,408 * Metro Pacific Corp. 45,763,860 213,325 * Negros Navigation Co., Inc. 31,100 206 * Philex Mining Corp. Series B 150,000 965 * Philippine Bank of Communications 14,726 22,392 * Philippine National Bank 929,975 396,208 * Philippine National Construction Corp. 173,000 10,058 Philippine Savings Bank 317,212 153,215 * Picop Resources, Inc. 1,125,000 725 * Pilipino Telephone Corp. 1,692,000 $ 53,833 * Prime Orion Philippines, Inc. 2,920,000 8,346 Republic Glass Holding Corp. 507,500 15,161 * RFM Corp. 2,378,934 27,054 Robinson's Land Corp. Series B 3,402,000 108,328 Security Bank Corp. 320,842 96,127 SM Development Corp. 4,971,000 94,492 Soriano (A.) Corp. 3,430,211 56,489 Union Bank of the Philippines 47,500 19,546 * United Paragon Mining Corp. 322,500 519 * Universal Rightfield Property Holdings, Inc. 1,062,000 532 Universal Robina Corp. 3,158,100 378,318 * Urban Bank, Inc. 5,658 53 * Victorias Milling Co., Inc. 139,680 2,174 * Vitarich Corp. 176,000 819 --------------- TOTAL -- PHILIPPINES (Cost $6,291,017) 4,115,211 --------------- ARGENTINA -- (1.3%) COMMON STOCKS -- (1.2%) * Acindar Industria Argentina de Aceros SA Series B 459,031 442,533 * Alpargatas SA Industrial y Comercial 1,007 502 * Banco del Sud Sociedad Anonima Series B 89,000 78,651 * Banco Suquia SA 76,789 12,215 * Capex SA Series A 26,370 26,905 * Celulosa Argentina SA Series B 6,375 4,609 * Central Costanera SA Series B 50,000 63,949 * Central Puerto SA Series B 61,000 31,364 * CINBA SA (Cia de Bebidao y Alimentos) 15,000 7,809 Cresud SA Comercial Industrial Financiera y Agropecuaria 155,401 154,810 DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 19,483 * Ferrum SA de Ceramica y Metalurgica Series B 25,200 25,104 * Fiplasto SA Comercial y Industrial Series B 6,000 4,589 * Garovaglio y Zorraquin SA 14,160 1,957 * Importadora y Exportadora de la Patagonia Series B 11,500 48,782 * Introductora de Buenos Aires SA Series A 9,832 6,161 * IRSA Inversiones y Representaciones SA 306,635 214,813 * Juan Minetti SA 131,531 134,412 * Ledesma S.A.A.I. 387,128 223,929 * Polledo SA Industrial y Constructora y Financiera 88,891 13,397 * Quimica Estrella SA Series B 27,200 9,178 * Renault Argentina SA 624,451 98,328 * Sol Petroleo SA 50,662 8,303 Solvay Indupa S.A.I.C. 370,500 307,178 --------------- TOTAL COMMON STOCKS (Cost $2,583,593) 1,938,961 ---------------
123
SHARES VALUE+ --------------- --------------- INVESTMENT IN CURRENCY -- (0.1%) * Argentine Peso (Cost $214,576) $ 215,240 --------------- PREFERRED STOCKS -- (0.0%) * Quimica Estrella New Preferred Shares (Cost $3,163) 3,260 974 --------------- TOTAL -- ARGENTINA (Cost $2,801,332) 2,155,175 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (1.7%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $2,900,000 FHLB Notes 3.375%, 06/15/04, valued at $2,947,125) to be repurchased at $2,903,287 (Cost $2,903,000) $ 2,903 2,903,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $155,034,957)++ $ 171,352,129 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. ++ The cost for federal income tax purposes is $155,035,503. See accompanying Notes to Financial Statements. 124 THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
FACE AMOUNT@ VALUE+ --------------- --------------- (000) UNITED STATES -- (59.8%) AGENCY OBLIGATIONS -- (44.7%) Federal Farm Credit Bank 1.760%, 09/22/05 $ 13,000 $ 12,914,174 2.625%, 12/15/05 5,225 5,235,894 1.850%, 03/03/06 131,935 130,062,578 2.500%, 03/15/06 9,125 9,091,201 Federal Home Loan Bank 2.125%, 11/15/05 29,300 29,164,458 2.500%, 11/15/05 15,500 15,517,515 2.250%, 12/15/05 47,000 46,833,526 2.500%, 12/15/05 8,000 8,001,680 2.000%, 02/13/06 66,000 65,304,096 2.250%, 05/15/06 13,000 12,860,874 Federal Home Loan Mortgage Corporation 5.250%, 01/15/06 25,000 26,076,550 1.875%, 02/15/06 76,000 75,151,916 2.375%, 04/15/06 10,000 9,951,850 2.125%, 11/15/05 49,000 48,824,874 Federal National Mortgage Association 2.875%, 10/15/05 25,000 25,176,125 6.000%, 12/15/05 7,500 7,899,293 2.000%, 01/15/06 54,000 53,533,764 5.500%, 02/15/06 49,000 51,321,179 2.125%, 04/15/06 28,000 27,688,640 2.250%, 05/15/06 9,000 8,898,237 --------------- TOTAL AGENCY OBLIGATIONS (Cost $676,442,377) 669,508,424 --------------- BONDS -- (15.1%) Bayerische Landesbank 2.500%, 04/28/06 42,400 41,857,068 Citigroup, Inc. 6.750%, 12/01/05 37,025 39,290,634 General Electric Capital Corp. 2.000%, 01/30/06 30,000 29,654,790 2.850%, 01/30/06 3,000 3,008,475 5.350%, 03/30/06 4,000 4,178,900 KFW International Finance, Inc. 2.500%, 10/17/05 31,000 31,141,794 Toyota Motor Credit Corp. 2.070%, 10/31/05 32,000 32,024,576 4.050%, 01/26/06 4,000 4,086,800 Wells Fargo & Co. 7.250%, 08/24/05 32,380 34,290,452 6.125%, 02/15/06 5,500 5,816,140 --------------- TOTAL BONDS (Cost $226,895,340) 225,349,629 --------------- TOTAL -- UNITED STATES (Cost $903,337,717) 894,858,053 --------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (14.7%) BONDS -- (14.7%) African Development Bank 3.250%, 07/29/05 $ 20,000 $ 20,229,780 Asian Development Bank 2.375%, 03/15/06 9,400 9,395,761 Council of Europe Social Development Fund 4.875%, 10/27/05 31,500 32,565,330 European Investment Bank 5.625%, 01/24/06 25,700 26,997,876 5.250%, 02/01/06 5,000 5,221,000 Inter-American Development Bank 6.125%, 03/08/06 41,800 44,341,440 Nordic Investment Bank 2.750%, 01/11/06 42,500 42,602,297 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 5.000%, 11/04/05 37,500 38,846,250 --------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $222,137,169) 220,199,734 --------------- CANADA -- (5.3%) BONDS -- (5.3%) Canada (Government of) 6.375%, 07/21/05 16,000 16,787,200 Export Development Corp. 2.750%, 12/12/05 8,600 8,654,808 Manitoba, Province of 2.750%, 01/17/06 10,000 10,052,830 Ontario, Province of 6.000%, 02/21/06 42,000 44,201,934 --------------- TOTAL BONDS (Cost $80,720,026) 79,696,772 --------------- INVESTMENT IN CURRENCY -- (0.0%) *Canadian Dollars (Cost $367) 382 --------------- TOTAL -- CANADA (Cost $80,720,393) 79,697,154 --------------- NETHERLANDS -- (4.8%) BONDS -- (4.8%) Bank Nederlandse Gemeenten 4.375%, 12/30/05 37,500 38,545,500 Nederlandse Waterschapsbank NV 5.000%, 09/19/05 21,819 22,549,937 4.250%, 12/28/05 10,000 10,267,000 --------------- TOTAL -- NETHERLANDS (Cost $71,931,831) 71,362,437 ---------------
125
FACE AMOUNT@ VALUE+ --------------- --------------- (000) SWEDEN -- (4.8%) BONDS -- (4.8%) Sweden (Kingdom of) 4.375%, 12/20/05 $ 39,500 $ 40,712,650 Swedish Export Credit Corp. 3.000%, 09/30/05 30,000 30,243,900 --------------- TOTAL -- SWEDEN (Cost $71,432,251) 70,956,550 --------------- GERMANY -- (3.5%) BONDS -- (3.5%) Landesbank Baden-Wuerttemberg 7.000%, 10/05/05 10,000 10,599,000 Landeskreditbank Baden-Wuerttemberg - Foerderbank 4.500%, 12/30/05 7,000 7,213,500 Landwirtschaftliche Rentenbank 5.000%, 09/19/05 15,000 15,502,500 6.625%, 12/08/05 18,500 19,641,450 --------------- TOTAL -- GERMANY (Cost $53,165,203) 52,956,450 --------------- SPAIN -- (2.6%) BONDS -- (2.6%) Instituto de Credito Oficial 2.750%, 12/05/05 17,000 17,076,330 2.375%, 04/18/06 22,000 21,876,140 --------------- TOTAL -- SPAIN (Cost $39,085,523) 38,952,470 --------------- UNITED KINGDOM -- (1.4%) BONDS -- (1.4%) BP Capital Markets P.L.C. 4.625%, 12/12/05 5,000 5,157,500 Landesbank Baden-Wuerttemberg Capital Markets PLC 5.500%, 02/23/06 $ 15,000 $ 15,694,500 --------------- TOTAL -- UNITED KINGDOM (Cost $21,062,029) 20,852,000 --------------- FINLAND -- (1.4%) BONDS -- (1.4%) Republic of Finland 5.875%, 02/27/06 19,500 20,593,033 --------------- FRANCE -- (1.1%) BONDS -- (1.1%) ELF Aquitaine SA Medium Term Notes 7.000%, 10/05/05 16,000 16,948,800 --------------- EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) *Euro Currency (Cost $1,432) 1,903 --------------- TEMPORARY CASH INVESTMENTS -- (0.6%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $9,558,000 FNMA Discount Notes 0.96%, 06/16/04, valued at $9,553,221) to be repurchased at $9,412,931 (Cost $9,412,000) 9,412 9,412,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,510,208,671)++ $ 1,496,790,584 ===============
- ---------- + See Note B to Financial Statements. @ Denominated in local currency or the Euro. * Non-Income Producing Securities. ++ The cost for federal income tax purposes is $1,510,208,671. See accompanying Notes to Financial Statements. 126 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) (UNAUDITED)
THE U.S. THE U.S. LARGE LARGE CAP COMPANY VALUE SERIES SERIES ------------ ------------ ASSETS: Investments at Value (including $390,011 and $459,183 of securities on loan, respectively) $ 3,719,940 $ 3,662,375 Cash 3,729 1 Receivables: Investment Securities Sold -- 605 Dividends, Interest, and Tax Reclaims 5,142 5,373 Securities Lending Income 17 20 Fund Shares Sold 1,653 3,543 Prepaid Expenses and Other Assets 24 13 ------------ ------------- Total Assets 3,730,505 3,671,930 ------------ ------------- LIABILITIES: Payables: Collateral on Securities Loaned 402,677 474,214 Investment Securities Purchased -- 21,826 Fund Shares Redeemed 2,119 96 Payable for Future Margin Variation 139 -- Accrued Expenses and Other Liabilities 338 458 ------------ ------------- Total Liabilities 405,273 496,594 ------------ ------------- NET ASSETS $ 3,325,232 $ 3,175,336 ============ ============= SHARES OUTSTANDING $.01 PAR VALUE N/A 188,406,260 ============ ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE N/A $ 16.85 ============ ============= Investments at Cost $ 3,054,407 $ 3,112,874 ============ ============= THE U.S. THE DFA SMALL INTERNATIONAL CAP VALUE SERIES SERIES ------------ ------------- ASSETS: Investments at Value (including $116,349 and $419,174 of securities on loan, respectively) $ 1,873,221 $ 2,449,899 Cash 1 15 Receivables: Investment Securities Sold 6,981 3,463 Dividends, Interest, and Tax Reclaims 794 8,315 Securities Lending Income 66 371 Fund Shares Sold 1,923 812 Prepaid Expenses and Other Assets 15 13 ------------ ------------- Total Assets 1,883,001 2,462,888 ------------ ------------- LIABILITIES: Payables: Collateral on Securities Loaned 123,459 442,002 Investment Securities Purchased 12,887 3,476 Fund Shares Redeemed -- 335 Due to Advisor 43 324 Accrued Expenses and Other Liabilities 127 219 ------------ ------------- Total Liabilities 136,516 446,356 ------------ ------------- NET ASSETS $ 1,746,485 $ 2,016,532 ============ ============= SHARES OUTSTANDING $.01 PAR VALUE 120,164,188 144,560,171 ============ ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.53 $ 13.95 ============ ============= Investments at Cost $ 1,663,626 $ 2,082,685 ============ =============
See accompanying Notes to Financial Statements. 127
THE THE THE UNITED THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL SMALL SMALL SMALL SMALL COMPANY COMPANY COMPANY COMPANY SERIES SERIES SERIES SERIES ----------- ----------- ----------- ----------- ASSETS: Investments at Value (including $101,833, $14,580, $0, and $102,476 of securities on loan, respectively) $ 544,495 $ 205,501 $ 273,672 $ 661,841 Cash 16 16 15 15 Receivables: Investment Securities Sold -- 60 297 1,176 Dividends, Interest, and Tax Reclaims 3,087 421 1,156 2,111 Securities Lending Income 120 26 -- 119 Fund Shares Sold 43 7 910 4 Prepaid Expenses and Other Assets 2 1 2 2 ----------- ----------- ----------- ----------- Total Assets 547,763 206,032 276,052 665,268 ----------- ----------- ----------- ----------- LIABILITIES: Payables: Collateral on Securities Loaned 109,273 19,379 -- 107,734 Investment Securities Purchased 4,033 2,489 194 147 Fund Shares Redeemed 13 -- -- 40 Due to Advisor 35 15 22 45 Accrued Expenses and Other Liabilities 72 49 60 87 ----------- ----------- ----------- ----------- Total Liabilities 113,426 21,932 276 108,053 ----------- ----------- ----------- ----------- NET ASSETS $ 434,337 $ 184,100 $ 275,776 $ 557,215 =========== =========== =========== =========== SHARES OUTSTANDING $.01 PAR VALUE N/A N/A N/A N/A =========== =========== =========== =========== NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE N/A N/A N/A N/A =========== =========== =========== =========== Investments at Cost $ 602,564 $ 228,420 $ 208,866 $ 498,966 =========== =========== =========== =========== THE THE EMERGING THE DFA EMERGING MARKETS TWO-YEAR GLOBAL MARKETS SMALL CAP FIXED INCOME SERIES SERIES SERIES -------------- -------------- --------------- ASSETS: Investments at Value $ 792,644 $ 171,352 $ 1,496,791 Cash 16 757 16 Receivables: Investment Securities Sold 15 35 23,109 Dividends, Interest, and Tax Reclaims 1,951 369 18,709 Fund Shares Sold 487 264 1,333 Prepaid Expenses and Other Assets 4 1 7 -------------- -------------- -------------- Total Assets 795,117 172,778 1,539,965 -------------- -------------- -------------- LIABILITIES: Payables: Investment Securities Purchased 5,461 801 21,938 Fund Shares Redeemed -- -- -- Due to Advisor 51 28 63 Deferred Thailand Capital Gains Tax 3,275 665 -- Deferred Chilean Repatriation Tax 26 -- -- Accrued Expenses and Other Liabilities 180 60 108 -------------- -------------- -------------- Total Liabilities 8,993 1,554 22,109 -------------- -------------- -------------- NET ASSETS $ 786,124 $ 171,224 $ 1,517,856 ============== ============== ============== SHARES OUTSTANDING $.01 PAR VALUE N/A N/A 151,720,843 ============== ============== ============== NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE N/A N/A $ 10.00 ============== ============== ============== Investments at Cost $ 651,112 $ 155,035 $ 1,510,205 ============== ============== ==============
See accompanying Notes to Financial Statements. 128 STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2004 (AMOUNTS IN THOUSANDS) (UNAUDITED)
THE U.S. THE U.S. LARGE LARGE CAP COMPANY VALUE SERIES SERIES ---------- ---------- INVESTMENT INCOME Dividends $ 26,657 $ 23,072 Interest 266 173 Income from Securities Lending 171 174 ---------- ---------- Total Investment Income 27,094 23,419 ---------- ---------- EXPENSES Investment Advisory Services 408 1,467 Accounting & Transfer Agent Fees 244 444 Custodian Fees 56 139 Legal Fees 13 10 Audit Fees 21 19 S&P 500 Fees 38 -- Shareholders' Reports 28 25 Trustees' Fees and Expenses 29 15 Other 30 33 ---------- ---------- Total Expenses 867 2,152 ---------- ---------- NET INVESTMENT INCOME (LOSS) 26,227 21,267 ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Net Realized Gain (Loss) on Investment Securities Sold (2,018) 22,742 Net Realized Gain (Loss) on Futures 8,199 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 172,722 206,595 Futures (1,635) -- ---------- ---------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 177,268 229,337 ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 203,495 $ 250,604 ========== ==========
See accompanying Notes to Financial Statements. 129
THE U.S. THE DFA SMALL INTERNATIONAL CAP VALUE SERIES SERIES ---------- ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0 and $3,065, respectively) $ 6,892 $ 27,015 Interest 104 115 Income from Securities Lending 462 1,369 ---------- ------------- Total Investment Income 7,458 28,499 ---------- ------------- EXPENSES Investment Advisory Services 244 1,881 Accounting & Transfer Agent Fees 251 483 Custodian Fees 79 290 Legal Fees 5 6 Audit Fees 11 7 Shareholders' Reports 14 11 Trustees' Fees and Expenses 8 4 Other 19 27 ---------- ------------- Total Expenses 631 2,709 ---------- ------------- NET INVESTMENT INCOME (LOSS) 6,827 25,790 ---------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 42,483 50,698 Net Realized Gain (Loss) on Foreign Currency Transactions -- 4 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 22,170 134,458 Translation of Foreign Currency Denominated Amounts -- (180) ---------- ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 64,653 184,980 ---------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 71,480 $ 210,770 ========== =============
See accompanying Notes to Financial Statements. 130
THE THE UNITED THE THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL SMALL SMALL SMALL SMALL COMPANY COMPANY COMPANY COMPANY SERIES SERIES SERIES SERIES ------------ ------------ ------------ ------------ INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $262, $93, $349 and $1,233, respectively) $ 3,501 $ 3,523 $ 3,415 $ 7,595 Interest 40 19 22 44 Income from Securities Lending 675 153 -- 582 ------------ ------------ ------------ ------------ Total Investment Income 4,216 3,695 3,437 8,221 ------------ ------------ ------------ ------------ EXPENSES Investment Advisory Services 191 91 125 259 Accounting & Transfer Agent Fees 222 117 162 265 Custodian Fees 100 103 51 169 Legal Fees 1 1 1 2 Audit Fees 2 1 1 3 Shareholders' Reports 3 -- 2 4 Trustees' Fees and Expenses 2 1 1 3 Other 12 3 8 18 ------------ ------------ ------------ ------------ Total Expenses 533 315 351 723 ------------ ------------ ------------ ------------ NET INVESTMENT INCOME (LOSS) 3,683 3,380 3,086 7,498 ------------ ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (787) 6,588 2,115 4,979 Net Realized Gain (Loss) on Foreign Currency Transactions 51 35 (73) (6) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 74,747 (8,333) 24,616 43,996 Translation of Foreign Currency Denominated Amounts (150) 4 16 9 ------------ ------------ ------------ ------------ NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 73,861 (1,706) 26,674 48,978 ------------ ------------ ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 77,544 $ 1,674 $ 29,760 $ 56,476 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 131
THE THE EMERGING THE DFA EMERGING MARKETS TWO-YEAR GLOBAL MARKETS SMALL CAP FIXED INCOME SERIES SERIES SERIES ---------- ---------- --------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $1,516, $211, $0 and $0, respectively) $ 11,067 $ 1,824 -- Interest 69 20 $ 12,606 ---------- ---------- ------------ Total Investment Income 11,136 1,844 12,606 ---------- ---------- ------------ EXPENSES Investment Advisory Services 378 151 342 Accounting & Transfer Agent Fees 332 98 350 Custodian Fees 437 171 55 Legal Fees 2 1 4 Audit Fees 5 1 8 Shareholders' Reports 7 2 12 Trustees' Fees and Expenses 4 1 11 Other 26 8 12 ---------- ---------- ------------ Total Expenses 1,191 433 794 ---------- ---------- ------------ NET INVESTMENT INCOME (LOSS) 9,945 1,411 11,812 ---------- ---------- ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 2,133 7,538 1,562 Net Realized Gain (Loss) on Foreign Currency Transactions (575) 62 -- Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 43,011 (2,301) (9,700) Translation of Foreign Currency Denominated Amounts (59) (10) -- Deferred Thailand Capital Gains Tax (584) 274 -- ---------- ---------- ------------ NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 43,926 5,563 (8,138) ---------- ---------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 53,871 $ 6,974 $ 3,674 ========== ========== ============
See accompanying Notes to Financial Statements. 132 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE U.S. THE U.S. LARGE COMPANY LARGE CAP VALUE SERIES SERIES --------------------------- --------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 26,227 $ 45,762 $ 21,267 $ 31,384 Net Realized Gain (Loss) on Investment Securities Sold (2,018) (137,474) 22,742 (48,309) Net Realized Gain (Loss) on Futures 8,199 9,903 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 172,722 447,952 206,595 415,785 Futures (1,635) (3,012) -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 203,495 363,131 250,604 398,860 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income -- -- (11,755) (31,464) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ------------ ------------ ------------ ------------ Total Distributions -- -- (11,755) (31,464) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued -- -- 437,618 495,839 Shares Issued in Lieu of Cash Distributions -- -- 11,311 31,027 Shares Redeemed -- -- (23,104) (121,409) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions -- -- 425,825 405,457 ------------ ------------ ------------ ------------ Transactions in Interest: Contributions 309,693 547,508 -- -- Withdrawals (188,953) (533,199) -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) from Transactions in Interest 120,740 14,309 -- -- ------------ ------------ ------------ ------------ Total Increase (Decrease) 324,235 377,440 664,674 772,853 NET ASSETS Beginning of Period 3,000,997 2,623,557 2,510,662 1,737,809 ------------ ------------ ------------ ------------ End of Period $ 3,325,232 $ 3,000,997 $ 3,175,336 $ 2,510,662 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued N/A N/A 26,167 36,572 Shares Issued in Lieu of Cash Distributions 682 2,270 Shares Redeemed (1,402) (9,461) ------------ ------------ 25,447 29,381 ============ ============
See accompanying Notes to Financial Statements. 133 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE U.S. THE DFA SMALL CAP INTERNATIONAL SERIES VALUE SERIES --------------------------- --------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2004 2003 2004 2003 ------------ ------------ ------------ ------------ (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 6,827 $ 8,625 $ 25,790 $ 31,730 Net Realized Gain (Loss) on Investment Securities Sold 42,483 11,512 50,698 (3,540) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 4 205 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 22,170 370,338 134,458 379,196 Translation of Foreign Currency Denominated Amounts -- -- (180) 114 ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 71,480 390,475 210,770 407,705 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (2,129) (8,820) (7,625) (30,082) Net Short-Term Gains (639) -- -- -- Net Long-Term Gains -- -- -- (1,177) ------------ ------------ ------------ ------------ Total Distributions (2,768) (8,820) (7,625) (31,259) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 415,250 397,476 292,065 542,740 Shares Issued in Lieu of Cash Distributions 2,549 8,584 7,625 31,258 Shares Redeemed (208,512) (171,130) (91,081) (471,133) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 209,287 234,930 208,609 102,865 ------------ ------------ ------------ ------------ Total Increase (Decrease) 277,999 616,585 411,754 479,311 NET ASSETS Beginning of Period 1,468,486 851,901 1,604,778 1,125,467 ------------ ------------ ------------ ------------ End of Period $ 1,746,485 $ 1,468,486 $ 2,016,532 $ 1,604,778 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 28,514 34,897 21,290 53,795 Shares Issued in Lieu of Cash Distributions 183 658 583 2,986 Shares Redeemed (14,671) (15,197) (6,742) (47,941) ------------ ------------ ------------ ------------ 14,026 20,358 15,131 8,840 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 134 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE JAPANESE THE PACIFIC RIM SMALL COMPANY SMALL COMPANY SERIES SERIES ----------------------- ----------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2004 2003 2004 2003 ---------- ---------- ---------- ---------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 3,683 $ 3,245 $ 3,380 $ 4,147 Net Realized Gain (Loss) on Investment Securities Sold (787) (18,120) 6,588 (436) Net Realized Gain (Loss) on Foreign Currency Transactions 51 54 35 18 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 74,747 101,101 (8,333) 56,281 Translation of Foreign Currency Denominated Amounts (150) 16 4 4 ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations 77,544 86,296 1,674 60,014 ---------- ---------- ---------- ---------- Transactions in Interest: Contributions 77,473 53,153 31,319 25,155 Withdrawals (4,379) (50,797) (5,658) (50,041) ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest 73,094 2,356 25,661 (24,886) ---------- ---------- ---------- ---------- Total Increase (Decrease) 150,638 88,652 27,335 35,128 NET ASSETS Beginning of Period 283,699 195,047 156,765 121,637 ---------- ---------- ---------- ---------- End of Period $ 434,337 $ 283,699 $ 184,100 $ 156,765 ========== ========== ========== ========== THE UNITED KINGDOM THE CONTINENTAL SMALL COMPANY SMALL COMPANY SERIES SERIES ----------------------- ----------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2004 2003 2004 2003 ---------- ---------- ---------- ---------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 3,086 $ 3,789 $ 7,498 $ 7,753 Net Realized Gain (Loss) on Investment Securities Sold 2,115 (1,016) 4,979 12,045 Net Realized Gain (Loss) on Foreign Currency Transactions (73) 30 (6) 315 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 24,616 42,580 43,996 120,867 Translation of Foreign Currency Denominated Amounts 16 5 9 69 ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations 29,760 45,388 56,476 141,049 ---------- ---------- ---------- ---------- Transactions in Interest: Contributions 87,100 41,630 61,448 97,585 Withdrawals (2,001) (25,000) (9,116) (53,295) ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest 85,099 16,630 52,332 44,290 ---------- ---------- ---------- ---------- Total Increase (Decrease) 114,859 62,018 108,808 185,339 NET ASSETS Beginning of Period 160,917 98,899 448,407 263,068 ---------- ---------- ---------- ---------- End of Period $ 275,776 $ 160,917 $ 557,215 $ 448,407 ========== ========== ========== ==========
See accompanying Notes to Financial Statements. 135 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE THE EMERGING EMERGING MARKETS MARKETS SMALL CAP SERIES SERIES ------------------------ ------------------------ SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2004 2003 2004 2003 ---------- ---------- ---------- ---------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 9,945 $ 9,466 $ 1,411 $ 1,764 Net Realized Gain (Loss) on Investment Securities Sold 2,133 (6,216) 7,538 332 Net Realized Gain (Loss) on Foreign Currency Transactions (575) (283) 62 (143) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 43,011 148,355 (2,301) 32,404 Translation of Foreign Currency Denominated Amounts (59) 10 (10) -- Deferred Thailand Capital Gains Tax (584) (1,826) 274 (720) ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations 53,871 149,506 6,974 33,637 ---------- ---------- ---------- ---------- Distributions From: Net Investment Income -- -- -- -- Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ---------- ---------- ---------- ---------- Total Distributions -- -- -- -- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued -- -- -- -- Shares Issued in Lieu of Cash Distributions -- -- -- -- Shares Redeemed -- -- -- -- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions -- -- -- -- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions 164,440 156,160 48,528 36,904 Withdrawals (39,748) (41,298) (2,022) (1,126) ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest 124,692 114,862 46,506 35,778 ---------- ---------- ---------- ---------- Total Increase (Decrease) 178,563 264,368 53,480 69,415 NET ASSETS Beginning of Period 607,561 343,193 117,744 48,329 ---------- ---------- ---------- ---------- End of Period $ 786,124 $ 607,561 $ 171,224 $ 117,744 ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued N/A N/A N/A N/A Shares Issued in Lieu of Cash Distributions Shares Redeemed THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES ------------------------ SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2004 2003 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 11,812 $ 17,497 Net Realized Gain (Loss) on Investment Securities Sold 1,562 13,434 Net Realized Gain (Loss) on Foreign Currency Transactions -- (298) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency (9,700) (9,932) Translation of Foreign Currency Denominated Amounts -- 306 Deferred Thailand Capital Gains Tax -- -- ----------- ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 3,674 21,007 ----------- ------------ Distributions From: Net Investment Income (7,516) (17,698) Net Short-Term Gains (13,106) -- Net Long-Term Gains (354) (10,965) ----------- ------------ Total Distributions (20,976) (28,663) ----------- ------------ Capital Share Transactions (1): Shares Issued 348,541 411,930 Shares Issued in Lieu of Cash Distributions 20,864 28,394 Shares Redeemed (29,857) (36,366) ----------- ------------ Net Increase (Decrease) from Capital Share Transactions 339,548 403,958 ----------- ------------ Transactions in Interest: Contributions -- -- Withdrawals -- -- ----------- ------------ Net Increase (Decrease) from Transactions in Interest -- -- ----------- ------------ Total Increase (Decrease) 322,246 396,302 NET ASSETS Beginning of Period 1,195,610 799,308 ----------- ------------ End of Period $ 1,517,856 $ 1,195,610 =========== ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 34,598 40,550 Shares Issued in Lieu of Cash Distributions 2,075 2,803 Shares Redeemed (2,938) (3,574) ----------- ------------ 33,735 39,779 =========== ============
See accompanying Notes to Financial Statements. 136 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE COMPANY SERIES ------------------------------------------------------------------------------------------ SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- -- Net Realized Gains -- -- -- -- -- -- Return of Capital -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================= Total Return 6.77%# 15.05% (16.59)% (12.30)% (4.25)% 20.86% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,325,232 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 $ 2,775,062 Ratio of Expenses to Average Net Assets 0.05%* 0.05% 0.05% 0.05% 0.06% 0.06% Ratio of Net Investment Income to Average Net Assets 1.61%* 1.75% 1.53% 1.26% 1.12% 1.27% Portfolio Turnover Rate 1%# 8% 11% 8% 8% 4% - --------------------------------------------------------------------------------------------------------------------------------- THE U.S. LARGE CAP VALUE SERIES --------------------------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 $ 18.79 ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.21 0.20 0.25 0.33 0.34 Net Gains (Losses) on Securities (Realized and Unrealized) 1.39 2.41 (1.43) 1.25 0.04 0.46 ------------ ------------ ------------ ------------ ------------ ------------ Total From Investment Operations 1.51 2.62 (1.23) 1.50 0.37 0.80 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.07) (0.22) (0.20) (0.27) (0.32) (0.34) Net Realized Gains -- -- -- (1.50) (3.13) (1.46) Return of Capital -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions (0.07) (0.22) (0.20) (1.77) (3.45) (1.80) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 16.85 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 ================================================================================================================================== Total Return 9.80%# 20.34% (8.64)% 10.97% 3.06% 4.64% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,175,336 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 $ 1,788,082 Ratio of Expenses to Average Net Assets 0.15%* 0.15% 0.15% 0.15% 0.16% 0.16% Ratio of Net Investment Income to Average Net Assets 1.45%* 1.62% 1.49% 1.66% 2.20% 1.80% Portfolio Turnover Rate 2%# 7% 9% 6% 26% 43%
* Annualized # Non-annualized N/A+ Not applicable as The U.S. Large Company Series is organized as a partnership See accompanying Notes to Financial Statements. 137
THE U.S. SMALL CAP SERIES ------------------------------------------------------------------------------------------ SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 $ 11.46 ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.06 0.08 0.09 0.10 0.11 0.10 Net Gains (Losses) on Securities (Realized and Unrealized) 0.66 3.92 (1.00) 1.24 0.65 1.83 ------------ ------------ ------------ ------------ ------------ ------------ Total From Investment Operations 0.72 4.00 (0.91) 1.34 0.76 1.93 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.02) (0.09) (0.10) (0.10) (0.11) (0.11) Net Realized Gains (0.01) -- (0.14) (1.83) (1.22) (1.04) ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions (0.03) (0.09) (0.24) (1.93) (1.33) (1.15) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 14.53 $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 ================================================================================================================================= Total Return 5.18%# 40.32% (8.42)% 13.08% 6.48% 18.62% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,746,485 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151 $ 586,086 Ratio of Expenses to Average Net Assets 0.08%* 0.08% 0.08% 0.08% 0.08% 0.09% Ratio of Net Investment Income to Average Net Assets 0.82%* 0.84% 0.81% 0.94% 0.99% 0.89% Portfolio Turnover Rate 7%# 16% 34% 13% 38% 29% THE DFA INTERNATIONAL VALUE SERIES --------------------------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 $ 11.95 ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.18 0.27 0.24 0.27 0.27 0.28 Net Gains (Losses) on Securities (Realized and Unrealized) 1.43 3.06 (0.78) (1.49) (0.31) 1.29 ------------ ------------ ------------ ------------ ------------ ------------ Total From Investment Operations 1.61 3.33 (0.54) (1.22) (0.04) 1.57 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.06) (0.25) (0.25) (0.27) (0.26) (0.31) Net Realized Gains -- (0.01) (0.03) (0.43) (0.81) (0.03) ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions (0.06) (0.26) (0.28) (0.70) (1.07) (0.34) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 13.95 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ================================================================================================================================== Total Return 13.00%# 36.24% (5.53)% (10.75)% (0.51)% 13.27% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,016,532 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 $ 1,660,377 Ratio of Expenses to Average Net Assets 0.29%* 0.30% 0.30% 0.29% 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets 2.74%* 2.61% 2.36% 2.32% 2.13% 2.17% Portfolio Turnover Rate 5%# 14% 18% 6% 9% 6%
* Annualized # Non-Annualized See accompanying Notes to Financial Statements. 138
THE JAPANESE SMALL COMPANY SERIES ------------------------------------------------------------------------------------------ SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- -- Net Realized Gains -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================= Total Return 23.92%# 47.87% (9.62)% (13.51)% (9.93)% 33.83% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 434,337 $ 283,699 $ 195,047 $ 196,187 $ 196,118 $ 202,676 Ratio of Expenses to Average Net Assets 0.28%* 0.28% 0.27% 0.28% 0.27% 0.28% Ratio of Net Investment Income to Average Net Assets 1.92%* 1.41% 1.26% 1.41% 1.38% 1.10% Portfolio Turnover Rate 1%# 16% 5% 9% 6% 6% THE PACIFIC RIM SMALL COMPANY SERIES --------------------------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- -- Net Realized Gains -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================== Total Return 2.02%# 61.47% 7.28% 2.84% (10.99)% 54.81% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 184,100 $ 156,765 $ 121,637 $ 130,554 $ 131,888 $ 183,759 Ratio of Expenses to Average Net Assets 0.35%* 0.31% 0.32% 0.28% 0.29% 0.48% Ratio of Net Investment Income to Average Net Assets 3.71%* 3.35% 3.77% 3.69% 4.10% 2.95% Portfolio Turnover Rate 9%# 15% 26% 10% 7% 34%
* Annualized # Non-annualized N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim Small Company Series are organized as partnerships See accompanying Notes to Financial Statements. 139
THE UNITED KINGDOM SMALL COMPANY SERIES ------------------------------------------------------------------------------------------ SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- -- Net Realized Gains -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================= Total Return 14.33%# 44.65% (4.67)% (4.89)% (6.18)% 36.75% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 275,776 $ 160,917 $ 98,899 $ 96,741 $ 109,806 $ 132,127 Ratio of Expenses to Average Net Assets 0.28%* 0.26% 0.26% 0.27% 0.26% 0.26% Ratio of Net Investment Income to Average Net Assets 2.46%* 3.25% 3.03% 2.86% 3.06% 3.55% Portfolio Turnover Rate 1%# 7% 6% 14% 11% 5% THE CONTINENTAL SMALL COMPANY SERIES --------------------------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- -- Net Realized Gains -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================== Total Return 12.66%# 52.86% 3.22% (5.43)% 2.67% (5.89)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 557,215 $ 448,407 $ 263,068 $ 210,337 $ 226,724 $ 252,368 Ratio of Expenses to Average Net Assets 0.28%* 0.30% 0.31% 0.30% 0.28% 0.27% Ratio of Net Investment Income to Average Net Assets 2.89%* 2.49% 2.22% 2.73% 2.36% 1.92% Portfolio Turnover Rate 2%# 11% 12% 12% 9% 11%
* Annualized # Non-annualized N/A+ Not applicable as The United Kingdom Small Company Series and The Continental Small Company Series are organized as partnerships See accompanying Notes to Financial Statements. 140
THE EMERGING MARKETS SERIES ------------------------------------------------------------------------------------------ SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- -- Net Realized Gains -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================= Total Return 9.71%# 39.67% 2.10% (8.54)% (22.30)% 53.78% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 786,124 $ 607,561 $ 343,193 $ 307,720 $ 296,726 $ 344,175 Ratio of Expenses to Average Net Assets 0.32%* 0.34% 0.34% 0.46% 0.46% 0.46% Ratio of Net Investment Income to Average Net Assets 2.63%* 2.23% 1.64% 1.94% 1.33% 1.34% Portfolio Turnover Rate 1%# 1% 8% 6% 12% 16% THE EMERGING MARKETS SMALL CAP SERIES --------------------------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- -- Net Realized Gains -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================== Total Return 8.75%# 52.80% 13.07% (9.55)% (23.28)% 71.45% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 171,224 $ 117,744 $ 40,379 $ 34,687 $ 32,572 $ 39,848 Ratio of Expenses to Average Net Assets 0.57%* 0.54% 0.51% 0.63% 0.66% 0.68% Ratio of Net Investment Income to Average Net Assets 1.86%* 2.44% 2.03% 2.17% 1.69% 1.82% Portfolio Turnover Rate 7%# 6% 16% 14% 20% 24%
* Annualized # Non-annualized N/A+ Not applicable as The Emerging Markets Series and The Emerging Markets Small Cap Series are organized as partnerships See accompanying Notes to Financial Statements. 141
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES -------------------------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - ----------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11 $ 10.21 ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.01 0.25 0.30 0.44 0.84 0.45 Net Gains (Losses) on Securities (Realized and Unrealized) 0.03 (0.01) 0.16 0.22 (0.23) 0.03 ------------ ------------- ------------ ------------ ------------ ------------ Total From Investment Operations 0.04 0.24 0.46 0.66 0.61 0.48 - ----------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.06) (0.19) (0.27) (0.14) (1.02) (0.57) Net Realized Gains (0.11) (0.14) -- -- -- (0.01) Return of Capital -- -- -- (0.19) -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions (0.17) (0.33) (0.27) (0.33) (1.02) (0.58) - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.00 $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11 - ----------------------------------------------------------------------------------------------------------------------------------- Total Return 0.41%# 2.36% 4.60% 6.91% 6.30% 4.84% - ----------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,517,856 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518 $ 531,514 Ratio of Expenses to Average Net Assets 0.12%* 0.13% 0.14% 0.15% 0.15% 0.15% Ratio of Net Investment Income to Average Net Assets 1.73%* 1.78% 3.20% 4.54% 5.03% 4.45% Portfolio Turnover Rate 60%# 144% 138% 113% 73% 78%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 142 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. At May 31, 2004, the Trust consisted of twenty-one investment portfolios, of which eleven are included in this section of the report. (collectively, the "Series"): The U.S. Large Company Series The U.S. Large Cap Value Series The U.S. Small Cap Series (the "Domestic Equity Portfolios") The DFA International Value Series The Japanese Small Company Series The Pacific Rim Small Company Series The United Kingdom Small Company Series The Continental Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series The DFA Two-Year Global Fixed Income Series (the "International Equity Portfolios") In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values the securities at the mean between the quoted bid and asked prices. Securities held by the International Equity Portfolios that are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either 143 unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Trustees of the Funds have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Funds utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Fund. When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. 2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities of the International Equity Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Trustees' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust or Series are allocated using methods approved by the Board of Trustees, generally based on average net assets. The International Equity Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The International Equity Portfolios accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales of foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. 144 C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Trust. For the six months ended May 31, 2004, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates: The U.S. Large Company Series 0.025 of 1% The U.S. Large Cap Value Series 0.10 of 1% The U.S. Small Cap Series 0.03 of 1% The DFA International Value Series 0.20 of 1% The Japanese Small Company Series 0.10 of 1% The Pacific Rim Small Company Series 0.10 of 1% The United Kingdom Small Company Series 0.10 of 1% The Continental Small Company Series 0.10 of 1% The Emerging Markets Series 0.10 of 1% The Emerging Markets Small Cap Series 0.20 of 1% The DFA Two-Year Global Fixed Income Series 0.05 of 1%
Certain officers of the Series are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At May 31, 2004, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The U.S. Large Company Series $ 45,850 The U.S. Large Cap Value Series 40,843 The U.S. Small Cap Series 23,166 The DFA International Value Series 26,286 The Japanese Small Company Series 5,280 The Pacific Rim Small Company Series 2,569 The United Kingdom Small Company Series 3,481 The Continental Small Company Series 7,214 The Emerging Markets Series 10,618 The Emerging Markets Small Cap Series 2,087 The DFA Two-Year Global Fixed Income Series 18,887
E. PURCHASE AND SALES OF SECURITIES: For the six months ended May 31, 2004, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES ---------------------- ----------------------- PURCHASES SALES PURCHASES SALES --------- ---------- ---------- ---------- The U.S. Large Company Series -- -- $ 180,353 $ 23,851 The U.S. Large Cap Value Series -- -- 467,788 54,183 The U.S. Small Cap Series -- -- 306,399 109,038 The DFA International Value Series -- -- 315,813 92,912 The Japanese Small Company Series -- -- 82,654 5,454 The Pacific Rim Small Company Series -- -- 45,546 15,737 The United Kingdom Small Company Series -- -- 56,945 3,490 The Continental Small Company Series -- -- 74,753 12,079 The Emerging Markets Series -- -- 128,046 6,712 The Emerging Markets Small Cap Series -- -- 59,052 10,038 The DFA Two-Year Global Fixed Income Series $ 615,513 $ 409,114 534,522 400,557
145 F. FEDERAL INCOME TAXES: It is the intention of The U.S. Large Cap Value Series, The U.S. Small Cap Series, The DFA International Value Series and The DFA Two-Year Global Fixed Income Series to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income and capital gains to shareholders. Because income tax regulations differ from accounting principles generally accepted in the United States of America, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. The components of distributable earnings on a tax basis do not differ materially from book basis distributable earnings, which are disclosed in the Components of Net Assets. The U.S. Large Company Series, The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Emerging Markets Series and The Emerging Markets Small Cap Series are treated as partnerships for federal income tax purposes and therefore, no provision for federal income taxes is required. Any interest, dividends, and gains or losses have been deemed to have been "passed down" to their Feeder Funds. At May 31, 2004, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands):
GROSS UNREALIZED GROSS UNREALIZED APPRECIATION DEPRECIATION NET ---------------- ---------------- ---------- The U.S. Large Company Series $ 840,597 $ (337,378) $ 503,219 The U.S. Large Cap Value Series 697,096 (147,595) 549,501 The U.S. Small Cap Series 407,851 (200,668) 207,183 The DFA International Value Series 474,540 (107,516) 367,024 The Japanese Small Company Series 47,933 (109,062) (61,129) The Pacific Rim Small Company Series 5,682 (28,654) (22,972) The United Kingdom Small Company Series 87,310 (22,515) 64,795 The Continental Small Company Series 197,951 (35,076) 162,875 The Emerging Markets Series 215,351 (74,246) 141,105 The Emerging Markets Small Cap Series 35,020 (18,703) 16,317 The DFA Two-Year Global Fixed Income Series 999,829 (1,013,247) (13,418)
For federal income tax purposes, the Series measures its capital loss carryforwards annually at November 30, its fiscal year end. As of November 30, 2003, the following Portfolios had capital loss carryforwards for federal income tax purposes (amounts in thousands):
EXPIRES ON NOVEMBER 30, ----------------------- 2009 2010 2011 TOTAL --------- --------- --------- --------- The U.S. Large Cap Value Series $ 11,185 $ 21,142 $ 48,335 $ 80,662 The DFA International Value Series -- -- 3,507 3,507
Certain of the DFA International Value Series' investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation/(depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. At November 30, 2003, the Series had unrealized appreciation/(depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $3,502,361 and $7,718,955 respectively, which are included in distributable net investment 146 income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. G. COMPONENTS OF NET ASSETS: At May 31, 2004, net assets consisted of (amounts in thousands):
UNREALIZED ACCUMULATED ACCUMULATED APPRECIATION NET NET REALIZED (DEPRECIATION) OF INVESTMENT ACCUMULATED FOREIGN INVESTMENT PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY ------------ ------------ ------------ ------------ ----------------- The U.S. Large Cap Value Series $ 2,672,681 $ 11,217 $ (58,064) -- $ 549,502 The U.S. Small Cap Series 1,493,205 4,891 38,794 -- 209,595 The DFA International Value Series 1,583,131 19,141 47,022 $ 4 367,214 The DFA Two-Year Global Fixed Income Series 1,523,077 6,692 1,504 -- (13,417) UNREALIZED NET FOREIGN EXCHANGE NUMBER OF GAIN TOTAL NET SHARES (LOSS) ASSETS AUTHORIZED ------------ ------------ ------------ The U.S. Large Cap Value Series -- $ 3,175,336 Unlimited The U.S. Small Cap Series -- 1,746,485 Unlimited The DFA International Value Series $ 20 2,016,532 Unlimited The DFA Two-Year Global Fixed Income Series -- 1,517,856 Unlimited
H. FINANCIAL INSTRUMENTS: In accordance with the Series' Investment Objectives and Policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on May 28, 2004. 2. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain consideration and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign government supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Series may be inhibited. 3. FUTURES CONTRACTS. During the six months ended May 31, 2004, The U.S. Large Company Series ("Large Company") entered into futures contracts in accordance with its investment objectives. Upon entering into a futures contract, Large Company deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by Large Company as unrealized gains or losses until the contracts are closed. When the contracts are closed, Large Company records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. At May 31, 2004, Large Company had outstanding 240 long futures contracts on the S&P 500 Index, all of which expire on June 18, 2004. The value of such contracts on May 31, 2004 was $67,218,000 which resulted in an unrealized gain of $606,188. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. 147 I. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2003 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. For the six months ended May 31, 2004, borrowings under the line by the Series were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- The Pacific Rim Small Company Series 1.74% $ 430,000 3 $ 62 $ 430,000
There were no outstanding borrowings under the line of credit at May 31, 2004. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2005. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2004. J. SECURITIES LENDING: As of May 31, 2004, some of the Series' portfolios had securities on loan to brokers/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, PNCBank, National Association, the lending agent has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. Cash collateral of each Portfolio received from securities on loan is invested along with cash collateral from the other Portfolios of the Series in repurchase agreements collateralized by U.S. government securities. These investments are accounted for separately for each Portfolio. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements mature. 148 DFA REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- COMMON STOCKS -- (95.4%) Acadia Realty Trust 138,000 $ 1,766,400 Agree Realty Corp. 32,200 782,460 * Alexander's, Inc. 11,900 1,917,090 # Alexandria Real Estate Equities, Inc. 96,900 5,324,655 AMB Property Corp. 412,500 13,633,125 American Land Lease Inc. 34,800 636,840 * American Real Estate Partners, L.P. 19,400 354,050 * American Spectrum Realty, Inc. 1,200 10,500 AmeriVest Properties, Inc. 91,500 553,575 AMLI Residential Properties Trust 107,300 2,976,502 Apartment Investment & Management Co. Class A 214,000 6,180,320 # Archstone-Smith Trust 956,755 27,793,733 Arden Realty Group, Inc. 321,000 9,517,650 Associated Estates Realty Corp. 95,400 763,200 AvalonBay Communities, Inc. 350,700 19,095,615 Bedford Property Investors, Inc. 80,900 2,380,887 BNP Residential Properties, Inc. 24,600 314,880 Boston Properties, Inc. 521,600 25,746,176 * Boykin Lodging Trust, Inc. 87,100 638,443 # Brandywine Realty Trust 225,300 6,060,570 BRE Properties, Inc. Class A 245,600 8,497,760 * Burnham Pacific Properties, Inc. 82,100 10,139 Camden Property Trust 194,100 9,066,411 Capital Automotive 177,286 4,875,365 Carramerica Realty Corp. 259,500 7,608,540 CBL & Associates Properties, Inc. 150,200 8,008,664 # Centerpoint Properties Corp. 115,000 8,469,750 # Chelsea Property Group Inc. 216,200 11,886,676 Colonial Properties Trust 131,000 5,034,330 # Commercial Net Lease Realty, Inc. 249,775 4,263,659 Cornerstone Realty Income Trust, Inc. 276,100 2,266,781 Corporate Office Properties Trust 151,600 3,517,120 Cousins Properties, Inc. 237,700 7,437,633 Crescent Real Estate Equities, Inc. 486,300 8,169,840 Developers Diversified Realty Corp. 425,099 14,619,155 Duke Realty Investments, Inc. 677,000 21,907,720 Eastgroup Properties, Inc. 102,100 3,241,675 Entertainment Properties Trust 101,300 3,646,800 Equity Inns, Inc. 222,700 1,964,214 Equity Office Properties Trust 1,975,163 53,230,643 Equity One, Inc. 340,976 6,069,373 Equity Residential Corp. 1,372,900 40,418,176 # Essex Property Trust 112,000 7,341,600 Federal Realty Investment Trust 241,700 9,643,830 * Felcor Lodging Trust, Inc. 289,800 3,083,472 # First Industrial Realty Trust, Inc. 201,300 7,214,592 * First Union Real Estate Equity & Mortgage Investments 106,100 319,361 * Five Star Quality Care, Inc. 40,830 159,237 Gables Residential Trust 143,200 4,833,000 General Growth Properties 1,067,000 31,348,460 Glenborough Realty Trust, Inc. 153,200 2,912,332 Glimcher Realty Trust 171,500 3,829,595 * Golf Trust America, Inc. 37,800 83,916 Heritage Property Investment Trust 227,900 $ 6,139,626 Hersha Hospitality Trust 53,500 532,860 Highwood Properties, Inc. 262,400 5,964,352 * HMG Courtland Properties, Inc. 2,400 21,840 Home Properties of New York, Inc. 160,090 6,336,362 Hospitality Properties Trust 329,200 13,474,156 * Host Marriott Corp. 1,570,800 19,258,008 HRPT Properties Trust 857,100 8,442,435 Humphrey Hospitality Trust 48,600 203,974 Innkeepers USA Trust 183,100 1,642,407 Jameson Inns, Inc. 61,042 159,930 Keystone Property Trust 129,900 3,107,208 # Kilroy Realty Corp. 137,800 4,701,736 # Kimco Realty Corp. 542,650 24,934,767 Koger Equity, Inc. 121,500 2,697,300 Kramont Realty Trust 116,700 1,881,204 * La Quinta Corp. 859,100 6,434,659 Lasalle Hotel Properties Trust 122,600 2,960,790 Lexington Corporate Properties Trust 214,400 4,105,760 # Liberty Property Trust 412,700 16,462,603 Macerich Co. 288,700 13,063,675 Mack-California Realty Corp. 296,600 11,852,136 Maguire Properties, inc. 198,900 4,892,940 Malan Realty Investors, Inc. 19,100 91,298 Manufactured Home Communities, Inc. 110,300 3,424,815 Maxus Realty Trust, Inc. 1,700 19,831 * Meristar Hospitality Corp. 63,700 404,495 Mid-America Apartment Communities, Inc. 97,100 3,425,688 Mills Corp. 260,600 11,453,370 Mission West Properties, Inc. 85,700 1,039,541 Monmouth Real Estate Investment Corp. Class A 77,525 573,685 # New Plan Excel Realty Trust, Inc. 487,600 11,609,756 One Liberty Properties, Inc. 46,000 825,700 Pan Pacific Retail Properties, Inc. 197,731 9,095,626 * Paragon Real Estate & Investment Trust 10,700 2,033 Parkway Properties, Inc. 53,600 2,146,680 Pennsylvania Real Estate Investment Trust 175,481 5,843,517 * Philips International Realty Corp. 14,400 6,336 # Post Properties, Inc. 200,500 5,834,550 Prentiss Properties Trust 217,100 7,164,300 Presidential Realty Corp. Class B 2,100 15,299 Price Legacy Corp. 32,217 591,504 * Prime Group Realty Trust 116,000 610,160 ProLogis 884,600 28,360,276 PS Business Parks, Inc. 105,500 4,082,850 Public Storage, Inc. 628,800 28,918,512 Ramco-Gershenson Properties Trust 81,900 1,981,980 # Realty Income Corp. 191,200 7,638,440 Reckson Associates Realty Corp. 322,301 8,386,272 Regency Centers Corp. 165,900 6,685,770 Roberts Realty Investment 13,100 122,878
149
SHARES VALUE+ --------------- --------------- Rouse Co. 492,700 $ 22,491,755 Saul Centers, Inc. 77,700 2,296,035 Senior Housing Properties Trust 310,900 5,061,452 Shurgard Storage Centers, Inc. Class A 223,600 8,385,000 Simon Property Group, Inc. 989,800 51,043,986 Sizeler Property Investors, Inc. 64,300 589,631 SL Green Realty Corp. 188,900 8,594,950 Sovran Self Storage, Inc. 71,000 2,670,310 Summit Properties, Inc. 166,600 3,860,122 Sun Communities, Inc. 93,300 3,450,234 Tanger Factory Outlet Centers, Inc. 64,600 2,507,772 * Tarragon Realty Investors, Inc. 54,338 760,732 Taubman Centers, Inc. 243,700 5,434,510 Town & Country Trust 84,600 2,058,318 Trizec Properties, Inc. 732,700 12,096,877 U.S. Restaurant Properties, Inc. 108,500 1,722,980 United Dominion Realty Trust, Inc. 624,900 12,460,506 United Mobile Homes, Inc. 40,500 536,625 Urstadt Biddle Properties Class A 89,700 1,237,860 Urstadt Biddle Properties, Inc. 19,800 267,696 Vornado Realty Trust 615,600 33,642,540 Washington Real Estate Investment Trust 203,900 5,764,253 Weingarten Realty Investors 419,300 12,985,721 Winston Hotels, Inc. 127,300 1,187,709 --------------- TOTAL COMMON STOCKS (Cost $766,131,846) 942,159,954 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (4.6%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $10,168,000 FHLB Discount Notes 1.625%, 06/15/05, valued at $10,206,638) to be repurchased at $10,001,989 (Cost $10,001,000) $ 10,001 10,001,000 Repurchase Agreement, Merrill Lynch Triparty Repo 0.96%, 06/01/04 (Collateralized by $35,445,000 U.S. Treasury Obligations 2.125%, 08/31/04, valued at $35,726,762) to be repurchased at $35,026,686 (Cost $35,022,950)^ 35,023 35,022,950 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $45,023,950) 45,023,950 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $811,155,796)++ $ 987,183,904 ===============
- ---------- + See Note B to Financial Statements. ^ Security purchased with cash proceeds from securities on loan. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ++ The cost for federal income tax purposes is $812,245,002. See accompanying Notes to Financial Statements. 150 LARGE CAP INTERNATIONAL PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- UNITED KINGDOM -- (22.4%) COMMON STOCKS -- (21.8%) 3I Group P.L.C. 46,244 $ 519,059 Abbey National P.L.C. 113,033 930,477 Aegis Group P.L.C. 83,410 134,961 Aggregate Industries P.L.C. 102,663 158,646 Aggreko P.L.C. 20,000 54,875 Alliance & Leicester P.L.C. 39,509 597,705 Alliance Unichem P.L.C. 36,707 425,655 Allied Domecq P.L.C. 86,312 717,778 Amec P.L.C. 20,420 100,316 Amvescap P.L.C. 72,635 487,298 Antofagasta P.L.C. 18,852 311,463 Arm Holdings P.L.C. 81,867 176,150 Arriva P.L.C. 14,532 103,890 Associated British Foods P.L.C. 105,111 1,234,381 Associated British Ports Holdings P.L.C. 25,743 206,433 Aviva P.L.C. 181,082 1,767,893 * AWG P.L.C. 11,429 128,663 BAA P.L.C. 85,607 854,008 BAE Systems P.L.C. 244,805 923,606 Balfour Beatty P.L.C. 31,669 145,027 Barclays P.L.C. 518,582 4,529,560 Barratt Developments P.L.C. 18,632 196,042 BBA Group P.L.C. 33,869 157,722 Bellway P.L.C. 8,267 114,434 Berkeley Group P.L.C. 10,535 178,027 BG Group P.L.C. 282,618 1,721,754 BHP Billiton P.L.C. 197,451 1,662,400 BOC Group P.L.C. 37,915 619,229 Boots Group P.L.C. 61,958 746,330 BP Amoco P.L.C. 1,755,679 15,336,949 BPB P.L.C. 38,502 274,542 Bradford & Bingley P.L.C. 50,958 259,587 Brambles Industries P.L.C. 56,451 219,350 * British Airways P.L.C. 144,628 672,133 British American Tobacco P.L.C. 215,156 3,154,686 British Land Co. P.L.C. 38,039 467,343 British Sky Broadcasting Group P.L.C. 224,474 2,521,164 Brixton P.L.C. 18,052 96,044 BT Group P.L.C. 687,240 2,307,637 * BTG P.L.C. 5,600 11,712 Bunzl P.L.C. 35,893 301,705 * Cable and Wireless P.L.C. 190,789 431,393 Cadbury Schweppes P.L.C. 165,347 1,406,588 * Cairn Energy P.L.C. 12,046 233,422 * Canary Wharf Group P.L.C. 40,100 217,648 Capita Group P.L.C. 52,090 295,620 Carnival P.L.C. 16,498 740,408 Carpetright P.L.C. 3,639 66,346 Carphone Warehouse Group P.L.C. 74,224 187,104 Cattles P.L.C. 24,078 144,612 * Celltech P.L.C. 22,212 221,556 Centrica P.L.C. 341,281 1,332,076 Close Brothers Group P.L.C. 10,800 159,099 Cobham P.L.C. 8,902 $ 222,156 Collins Stewart Tullett P.L.C. 17,814 143,559 * Colt Telecom Group P.L.C. 171,894 264,807 Compass Group P.L.C. 172,356 1,076,284 Computacenter P.L.C. 9,463 67,666 * Cookson Group P.L.C. 130,539 103,732 * Corus Group P.L.C. 328,172 203,433 Davis Service Group P.L.C. 15,000 100,813 De la Rue P.L.C. 12,250 73,161 Diageo P.L.C. 242,323 3,216,108 Dixons Group P.L.C. 155,894 435,407 * Easyjet P.L.C. 36,683 133,889 * Egg P.L.C. 44,910 132,460 Electrocomponents P.L.C. 33,949 220,347 Emap P.L.C. 20,531 286,337 EMI Group P.L.C. 61,510 246,846 Enterprise Inns P.L.C. 27,237 306,458 First Choice Holidays P.L.C. 31,231 68,558 Firstgroup P.L.C. 32,236 162,991 FKI P.L.C. 39,662 80,632 Friends Provident P.L.C. 140,267 355,540 Galen Holdings P.L.C. 17,950 238,436 Gallaher Group P.L.C. 52,359 640,575 * General Electric Co. 22,898 710,406 GKN P.L.C. 57,264 240,851 Glaxosmithkline P.L.C. 474,682 9,932,322 Great Portland Estates P.L.C. 13,760 66,239 Great Universal Stores P.L.C. 81,129 1,207,797 Hammerson P.L.C. 20,700 256,768 Hanson P.L.C. 58,957 450,214 Hays P.L.C. 140,670 318,714 HBOS P.L.C. 308,670 4,044,215 * HHG P.L.C. 284,569 224,349 Hilton Group P.L.C. 123,435 600,457 HSBC Holdings P.L.C. 879,895 13,050,087 ICAP P.L.C. 57,946 301,495 IMI P.L.C. 28,268 190,626 Imperial Chemical Industries P.L.C. 95,296 381,164 Imperial Tobacco Group P.L.C. 58,335 1,295,985 Inchcape P.L.C. 6,503 187,873 Intercontinental Hotels Group P.L.C. 57,738 553,478 * International Power P.L.C. 86,376 230,036 * Intertek Group P.L.C. 11,060 109,790 * Invensys P.L.C. 407,608 121,362 Isoft Group P.L.C. 19,129 135,663 ITV P.L.C. 285,888 622,441 * ITV P.L.C. Convertible Shares 7,428 9,942 Jardine Lloyd Thompson Group P.L.C. 18,114 155,728 Johnson Matthey P.L.C. 17,203 279,605 Johnston Press P.L.C. 26,959 270,193 Kelda Group P.L.C. 29,200 263,323 Kesa Electricals P.L.C. 32,274 168,268 Kidde P.L.C. 59,000 122,991 Kingfisher P.L.C. 186,504 977,652 Land Securities Group P.L.C. 36,335 778,866 Legal and General Group P.L.C. 524,402 855,166
151
SHARES VALUE+ --------------- --------------- Liberty International P.L.C. 30,108 $ 408,471 Lloyds TSB Group P.L.C. 459,645 3,626,343 Logicacmg P.L.C. 33,214 113,996 Lonmin P.L.C. 11,312 197,806 Man Group P.L.C. 27,385 820,778 Manchester United P.L.C. 12,673 56,070 * Marconi Corp. P.L.C. 15,946 190,148 Marks & Spencer Group P.L.C. 179,849 1,185,293 * Matalan P.L.C. 16,817 56,183 Meggitt P.L.C. 22,329 102,830 MFI Furniture Group P.L.C. 43,800 119,980 Millennium and Copthorne Hotels P.L.C. 19,218 111,540 Misys P.L.C. 43,945 167,700 Mitchells & Butlers P.L.C. 41,579 197,658 * MM02 P.L.C. 613,859 1,098,652 Morrison (Wm.) Supermarkets P.L.C. 232,964 975,482 *# My Travel Group P.L.C. 22,000 3,524 National Express Group P.L.C. 11,282 144,153 National Grid Group P.L.C. 247,008 1,959,476 Next P.L.C. 20,660 525,069 Northern Foods P.L.C. 37,322 105,906 Northern Rock P.L.C. 32,854 436,411 Novar P.L.C. 31,464 72,096 Ocean Group P.L.C. 23,727 307,112 Pearson P.L.C. 63,897 777,773 Peninsular & Oriental Steam Navigation P.L.C. 53,886 211,835 Pennon Group P.L.C. 9,163 123,733 Persimmon P.L.C. 23,227 255,847 Pilkington P.L.C. 115,030 190,695 Premier Farnell P.L.C. 25,039 111,100 Provident Financial P.L.C. 17,113 199,304 Prudential Corp. P.L.C. 160,312 1,318,172 * Punch Taverns, Ltd. 19,772 186,003 RAC P.L.C. 8,737 106,201 Rank Group P.L.C. 47,588 267,811 Reckitt Benckiser P.L.C. 65,675 1,780,561 Reed International P.L.C. 101,697 979,650 Rentokill Initial P.L.C. 145,356 391,163 Reuters Holdings Group P.L.C. 111,737 745,544 Rexam P.L.C. 43,852 354,989 Rio Tinto P.L.C. 84,341 2,029,587 RMC Group P.L.C. 20,763 208,954 Rolls Royce Group P.L.C. 143,381 593,690 * Rolls Royce Group P.L.C. 6,007,200 11,014 Royal & Sun Alliance Insurance Group P.L.C. 215,936 320,569 Royal Bank of Scotland Group P.L.C. 248,949 7,524,576 Sabmiller P.L.C. 97,983 1,184,117 Sage Group P.L.C. 104,202 338,210 Sainsbury (J.) P.L.C. 201,257 1,004,677 Schroders P.L.C. 27,720 307,973 Scottish & Newcastle P.L.C. 78,609 614,853 Scottish Hydro-Electric P.L.C. 68,595 870,529 Scottish Power P.L.C. 148,763 1,078,520 Securicor P.L.C. 35,700 78,920 Serco Group P.L.C. 32,613 120,867 Severn Trent P.L.C. 27,608 408,877 Shell Transport & Trading Co., P.L.C. 771,058 5,556,283 * Shire Pharmaceuticals Group P.L.C. 37,357 339,373 Signet Group P.L.C. 134,651 290,609 Slough Estates P.L.C. 31,300 $ 246,391 Smith & Nephew P.L.C. 73,281 770,584 Smith (W.H.) P.L.C. 18,540 121,640 Smiths Industries P.L.C. 43,759 559,394 Somerfield P.L.C. 37,078 97,458 * Spirent P.L.C. 72,279 85,439 SSL International P.L.C. 12,000 70,109 Stagecoach Holdings P.L.C. 93,831 141,078 Standard Chartered P.L.C. 105,639 1,744,426 Tate & Lyle P.L.C. 43,737 242,197 Taylor Nelson AGB P.L.C. 30,623 113,192 Taylor Woodrow P.L.C. 43,614 202,843 Tesco P.L.C. 614,199 2,803,361 * TI Automotive P.L.C. Series A 18,000 0 Tomkins P.L.C. 60,314 287,485 Travis Perkins P.L.C. 9,101 223,740 Trinity Mirror P.L.C. 23,499 267,350 Unilever P.L.C. 244,455 2,322,184 United Business Media P.L.C. 25,000 202,704 United Utilities P.L.C. 58,301 579,979 Viridian Group P.L.C. 9,554 103,233 Vodafone Group P.L.C. 5,367,560 12,650,813 Whitbread P.L.C. 23,799 348,938 William Hill P.L.C. 32,901 327,066 Wilson Bowden P.L.C. 8,193 155,566 Wimpey (George) P.L.C. 30,536 206,209 Wolseley P.L.C. 45,455 683,135 WPP Group P.L.C. 94,636 942,826 Xstrata P.L.C. 76,145 963,094 Zeneca Group P.L.C. 134,465 6,243,049 --------------- TOTAL COMMON STOCKS (Cost $158,308,824) 176,427,506 --------------- INVESTMENT IN CURRENCY -- (0.6%) * British Pound Sterling (Cost $5,026,893) 5,018,287 --------------- TOTAL -- UNITED KINGDOM (Cost $163,335,717) 181,445,793 --------------- JAPAN -- (18.9%) COMMON STOCKS -- (18.6%) Acom Co., Ltd. 7,500 502,924 Aderans Co., Ltd. 1,900 39,634 Advantest Corp. 6,370 450,813 AEON Co., Ltd. 22,400 938,977 Aeon Credit Service, Ltd. 2,700 177,308 Aiful Corp. 6,600 646,148 AIOI Insurance Co., Ltd. 33,000 143,574 Aisin Seiki Co., Ltd. 17,400 322,614 Ajinomoto Co., Inc. 35,000 402,293 Alfresa Holdings Corp. 700 33,694 # All Nippon Airways Co., Ltd. 92,000 282,256 Alps Electric Co., Ltd. 9,000 113,594 Amada Co., Ltd. 22,000 125,140 Amano Corp. 3,000 24,128 # Anritsu Corp. 6,000 37,577 Aoyama Trading Co., Ltd. 2,600 60,411 Ariake Japan Co., Ltd. 1,210 32,962 Arisawa Manufacturing Co., Ltd. 600 26,837 Asahi Breweries, Ltd. 27,000 284,563 Asahi Glass Co., Ltd. 82,000 866,820
152
SHARES VALUE+ --------------- --------------- Asahi Kasei Corp. 75,000 $ 369,106 Asatsu-Dk, Inc. 2,600 67,208 * Ashikaga Financial Group, Inc. 41,000 371 Autobacs Seven Co., Ltd. 1,800 50,821 Avex Inc. 1,000 16,123 Awa Bank, Ltd. 5,000 28,718 Bandai Co., Ltd. 5,000 124,164 Bank of Kyoto, Ltd. 10,000 65,943 Bank of Yokohama, Ltd. 60,000 342,809 Bellsystem24, Inc. 170 37,344 Benesse Corp. 5,000 151,962 Bridgestone Corp. 55,000 917,873 Brother Industries, Ltd. 13,000 119,048 C&S Co., Ltd. 2,800 63,854 Calsonic Corp. 4,000 27,145 Canon, Inc. 49,000 2,419,819 Capcom Co., Ltd. 2,000 20,487 Casio Computer Co., Ltd. 14,000 186,593 Central Glass Co., Ltd. 10,000 74,666 Central Japan Railway Co. 181 1,457,986 Chiba Bank, Ltd. 44,000 253,206 Chubu Electric Power Co., Ltd. 41,200 858,876 Chugai Pharmaceutical Co., Ltd. 42,000 636,144 Chugoku Bank, Ltd. 6,000 60,650 Chugoku Electric Power Co., Ltd. 22,100 371,908 Citizen Watch Co., Ltd. 15,000 156,770 Coca-Cola West Japan Co., Ltd. 3,600 86,913 Comsys Holdings Corp. 5,000 37,096 Cosmo Oil Co., Ltd. 14,000 34,226 Credit Saison Co., Ltd. 8,900 253,597 CSK Corp. 3,600 139,210 Dai Nippon Ink & Chemicals, Inc. 37,000 84,035 Dai Nippon Pharmaceutical Co., Ltd. 4,000 30,315 Dai Nippon Printing Co., Ltd. 46,000 703,554 # Dai Nippon Screen Mfg. Co., Ltd. 11,000 68,670 Daicel Chemical Industries, Ltd. 19,000 82,608 Daido Steel Co., Ltd. 11,000 26,393 *# Daiei, Inc. 12,000 35,550 Daifuku Co., Ltd. 3,000 13,823 Daihatsu Motor Co., Ltd. 20,000 117,602 # Dai-Ichi Pharmaceutical Co., Ltd. 14,400 238,249 Daikin Industries, Ltd. 14,000 331,516 Daimaru, Inc. 12,000 105,291 Daishi Bank, Ltd. 8,000 27,477 Daito Trust Construction Co., Ltd. 8,300 298,653 Daiwa House Industry Co., Ltd. 30,000 338,677 Daiwa Securities Co., Ltd. 74,000 516,545 Denki Kagaku Kogyo KK 22,000 69,487 Denso Corp. 67,700 1,452,863 Dentsu, Inc. 166 429,387 * Disco Corp. 500 22,531 Dowa Mining Co., Ltd. 16,000 88,312 East Japan Railway Co. 235 1,214,356 Ebara Corp. 13,000 58,473 Elsai Co., Ltd. 18,600 483,700 Ezaki Glico Co., Ltd. 3,000 21,331 Familymart Co., Ltd. 5,200 152,091 Fanuc, Ltd. 17,800 1,040,257 Fast Retailing Co., Ltd. 8,100 580,586 Fuji Electric Co., Ltd. 40,000 98,385 Fuji Heavy Industries 37,000 182,428 Fuji Oil Co., Ltd. 1,900 $ 22,155 Fuji Photo Film Co., Ltd. 28,000 832,251 Fuji Soft ABC, Inc. 1,000 33,797 Fuji Television Network, Inc. 124 282,562 Fujikura, Ltd. 17,000 81,371 Fujisawa Pharmaceutical Co., Ltd. 19,500 431,552 Fujitsu Support & Service, Inc. 2,000 36,142 Fujitsu, Ltd. 122,000 823,924 # Fukuoka Bank, Ltd. 30,000 155,361 Funai Electric Co., Ltd. 2,100 289,323 * Furukawa Electric Co., Ltd. 30,000 111,446 Futaba Industrial Co., Ltd. 1,400 21,662 Glory, Ltd. 1,600 22,659 Gunma Bank, Ltd. 25,000 115,023 Gunze, Ltd. 8,000 38,169 Hachijuni Bank, Ltd. 26,000 155,460 * Hamamatsu Photonics K.K. 1,400 24,269 * Hankyu Corp. 45,000 173,437 Hankyu Department Stores, Inc. 10,000 88,536 Hanshin Electric Railway Co., Ltd. 7,000 22,722 Higo Bank, Ltd. 5,000 28,719 Hikari Tsushin, Inc. 2,700 107,760 Hino Motors, Ltd. 32,000 192,668 Hirose Electric Co., Ltd. 2,100 229,734 Hiroshima Bank, Ltd. 30,000 133,727 Hitachi Cable, Ltd. 18,000 80,868 Hitachi Chemical Co., Ltd. 10,500 177,964 # Hitachi Construction Machinery Co., Ltd. 8,000 95,325 Hitachi High-Technologies Corp. 6,400 88,886 * Hitachi Information Systems, Ltd. 900 28,320 Hitachi Metals, Ltd. 5,000 23,876 Hitachi Software Engineering Co., Ltd. 3,000 62,268 * Hitachi Zosen Corp. 20,000 31,662 Hitachi, Ltd. 198,000 1,356,892 Hokkaido Electric Power Co., Inc. 10,800 179,934 Hokkoku Bank, Ltd. 9,000 43,096 Hokuetsu Paper Mills, Ltd. 4,000 21,465 Hokugin Financial Group, Inc. 51,000 103,361 Hokuriku Electric Power Co., Inc. 10,700 175,154 Honda Motor Co., Ltd. 60,600 2,609,772 * Hosiden Corp. 1,900 23,881 House Foods Corp. 4,000 51,457 Hoya Corp. 6,500 670,874 Hyakugo Bank, Ltd. 5,000 29,744 Hyakujishi Bank, Ltd. 8,000 49,499 Ibiden Co., Ltd. 4,200 56,634 Isetan Co., Ltd. 10,000 134,999 Ishihara Sangyo Kaisha, Ltd. 12,000 23,528 * Ishikawajima-Harima Heavy Industries Co., Ltd. 58,000 82,691 * Isuzu Motors, Ltd. 18,000 42,449 ITO EN, Ltd. 2,200 94,608 * Itochu Corp. 82,000 336,206 Itochu Techno-Science Corp. 3,000 116,848 Ito-Yokado Co., Ltd. 23,000 933,435 Iyo Bank, Ltd. 9,000 60,441 Izumi Co., Ltd. 1,000 24,401 *# Japan Airlines System Corp. 156,000 454,464 Japan Aviation Electronics Industry, Ltd. 2,000 23,124
153
SHARES VALUE+ --------------- --------------- JFE Holdings, Inc. 35,200 $ 761,672 JGC Corp. 12,000 100,676 Joyo Bank, Ltd. 48,000 189,116 Jsr Corp., Tokyo 15,400 327,550 Juroku Bank, Ltd. 12,000 50,718 Kagoshima Bank, Ltd. 4,000 22,422 Kajima Corp. 57,000 186,213 Kaken Pharmaceutical Co., Ltd. 3,000 16,327 Kamigumi Co., Ltd. 14,000 92,021 * Kanebo, Ltd. 19,000 15,287 Kaneka Corp. 17,000 156,916 * Kankaku Securities Co., Ltd. 34,000 78,330 Kansai Electric Power Co., Inc. 65,200 1,142,713 Kansai Paint Co., Ltd., Osaka 6,000 35,302 Kao Corp. 33,000 771,757 Katokichi Co., Ltd. 2,000 35,274 # Kawasaki Heavy Industries, Ltd. 67,000 100,072 # Kawasaki Kisen Kaisha, Ltd. 30,000 138,130 KDDI Corp. 257 1,496,407 # Keihin Electric Express Railway Co., Ltd. 24,000 142,820 Keio Electric Railway Co., Ltd. 34,000 179,838 * Keisei Electric Railway Co., Ltd. 7,000 23,701 Keyence Corp. 3,000 692,837 Kikkoman Corp. 9,000 72,534 Kinden Corp. 14,000 77,935 Kinki Nippon Railway Co., Ltd. 86,280 317,155 Kirin Brewery Co., Ltd. 60,000 570,179 Kissei Pharmaceutical Co., Ltd. 1,000 21,363 * Kobayashi Pharmaceutical Co., Ltd. 900 23,938 Kobe Steel, Ltd. 146,000 213,130 * Koei Co., Ltd. 800 19,834 Kokuyo Co., Ltd. 6,000 73,090 Komatsu, Ltd. 55,000 331,215 * Komeri Co., Ltd. 1,100 31,230 Komori Corp. 4,000 58,940 Konami Co., Ltd. 6,200 137,719 Konica Corp. 32,000 433,182 Kose Corp. 1,650 56,383 # Koyo Seiko Co. 9,000 91,192 Kubota Corp. 88,000 407,172 Kuraray Co., Ltd. 20,000 150,315 Kuraya Sanseido, Inc. 2,600 38,905 Kurita Water Industries, Ltd. 7,000 89,155 Kyocera Corp. 10,700 895,258 Kyowa Exeo Corp. 5,000 32,821 Kyowa Hakko Kogyo Co., Ltd. 23,000 150,438 Kyushu Electric Power Co., Inc. 26,500 455,883 Lawson Inc. 5,400 197,954 Lion Corp. 7,000 40,350 # Lopro Corp. 2,100 12,780 Mabuchi Motor Co., Ltd. 2,600 174,468 Makita Corp. 7,000 98,239 Marubeni Corp. 72,000 164,210 Marui Co., Ltd. 19,000 253,314 Matsumotokiyoshi Co., Ltd. 2,400 65,709 Matsushita Electric Industrial Co., Ltd. 144,188 2,000,059 Matsushita Electric Works, Ltd. 27,000 225,335 # Mazda Motor Corp. 58,000 187,959 Meiji Dairies Corp. 16,000 78,617 Meiji Seika Kaisha, Ltd. Tokyo 17,000 $ 68,951 Meitec Corp. 1,800 63,022 Millea Holdings, Inc. 99 1,282,446 Minebea Co., Ltd. 18,000 79,080 Mitsubishi Chemical Corp. 132,000 311,523 Mitsubishi Corp. 91,000 899,060 Mitsubishi Electric Corp. 130,000 641,791 Mitsubishi Estate Co., Ltd. 84,000 1,034,189 Mitsubishi Gas Chemical Co., Inc. 27,000 101,526 Mitsubishi Heavy Industries, Ltd. 178,000 465,667 Mitsubishi Logistics Corp. 7,000 61,026 Mitsubishi Materials Corp. 50,000 95,619 *# Mitsubishi Motors Corp. 61,000 120,268 # Mitsubishi Paper Mills, Ltd. 13,000 19,563 # Mitsubishi Pharma Corp. 25,000 262,308 Mitsubishi Rayon Co., Ltd. 30,000 104,931 Mitsubishi Securities Co., Ltd. 21,000 248,969 Mitsubishi Tokyo Financial Group, Inc. 456 3,939,324 Mitsui & Co., Ltd. 96,000 730,350 Mitsui Chemicals, Inc. 44,000 213,424 Mitsui Engineering and Shipbuilding Co., Ltd. 36,000 60,884 Mitsui Fudosan Co., Ltd. 41,000 465,534 Mitsui Marine & Fire Insurance Co., Ltd. 82,790 737,114 Mitsui Mining and Smelting Co., Ltd. 26,000 102,918 Mitsui O.S.K. Lines, Ltd. 74,000 350,934 Mitsui Trust Holdings 51,000 339,482 Mitsukoshi, Ltd. 23,000 112,160 Mitsumi Electric Co., Ltd. 3,700 37,869 Mizuho Holdings, Inc. 741 3,182,993 Mori Seiki Co., Ltd. 4,000 33,408 Murata Manufacturing Co., Ltd. 12,700 755,950 Musashino Bank, Ltd. 600 21,676 # Nagoya Railroad Co., Ltd. 40,000 144,075 Namco, Ltd. 2,200 55,228 NEC Corp. 112,000 821,212 NEC Fielding, Ltd. 1,800 48,574 Net One Systems Co., Ltd. 13 52,302 * Net One Systems Co., Ltd. 13 47,872 NGK Insulators, Ltd. 19,000 135,158 NGK Spark Plug Co., Ltd. 11,000 98,975 NHK Spring Co., Ltd. 5,000 28,844 Nichicon Corp. 2,000 25,478 Nichii Gakkan Co. 1,760 81,154 Nichirei Corp. 13,000 41,638 Nidec Corp. 4,400 477,964 Nikko Cordial Corp. 130,000 679,794 Nikon Corp. 21,000 225,777 Nintendo Co., Ltd., Kyoto 9,500 970,835 Nippon Electric Glass Co., Ltd. 7,000 150,066 Nippon Express Co., Ltd. 65,000 351,295 Nippon Kayaku Co., Ltd. 9,000 45,677 Nippon Light Metal Co., Ltd. 11,000 26,038 Nippon Meat Packers, Inc., Osaka 10,000 108,883 Nippon Mining Holdings, Inc. 41,500 191,669 Nippon Mitsubishi Oil Corp. 81,000 460,336 Nippon Sanso Corp. 14,000 64,078 Nippon Sheet Glass Co., Ltd. 20,000 66,195 Nippon Shinpan Co., Ltd. 7,000 23,889 Nippon Shokubai Co., Ltd. 9,000 65,924 Nippon Steel Corp. 414,000 838,992
154
SHARES VALUE+ --------------- --------------- Nippon System Development Co., Ltd. 900 $ 17,430 Nippon Telegraph & Telephone Corp. 1,288 6,357,386 Nippon Television Network Corp. 700 107,784 Nippon Unipac Holding, Tokyo 57 278,536 Nippon Yusen KK 63,000 269,392 Nipponkoa Insurance Co., Ltd. 42,000 241,573 Nishimatsu Construction Co., Ltd. 10,000 33,959 * Nishi-Nippon Railroad Co., Ltd. 8,000 24,567 Nissan Chemical Industries, Ltd. 10,000 71,605 Nissan Motor Co., Ltd. 346,700 3,517,006 Nissay Dowa General Insurance Co., Ltd. 13,000 65,314 Nisshin Seifun Group, Inc. 12,000 110,312 Nisshin Steel Co., Ltd. 39,000 78,657 Nisshinbo Industries, Inc. 9,000 59,643 * Nissho Iwai-Nichmen Holdings Corp. 4,000 21,304 Nissin Food Products Co., Ltd. 6,000 145,845 Nitto Denko Corp. 9,200 497,905 NOK Corp. 9,000 321,808 Nomura Research Institute, Ltd. 2,600 263,409 Nomura Securities Co., Ltd. 110,000 1,686,068 Noritake Co., Ltd. 4,000 15,930 NSK, Ltd. 28,000 126,715 NTN Corp. 22,000 101,703 NTT Data Corp. 225 662,537 NTT Docomo, Inc. 3,227 6,062,934 Obayashi Corp. 38,000 181,392 Obic Co., Ltd. 500 101,506 Odakyu Electric Railway Co., Ltd. 36,000 190,675 Ogaki Kyoritsu Bank, Ltd. 8,000 43,151 Oji Paper Co., Ltd. 59,000 375,304 * Okasan Securities Co., Ltd. 4,000 23,395 * Oki Electric Industry Co., Ltd. 30,000 110,733 # Okumura Corp. 11,000 54,045 Olympus Optical Co., Ltd. 14,000 252,132 Omron Corp. 13,000 287,928 Ono Pharmaceutical Co., Ltd. 7,200 315,165 Onward Kashiyama Co., Ltd. 8,000 129,010 Oracle Corp. Japan 9,900 485,281 * Orient Corp. 31,000 82,736 Oriental Land Co., Ltd. 7,600 465,447 Orix Corp. 4,260 433,351 Osaka Gas Co., Ltd. 132,000 353,445 OSG Corp. 2,000 21,194 * Otsuka Corp. 700 32,235 Paris Miki, Inc. 1,900 41,208 * Park24 Co., Ltd. 700 21,081 Pioneer Electronic Corp. 9,000 230,680 Promise Co., Ltd. 6,500 427,262 Q.P. Corp. 6,000 48,855 * Resona Holdings, Inc. 845,000 1,452,994 Ricoh Co., Ltd., Tokyo 43,000 833,967 Rinnai Corp. 1,100 33,419 Rohm Co., Ltd. 6,600 805,032 * Ryoshoku, Ltd. 800 24,125 * Sagami Railway Co., Ltd. 9,000 26,851 Saizeriya Co., Ltd. 1,300 17,872 San In Godo Bank, Ltd. 4,000 31,430 Sanden Corp. 7,000 40,398 Sanken Electric Co., Ltd. 4,000 52,466 Sankyo Co, Ltd. 4,900 165,987 Sankyo Co., Ltd. 25,000 $ 500,094 # Sanrio Co., Ltd. 3,000 35,843 Santen Pharmaceutical Co., Ltd. 2,200 32,047 Sanwa Shutter Corp. 6,000 30,777 Sanyo Electric Co., Ltd. 104,000 406,313 # Sapporo Breweries, Ltd. 19,000 61,704 Sapporo Hokuyo Holdings, Inc. 9 47,094 Secom Co., Ltd. 13,000 523,812 * Sega Enterprises, Ltd. 9,200 92,706 # Seibu Railway Co., Ltd. 25,000 316,436 Seino Transportation Co., Ltd. 7,000 66,565 * Seiyu, Ltd. 28,000 97,100 Sekisui Chemical Co., Ltd. 27,000 199,213 Sekisui House, Ltd. 44,000 458,332 Seven-Eleven Japan Co., Ltd. 64,000 2,020,038 Seventy-seven (77) Bank, Ltd. 20,000 117,886 SFCG Co., Ltd. 280 49,113 Sharp Corp. Osaka 65,000 1,100,035 Shiga Bank, Ltd. 5,000 24,809 Shikoku Bank, Ltd. 4,000 23,834 Shikoku Electric Power Co., Inc. 13,200 225,432 Shima Seiki Manufacturing Co., Ltd. 700 23,560 Shimachu Co., Ltd. 2,200 54,828 Shimadzu Corp. 6,000 30,922 Shimamura Co., Ltd. 1,700 135,205 Shimano, Inc. 6,600 155,881 Shimizu Corp. 38,000 158,915 Shin-Etsu Chemical Co., Ltd. 23,600 827,058 Shinko Securities Co., Ltd. 38,000 126,207 Shionogi & Co., Ltd. 19,000 310,420 Shiseido Co., Ltd. 21,000 248,593 Shizuoka Bank, Ltd. 42,000 342,281 Showa Denko KK 59,000 126,440 Showa Shell Sekiyu KK 18,000 150,542 Skylark Co., Ltd. 5,000 95,411 SMBC Friend Securities Co., Ltd. 6,000 28,362 SMC Corp. 4,300 459,590 * Snow Brand Milk Products Co., Ltd. 12,000 39,306 # Softbank Corp. 23,200 887,315 * Sohgo Security Services Co., Ltd. 2,100 26,414 Sony Corp. 51,800 1,906,056 Square Enix Co., Ltd. 3,900 100,080 Stanley Electric Co., Ltd. 9,000 148,003 * Sumisho Computer Systems Corp. 900 25,775 Sumitomo Bakelite Co., Ltd. 9,000 59,847 Sumitomo Chemical Co., Ltd. 106,000 497,308 Sumitomo Corp. 68,000 524,611 Sumitomo Corporation's Leasing, Ltd. 900 30,862 Sumitomo Electric Industries, Ltd. 44,000 423,281 Sumitomo Forestry Co., Ltd. 6,000 61,781 * Sumitomo Heavy Industries, Ltd. 31,000 79,627 Sumitomo Metal Industries, Ltd. Osaka 314,000 352,262 Sumitomo Metal Mining Co., Ltd. 29,000 172,737 Sumitomo Mitsui Financial Group, Inc. 250 1,785,159 Sumitomo Osaka Cement Co., Ltd. 14,000 33,863 * Sumitomo Real Estate Sales Co., Ltd. 600 24,800 Sumitomo Realty & Development Co., Ltd. 26,000 280,341 Sumitomo Rubber 6,000 49,914
155
SHARES VALUE+ --------------- --------------- # Sumitomo Trust & Banking Co., Ltd. 96,000 $ 590,116 Suruga Bank, Ltd. 12,000 79,231 Suzuken Co., Ltd. 4,080 127,327 Suzuki Motor Corp. 32,900 535,659 * T&D Holdings, Inc. 5,900 247,157 Taiheiyo Cement Corp. 45,000 98,289 Taisei Corp. 52,000 173,197 Taisho Pharmaceutical Co., Ltd. 23,000 467,703 Taiyo Yuden Co., Ltd. 5,000 72,102 Takara Shuzo Co., Ltd. 10,000 75,615 Takashimaya Co., Ltd. 16,000 176,239 Takeda Chemical Industries, Ltd. 49,000 2,036,715 # Takefuji Corp. 10,350 688,656 Takuma Co., Ltd. 2,000 12,949 *# TC Properties Co., Ltd. 45,300 246,737 TDK Corp. 7,400 519,527 Teijin, Ltd. 50,000 161,509 Teikoku Oil Co., Ltd. 12,000 61,276 Terumo Corp. 10,500 247,672 THK Co., Ltd. 5,800 102,990 TIS, Inc. 2,000 79,629 Tobu Railway Co., Ltd. 43,000 182,543 Toda Corp. 14,000 51,620 Toho Co., Ltd. 9,800 140,802 Toho Gas Co., Ltd. 19,000 63,457 Tohuku Electric Power Co., Inc. 26,600 428,341 * Tokai Rubber Industries, Ltd. 2,000 24,335 Tokuyama Corp. 5,000 21,375 Tokyo Broadcasting System, Inc. 10,000 177,415 Tokyo Electric Power Co., Ltd 79,600 1,702,382 Tokyo Electron, Ltd. 10,100 576,617 # Tokyo Gas Co., Ltd. 157,000 552,371 * Tokyo Seimitsu Co., Ltd. 800 26,986 Tokyo Steel Manufacturing Co., Ltd. 3,400 48,357 Tokyo Style Co., Ltd. 4,000 45,240 # Tokyu Corp. 59,000 290,525 * Tokyu Land Corp. 9,000 27,950 TonenGeneral Sekiyu KK 24,000 203,755 Toppan Printing Co., Ltd. 37,000 450,239 Toray Industries, Inc. 72,000 331,440 Toshiba Corp. 180,000 773,677 Tosoh Corp. 30,000 103,501 Tostem Inax Holding Corp. 20,240 414,753 Toto, Ltd. 19,000 204,171 Toyo Seikan Kaisha, Ltd. 11,300 185,388 Toyo Suisan Kaisha, Ltd. 5,000 60,419 Toyobo Co., Ltd. 37,000 87,044 Toyoda Gosei Co., Ltd. 6,300 154,288 Toyota Auto Body Co., Ltd. 1,800 27,410 Toyota Industries Corp. 15,300 333,655 Toyota Motor Credit Corp. 235,000 8,480,299 Toyota Tsusho Corp. 13,000 119,294 Trans Cosmos, Inc. 1,000 26,338 Trend Micro Inc. 8,000 301,186 * Ube Industries, Ltd. 37,000 54,602 UFJ Holdings, Inc. 343 1,712,536 UFJ Tsubasa Securities Co. Ltd. 28,000 128,216 Uni-Charm Corp. 3,500 169,838 Union Tool Co. 800 28,220 UNY Co., Ltd. 9,000 111,128 Ushio Inc. 7,000 132,341 USS Co., Ltd. 1,400 $ 112,717 Victor Co. of Japan, Ltd. 6,000 70,521 Vodafone Holdings KK 164 446,266 Wacoal Corp. 7,000 74,220 World Co., Ltd. 2,000 63,573 # Yakult Honsha Co., Ltd. 8,000 110,434 # Yamada Denki Co., Ltd. 5,300 176,988 Yamaguchi Bank, Ltd. 7,000 71,358 Yamaha Corp. 11,000 167,098 Yamaha Motor Co., Ltd. 15,000 214,919 Yamanouchi Pharmaceutical Co., Ltd. 20,200 649,044 Yamato Transport Co., Ltd. 24,000 341,338 Yamazaki Baking Co., Ltd. 9,000 83,383 Yaskawa Electric Corp. 8,000 51,465 Yasuda Fire & Marine Insurance Co., Ltd. 60,000 523,163 # Yasuda Trust & Banking Co., Ltd. 208,000 411,095 Yokogawa Electric Corp. 12,000 155,275 Yokohama Rubber Co., Ltd. 7,000 25,747 York-Benimaru Co., Ltd. 800 22,901 Zeon Corp. 6,000 43,893 --------------- TOTAL COMMON STOCKS (Cost $158,024,572) 150,988,104 --------------- INVESTMENT IN CURRENCY -- (0.3%) * Japanese Yen (Cost $2,441,305) 2,467,881 --------------- TOTAL -- JAPAN (Cost $160,465,877) 153,455,985 --------------- FRANCE -- (8.0%) COMMON STOCKS -- (8.0%) Accor SA 10,940 453,950 # AGF (Assurances Generales de France SA) 11,361 688,832 Air France 14,686 240,250 Air Liquide SA 5,550 973,540 Air Liquide SA 10,266 1,811,500 Alcan, Inc. 2,587 102,229 * Alcatel SA 71,900 1,036,072 * Alstom SA 40,620 46,690 Arcelor SA 29,800 500,100 * Atos Origin 4,218 248,323 * Aventis 44,765 3,554,401 AXA 98,764 2,031,458 BNP Paribas SA 50,518 3,088,183 Bollore Technologies SA 203 62,209 Bouygues 21,845 753,697 * Business Objects SA 5,500 120,680 * Cap Gemini SA 7,550 289,581 Carrefour 40,100 1,958,722 Casino Guichard Perrachon 7,609 664,848 Cie Generale D'Optique Essilor Intenational SA 5,570 345,753 Clarins SA 370 23,072 Compagnie de Saint-Gobain 19,436 979,092 Compagnie Francaise d'Etudes et de Construction Technip SA 1,790 241,150 Dassault Systemes SA 8,054 368,200 Dior (Christian) SA 11,036 698,793 Eiffage SA 942 73,293
156
SHARES VALUE+ --------------- --------------- Euler-Hermes SA 1,833 $ 101,171 Faurecia SA 312 20,219 Fimalac SA 560 21,890 # France Telecom SA 202,365 4,889,626 Gecina SA 3,700 288,642 Generale des Establissements Michelin SA Series B 8,009 391,323 Groupe Danone 7,642 1,319,021 Havas SA 12,513 66,426 * Hermes International SA 2,997 589,201 Imerys SA 1,000 227,498 * JC Decaux SA 9,528 203,418 Klepierre SA 1,862 128,138 LaFarge SA 9,716 833,066 LaFarge SA Prime Fidelity 8,604 745,456 # Lagardere S.C.A. SA 7,700 470,346 L'Oreal 51,116 3,970,231 LVMH (Louis Vuitton Moet Hennessy) 37,151 2,656,305 Metropole Television SA 3,117 87,213 Neopost SA 1,118 63,403 Pernod-Ricard SA 3,950 494,674 Peugeot SA 14,309 808,056 Pinault Printemps Redoute SA 8,640 903,333 Publicis Groupe 13,617 401,386 Remy Cointreau SA 1,518 50,686 Renault SA 18,294 1,363,211 Rexel SA 3,619 149,501 * SA Des Galeries Lafayette 559 108,320 Sagem SA 2,048 224,440 Sanofi Synthelabo 55,603 3,680,703 Schneider SA 12,889 868,235 * Scor SA 28,551 41,835 SEB SA Prime Fidelite 2002 764 85,917 SEB SA Prime Fidelity 990 111,222 Societe BIC SA 3,600 156,173 Societe des Ciments de Francais 737 57,300 Societe Generale d'Enterprise SA 4,640 445,642 Societe Generale, Paris 24,826 2,105,734 Societe Television Francaise 1 14,555 452,486 Sodexho Alliance SA 9,712 252,749 Somfy Interational SA 134 25,189 # Ste des Autoroutes du Sud de la France 19,738 753,313 Stmicroelectronics NV 53,696 1,210,496 # Suez (ex Suez Lyonnaise des Eaux) 56,220 1,094,851 Thales SA 13,084 461,738 Thomson Multimedia 15,000 286,223 Total SA 35,906 6,745,359 Unibail SA 2,500 248,738 Valeo SA 5,000 202,923 *# Veolia Environnement SA 26,535 710,143 * Vivendi Universal SA 59,936 1,529,557 * Wanadoo SA 43,078 419,616 * Wendel Investissement 3,203 151,900 Zodiac SA 4,460 144,946 --------------- TOTAL -- FRANCE (Cost $59,763,136) 65,173,806 --------------- SWITZERLAND -- (6.2%) COMMON STOCKS -- (6.0%) * ABB, Ltd. 153,897 $ 862,658 * Actelion, Ltd. 1,600 175,795 * Adecco SA 16,373 788,292 Baloise-Holding 3,300 132,988 * BKW FMB Energie AG 90 38,808 * Ciba Spezialitaetenchemie Holding AG 4,525 309,165 Cie Financiere Richemont AG Series A 46,023 1,185,479 Clariant AG 15,571 214,972 * Credit Swisse Group 78,497 2,700,557 * Fischer (Georg) AG, Schaffhausen 145 31,613 * Forbo Holding AG, Eglisau 102 26,429 Geberit AG 274 176,430 # Givaudan SA 573 306,427 # Holcim, Ltd. 17,803 926,510 Julius Baer Holding AG 540 157,036 * Kudelski SA 3,084 94,509 Kuehne & Nagel International AG 1,500 197,277 Kuoni Reisen Holding AG 180 71,474 * Lindt & Spruengli AG 7 77,698 * Logitech International SA 3,319 153,293 Lonza Group AG 2,970 145,088 Nestle SA, Cham und Vevey 26,340 6,857,764 Nobel Biocare Holding AG 1,700 252,717 # Novartis AG 208,860 9,394,211 Phonak Holding AG 4,487 134,144 Publicitas Holding SA, Lausanne 104 32,371 Roche Holding AG Bearer 17,260 2,375,601 Roche Holding AG Genusschein 45,853 4,829,271 Schindler Holding AG 210 60,066 Schindler Holding AG 1,030 314,126 # Serono SA 1,109 676,087 # Societe Generale de Surveillance Holding SA 770 444,043 Straumann Holding AG 1,000 207,067 Sulzer AG, Winterthur 165 41,094 # Swatch Group AG 2,692 375,609 * Swiss Life AG 2,140 269,743 # Swiss Reinsurance Co., Zurich 21,255 1,319,433 # Swisscom AG 7,449 2,315,607 * Syngenta AG 7,449 590,903 # Synthes, Inc. 10,130 1,192,705 Tecan Group AG 627 26,776 # The Swatch Group AG 18,164 516,560 # UBS AG 77,901 5,590,760 * Unaxis Holding AG 912 103,285 Valora Holding AG 209 49,484 * Zimmer Holdings, Inc. 3,010 254,353 * Zurich Financial SVCS AG 9,504 1,495,356 --------------- TOTAL COMMON STOCKS (Cost $39,080,073) 48,491,634 --------------- INVESTMENT IN CURRENCY -- (0.2%) * Swiss Francs (Cost $1,225,916) 1,241,865 ---------------
157
SHARES VALUE+ --------------- --------------- RIGHTS/WARRANTS -- (0.0%) * Swiss Life Holdings AG Rights 06/02/04 (Cost $0) 1,380 $ 0 --------------- TOTAL -- SWITZERLAND (Cost $40,305,989) 49,733,499 --------------- GERMANY -- (5.5%) COMMON STOCKS -- (5.5%) Aachener und Muenchener Beteiligungs AG 596 43,017 Adidas-Salomon AG 2,400 284,395 * Aixtron AG 2,400 14,104 Allianz AG 22,867 2,390,586 Altana AG 11,010 716,347 BASF AG 31,350 1,606,578 Bayer AG 40,100 1,148,303 # Bayerische Motorenwerke AG 44,192 1,875,896 * Bayerische Vereinsbank AG 46,769 790,055 # Beiersdorf AG 7,703 870,744 Commerzbank AG 31,673 517,366 # Continental AG 7,400 333,098 * D. Logistics AG 1,200 2,542 DaimlerChrysler AG 56,252 2,503,585 # Deutsche Bank AG 31,988 2,517,999 # Deutsche Boerse AG 5,900 314,241 Deutsche Lufthansa AG 30,202 433,678 Deutsche Post AG 98,718 1,982,253 * Deutsche Telekom AG 290,398 4,888,094 Douglas Holding AG 1,500 40,034 E.ON AG 37,998 2,647,377 * Epcos AG 2,800 56,825 * Fraport AG 3,274 94,674 * Freenet.De AG 854 78,372 Fresenius Medical Care AG 5,195 384,298 Gehe AG 6,588 375,683 * Hannover Rueckversicherungs AG 3,742 127,269 * Heidelberger Druckmaschinen AG 2,678 84,886 Heidelberger Zement AG 7,569 333,452 Hochtief AG 2,695 59,148 * Hypo Real Estate Holding AG 6,387 179,544 * Infineon Technologies AG 43,704 592,044 Karstadt Quelle AG 7,555 156,042 # Linde AG 7,404 383,412 MAN AG 8,122 300,011 Medion AG 2,346 88,925 Merck KGAA 2,700 150,552 *# Metro AG 29,088 1,410,639 MG Technologies AG 11,945 155,452 # Munchener Rueckversicherungs-Gesellschaft AG 15,448 1,583,629 Oldenburgische Landesbank AG 637 50,562 # Preussag AG 9,786 189,951 Puma AG 800 194,765 Rwe AG (Neu) 800 31,294 Rwe AG (NEU) Series A 29,611 1,302,004 # SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 21,517 3,477,864 Schering AG 10,800 589,631 * SGL Carbon AG 1,750 16,780 Siemens AG 47,475 3,359,921 Stada Arzneimittel AG 1,121 $ 58,007 Suedzucker AG 13,568 270,754 ThyssenKrupp AG 36,653 613,081 * T-Online International AG 76,305 878,324 United Internet AG 1,321 33,164 Volkswagen AG 20,257 887,366 * WCM Beteiligungs AG 11,608 16,481 --------------- TOTAL -- GERMANY (Cost $48,582,936) 44,485,098 --------------- NETHERLANDS -- (3.9%) COMMON STOCKS -- (3.9%) ABN-AMRO Holding NV 122,634 2,612,136 Aegon NV 117,874 1,423,571 * Air France 2,614 42,466 AKZO Nobel NV 20,687 745,101 Buhrmann NV 6,020 57,363 DSM NV 7,868 388,534 Elsevier NV 57,907 807,817 * Getronics NV 27,590 76,293 * Hagemeyer NV 21,897 46,884 Heineken Holding NV Series A 27,038 793,539 Heineken NV 56,719 1,874,693 * Hunter Douglas NV 3,502 163,215 IHC Caland NV 2,124 100,190 ING Groep NV 166,457 3,760,069 * Koninklijke Ahold NV 145,070 1,134,825 Koninklijke KPN NV 199,776 1,453,124 * Koninklijke Numico NV 12,248 389,125 Koninklijke Philips Electronics NV 90,808 2,480,208 Koninklijke Vendex KBB NV 5,978 111,200 * Norit NV 34,890 611,540 Oce NV 4,991 74,278 Randstad Holdings NV 8,050 211,474 Royal Dutch Petroleum Co., Den Haag 143,761 7,191,425 TNT Post Groep NV 45,904 1,030,728 Unilever NV 39,438 2,591,402 Vedior NV 15,338 228,694 VNU NV 19,323 568,964 Wolters Kluwer NV 21,861 370,518 --------------- TOTAL COMMON STOCKS (Cost $32,721,347) 31,339,376 --------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 2,377 2,990 * ING Groep NV Coupons 06/17/05 166,457 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $4,469) 2,990 --------------- TOTAL -- NETHERLANDS (Cost $32,725,816) 31,342,366 --------------- AUSTRALIA -- (3.9%) COMMON STOCKS -- (3.8%) Amcor, Ltd. 61,317 284,200 AMP Limited 111,330 442,508 Ansell, Ltd. 12,403 69,843 APN News & Media, Ltd. 23,741 69,246 Aristocrat Leisure, Ltd. 25,976 79,469 Australand Property Group 30,781 35,790
158
SHARES VALUE+ --------------- --------------- Australia & New Zealand Banking Group, Ltd. 121,193 $ 1,559,324 Australian Gas Light Co. 31,475 264,612 Australian Stock Exchange, Ltd. 5,600 61,366 AWB, Ltd. 15,115 52,837 AXA Asia Pacific Holdings, Ltd. 139,317 337,403 Bendigo Bank, Ltd. 5,694 42,157 BHP Billiton, Ltd. 261,912 2,247,754 BHP Steel Ltd 51,941 229,657 * Billabong International, Ltd. 10,606 62,337 Boral, Ltd. 36,452 152,438 Brambles Industries, Ltd. 66,718 280,980 Brickworks, Ltd. 5,844 35,756 * Burns, Philp & Co., Ltd. 90,152 40,508 Caltex Australia, Ltd. 12,048 74,257 Coca-Cola Amatil, Ltd. 35,542 180,045 Cochlear, Ltd. 3,100 45,330 Coles Myer, Ltd. 94,099 569,176 Commonwealth Bank of Australia 87,566 2,050,990 Computershare, Ltd. 34,090 73,930 CSL, Ltd. 10,618 174,368 CSR, Ltd. 55,115 75,854 * Davids Limited 27,928 52,024 Deutsche Office Trust 44,700 39,515 Flight Centre, Ltd. 4,194 52,790 Foodland Associates, Ltd. 6,090 80,175 Foster's Group, Ltd. 150,976 491,118 Futuris Corp., Ltd. 42,265 46,748 General Property Trust 75,385 184,635 Harvey Norman Holdings, Ltd. 91,545 178,160 Iluka Resources, Ltd. 15,365 43,569 Insurance Australiz Group, Ltd. 119,754 389,137 James Hardies Industries NL 30,184 129,520 John Fairfax Holdings, Ltd. 55,963 138,133 Leighton Holdings, Ltd. 23,641 136,245 Lend Lease Corp., Ltd. 31,264 224,042 Lion Nathan, Ltd. 43,600 205,274 Macquarie Bank, Ltd. 14,533 345,861 Macquarie Infrastructure Group 69,634 156,484 Mayne Group, Ltd. 49,547 105,844 Mirvac, Ltd. 46,875 141,960 National Australia Bank, Ltd. 106,524 2,276,671 National Foods, Ltd. 9,831 30,489 Newcrest Mining, Ltd. 21,576 194,614 News Corp., Ltd. 158,899 1,459,558 News Corp., Ltd. Pref Ordinary 284,248 2,414,182 Onesteel, Ltd. 36,779 58,978 Orica, Ltd. 17,659 184,413 Origin Energy, Ltd. 46,223 173,944 * Oxiana, Ltd. 52,556 31,130 Paperlinx, Ltd. 29,331 101,845 Patrick Corp., Ltd. 33,558 116,879 Perpetual Trustees Australia, Ltd. 1,977 62,085 Publishing and Broadcasting, Ltd. 60,779 534,981 QBE Insurance Group, Ltd. 47,261 420,847 Quantas Airways, Ltd. 163,543 400,387 Rinker Group, Ltd. 62,315 333,130 Rio Tinto, Ltd. 35,325 881,520 * Rural Press, Ltd. 5,203 27,966 Santos, Ltd. 38,543 186,416 * Scigen 11,443 522 Sigma Co., Ltd. 7,216 $ 39,120 Sonic Healthcare, Ltd. 16,529 103,940 * Sons of Gwalia, Ltd. 7,201 13,834 * Southcorp, Ltd. 49,137 110,815 St. George Bank, Ltd. 30,907 483,474 * Stockland Trust Group 1,070 3,993 Stockland Trust Group 31,060 116,961 Suncorp-Metway, Ltd. 36,688 361,170 Tab, Ltd. 27,500 93,375 Tabcorp Holdings, Ltd. 29,534 282,115 Telstra Corp., Ltd. 603,648 2,017,761 Ten Network Holdings, Ltd. 17,535 35,911 Toll Holdings, Ltd. 19,556 149,255 Transurban Group 32,295 103,709 Washington H. Soul Pattinson & Co., Ltd. 10,671 47,205 Wesfarmers, Ltd. 24,851 500,669 West Australian Newspapers Holdings, Ltd. 10,881 51,267 Westfield Holdings, Ltd. 37,309 388,868 * Westfield Trust 57 169 Westfield Trust 2,312 7,013 Westpac Banking Corp. 126,435 1,549,889 WMC Resources, Ltd. 75,345 248,221 WMC, Ltd. 75,646 286,789 Woodside Petroleum, Ltd. 56,079 633,847 Woolworths, Ltd. 69,050 580,794 --------------- TOTAL COMMON STOCKS (Cost $23,701,372) 30,834,090 --------------- INVESTMENT IN CURRENCY -- (0.1%) * Australian Dollar (Cost $467,463) 472,133 --------------- TOTAL -- AUSTRALIA (Cost $24,168,835) 31,306,223 --------------- ITALY -- (3.0%) COMMON STOCKS -- (3.0%) * Acea SpA 4,000 28,421 * AEM SpA 24,480 45,849 *# Alitalia Linee Aeree Italiane SpA Series A 50,000 14,325 Alleanza Assicurazioni SpA 43,804 479,196 Assicurazioni Generali SpA, Trieste 58,514 1,516,664 * Autogrill SpA, Novara 10,000 141,983 * Banca Antoniana Popolare Veneta SpA 9,599 191,443 Banca Fideuram SpA 50,948 291,817 Banca Monte Dei Paschi di Siena SpA 135,554 420,411 * Banca Nazionale del Lavoro SpA 101,562 212,802 Banca Popolare di Lodi Scarl 9,804 89,821 Banca Popolare di Milano 14,520 85,453 Banco Popolare di Verona e Novara SpA 16,000 262,526 Benetton Group SpA 6,950 78,722 Bulgari SpA 13,000 125,702 Capitalia SpA 100,360 296,643 # Cassa di Risparmio di Firenze SpA 21,455 36,802 # Compagnia Assicuratrice Unipol SpA 11,382 44,424 Credito Italiano 327,819 1,532,769
159
SHARES VALUE+ --------------- --------------- E.Biscom SpA 1,000 $ 58,177 *# Edison SpA 167,195 289,643 # Eni SpA 198,578 4,035,829 # Ente Nazionale per L'Energia Elettrica SpA 370,835 3,033,887 * Fiat SpA 39,286 278,277 * Finecogroup SpA 14,490 85,108 # Finmeccanica SpA 385,000 290,622 Gruppo Editoriale L'espresso SpA 16,000 98,264 # Intesabci SpA 316,482 1,136,135 Italcementi SpA 6,680 83,581 # Luxottica Group SpA 24,655 399,314 Mediaset SpA 66,880 732,927 Mediobanca SpA 34,000 389,312 # Mediolanum SpA 33,000 222,156 Mondadori (Arnoldo) Editore SpA 10,500 100,070 Pirelli & Co. SpA 93,332 95,767 RAS SpA (Riunione Adriatica di Sicurta) 38,672 693,268 SAI SpA (Sta Assicuratrice Industriale), Torino 3,906 86,897 Saipem SpA 16,937 154,273 San Paolo-IMI SpA 66,607 762,673 Seat Pagine Gialle SpA 8,018 3,182 * Seat Pagine Gialle SpA, Torino 3,041 1,290 SNAM Rete Gas SpA 105,674 444,900 SNIA SpA 9,248 2,786 Societe Cattolica di Assicurazoni Scarl SpA 934 36,287 * Sorin SpA 13,872 35,574 Telecom Italia Mobile SpA 485,179 2,629,586 # Telecom Italia SpA 701,433 2,151,065 * Tiscali SpA 13,000 56,965 --------------- TOTAL COMMON STOCKS (Cost $22,777,237) 24,283,588 --------------- PREFERRED STOCKS -- (0.0%) * Fiat SpA (Cost $43,047) 3,000 12,827 --------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 (Cost $0) 1,677 372 --------------- TOTAL -- ITALY (Cost $22,820,284) 24,296,787 --------------- SPAIN -- (2.8%) COMMON STOCKS -- (2.8%) Acciona SA 4,613 291,583 # Acerinox SA 3,500 191,804 * Antena 3 Television 898 45,629 # Autopistas Concesionaria Espanola SA 37,894 638,828 # Banco Bilbao Vizcaya SA 182,100 2,412,663 Banco de Andalucia 655 57,893 Banco de Sabadell SA 10,406 214,226 # Banco de Valencia SA 4,181 87,190 Banco Pastor SA 1,281 38,009 # Banco Popular Espanol SA, Madrid 14,722 827,598 Banco Santander Central Hispanoamerica SA 271,784 2,888,095 Bankinter SA 3,867 $ 144,643 Cementos Portland SA 1,338 80,262 * Centros Comerciales Carrefour SA 20,065 386,964 # Cia Espanola de Petroleous SA 10,942 361,073 Compania de Distribucion Integral Logista SA 1,457 46,762 *# Coporacion Financiera Reunida SA 6,070 65,427 Corporacion Mapfre Compania Internacional de Reaseguros SA 12,760 145,206 Ebro Puleva SA 2,892 35,259 * Enagas SA 11,325 127,113 Endesa SA, Madrid 60,300 1,113,186 Fomento de Construcciones y Contratas SA 9,577 344,921 * Gamesa Corporacion Technologica SA 3,024 135,615 # Gas Natural SA, Buenos Aires 35,972 859,438 # Grupo Ferrovial SA 10,223 402,422 Iberdrola SA 51,300 1,034,950 Iberia Lineas Aereas de Espana SA 57,296 164,560 Indra Sistemas SA 7,600 97,182 Industria de Diseno Textil SA 51,131 1,175,582 # Metrovacesa SA 3,614 138,483 OCP Construcciones SA, Madrid 7,622 372,022 Promotora de Informaciones SA 13,866 239,702 Red Electrica de Espana S.A. 6,151 101,948 Repsol SA 75,700 1,601,540 Sociedad General de Aguas de Barcelona SA 6,192 103,104 * Sociedad General de Aguas de Barcelona SA 61 1,024 * Sogecable SA 5,430 224,757 # Sol Melia SA 8,400 72,344 Tabacalera SA 15,900 486,536 * Tele Pizza SA 7,000 12,734 # Telefonica de Espana SA 282,457 4,103,377 # Telefonica Publicidad e Informacion SA 23,179 160,049 Union Fenosa SA 19,200 409,593 # Vallehermoso SA 17,641 259,758 # Zardoya Otis SA 9,831 200,448 *# Zeltia SA 10,500 76,366 --------------- TOTAL -- SPAIN (Cost $18,314,874) 22,977,868 --------------- SWEDEN -- (2.0%) COMMON STOCKS -- (1.9%) * Ainax AB 1,922 53,962 Alfa Laval AB 7,600 117,372 Assa Abloy AB Series B 20,500 237,744 Atlas Copco AB Series A 9,300 343,347 Atlas Copco AB Series B 3,600 122,519 Axfood AB 2,700 67,815 Billerud AB 3,200 49,816 * Bostads AB Drott 1,175 21,119 Castellum AB 2,200 51,893 * Drott Series AB 4,700 65,734 Electrolux AB Series B 18,500 367,329 Eniro AB 8,200 64,408 Gambro AB Series A 15,300 138,024 Gambro AB Series B 5,200 46,202
160
SHARES VALUE+ --------------- --------------- Getinge AB 11,600 $ 135,280 Hennes & Mauritz AB Series B 57,900 1,433,926 Hoganas AB Series B 1,300 32,195 Holmen AB Series B 4,300 123,263 * Lundin Petroleum AB 9,000 51,527 * Modern Times Group AB Series B 1,800 32,353 Netcom AB Series B 8,700 374,460 Nordic Baltic Holdings AB 201,048 1,362,396 * OMHEX AB 6,500 86,239 Sandvik AB 16,700 567,170 Scania AB 4,000 123,357 Scania AB Series B 5,400 169,290 Securitas AB Series B 20,900 258,050 Skandia Insurance AB 63,500 254,688 Skandinaviska Enskilda Banken Series A 53,100 765,653 Skanska AB Series B 19,500 162,968 SSAB Swedish Steel Series A 3,500 58,546 SSAB Swedish Steel Series B 1,400 22,660 Svenska Cellulosa AB Series B 12,700 492,126 Svenska Handelsbanken Series A 45,800 891,156 Svenska Kullagerfabriken AB Series A 2,300 83,186 Svenska Kullagerfabriken AB Series B 5,200 189,719 Swedish Match AB (Frueher Svenska Taendsticks AB) 20,400 215,211 Tele2 AB Series A 800 34,189 * Telefon AB L.M. Ericsson Series B 950,800 2,658,934 # Telia AB 381,900 1,614,475 Tietoenator Corp. AB 3,400 100,829 Trelleborg AB Series B 4,200 76,123 # Volvo AB Series A 8,900 277,542 # Volvo AB Series B 20,900 683,228 WM-Data AB Series B 8,500 18,969 --------------- TOTAL COMMON STOCKS (Cost $13,843,369) 15,096,992 --------------- INVESTMENT IN CURRENCY -- (0.1%) * Swedish Krona (Cost $643,514) 647,648 --------------- TOTAL -- SWEDEN (Cost $14,486,883) 15,744,640 --------------- HONG KONG -- (1.3%) COMMON STOCKS -- (1.3%) ASM Pacific Technology, Ltd. 12,000 47,890 Bank of East Asia, Ltd. 64,910 184,206 Cathay Pacific Airways, Ltd. 176,000 332,237 Cheung Kong Holdings, Ltd. 105,600 793,150 Cheung Kong Infrastructure Holdings, Ltd. 99,000 240,040 China Merchants Holdings (International) Co., Ltd. 54,000 71,316 China Unicom, Ltd. 232,000 176,330 CLP Holdings, Ltd. 110,400 584,908 CNOOC, Ltd. 712,500 303,260 Dah Sing Financial Holdings, Ltd. 3,600 24,187 Esprit Holdings, Ltd. 54,541 237,325 Giordano International, Ltd. 40,000 24,496 Hang Lung Development Co., Ltd. 24,000 32,640 Hang Lung Properties, Ltd. 113,500 $ 147,677 Hang Seng Bank, Ltd. 103,000 1,304,014 Henderson Investment, Ltd. 72,000 84,964 Henderson Land Development Co., Ltd. 97,000 417,942 * Hong Kong and China Gas Co., Ltd. 51,000 80,526 Hong Kong Electric Holdings, Ltd. 93,707 391,998 Hong Kong Exchanges & Clearing, Ltd. 48,000 99,557 Hopewell Holdings, Ltd. 38,000 66,099 Hutchison Whampoa, Ltd. 218,500 1,477,411 Hysan Development Co., Ltd. 41,242 66,380 I-Cable Communications, Ltd. 9,854 3,786 Johnson Electric Holdings, Ltd. 168,000 158,097 Kerry Properties, Ltd. 18,000 29,122 Kowloon Motor Bus Holdings, Ltd. 1,200 5,894 * Legend Group, Ltd. 174,000 54,657 Li & Fung, Ltd. 126,000 186,333 * MTR Corp., Ltd. 18,500 27,017 New World Development Co., Ltd. 128,860 99,968 NWS Holdings Ltd. 27,000 32,198 * PCCW, Ltd. 235,265 159,917 SCMP Group, Ltd. 39,198 15,697 Shangri-La Asia, Ltd. 99,872 98,111 Sino Land Co., Ltd. 180,644 105,354 Smartone Telecommunications Holdings, Ltd. 23,000 24,652 Sung Hungkai Properties, Ltd. 118,706 1,007,851 Swire Pacific, Ltd. Series A 42,500 274,021 Techtronic Industries Co., Ltd. 28,000 84,287 Television Broadcasts, Ltd. 20,000 87,987 Texwinca Holdings, Ltd. 60,000 47,707 Wharf Holdings, Ltd. 107,542 303,130 Wheelock and Co., Ltd. 29,000 34,755 Wing Hang Bank, Ltd. 4,500 26,303 # Yue Yuen Industrial (Holdings), Ltd. 69,000 171,914 --------------- TOTAL COMMON STOCKS (Cost $10,956,855) 10,227,311 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars (Cost $166,551) 166,537 --------------- TOTAL -- HONG KONG (Cost $11,123,406) 10,393,848 --------------- FINLAND -- (1.2%) COMMON STOCKS -- (1.2%) Amer-Yhtymae Oyj Series A 1,500 76,996 * Elisa Communications Corp. 10,063 125,447 Fortum Oyj 90,288 1,060,115 KCI Konecranes International Oyj 700 24,185 Kemira Oyj 4,000 50,523 Kesko Oyj 6,400 126,002 Kone Corp. 5,140 296,022 Metso Oyj 10,444 127,906 M-real Oyj Series B 9,000 76,581 Nokia Oyj 342,121 4,686,868 Nokian Renkaat Oyj 500 46,203 Orion-Yhtyma Oyj Series A 200 5,052 Orion-Yhtyma Oyj Series B 2,000 50,850 Outokumpu Oyj Series A 15,900 240,890
161
SHARES VALUE+ --------------- --------------- Pohjola Group P.L.C. Series D 9,600 $ 93,522 Rautaruukki Oyj Series K 8,700 64,769 Sampo Insurance Co., Ltd. 58,700 582,159 Sanoma-Wsoy Oyj Series A 1,391 24,797 Sanoma-Wsoy Oyj Series B 13,063 232,680 Stora Enso Oyj Series R 67,900 880,090 Tietoenator Corp. 2,800 82,623 Upm-Kymmene Oyj 45,800 822,604 Uponor Oyj Series A 2,300 73,143 Wartsila Corp. Oyj Series B 2,900 59,225 --------------- TOTAL -- FINLAND (Cost $9,986,195) 9,909,252 --------------- BELGIUM -- (0.8%) COMMON STOCKS -- (0.8%) AGFA-Gevaert NV, Mortsel 7,300 177,527 Algemene Mij Voor Nijverheidskredit Almanij 6,572 398,651 Barco (New) NV 400 34,950 Bekaert SA 700 40,451 Cie Martime Belge SA 300 28,204 Cofinimmo SA 200 25,644 Colruyt SA Halle 1,700 185,219 * Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 3,600 168,319 # Dexia SA 50,657 847,840 D'Ieteren SA 290 57,729 # Electrabel SA 2,900 945,514 Exmar NV 300 16,468 # Fortis AG 53,679 1,141,072 Groupe Bruxelles Lambert 2,500 154,459 Interbrew SA 23,590 720,029 KBC Bancassurance Holding SA 15,700 899,884 * Mobistar SA 2,500 156,404 Omega Pharma SA 500 24,185 Solvay SA 4,400 354,131 # UCB SA 7,600 353,722 * Umicore-Strip VVPR 55 10 Union Miniere SA 1,155 70,118 --------------- TOTAL COMMON STOCKS (Cost $6,205,870) 6,800,530 --------------- RIGHTS/WARRANTS -- (0.0%) * Cofinimmo SA Rights 06/11/04 (Cost $0) 200 0 --------------- TOTAL -- BELGIUM (Cost $6,205,870) 6,800,530 --------------- DENMARK -- (0.7%) COMMON STOCKS -- (0.7%) Bang & Olufsen Holding A.S. Series B 290 16,864 Carlsberg A.S. Series B 3,475 170,044 Codan A.S. 500 20,955 Coloplast A.S. Series B 970 94,284 Dampskibsselskabet Svendborg A.S. 254 1,654,295 Danisco A.S. 2,450 116,113 Danske Bank A.S. 37,056 842,536 DSV, De Sammensluttede Vognmaend A.S. 880 40,525 East Asiatic Co., Ltd. 900 39,974 * FLS Industries 890 $ 12,054 GN Great Nordic A.S. 9,620 72,227 Group 4 Falck A.S. 3,480 80,626 H. Lundbeck A.S. 14,002 310,827 ISS A.S. 1,763 84,298 * Jyske Bank A.S. 1,330 70,123 Koebenhavns Lufthavne 280 39,715 NKT Holding A.S. 1,100 21,523 Novo-Nordisk A.S. Series B 14,150 650,675 Novozymes A.S. Series B 2,830 123,960 Sydbank A.S. 240 34,350 Tele Danmark A.S. 12,110 408,545 * TK Development 614 1,321 * Topdanmark A.S. 1,300 78,608 * Vestas Wind Systems A.S. 4,400 58,650 * Vestas Wind Systems A.S. Issue 04 1,466 19,015 * William Demant Holding 3,260 120,615 --------------- TOTAL COMMON STOCKS (Cost $4,396,887) 5,182,722 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone (Cost $300,967) 303,474 --------------- RIGHTS/WARRANTS -- (0.0%) * Vestas Wind Systems A.S. Rights 06/03/04 (Cost $0) 2 3 --------------- TOTAL -- DENMARK (Cost $4,697,854) 5,486,199 --------------- SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) Allgreen Properties, Ltd. 41,000 22,901 * Capitacommercial Trust 23,100 13,854 Capitaland, Ltd. 115,500 88,169 * Chartered Semiconductor Manufacturing, Ltd. 112,000 94,556 City Developments, Ltd. 32,000 98,314 Comfortdelgro Corp., Ltd. 81,000 54,323 Creative Technology Co., Ltd. 3,000 30,155 Cycle & Carriage, Ltd. 5,982 22,853 DBS Group Holdings, Ltd. 75,000 620,736 Fraser & Neave, Ltd. 11,100 88,035 Great Eastern Holdings, Ltd. 14,000 96,910 Haw Par Brothers International, Ltd. 2,248 6,174 Keppel Corp., Ltd. 32,000 125,122 Keppel Land, Ltd. 22,000 21,457 * MobileOne, Ltd. 23,000 20,372 Neptune Orient Lines, Ltd. 47,000 59,208 Overseas Chinese Banking Corp., Ltd. 63,300 446,081 Overseas Union Enterprise, Ltd. 6,000 23,753 Parkway Holdings, Ltd. 20,000 13,547 Sembcorp Industries, Ltd. 78,000 66,029 Sembcorp Logistics, Ltd. 39,000 43,725 Sembcorp Marine, Ltd. 55,000 28,477 Singapore Airlines, Ltd. 73,000 450,855 Singapore Land, Ltd. 11,000 24,973 Singapore Press Holdings 16,000 192,484 Singapore Technologies Engineering, Ltd. 155,000 175,864
162
SHARES VALUE+ --------------- --------------- Singapore Telecommunications, Ltd. 1,178,000 $ 1,513,742 Smrt Corporation, Ltd. 59,000 22,684 *# St Assembly Test Services, Ltd. 38,000 32,922 United Overseas Bank, Ltd. 76,000 580,046 United Overseas Land, Ltd. 22,000 29,269 Venture Manufacturing (Singapore), Ltd. 10,000 106,490 Wing Tai Holdings, Ltd. 22,166 11,098 --------------- TOTAL COMMON STOCKS (Cost $6,124,378) 5,225,178 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars (Cost $148,956) 149,994 --------------- RIGHTS/WARRANTS -- (0.0%) * City Developments, Ltd. Warrants (Cost $0) 3,200 5,080 --------------- TOTAL -- SINGAPORE (Cost $6,273,334) 5,380,252 --------------- IRELAND -- (0.6%) COMMON STOCKS -- (0.6%) Allied Irish Banks P.L.C. 68,071 964,365 Anglo Irish Bank Corp. P.L.C. 24,997 395,909 Bank of Ireland P.L.C. 72,629 859,837 CRH P.L.C. 39,532 839,639 DCC P.L.C. 4,814 78,338 * Elan Corp. P.L.C. 28,990 684,614 Fyffes P.L.C. 17,987 35,203 * Grafton Group P.L.C. 15,596 112,207 Greencore Group P.L.C. 13,520 51,156 IAWS Group P.L.C. 8,593 96,712 Independent News & Media P.L.C. 66,416 157,114 Irish Permanent P.L.C. 18,325 275,706 Kerry Group P.L.C. 17,981 371,082 * Ryanair Holdings P.L.C. 32,702 173,280 Waterford Wedgwood P.L.C. 57,541 13,785 --------------- TOTAL -- IRELAND (Cost $4,533,816) 5,108,947 --------------- EMU -- (0.6%) INVESTMENT IN CURRENCY -- (0.6%) * Euro Currency (Cost $4,593,583) 4,624,056 --------------- NORWAY -- (0.4%) COMMON STOCKS -- (0.4%) * Aker Kvaerner ASA 755 12,055 Den Norske Bank ASA Series A 46,600 295,667 * Merkantildata ASA 6,800 5,109 Nera ASA 6,300 16,717 Norsk Hydro ASA 16,900 1,048,742 Norske Skogindustrier ASA Series A 5,000 83,355 * Opticom ASA 600 5,867 Orkla ASA Series A 11,471 291,205 Schibsted ASA 2,700 47,443 Smedvig ASA Series A 3,800 35,706 Statoil Den Norske Stats Oljeselskap ASA 52,301 654,843 Storebrand ASA 14,500 97,394 Tandberg ASA Series A 5,600 56,397 Telenor ASA 71,341 $ 512,476 Tomra Systems ASA 9,200 37,039 * Yara International ASA 16,900 125,403 --------------- TOTAL COMMON STOCKS (Cost $2,600,205) 3,325,418 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone (Cost $196,132) 197,907 --------------- TOTAL -- NORWAY (Cost $2,796,337) 3,523,325 --------------- GREECE -- (0.3%) COMMON STOCKS -- (0.3%) Alpha Credit Bank 10,164 265,914 Athens Water Supply & Sewage Co. S.A. 4,100 28,272 Attica Enterprises S.A. Holdings 3,130 12,633 Bank of Piraeus S.A. 6,510 75,842 Commercial Bank of Greece 3,700 97,957 * Cosmote Mobile Telecommunications S.A. 9,750 162,962 EFG Eurobank Ergasias S.A. 17,470 388,853 Hellenic Bottling Co. S.A. 13,170 328,899 Hellenic Duty Free Shops S.A. 2,000 36,733 Hellenic Petroleum S.A. 13,100 100,125 Hellenic Technodomiki S.A. 3,900 19,454 Hellenic Tellecommunication Organization Co. S.A. 32,460 426,517 Intracom S.A. 3,310 16,652 * Mailis (M.J.) S.A. 2,800 9,530 National Bank of Greece 13,285 400,093 Public Power Corp. of Greece 13,790 344,431 Titan Cement Co. 1,140 49,824 Viohalco S.A. 2,800 17,732 --------------- TOTAL -- GREECE (Cost $2,300,943) 2,782,423 --------------- PORTUGAL -- (0.3%) COMMON STOCKS -- (0.3%) Banco Comercial Portugues SA 172,715 400,276 Banco Espirito Santo e Comercial de Lisboa 17,995 296,298 BPI SGPS SA 44,098 160,901 Brisa Auto Estradas de Portugal SA 24,268 168,200 Cimpor Cimentos de Portugal SA 34,848 182,831 Electricidade de Portugal SA 144,658 392,082 * Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) 5,600 66,095 Portugal Telecom SA 62,730 642,692 PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 5,286 110,918 Sonae SGPS SA 108,923 113,125 --------------- TOTAL -- PORTUGAL (Cost $2,631,882) 2,533,418 ---------------
163
SHARES VALUE+ --------------- --------------- AUSTRIA -- (0.2%) COMMON STOCKS -- (0.2%) Bohler Uddeholm AG 480 $ 36,603 BWT AG 880 21,533 Erste Bank der Oesterreichischen Sparkassen AG 2,731 422,201 EVN AG 674 35,492 Flughafen Wien AG 579 32,223 * Immofinanz Immobilien Anlagen AG 8,273 65,386 Mayr-Melnhof Karton AG 472 56,661 Oesterreichische Elektrizitaetswirtschafts AG 810 134,482 OMV AG 1,728 303,035 * RHI AG, Wien 778 16,158 * Telekom Austria AG 20,547 286,633 * VA Technologie AG 805 42,959 Voestalpine AG 1,479 65,995 Wienerberger AG 4,007 135,793 --------------- TOTAL COMMON STOCKS (Cost $1,160,576) 1,655,154 --------------- RIGHTS/WARRANTS -- (0.0%) * Wienerberger AG Rights 06/02/04 (Cost $0) 4,007 0 --------------- TOTAL -- AUSTRIA (Cost $1,160,576) 1,655,154 --------------- NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 18,875 79,616 Carter Holt Harvey, Ltd. 128,700 158,483 Contact Energy, Ltd. 29,322 103,787 Fisher & Paykel Apppliances Holdings, Ltd. 14,080 40,461 Fisher & Paykel Healthcare Corp. 6,279 49,973 Fletcher Building, Ltd. 28,054 77,841 Independent Newspapers, Ltd. (Auckland) 21,417 65,514 Sky City Entertainment Group, Ltd. 28,614 85,272 * Sky Network Television, Ltd. 17,139 57,470 Telecom Corporation of New Zealand, Ltd. 133,816 465,524 * Tower, Ltd. 25,408 $ 25,402 Warehouse Group, Ltd. 14,200 38,332 --------------- TOTAL COMMON STOCKS (Cost $887,116) 1,247,675 --------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar (Cost $37,056) 37,470 --------------- TOTAL -- NEW ZEALAND (Cost $924,172) 1,285,145 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (16.1%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $14,225,000 FMC Discount Notes 1.13%, 08/12/04, valued at $14,189,438) to be repurchased at $13,980,382 (Cost $13,979,000) $ 13,979 13,979,000 Repurchase Agreement, Mizuho Securities USA 1.00%, 06/01/04 (Collateralized by $122,482,000 U.S. Treasury Obligations 2.625%, 05/15/08, valued at $119,112,191) to be repurchased at $116,789,323 (Cost $116,776,348)^ 116,776 116,776,348 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $130,755,348) 130,755,348 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $772,953,663)++ $ 810,199,962 ===============
- ---------- + See Note B to Financial Statements. ^ Security purchased with cash proceeds from securities on loan. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ++ The cost for federal income tax purposes is $773,766,551. See accompanying Notes to Financial Statements. 164 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
FACE AMOUNT VALUE+ --------------- --------------- (000) UNITED STATES -- (58.5%) AGENCY OBLIGATIONS -- (31.7%) Federal Farm Credit Bank 3.625%, 10/24/08 $ 72,000 $ 70,642,296 Federal Home Loan Bank 2.625%, 07/15/08 20,000 18,985,900 5.800%, 09/02/08 15,500 16,535,803 3.625%, 11/14/08 39,000 38,257,245 3.625%, 11/14/08 5,000 4,904,775 3.000%, 04/15/09 10,000 9,456,890 Federal Home Loan Mortgage Corporation 3.625%, 09/15/08 41,000 40,343,098 5.125%, 10/15/08 24,000 25,046,976 5.750%, 03/15/09 16,000 17,062,624 3.375%, 04/15/09 8,000 7,699,232 Federal National Mortgage Association 3.250%, 08/15/08 12,000 11,653,932 5.250%, 01/15/09 12,500 13,058,000 3.250%, 02/15/09 52,000 49,880,844 Tennessee Valley Authority 5.375%, 11/13/08 24,400 25,712,500 --------------- TOTAL AGENCY OBLIGATIONS (Cost $357,933,850) 349,240,115 --------------- BONDS -- (26.8%) Bayerische Landesbank 2.875%, 10/15/08 7,600 7,173,975 5.875%, 12/01/08 9,600 10,252,359 Citigroup, Inc. 3.625%, 02/09/09 7,000 6,782,678 Fifth Third Bank 3.375%, 08/15/08 21,035 20,487,796 General Electric Capital Corp. 4.250%, 01/15/08 22,050 22,295,372 Gillette Co. 2.875%, 03/15/08 21,300 20,658,380 2.500%, 06/01/08 6,500 6,164,080 Procter & Gamble Co. 6.125%, 05/08/08 24,400 26,151,920 4.300%, 08/15/08 4,200 4,262,756 Siemens Capital Co., Ltd. 6.000%, 02/11/08 24,200 25,889,160 Toyota Motor Credit Corp. 2.875%, 08/01/08 28,000 26,864,124 US Bank NA 3.400%, 03/02/09 30,250 28,971,696 Wal-Mart Stores, Inc. 3.375%, 10/01/08 25,000 24,292,275 Wells Fargo & Co. Corporate Bonds 3.125%, 04/01/09 32,090 30,385,026 Westdeutsche Landesbank 6.050%, 01/15/09 $ 32,200 $ 34,335,697 --------------- TOTAL BONDS (Cost $300,787,752) 294,967,294 --------------- TOTAL -- UNITED STATES (Cost $658,721,602) 644,207,409 --------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.9%) BONDS -- (8.9%) African Development Bank 3.250%, 08/01/08 23,000 22,343,948 European Investment Bank 5.375%, 09/16/08 24,200 25,584,724 Inter-American Development Bank 3.375%, 03/17/08 12,050 11,926,644 5.375%, 11/18/08 9,000 9,555,831 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 5.000%, 10/29/08 27,260 28,513,960 --------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $99,957,756) 97,925,107 --------------- CANADA -- (7.7%) BONDS -- (7.7%) BP Canada Finance 3.625%, 01/15/09 6,200 6,064,313 Canada Mortgage and Housing Corp. 3.375%, 12/01/08 15,400 15,133,134 Canadian Government 5.250%, 11/05/08 26,300 27,888,520 Province of Ontario 5.500%, 10/01/08 26,520 27,977,035 Province of British Columbia 5.375%, 10/29/08 7,670 8,114,093 --------------- TOTAL -- CANADA (Cost $86,952,455) 85,177,095 --------------- GERMANY -- (7.7%) BONDS -- (7.7%) Deutsche Postbank 5.500%, 02/17/09 8,000 8,451,200 KFW International Finance, Inc. 3.250%, 03/30/09 30,800 29,868,670 Landesbank Baden-Wuerttemberg Foerderbank 3.000%, 09/30/08 24,200 23,277,980 Landwirtschaft Rentenbank 3.250%, 06/16/08 17,500 17,133,812 3.875%, 09/04/08 6,300 6,288,206 --------------- TOTAL -- GERMANY (Cost $87,326,372) 85,019,868 ---------------
165
FACE AMOUNT VALUE+ --------------- --------------- (000) FRANCE -- (4.7%) BONDS -- (4.7%) Dexia Credit Local de France 5.500%, 01/21/09 $ 20,115 $ 21,225,348 Total Capital SA 3.500%, 01/05/09 30,900 30,195,480 --------------- TOTAL -- FRANCE (Cost $52,810,527) 51,420,828 --------------- NETHERLANDS -- (4.1%) BONDS -- (4.1%) Nederlandse Waterschaps 2.750%, 12/30/08 19,300 18,296,400 Rabobank 5.500%, 09/17/08 25,000 26,412,500 --------------- TOTAL -- NETHERLANDS (Cost $45,822,919) $ 44,708,900 --------------- FACE AMOUNT@ --------------- (000) SWEDEN -- (3.1%) BONDS -- (3.1%) Sweden Government Bond 5.000%, 01/28/09 247,000 34,635,163 --------------- FACE AMOUNT --------------- (000) AUSTRIA -- (1.7%) BONDS -- (1.7%) Republic of Austria 6.250%, 05/19/08 $ 17,657 $ 19,183,624 --------------- FACE AMOUNT VALUE+ --------------- --------------- (000) SPAIN -- (1.6%) BONDS -- (1.6%) Spain (Kingdom of) 5.875%, 07/28/08 $ 16,000 $ 17,204,480 --------------- JAPAN -- (1.5%) BONDS -- (1.5%) Nippon Telegraph & Telephone Corp. 6.000%, 03/25/08 15,110 16,167,413 --------------- UNITED KINGDOM -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) *British Pound Sterling (Cost $5,393) 6,351 --------------- TEMPORARY CASH INVESTMENTS -- (0.5%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $5,322,000 FHLB Notes 3.375%, 06/15/04, valued at $5,408,483) to be repurchased at $5,327,527 (Cost $5,327,000) 5,327 5,327,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,124,513,788)++ $ 1,100,983,238 ===============
- ---------- + See Note B to Financial Statements. @ Denominated in local currency or the Euro. * Non-Income Producing Securities. ++ The cost for federal income tax purposes is $1,124,513,788. See accompanying Notes to Financial Statements. 166 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) (UNAUDITED)
DFA DFA LARGE FIVE-YEAR REAL ESTATE CAP GLOBAL SECURITIES INTERNATIONAL FIXED INCOME PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- ASSETS: Investments at Value (including $34,246, $110,577 and $0, respectively) $ 987,184 $ 810,200 $ 1,100,983 Cash -- 16 15 Receivables: Dividends, Interest and Tax Reclaims 745 2,338 13,480 Securities Lending Income 1 112 -- Fund Shares Sold 3,774 1,173 1,447 Prepaid Expenses and Other Assets 34 24 56 --------------- --------------- --------------- Total Assets 991,738 813,863 1,115,981 --------------- --------------- --------------- LIABILITIES: Payables: Collateral on Securities Loaned 35,023 116,776 -- Investment Securities Purchased -- 21,901 -- Fund Shares Redeemed 869 141 375 Due to Advisor 223 135 231 Unrealized Loss on Forward Foreign Currency Contracts -- -- 500 Accrued Expenses and Other Liabilities 90 102 98 --------------- --------------- --------------- Total Liabilities 36,205 139,055 1,204 --------------- --------------- --------------- NET ASSETS $ 955,533 $ 674,808 $ 1,114,777 =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 59,305,894 42,815,655 107,608,799 =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 18.99 $ 15.76 $ 10.36 =============== =============== =============== Investments at Cost $ 811,156 $ 772,954 $ 1,124,514 =============== =============== ===============
See accompanying Notes to Financial Statements. 167 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2004 (AMOUNTS IN THOUSANDS) (UNAUDITED)
DFA DFA LARGE FIVE-YEAR REAL ESTATE CAP GLOBAL SECURITIES INTERNATIONAL FIXED INCOME PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- INVESTMENT INCOME Dividends and Tax Reclaims (Net of foreign taxes withheld of $0, $904 and $0, respectively) $ 24,631 $ 8,876 $ 17,441 Interest 55 55 -- Income from Securities Lending 18 305 -- --------------- --------------- --------------- Total Investment Income 24,704 9,236 17,441 --------------- --------------- --------------- EXPENSES Investment Advisory Services 1,336 779 1,315 Accounting & Transfer Agent Fees 268 299 322 Custodian Fees 42 133 41 Legal Fees 5 3 6 Audit Fees 19 13 23 Filing Fees 21 15 20 Shareholders' Reports 8 9 9 Directors' Fees and Expenses 7 3 8 Other 7 15 12 --------------- --------------- --------------- Total Expenses 1,713 1,269 1,756 --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS) 22,991 7,967 15,685 --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (73) 733 (1,599) Net Realized Gain (Loss) on Foreign Currency Transactions -- 54 31 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 23,553 41,414 (15,789) Translation of Foreign Currency Denominated Amounts -- (112) (492) --------------- --------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 23,480 42,089 (17,849) --------------- --------------- --------------- Net Increase (Decrease) in Net Assets Resulting from Operations $ 46,471 $ 50,056 $ (2,164) =============== =============== ===============
See accompanying Notes to Financial Statements. 168 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA DFA REAL ESTATE LARGE CAP FIVE-YEAR GLOBAL SECURITIES INTERNATIONAL FIXED INCOME PORTFOLIO PORTFOLIO PORTFOLIO ----------------------- ----------------------- ----------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, 2004 2003 2004 2003 2004 2003 ----------- ---------- ----------- ---------- ----------- ---------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 22,991 $ 22,917 $ 7,967 $ 8,058 $ 15,685 $ 26,914 Net Realized Gain (Loss) on Investment Securities Sold (73) 6,763 733 -- (1,599) 37,435 Net Realized Gain (Loss) on Foreign Currency Transaction -- -- 54 99 31 (826) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency Transactions 23,553 136,132 41,414 81,602 (15,789) (30,554) Translation of Foreign Currency Denominated Amounts -- -- (112) 21 (492) 708 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations 46,471 165,812 50,056 89,780 (2,164) 33,677 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income (35,650) (20,722) (9,522) (5,772) (14,476) (28,456) Net Short-Term Gains (256) (2,261) -- -- (7,366) (4,472) Net Long-Term Gains (1,406) -- -- -- (30,042) (2,655) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions (37,312) (22,983) (9,522) (5,772) (51,884) (35,583) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued 206,235 289,454 163,365 179,697 270,600 390,384 Shares Issued in Lieu of Cash Distributions 36,668 22,586 9,243 5,551 51,514 35,163 Shares Redeemed (79,935) (84,728) (42,457) (102,500) (122,728) (215,919) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) From Capital Shares Transactions 162,969 227,312 130,151 82,748 199,386 209,628 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) 172,128 370,141 170,685 166,756 145,338 207,722 ---------- ---------- ---------- ---------- ---------- ---------- NET ASSETS Beginning of Period 783,405 413,264 504,123 337,367 969,439 761,717 ---------- ---------- ---------- ---------- ---------- ---------- End of Period $ 955,533 $ 783,405 $ 674,808 $ 504,123 $1,114,777 $ 969,439 ========== ========== ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 10,908 17,797 10,498 14,472 25,549 35,473 Shares Issued in Lieu of Cash Distributions 1,993 1,588 615 483 4,900 3,238 Shares Redeemed (4,271) (5,421) (2,702) (8,433) (11,583) (19,651) ---------- ---------- ---------- ---------- ---------- ---------- 8,630 13,964 8,411 6,522 18,866 19,060 ========== ========== ========== ========== ========== ==========
See accompanying Notes to Financial Statements. 169 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA REAL ESTATE SECURITIES PORTFOLIO --------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50 $ 13.00 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.54 0.64 0.54 0.82 0.76 0.77 Net Gains (Losses) on Securities (Realized and Unrealized) 0.52 4.08 0.18 1.49 1.90 (1.62) ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations 1.06 4.72 0.72 2.31 2.66 (0.85) - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.71) (0.75) (0.75) (0.80) (0.65) (0.65) Net Realized Gains (0.16) (0.08) (0.08) -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions (0.87) (0.83) (0.83) (0.80) (0.65) (0.65) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 18.99 $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50 ================================================================================================================================== Total Return 5.87%# 33.48% 5.36% 17.76% 24.49% (6.75)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 955,533 $ 783,405 $ 413,264 $ 283,732 $ 210,231 $ 130,039 Ratio of Expenses to Average Net Assets 0.38%* 0.41% 0.42% 0.43% 0.45% 0.47% Ratio of Net Investment Income to Average Net Assets 5.16%* 4.19% 4.71% 5.55% 6.06% 6.82% Portfolio Turnover Rate 0%# 2% 2% 6% 7% 8% - ---------------------------------------------------------------------------------------------------------------------------------- LARGE CAP INTERNATIONAL PORTFOLIO --------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41 $ 16.28 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.18 0.25 0.22 0.25 0.23 0.20 Net Gains (Losses) on Securities (Realized and Unrealized) 1.19 2.51 (1.79) (3.38) (1.96) 3.19 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations 1.37 2.76 (1.57) (3.13) (1.73) 3.39 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.26) (0.21) (0.23) (0.22) (0.21) (0.26) Net Realized Gains -- -- -- (0.05) (0.17) -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions (0.26) (0.21) (0.23) (0.27) (0.38) (0.26) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.76 $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41 ================================================================================================================================== Total Return 9.42%# 23.32% (11.50)% (18.42)% (9.19)% 21.12% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 674,808 $ 504,123 $ 337,367 $ 344,871 $ 358,638 $ 268,340 Ratio of Expenses to Average Net Assets 0.41%* 0.43% 0.44% 0.45% 0.47% 0.53% Ratio of Net Investment Income to Average Net Assets 2.56%* 2.10% 1.74% 1.65% 1.21% 1.38% Portfolio Turnover Rate 0%# 1% 9% 4% 1% 2% - ----------------------------------------------------------------------------------------------------------------------------------
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 170
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO --------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53 $ 10.65 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.15 0.33 0.33 0.50 0.61 0.37 Net Gains (Losses) on Securities (Realized and Unrealized) (0.13) 0.15 0.44 0.22 -- 0.01 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations 0.02 0.48 0.77 0.72 0.61 0.38 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.16) (0.39) (0.33) (0.72) (0.64) (0.22) Net Realized Gains (0.42) (0.10) (0.01) -- -- (0.28) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions (0.58) (0.49) (0.34) (0.72) (0.64) (0.50) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.36 $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53 - ---------------------------------------------------------------------------------------------------------------------------------- Total Return 0.11%# 4.45% 7.55% 7.23% 6.09% 3.63% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $1,114,777 $ 969,439 $ 761,717 $ 628,936 $ 517,325 $ 472,334 Ratio of Expenses to Average Net Assets 0.33%* 0.34% 0.35% 0.37% 0.38% 0.39% Ratio of Net Investment Income to Average Net Assets 2.98%* 3.23% 4.09% 4.04% 4.15% 3.62% Portfolio Turnover Rate 37%# 103% 79% 113% 80% 59% - ----------------------------------------------------------------------------------------------------------------------------------
* Annualized # Non-Annualized See accompanying Notes to Financial Statements. 171 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company whose shares are offered without a sales charge generally to institutional investors and clients of registered investment advisors. The Fund consists of thirty-six portfolios, of which DFA Real Estate Securities Portfolio, Large Cap International Portfolio and DFA Five-Year Global Fixed Income Portfolio (the "Portfolios") are presented in this report. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in the preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the DFA Real Estate Securities Portfolio which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Fund values securities at the mean between the quoted bid and asked prices. Securities held by the Large Cap International Portfolio which are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Directors. The Large Cap International Portfolio will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset value of the Portfolio is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Portfolio prices its shares at the close of the NYSE, the Portfolio will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the Portfolio's foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors of the Fund have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Portfolio utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of 172 such prices will have a material impact on the net asset value of a Portfolio. When the Portfolio uses fair value pricing, the values assigned to the Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. Securities held by DFA Five-Year Global Fixed Income Portfolio are valued at the mean between the most recently quoted bid and asked prices or prices provided by a pricing service when such prices are believed to reflect the fair market value of such securities. Securities for which quotations are not readily available are valued in good faith at fair value using methods approved by the Board of Directors. 2. FOREIGN CURRENCY: Securities and other assets and liabilities of the International Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The DFA Five-Year 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 marked to market daily based on daily forward exchange rates. The International Portfolios do not isolate the effect of fluctuation in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. However, the DFA Five-Year Global Fixed Income Portfolio does isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for both financial reporting and income tax reporting purposes. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to each Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors, generally based on average net assets. The International Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The International Portfolios accrue such taxes when the related income or capital gains are known. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. 173 C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Portfolios. The Advisor provides administrative services including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. For the six months ended May 31, 2004, the Portfolios advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: DFA Real Estate Securities Portfolio 0.30 of 1% Large Cap International Portfolio 0.25 of 1% DFA Five-Year Global Fixed Income Portfolio 0.25 of 1%
Certain officers of the Portfolio are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At May 31, 2004, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities as follows: DFA Real Estate Securities Portfolio $ 12,525 Large Cap International Portfolio 8,692 DFA Five-Year Global Fixed Income Portfolio 14,639
E. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2004, the Portfolios made the following purchases and sales of investment securities other than U.S. Government Securities and short-term securities (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES --------------------------- --------------------------- PURCHASES SALES PURCHASES SALES ------------ ------------ ------------ ------------ DFA Real Estate Securities Portfolio -- -- $ 149,914 $ 1,158 Large Cap International Portfolio -- -- 132,971 2,989 DFA Five-Year Global Fixed Income Portfolio $ 195,888 $ 118,653 347,619 258,760
F. FEDERAL INCOME TAXES: No provision for federal income taxes is required since the Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its taxable income and capital gains to shareholders. Because income tax regulations differ from accounting principles generally accepted in the United States of America, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. The components of distributable earnings on a tax basis do not differ materially from book basis distributable earnings, which are disclosed in the Statements of Assets and Liabilities. 174 At May 31, 2004, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands):
GROSS UNREALIZED GROSS UNREALIZED APPRECIATION DEPRECIATION NET ---------------- ---------------- ---------- DFA Real Estate Securities Portfolio $ 188,076 $ (13,137) $ 174,939 Large Cap International Portfolio 101,098 (64,665) 36,433 DFA Five-Year Global Fixed Income Portfolio 1,687 (25,218) (23,531)
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. As of November 30, 2003, the Large Cap International Portfolio had a capital loss carryforward for federal income tax purposes in the amount of approximately $21,144,000, with $2,431,000, $18,180,000 and $533,000 expiring on November 30, 2009, 2010 and 2011, respectively. Certain of the Large Cap International Portfolio's investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. At November 30, 2003, the Portfolio had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. G. COMPONENTS OF NET ASSETS: At May 31, 2004, net assets consisted of (amounts in thousands):
ACCUMULATED ACCUMULATED UNREALIZED UNREALIZED NET ACCUMULATED NET REALIZED APPRECIATION NET INVESTMENT NET FOREIGN (DEPRECIATION) FOREIGN INCOME REALIZED EXCHANGE OF INVESTMENT EXCHANGE TOTAL PAID-IN CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) SECURITIES GAIN (LOSS) NET ASSETS --------------- ----------- ----------- ------------ -------------- ----------- ---------- DFA Real Estate Securities Portfolio $ 754,445 $ 22,788 $ 2,272 -- $ 176,028 -- $ 955,533 Large Cap International Portfolio 652,508 6,302 (21,225) $ 54 37,246 $ (77) 674,808 DFA Five-Year Global Fixed Income Portfolio 1,131,784 8,532 (1,547) 31 (23,531) (492) 1,114,777
H. FINANCIAL INSTRUMENTS: In accordance with the Fund's Investment Objectives and Policies, the Fund may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. REPURCHASE AGREEMENTS: The Fund may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Funds's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. Any open repurchase agreements were entered into on May 28, 2004. 175 2. FORWARD CURRENCY CONTRACTS: DFA Five-Year Global Fixed Income Portfolio may enter into forward currency contracts only to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies. At May 31, 2004, DFA Five-Year Global Fixed Income Portfolio had entered into the following contract and the net unrealized foreign exchange loss is reflected in the accompanying financial statements.
UNREALIZED FOREIGN SETTLEMENT CONTRACT VALUE AT EXCHANGE DATE CURRENCY SOLD AMOUNT MAY 31, 2004 GAIN (LOSS) - ---------- -------------------------- ------------- -------------- ----------- 06/28/04 262,087,583 Swedish Krona $ 34,624,389 $ 35,124,042 $ (499,653) ------------- -------------- ----------- $ 34,624,389 $ 35,124,042 $ (499,653) ============= ============== ===========
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Portfolios may be inhibited. I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2003 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. There were no borrowings by the Portfolios under the discretionary line of credit during the six months ended May 31, 2004. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2005. There were no borrowings by the Portfolios during the six months ended May 31, 2004. J. SECURITIES LENDING: As of May 31, 2004, some of the Fund's portfolios had securities on loan to broker/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, PNCBank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. Cash collateral of each Portfolio received from securities on loan is invested along with cash collateral from the other Portfolios in repurchase agreements collateralized by U.S. government securities. These investments are accounted for separately for each Portfolio. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements mature. 176 DIMENSIONAL EMERGING MARKETS VALUE FUND INC. SCHEDULE OF INVESTMENTS MAY 31, 2004 (UNAUDITED)
SHARES VALUE+ --------------- --------------- TAIWAN -- (10.2%) COMMON STOCKS -- (9.9%) * Abit Computer Co., Ltd. 635,000 $ 274,349 Abocom Systems, Inc. 105,000 49,827 Accton Technology Corp. 607,000 390,870 Acer, Inc. 403,000 592,400 * AGV Products 327,000 76,544 * Allis Electric Co., Ltd. 86,320 16,814 * Ambassador Hotel 435,000 256,801 * Apex Science & Engineering Corp. 103,000 21,794 * Arima Computer Corp. 1,273,000 439,553 Asia Cement Corp. 2,486,000 1,378,691 Asia Chemical Corp. 357,000 88,412 Asia Polymer Corp. 252,000 135,257 Askey Computer Co., Ltd. 99,000 63,742 Aurora Corp. 210,650 124,253 * Aurora Systems Corp. 157,000 58,817 Avision, Inc. 56,000 41,847 Bank of Kaohsiung Co., Ltd. 556,020 414,902 * Behavior Tech Computer Corp. 544,000 200,875 * Bes Engineering Corp. 1,577,539 318,966 * Carnival Industrial Corp. 336,000 62,449 Cathay Chemical Works, Inc. 131,000 39,309 * Cathay Real Estate Development Co., Ltd. 1,914,421 1,098,321 * Central Insurance Co., Ltd. 317,000 163,821 Central Reinsurance Co., Ltd. 312,840 129,337 * Chang Hwa Commercial Bank 3,595,459 2,050,012 Chang-Ho Fibre Corp. 50,000 19,889 * Charoen Pokphand Enterprises Co., Ltd. 96,000 21,461 Cheng Loong Corp. 1,116,000 431,620 * Chia Her Industrial Co., Ltd. 699,000 90,168 * Chia Hsin Cement Corp. 518,000 245,101 * Chia Hsin Food & Synthetic Fiber Co., Ltd. 1,425,000 149,152 * Chia-I Industrial Co., Ltd. 334,000 112,014 * Chien Tai Cement Co., Ltd. 470,397 61,319 * China Airlines 3,135,371 1,732,120 * China Chemical & Pharmaceutical Co. 278,000 110,983 * China Development Financial Holdong Co., Inc. 1,130,000 607,043 China Electric Manufacturing Co., Ltd. 306,000 104,971 * China General Plastics Corp. 314,000 130,897 * China Glaze Co., Ltd. 54,000 13,588 * China Life Insurance Co., Ltd. 665,350 387,784 * China Man-Made Fiber Co., Ltd. 952,020 542,611 * China Petrochemical Development Corp. 1,875,000 340,075 * China Rebar Co., Ltd. 1,592,000 188,966 China Steel Structure Co., Ltd. 170,464 78,725 * China Synthetic Rubber Corp. 385,948 120,535 * China United Trust & Investment Corp. 851,145 $ 144,624 * China Wire & Cable Co., Ltd. 379,000 81,953 * Chinatrust Financial Holdings Co., Ltd. 228,092 253,765 Chin-Poon Industrial Co., Ltd. 370,000 256,439 * Chun Yu Works & Co., Ltd. 230,000 90,357 Chun Yuan Steel Industrial Co., Ltd. 421,000 241,557 Chung Hsin Electric & Machinery Co., Ltd. 512,000 210,929 Chung Hwa Pulp Corp. 432,780 235,319 * Chung Shing Textile Co., Ltd. 228,600 10,007 * Clevo Co. 494,000 229,704 * CMC Magnetics Corp. 632,000 425,686 Collins Co., Ltd. 320,000 107,948 * Compeq Manufacturing Co., Ltd. 982,000 397,909 * Compex International Co. Ltd. 46,400 8,340 Continental Engineering Corp. 927,417 473,281 * Cosmos Bank Taiwan 966,000 458,539 CTCI Corp. 408,000 216,002 * Cyntec Co., Ltd. 32,000 21,110 * Da-Cin Construction Co., Ltd. 229,000 67,744 * Delpha Construction Co., Ltd. 357,000 51,937 Der Pao Construction Co., Ltd. 483,000 170,874 DFI, Inc. 64,000 33,635 * Elite Material Co., Ltd. 93,000 29,882 * Enlight Corp. 250,000 94,504 * Entie Commercial Bank 1,844,474 522,530 * ET Internet Technology Corp. 354,676 181,033 * Eten Information Systems, Ltd. 134,000 86,127 Eternal Chemical Co., Ltd. 706,000 377,682 Eva Airways Corp. 3,032,419 1,420,090 * Ever Fortune Industrial Co., Ltd. 409,000 4,050 Everest Textile Co., Ltd. 419,590 113,216 Evergreen International Storage & Transport Corp. 1,233,000 506,549 Evergreen Marine Corp., Ltd. 1,449,602 1,174,513 Everlight Chemical Industrial Corp. 306,950 107,044 Everspring Industry Co., Ltd. 206,000 70,155 * Far East Department Stores, Ltd. 1,026,000 426,690 Far East Textile, Ltd. 4,150,855 2,320,205 Far Eastern International Bank 825,000 418,368 First Copper Technology Co., Ltd. 322,750 108,165 * First Financial Holding Co., Ltd. 3,071,000 2,319,068 * First Hotel 123,000 71,080 * First International Computer, Inc. 1,680,000 320,983 Formosa Taffeta Co., Ltd. 1,836,124 777,294 * Formosan Rubber Group, Inc. 345,000 148,907 Formosan Union Chemical Corp. 189,561 73,218 * Fortune Electric Co., Ltd. 191,000 56,155 Fu I Industrial Co., Ltd. 264,000 58,649 Fuh-Hwa Financial Holding Co., Ltd. 3,487,993 1,519,894 Fwuson Industry Co., Ltd. 302,000 64,289
177
SHARES VALUE+ --------------- --------------- * G.T.M. Corp. 133,000 $ 59,477 * Giga Storage Corp. 201,000 114,695 * Gold Circuit Electronics, Ltd. 483,140 194,980 * Goldsun Development & Construction Co., Ltd. 1,235,000 309,818 * Grand Pacific Petrochemical Corp. 347,000 141,319 Great China Metal Industry Co., Ltd. 287,000 167,725 Great Wall Enterprise Co., Ltd. 366,000 95,058 * Helix Co., Ltd 158,211 54,355 Hey Song Corp. 594,000 190,616 Ho Tung Holding Corp. 743,000 271,898 * Hocheng Corp. 364,000 112,295 * Hong Ho Precision Textile Co., Ltd. 92,960 18,817 Hong Tai Electric Industrial Co., Ltd. 282,000 85,344 * Hsinchu International Bank 972,940 548,346 Hsing Ta Cement Co., Ltd. 366,000 109,810 Hua Eng Wire & Cable Co., Ltd. 702,035 194,687 * Hua Nan Financial Holding Co., Ltd. 68,453 59,477 * Hualon Corp. 257,040 8,330 * Hung Ching Development & Construction Co., Ltd. 528,000 92,775 * Hung Poo Construction Corp. 286,000 201,672 * Hung Sheng Construction Co., Ltd. 642,000 350,807 * Infodissc Technology Co., Ltd. 716,000 203,131 * International Bank of Taipei 2,420,795 1,596,562 Inventec Corp. 371,000 243,642 * Jean Co., Ltd. 154,000 55,165 * Jui Li Enterprise Co., Ltd. 195,000 54,904 Jung Shing Wire Co., Ltd. 123,000 48,166 Kang Na Hsiung Co., Ltd. 71,415 36,437 * Kao Hsing Chang Iron & Steel Corp. 360,000 107,821 * Kee Tai Properties Co., Ltd. 272,000 74,700 * King Yuan Electronics Co., Ltd. 362,000 358,690 * Kingdom Construction Co., Ltd. 464,000 170,124 Kinpo Electronics, Inc. 333,000 174,689 * Kuoyang Construction Co., Ltd. 255,000 97,622 * Kwong Fong Industries Corp. 230,000 29,353 Lan Fa Textile Co., Ltd. 294,044 88,297 * Lead Data Co., Ltd. 419,000 149,607 * Leadtek Research, Inc. 112,000 57,991 * Lealea Enterprise Co., Ltd. 658,000 121,332 Lee Chang Yung Chemical Industry Corp. 491,077 186,367 * Lee Chi Enterprises Co., Ltd. 196,000 76,712 * Lelon Co., Ltd. 124,000 59,781 * Leofoo Development Co., Ltd. 238,000 94,471 * Les Enphants Co., Ltd. 126,000 50,988 * Li Peng Enterprise Co., Ltd. 513,000 103,791 Li Shin International Enterprise Corp. 38,000 20,291 Lien Hwa Industrial Corp. 734,000 229,173 * Ling Sheng PrecisionIndustrial Corp. 211,320 120,600 * Long Bon Development Co., Ltd. 568,000 202,257 Long Chen Paper Co., Ltd. 507,000 $ 182,138 Lucky Cement Corp. 449,000 140,168 * Luxon Electronics Corp. 313,400 81,472 * Macronix International Co., Ltd. 4,084,000 1,474,477 * Megamedia Corp. 65,782 3,187 Mercuries & Associates, Ltd. 549,000 202,382 * Mercuries Data Co., Ltd. 135,853 63,905 Merida Industry Co., Ltd. 171,000 63,858 * Microelectronics Technology, Inc. 352,000 178,767 Micro-Star International Co., Ltd. 181,000 212,730 * Microtek International, Inc. 115,062 31,002 Mitac International Corp. 1,210,120 562,588 * Mitac Technology Corp. 52,000 22,798 * Mustek Systems, Inc. 75,000 37,597 * Namchow Chemical Industrial Co., Ltd. 159,900 35,805 * Nankang Rubber Tire Co., Ltd. 104,312 109,854 Nantex Industry Co., Ltd. 181,000 59,671 * New Asia Construction & Development Co., Ltd. 146,000 28,032 * Ocean Plastics Co., Ltd. 128,000 78,464 * Opto Tech Corp. 483,000 149,117 * Orient Semiconductor Electronics, Ltd. 1,305,855 155,072 * Pacific Construction Co., Ltd. 324,256 38,354 * Pacific Electric Wire & Cable Corp. 1,873,020 29,226 * Pan Overseas Electronics Co., Ltd. 184,000 82,398 * Pan-International Industrial Corp. 89,000 57,273 Phihong Technology Co., Ltd. 75,000 41,848 * Picvue Electronics, Ltd. 604,000 218,288 Primax Electronics, Ltd. 475,240 172,416 * Prince Housing & Development Corp. 1,102,000 301,199 * Procomp Informatics, Ltd. 391,440 127,294 * Prodisc Technology Inc. 372,000 285,798 Radium Life Tech 85,534 86,360 Ralec Electronic Corp. 156,681 88,744 * Rectron, Ltd. 78,300 19,945 Rexon Industrial Corp., Ltd. 218,820 78,386 * Ritek Corp. 2,327,250 1,271,133 * Ruentex Development Co., Ltd. 626,000 134,028 * Sampo Corp. 1,064,000 357,262 * San Fang Chemical Industry Co., Ltd. 74,800 51,813 * Sanyang Industrial Co., Ltd. 979,000 386,794 Sanyo Electric Co., Ltd. 351,000 214,697 * SDI Corp. 184,000 87,101 Sheng Yu Steel Co., Ltd. 5,000 5,546 Shihlin Electric & Engineering Corp. 595,000 363,928 * Shihlin Paper Corp. 81,000 58,103 * Shinkong Co., Ltd. 173,200 102,633 * Shinkong Synthetic Fibers Co., Ltd. 1,378,000 283,146 Shinung Corp. 285,000 76,076 * Silicon Integrated Systems Corp. 421,000 223,882 * Sin Yih Ceramic Co., Ltd. 211,000 57,758 Sincere Navigation Corp. 339,602 236,906 * Sinkong Spinning Co., Ltd. 75,000 30,597
178
SHARES VALUE+ --------------- --------------- * SinoPac Holdings Co., Ltd. 999,000 $ 536,578 * Siward Crystal Technology Co., Ltd. 38,000 23,273 * Solomon Technology Corp. 338,000 111,612 South East Soda Manufacturing Co., Ltd. 233,000 54,531 Southeast Cement Co., Ltd. 474,000 132,086 * Space Shuttle Hi-Tech Co., Ltd. 177,000 40,049 Standard Foods Taiwan, Ltd. 288,000 88,928 Stark Technology, Inc. 58,000 38,469 Sunonwealth Electric Machine Industry Co., Ltd. 21,000 10,390 Systex Corp., Ltd. 1,015,000 481,574 Ta Chen Stainless Pipe Co., Ltd. 81,000 57,470 * Ta Chong Bank 1,394,000 472,252 Ta Ya Elec Wire & Cable Co., Ltd. 481,000 184,788 Tah Hsin Industrial Corp. 268,000 79,581 * Ta-I Technology Co., Ltd. 140,000 122,292 * Taichung Commercial Bank 1,737,000 476,884 * Tainan Business Bank 749,000 258,827 Tainan Spinning Co., Ltd. 1,727,000 520,044 * Taita Chemical Co., Ltd. 223,000 82,350 * Taitung Business Bank 163,395 18,307 * Taiwan Business Bank 4,077,120 1,388,260 Taiwan Cement Corp. 3,106,090 1,425,352 Taiwan Fire & Marine Insurance Co., Ltd. 278,412 162,079 * Taiwan Flourescent Lamp Co., Ltd. 124,000 67,459 Taiwan Glass Ind. Corp. 503,200 392,812 * Taiwan Kolin Co., Ltd. 498,000 141,702 Taiwan Mask Corp. 103,000 55,055 Taiwan Navigation Co., Ltd. 104,824 70,842 * Taiwan Pulp & Paper Corp. 238,000 73,859 * Taiwan Sakura Corp. 252,900 83,231 Taiwan Sogo Shinkong Security Co., Ltd. 93,000 46,881 * Taiwan Tea Corp. 992,215 239,199 * Tatung Co., Ltd. 4,743,000 1,941,437 * Tay-Shan Enterprises Co., Ltd. 358,000 83,772 Teapo Electronic Corp. 79,000 28,206 Teco Electric & Machinery Co., Ltd. 2,406,834 833,566 Tecom, Ltd. 307,753 127,510 Test-Rite International Co., Ltd. 96,000 51,757 * The Chinese Bank 1,754,000 402,093 * The Farmers Bank of China 1,542,800 504,907 The First Insurance Co., Ltd. 182,000 132,254 * Ton Yi Industrial Corp. 1,927,810 575,370 * TSRC Corp. 598,000 235,605 * Tung Ho Steel Enterprise Corp. 701,285 489,356 * Twinhead International Corp. 422,000 85,690 * Tycoons Group Enterprise Co., Ltd. 263,000 78,240 * Ulead Systems, Inc. 66,000 46,278 U-Ming Marine Transport Corp. 355,000 447,233 * Union Bank of Taiwan 1,811,000 578,432 * Union Insurance Co., Ltd. 557,686 187,302 Uni-President Enterprises Corp. 3,828,130 1,699,761 * Unitech Printed Circuit Board Corp. 433,000 271,404 * United Epitaxy Co., Ltd. 78,000 $ 41,643 * Universal Cement Corp. 315,500 116,369 Universal Microelectronics Co., Ltd. 69,010 33,118 * Universal Scientific Industrial Co., Ltd. 796,000 354,487 UPC Technology Corp. 826,840 313,578 * Usi Corp. 935,000 368,605 * Ve Wong Corp. 177,000 65,963 Via Technologies, Inc. 246,000 237,537 * Visual Photonics Epitacy Co., Ltd. 86,000 46,175 * Walsin Lihwa Corp. 3,829,000 1,862,753 Walsin Technology Corp., Ltd. 367,763 311,533 * Wan Hwa Enterprise Co., Ltd. 253,000 84,160 * Waterland Financial Holdings 2,570,000 956,031 * Wei Chih Steel Industrial Co., Ltd. 211,898 55,229 * Wei Chuan Food Corp. 167,000 69,951 * Winbond Electronics Corp. 4,690,000 2,369,568 Wintek Corp. 108,640 144,951 * Wistron Corp. 229,000 149,844 World Peace Industrial Co., Ltd. 83,000 80,141 * WUS Printed Circuit Co., Ltd. 475,000 321,121 * Yageo Corp. 2,343,840 1,232,735 Yang Ming Marine Transport Corp. 1,027,000 902,704 * Yi Jinn Industrial Co., Ltd. 387,000 71,335 Yosun Industrial Corp. 50,000 52,284 * Yuen Foong Yu Paper Manufacturing Co., Ltd. 1,505,487 826,451 Yulon Motor Co., Ltd. 435,880 489,856 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 1,000 1,155 Yung Shin Pharmaceutical Industrial Co., Ltd. 268,000 201,695 Yung Tay Engineering Co., Ltd. 456,000 267,748 Zig Sheng Industrial Co., Ltd. 341,120 98,108 --------------- TOTAL COMMON STOCKS (Cost $62,121,548) 78,035,982 --------------- INVESTMENT IN CURRENCY -- (0.3%) * Taiwan Dollar (Cost $2,275,829) 2,292,121 --------------- TOTAL -- TAIWAN (Cost $64,397,377) 80,328,103 --------------- SOUTH KOREA -- (9.7%) COMMON STOCKS -- (9.7%) Aekyung Petrochemical Co., Ltd. 10,140 106,490 * Anam Semiconductor, Inc. 296,459 850,038 Asia Cement Manufacturing Co., Ltd. 9,438 207,804 * AUK Corp. 24,000 70,687 Baiksan Co., Ltd. 41,550 41,314 Boo Kook Securities Co., Ltd. 17,385 71,918 BYC Co., Ltd. 810 28,151 Byuck San Corp. 230 2,548 Byuck San Engineering and Construction Co., Ltd. 87,860 199,742 * Capro Corp. 16,830 20,628
179
SHARES VALUE+ --------------- --------------- Cheil Industrial, Inc. 80,314 $ 984,736 Cho Kwang Leather Co., Ltd. 4,860 12,490 Choil Aluminium Mfg. Co., Ltd. 5,770 19,311 Chon Bang Co., Ltd. 2,520 63,501 * Chong Kun Dang 11,299 32,959 Choong Wae Pharmaceutical 9,816 94,258 * Choongnam Spinning Co., Ltd. 714 3,203 Chosun Refractories Co., Ltd. 7,370 133,868 * CKD Bio Corp. 3,109 7,722 * D.I Corp. 65,430 101,019 Dae Chang Industrial Co. 6,170 19,454 Dae Dong Industrial Co., Ltd. 3,930 13,745 * Dae Han Fire & Marine Insurance Co., Ltd. 12,610 40,823 Dae Sang Corp. 82,740 195,032 Dae Won Kang Up Co., Ltd. 13,100 112,554 * Dae Young Packaging Co., Ltd. 356,210 21,339 Daegu Bank Co., Ltd. 148,102 876,925 Daehan Flour Mills Co., Ltd. 2,525 88,561 Daehan Synthetic Fiber Co., Ltd. 2,000 20,153 Daelim Industrial Co., Ltd. 54,270 1,804,384 * Daelim Trading Co., Ltd. 27,140 120,022 Daesung Industrial Co., Ltd. 7,690 114,663 Daewoo Engineering & Construction Co., Ltd. 419,350 1,475,293 * Daewoo International Corp. 64,190 379,931 Daewoo Motor Sales Corp. 61,560 359,813 * Daewoo Securities Co., Ltd. 324,720 1,047,123 Daewoong Co., Ltd. 12,340 56,878 Dahaam E-Tec Co., Ltd. 5,985 41,672 Daishin Securities Co., Ltd. 103,481 1,210,849 Daiyang Metal Co., Ltd. 40,000 40,327 * Daou Technology, Inc. 60,000 71,979 DC Chemical Co., Ltd. 38,990 488,175 Dong Ah Tire Industrial Co., Ltd. 42,420 128,103 Dong Bu Insurance Co., Ltd. 132,650 533,767 * Dong Hai Pulp Co., Ltd. 14,310 45,963 Dong IL Rubber Belt Co., Ltd. 7,253 12,276 Dong Wha Pharmaceutical Industries Co. 5,167 29,777 * Dong Won Co., Ltd. 5,520 49,678 Dong Yang Department Store Co., Ltd. 9,000 31,210 Dong-A Pharmaceutical Co., Ltd. 19,920 266,389 Dongbu Corp. 46,410 218,869 Dongbu Hannong Chemical Co., Ltd. 14,890 69,547 Dongbu Securities Co., Ltd. 22,040 37,235 Dongbu Steel Co., Ltd. 46,108 240,385 Dong-II Corp. 4,205 88,368 Dongkook Industries Co., Ltd. 1,620 5,082 Dongkuk Steel Mill Co., Ltd. 155,862 1,065,142 * Dongsu Industrial Co., Ltd. 9,880 101,037 Dongsung Chemical Industries 3,770 19,674 Dongwon F&B Co., Ltd. 6,666 200,712 Dongwon Financial Holding Co., Ltd. 116,926 588,706 * Dongwon Industries Co., Ltd. 1,876 14,018 Dongyang Express & Construction Corp. 5,250 64,460 * Doosan Corp. 41,820 375,648 Doosan Heavy Industries & Construction Co., Ltd. 221,940 $ 1,353,048 DPI Co., Ltd. 33,340 79,530 Duck Yang Industry Co., Ltd. 4,000 26,758 * Enex Co., Ltd. 5,960 37,433 F&F Co., Ltd. 23,100 31,677 * First Fire & Marine Insurance Co., Ltd. 40,160 36,525 * Fursys, Inc. 24,120 178,970 Global & Yuasa Battery Co., Ltd. 11,600 14,981 Green Cross Corp. 10,540 224,923 * Gwangju Shinsegae Co., Ltd. 1,590 46,385 Halla Engineering & Construction Corp. 7,450 30,028 Han Kuk Carbon Co., Ltd. 25,070 25,799 Han Wha Corp. 146,740 1,047,997 Han Yang Securities Co., Ltd. 24,940 56,050 Hana Securities Co., Ltd. 40,790 183,560 Handok Pharmaceuticals Co., Ltd. 18,150 145,607 Hanil Cement Manufacturing Co., Ltd. 15,883 665,331 * Hanil E-wha Co., Ltd. 79,730 77,158 Hanil Iron & Steel Co., Ltd. 1,815 17,007 Hanjin Heavy Industry Co., Ltd. 145,790 567,197 Hanjin Transportation Co., Ltd. 23,460 185,259 * Hankook Core Co., Ltd. 7,001 511 Hankook Cosmetics Co., Ltd. 30,000 20,875 Hankook Tire Manufacturing Co., Ltd. 150,550 1,189,634 Hankuk Electric Glass Co., Ltd. 16,680 699,610 Hankuk Glass Industries, Inc. 22,200 660,289 Hankuk Paper Manufacturing Co., Ltd. 9,800 151,497 * Hanmi Capital Co., Ltd. 28,690 80,542 Hansae Co., Ltd. 3,260 34,989 * Hansol Chemical Co., Ltd. 12,467 39,514 * Hansol CSN Co., Ltd. 103,640 82,729 Hansol Paper Co., Ltd. 92,914 626,597 * Hansol Telecom Co., Ltd. 543 4,147 Hanwha Chemical Corp. 175,110 1,004,089 Hanwha Securities Co., Ltd. 62,690 117,957 Heesung Cable, Ltd. 3,660 31,538 Histeel Co., Ltd 1,080 7,724 Hotel Shilla, Ltd. 76,920 328,914 HS R&A Co., Ltd. 4,980 24,132 Huchems Fine Chemical Corp. 45,340 143,279 * Huneed Technologoes Co., Ltd. 90,030 25,061 Husteel Co., Ltd. 10,370 41,170 Hwa Sung Industrial Co. 26,510 72,522 Hwashin Co., Ltd. 42,000 35,278 Hyosung T & C Co., Ltd. 61,987 461,013 Hyundai Cement Co., Ltd. 15,435 349,867 * Hyundai Corp. 6,015 11,903 Hyundai Department Store Co., Ltd. 20,728 488,133 Hyundai Department Store H & S Co., Ltd. 8,362 79,619 Hyundai Development Co. 160,560 1,705,019 Hyundai Fire & Marine Insurance Co., Ltd. 7,420 232,816
180
SHARES VALUE+ --------------- --------------- Hyundai Heavy Industries Co., Ltd. 103,890 $ 2,533,734 Hyundai Hysco 170,820 651,943 * Hyundai Merchant Marine Co., Ltd. 171,390 1,158,524 * Hyundai Mipo Dockyard Co., Ltd. 15,693 236,638 Hyundai Motor Co., Ltd. 101,700 3,893,271 Hyundai Pharmaceutical Ind Co., Ltd. 4,200 38,195 * Hyundai Securities Co., Ltd. 249,730 1,018,532 II Dong Pharmaceutical Co., Ltd. 5,840 46,372 * II Jin Diamond Co., Ltd. 14,730 157,797 II Sung Pharmaceutical Co., Ltd. 3,990 48,982 II Yang Pharmaceutical Co., Ltd. 6,107 16,239 IIShin Spinning Co., Ltd. 3,600 115,582 INI Steel Co., Ltd. 225,530 1,679,713 ISU Chemical Co., Ltd. 14,350 77,622 Je II Pharmaceutical Co. 2,220 40,929 Jeonbuk Bank, Ltd. 52,970 193,060 * Jinro, Ltd. 12,210 15,722 Joongang Constuction Co., Ltd. 9,880 43,189 * KDB Capital Corp. 972 2,793 * Keang Nam Enterprises Co., Ltd. 7,902 27,102 KEC Corp. 8,020 166,846 Keyang Electric Machinery Co., Ltd. 71,760 64,879 * KG Chemical Corp. 111,230 42,015 Kia Motors Corp. 58,630 501,381 Kodenshi Korea Corp. 38,000 54,380 Kolon Chemical Co., Ltd. 20,220 86,796 Kolon Engineering & Construction Co., Ltd. 37,850 85,909 Kolon Industries, Inc. 32,379 172,269 * Kolon International 1,905 5,601 Kolon International Corp. 11,960 57,775 Korea Cast Iron Pipe Co., Ltd. 44,688 64,521 Korea Circuit Co. 31,660 97,874 * Korea Development Co., Ltd. 23,520 173,573 * Korea Development Leasing Corp. 61,900 66,400 * Korea Express Co., Ltd. 21,990 428,902 Korea Fine Chemical Co., Ltd. 7,000 73,204 Korea Flange Co., Ltd. 6,860 69,724 Korea Iron & Steel Co., Ltd. 25,230 325,947 Korea Iron & Steel Works Co., Ltd. 21,294 190,815 Korea Kolmar Co., Ltd. 35,185 49,465 Korea Komho Petrochemical 61,750 387,254 * Korea Mutual Savings Bank 14,910 73,449 Korea Petrochemical Industry Co., Ltd. 12,300 74,789 Korea Polyol Co., Ltd. 9,750 267,068 Korea Zinc Co., Ltd. 31,800 516,633 * Korean Air Co., Ltd. 167,698 2,120,543 Korean Air Terminal Service Co., Ltd. 3,490 34,708 Korean Reinsurance Co., Ltd. 9,279 344,550 * KP Chemical Corp. 201,976 491,054 * KTB Network, Ltd. 135,720 268,591 Kuk Dong Electric Wire Co., Ltd. 3,740 57,464 Kukdo Chemical Co., Ltd. 8,710 67,169 Kukdong City Gas Co., Ltd. 12,780 $ 149,109 * Kukje Corp. 34,550 41,338 Kumgang Korea Chemical Co., Ltd. 8,410 844,060 Kumho Industrial Co., Ltd. 89,380 617,491 * Kunsul Chemical Industrial Co. Ltd 12,700 49,320 Kwang Dong Pharmaceutical Co., Ltd. 114,660 113,435 Kyeryong Construction Industrial Co., Ltd. 17,500 176,925 Kyobo Securities Co., Ltd. 76,680 153,213 Kyong Dong Boiler Co., Ltd. 3,450 37,647 Kyungbang Co., Ltd. 1,856 85,959 LG Cable, Ltd. 68,050 1,069,229 LG Engineering & Construction Corp. 104,882 1,636,385 LG International Corp. 72,934 503,084 * LG Investment & Securities Co., Ltd. 136,070 1,016,513 Lotte Confectionary Co., Ltd. 1,170 518,136 Lotte Sam Kang Co., Ltd. 2,460 195,704 Meritz Securities Co., Ltd. 73,900 135,293 Motonic Corp. 640 6,836 Namhae Chemical Corp. 105,810 144,907 Namyang Dairy Products Co., Ltd. 1,320 361,255 Nexans Korea, Ltd. 45,600 51,598 Nong Shim Holdings Co., Ltd. 1,750 64,373 Oriental Fire & Marine Insurance Co., Ltd. 16,810 226,022 Ottogi Corporation 7,320 159,381 * Pacific Industries, Inc. 12,240 120,370 * PaperCorea, Inc. 19,552 43,978 * Partsnic Co., Ltd. 11,310 30,761 * Pohang Coated Steel Co., Ltd. 12,780 163,352 Poong Lim Industrial Co., Ltd. 32,280 57,944 Poong San Corp. 66,220 545,811 * Pum Yang Construction Co., Ltd. 14,380 97,110 Pusan City Gas Co., Ltd. 21,560 217,304 Pyung Hwa Industrial Co., Ltd. 45,370 119,739 * Regent Securities Co., Ltd. 267,423 213,488 * Rocket Electric Co., Ltd. 3,460 5,340 * Saehan Industries, Inc. 95,610 153,475 * Saehan Media Corp. 31,250 41,552 * Sam Jin Pharmaceutical Co., Ltd. 2,650 48,627 Sam Yung Trading Co., Ltd. 13,840 15,272 Sambu Construction Co., Ltd. 11,175 72,348 Samhwa Crown and Closure Co., Ltd. 3,100 21,934 Samhwa Paints Industrial Co., Ltd. 33,600 74,994 * Samlip Industrial Co., Ltd. 15,670 55,189 Samsung Climate Control Co., Ltd. 11,990 48,964 Samsung Corp. 331,070 4,163,830 * Samsung Engineering Co., Ltd. 84,110 402,511 Samsung Fine Chemicals 57,050 745,819 Samsung Heavy Industries Co., Ltd. 491,740 2,119,201 Samsung Securities Co., Ltd. 7,000 124,629
181
SHARES VALUE+ --------------- --------------- Samwhan Corp. Co., Ltd. 17,730 $ 82,100 Samyang Corp. 22,135 360,736 Samyang Genex Co., Ltd. 5,490 124,712 Samyang Tongsang Co., Ltd. 2,820 28,564 * Samyoung Chemical Co., Ltd. 2,820 17,231 Samyoung Electronics Co., Ltd. 39,200 228,527 Seah Holdings Corp. 4,619 52,639 Seah Steel Corp. 6,245 52,599 * Segye Corp. 20,530 40,163 Sejong Industrial Co., Ltd. 44,050 97,102 Sejong Securities Co., Ltd. 71,510 104,520 Sempio Foods Co. 3,610 18,677 * Seoul Securities Co., Ltd. 109,220 256,938 * Shin Dong-Ah Fire & Marine Insurance Co. 22,873 71,538 Shin Heung Securities Co., Ltd. 9,130 16,126 Shin Young Securities Co., Ltd. 18,390 183,595 Shin Young Wacoal, Inc. 273 7,963 * Shin-Ho Paper Manufacturing Co., Ltd. 38,850 99,869 Shinmoorim Paper Manufacturing Co., Ltd. 34,120 141,359 Shinpoong Pharmaceutical Co., Ltd. 4,540 39,332 * Shinsegae Engineering & Construction Co., Ltd. 3,980 36,313 * Shinsung Tongsang Co., Ltd. 21,550 36,534 * SK Chemicals Co., Ltd. 37,810 246,039 SK Gas Co., Ltd. 18,370 288,089 * SK Networks Co., Ltd. 13,708 251,004 * SKC Co., Ltd. 47,410 343,022 Song Woun Industries 24,310 44,657 * Ssang Bang Wool Co., Ltd. 52,870 158,593 * Ssangyong Cement Industry Co., Ltd. 397,692 528,527 * Ssangyong Fire & Marine Insurance Co. 13,190 32,144 STX Corp. 10,226 34,334 * STX Engine 8,711 24,601 * Sung Chang Enterprise Co., Ltd. 9,000 50,342 Sung Shin Cement Co., Ltd. 40,070 595,984 * Sungwon Corp. 20,600 20,428 * Sunjin Co., Ltd. 4,240 67,968 Tae Kwang Industrial Co., Ltd. 2,380 309,676 Tae Kyung Industrial Co., Ltd. 63,000 97,825 Tae Young Corp. 16,270 493,296 Taegu Department Store Co., Ltd. 19,941 112,508 Tai Han Electric Wire Co., Ltd. 84,107 395,337 Tai Lim Packaging Industries Co., Ltd. 4,380 10,029 The Will-Bes & Co., Ltd. 10,640 21,651 * Tong Kook Corp. 607 814 * Tong Yang Investment Bank 166,420 236,981 * Tong Yang Major Corp. 24,960 46,843 Tong Yang Moolsan Co., Ltd. 4,560 9,739 * Tongil Heavy Industries Co., Ltd. 160,770 71,810 * Trigem Computer, Inc. 60,329 209,228 TS Corp. 3,881 28,606 Union Steel Manufacturing Co., Ltd. 12,240 526,901 Wiscom Co., Ltd. 22,000 $ 46,588 Woongjin.Com Co., Ltd. 78,940 187,349 Woori Securities Co., Ltd. 64,593 213,422 Yoo Sung Enterprise Co., Ltd. 3,780 46,835 Youlchon Chemical Co., Ltd. 47,300 294,467 * Young Poong Mining & Construction Corp. 18,030 851 * Youngbo Chemical Co., Ltd. 33,000 50,762 Youngone Corp. 108,650 236,992 Youngpoong Corp. 1,580 58,291 Yuhan Corp. 5,179 297,691 Yuhwa Securities Co., Ltd. 17,000 98,671 * Zinus, Inc. 9,330 24,627 --------------- TOTAL -- SOUTH KOREA (Cost $64,517,828) 76,069,220 --------------- SOUTH AFRICA -- (9.6%) COMMON STOCKS -- (9.6%) * ABSA Group, Ltd. 1,028,666 7,365,068 Advtech, Ltd. 281,863 33,262 Aeci, Ltd. 164,732 802,648 * Afgri, Ltd. 474,231 435,824 African Life Assurance Co., Ltd. 224,178 506,132 * Afrikander Lease, Ltd. 246,760 88,629 * AG Industries, Ltd. 258,225 79,048 * Allied Electronics Corp., Ltd. 83,653 153,704 Anglo American PLC 233,102 4,921,341 Argent Industrial, Ltd. 44,350 26,426 * AST Group, Ltd. 195,883 17,676 * Aveng, Ltd. 625,909 755,448 Barloworld, Ltd. 340,431 3,621,869 * Bell Equipment, Ltd. 104,995 135,324 * Bridgestone Firestone Maxiprest, Ltd. 113,271 22,667 * Business Connexion Group, Ltd. 465,381 260,728 Bytes Technology Group, Ltd. 151,960 135,230 * Capital Alliance Holdings, Ltd. 368,442 603,181 * Capitec Bank Holdings, Ltd. 90,933 81,219 * Corpcapital, Ltd. 579,166 46,933 * Datatec, Ltd. 217,667 316,218 * Dimension Data Holdings PLC 960,866 536,691 Distell Group, Ltd. 15,299 34,549 Dorbyl, Ltd. 23,741 65,497 * Ellerine Holdings, Ltd. 123,641 605,840 Gold Reef Casino Resorts, Ltd. 344,218 389,477 Grintek, Ltd. 210,786 37,988 Group Five, Ltd. 116,245 170,298 Highveld Steel & Vanadilum Corp., Ltd. 170,633 484,267 Hudaco Industries, Ltd. 41,570 141,727 Iliad Africa, Ltd. 76,658 62,848 Illovo Sugar, Ltd. 440,336 512,338 Imperial Holdings, Ltd. 343,691 3,682,662 * Investec, Ltd. 69,518 1,287,043 Iscor, Ltd. 788,334 4,100,969 * JCI, Ltd. 1,770,853 149,079 * Johnic Communications, Ltd. 48,017 180,204 Kersaf Investments, Ltd. 101,756 592,987 Liberty Group, Ltd. 480,674 3,848,020 M Cubed Holdings, Ltd. 990,750 47,094 Metair Investment, Ltd. 7,789 181,819
182
SHARES VALUE+ --------------- --------------- * Metorex, Ltd. 214,682 $ 77,995 Metropolitan Holdings, Ltd. 1,070,841 1,270,470 Murray & Roberts Holdings, Ltd. 524,389 1,119,913 Nampak, Ltd. 1,012,204 2,160,586 Nedcor, Ltd. 664,231 6,352,281 * New Clicks Holdings, Ltd. 304,410 345,555 Northam Platinum, Ltd. 330,046 460,252 * Nu-World Holdings 22,465 79,570 Old Mutual PLC 6,061,892 10,591,213 * Omnia Holdings, Ltd. 60,733 275,179 * Palabora Mining Co., Ltd. 13,846 125,005 * Peregrine Holdings, Ltd. 302,634 104,116 PSG Group, Ltd. 151,915 61,715 Rainbow Chicken, Ltd. 382,937 301,860 Rebserve Holdings, Ltd. 388,298 460,443 Redefine Income Fund, Ltd. 83,325 32,365 * Relyant Retail, Ltd. 944,541 210,994 Sanlam, Ltd. 4,194,220 5,685,064 Santam, Ltd. 172,709 1,222,259 Sappi, Ltd. 377,732 5,271,270 * Tiger Wheels, Ltd. 80,109 246,487 Tongaat-Hulett Group, Ltd. 177,566 1,220,081 * Trencor, Ltd. 239,789 447,947 UCS Group, Ltd. 170,047 31,398 * Value Group, Ltd. 108,971 24,251 --------------- TOTAL -- SOUTH AFRICA (Cost $71,638,862) 75,698,241 --------------- MEXICO -- (9.5%) COMMON STOCKS -- (9.5%) Alfa S.A. de C.V. Series A 3,021,264 9,928,353 * Cintra S.A. de C.V. 85,000 14,897 * Consorcio Hogar S.A. de C.V. Series B 189,500 61,276 Controladora Comercial Mexicana S.A. de C.V. Series B 4,793,000 5,628,200 * Corporacion Geo S.A. de C.V. Series B 1,728,500 2,226,609 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 1,414,805 2,987,933 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 3,689 339 Corporativo Fragua S.A. de C.V. Series B 70 184 * Desc S.A. de C.V. Series B 8,736,833 2,564,815 El Puerto de Liverpool S.A. Series 1 20,000 28,743 El Puerto de Liverpool S.A. Series C1 328,600 463,608 * Empaques Ponderosa S.A. de C.V. Series B 90,000 4,732 * Empresas ICA Sociedad Controladora S.A. de C.V. 14,137,500 4,348,475 Empresas la Moderna S.A. de C.V. Series A 2,636,785 559,174 Fomento Economico Mexicano Series B & D 488,000 2,087,733 * GPo Iusacell 143,500 175,799 Gruma S.A. de C.V. Series B 1,222,950 2,052,271 Grupo Carso S.A. de C.V. Series A-1 721,000 $ 2,780,003 Grupo Cementos de Chihuahua, S.A. de C.V. 1,171,000 1,918,915 Grupo Corvi S.A. de C.V. Series L 284,000 47,037 Grupo Financiero del Norte S.A. Series C 650,000 2,272,707 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 74 15 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 75,724 15,926 Grupo Financiero Inbursa S.A. de C.V. Series O 2,728,165 3,468,928 * Grupo Gigante S.A. de C.V. Series B 324,076 207,313 * Grupo Industrial Maseca S.A. de C.V. Series B 1,824,900 800,388 Grupo Industrial Saltillo Unique Series 778,300 1,275,399 * Grupo Nutrisa S.A. de C.V. 428 96 Grupo Posadas S.A. de C.V. Series L 356,000 205,898 * Grupo Qumma S.A. de C.V. Series B 5,301 84 * Grupo Tribasa S.A. de C.V. 152,065 0 Herdez Common Series 319,000 139,771 * Hylsamex S.A. de C.V. 1,026,960 1,457,894 Industrias Bachoco S.A. de C.V. (Certificate Representing Series B and Series L) 246,000 398,808 Industrias Penoles S.A. de C.V. 1,277,400 4,589,528 * Industrias S.A. de C.V. Series B 93,000 427,858 * Jugos del Valle S.A. de C.V. Series B 155,900 246,183 * Nueva Grupo Mexico S.A. de C.V. Series B 4,676,996 13,984,060 * Organizacion Soriana S.A. de C.V. Series B 1,796,300 5,651,069 * Sanluis Corporacion S.A. de C.V. (Certificates representing 1 share Series B, 1 share Series C & 1 share Series D) 2,400 978 * US Commercial Corp. S.A. de C.V. 271,000 142,013 Vitro S.A. 1,471,900 1,547,807 --------------- TOTAL COMMON STOCKS (Cost $52,582,959) 74,711,819 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Mexican Peso (Cost $6,375) 5,873 --------------- TOTAL -- MEXICO (Cost $52,589,334) 74,717,692 --------------- MALAYSIA -- (9.1%) COMMON STOCKS -- (9.1%) * A&M Realty Berhad 427,100 155,039 ACP Industries Berhad 512,000 267,879 * Advance Synergy Berhad 641,000 79,406
183
SHARES VALUE+ --------------- --------------- Advanced Synergy Capital Berhad 153,500 $ 27,491 Affin Holdings Berhad 2,406,100 855,717 Aluminum Co. of Malaysia 250,000 73,073 * AMBD Berhad 1,990,900 102,154 AMMB Holdings Berhad 938,944 854,290 Ancom Berhad 375,000 82,924 Ann Joo Resources Berhad 619,200 257,767 Antah Holding Berhad 306,000 12,499 * Apollo Food Holdings Berhad 198,400 111,246 * Arab Malaysia Corp. Berhad 2,000,000 710,710 Asas Dunia Berhad 524,700 144,999 * Asia Pacific Land Berhad 1,349,000 92,339 Asiatic Development Berhad 1,523,000 701,469 * Avenue Assets Berhad 2,401,600 331,874 Ayer Hitam Planting Syndicate Berhad 27,000 17,049 Bandar Raya Developments Berhad 1,097,000 631,491 Batu Kawan Berhad 614,500 969,148 * Berjaya Capital Berhad 1,765,900 416,274 * Berjaya Group Berhad 3,516,900 115,855 * Berjaya Land Berhad 2,479,500 515,523 * Bernas Padiberas Nasional Berhad 1,391,800 472,319 Bimb Holdings Berhad 1,029,800 460,266 * Bina Darulaman Berhad 118,000 38,664 * Binaik Equity Berhad 149,800 47,349 Bolton Properties Berhad 747,000 143,588 Boustead Holdings Berhad 1,665,600 767,699 Cahya Mata Sarawak Berhad 1,008,800 443,666 * Camerlin Group Berhad 845,200 198,864 Chemical Co. of Malaysia Berhad 311,000 197,186 Chin Teck Plantations Berhad 81,000 114,982 * Choo Bee Metal Industries Berhad 235,700 141,333 Commerce Asset Holding Berhad 1,104,000 1,417,653 * Cosway Corp. Berhad 854,100 203,625 Cycle & Carriage Bintang Berhad 249,800 222,013 * Damansara Realty Berhad 391,000 10,847 * Datuk Keramik Holdings Berhad 127,000 4,149 * Dijaya Corp. Berhad 612,100 130,427 Diversified Resources Berhad 3,284,000 1,572,557 DNP Holdings Berhad 166,000 31,197 * E&O Property Development Berhad 1,166,000 208,541 Eastern & Oriental Berhad 325,000 77,850 Eastern Pacific Industrial Corp. Berhad 207,200 177,931 * Econstates Berhad 264,000 80,106 Edaran Otomobil Nasional Berhad 735,600 1,713,401 Esso Malaysia Berhad 237,000 163,622 Europlus Berhad 278,100 52,655 * Faber Group Berhad 170,300 15,194 Far East Holdings Berhad 159,200 145,599 FFM Berhad 383,400 867,237 Focal Aims Holdings Berhad 424,000 50,110 General Corp. Berhad 564,000 83,085 Glomac Berhad 171,600 104,400 * Gold IS Berhad 734,100 260,864 Golden Hope Plantations Berhad 2,934,800 $ 2,639,670 * Golden Plus Holdings Berhad 201,000 36,197 * Gopeng Berhad 273,900 36,001 * Grand United Holdings Berhad 451,100 74,130 * Gula Perak Berhad 417,000 177,658 Guthrie Ropel Berhad 191,700 191,708 Hap Seng Consolidated Berhad 662,100 438,563 Highlands and Lowlands Berhad 1,727,900 1,683,159 * Ho Hup Construction Co. Berhad 175,100 73,348 * Ho Wah Genting Berhad 369,000 60,209 Hong Leong Credit Berhad 1,097,137 1,172,114 Hong Leong Industries Berhad 261,000 322,468 Hong Leong Properties Berhad 2,295,741 323,589 Hume Industries (Malaysia) Berhad 270,667 327,423 Hwang-DBS (Malaysia) Berhad 654,000 297,790 IGB Corp. Berhad 3,872,600 1,242,722 IJM Corp. Berhad 511,000 625,981 IJM Plantations Berhad 204,400 62,342 * Insas Berhad 1,680,000 181,193 * Integrated Logistics Berhad 324,000 144,979 Island & Peninsular Berhad 522,500 635,013 Jaya Tiasa Holdings Berhad 302,000 298,659 Jerneh Asia Berhad 265,700 165,035 * Johan Holdings Berhad 228,000 20,640 Johor Port Berhad 1,078,200 658,413 * Johore Tenggara Oil Palm Berhad 464,000 149,167 * K & N Kenanga Holdings Berhad 1,454,300 371,529 Keck Seng (Malaysia) Berhad 657,500 278,600 * Kejora Harta Berhad 601,000 48,963 Kian Joo Can Factory Berhad 598,200 458,447 * KIG Glass Industrial Berhad 260,000 13,700 Kim Hin Industry Berhad 265,000 195,418 Kim Loong Resources Berhad 113,000 44,664 KPJ Healthcare Berhad 478,600 181,501 Kuala Lumpur Kepong Berhad 117,000 195,306 * Kub Malaysia Berhad 1,251,400 223,698 Kulim Malaysia Berhad 576,100 371,123 * Kumpulan Emas Berhad 1,268,000 110,271 Kwantas Corp. Berhad 123,000 173,303 * Land & General Berhad 2,261,700 184,463 Landmarks Berhad 1,637,000 297,188 * Leader Universal Holdings Berhad 1,621,833 191,916 * Leong Hup Holdings Berhad 286,000 86,514 * Lien Hoe Corp. Berhad 654,850 68,959 Lingui Development Berhad 1,323,000 550,934 Lion Diversified Holdings Berhad 1,044,100 294,281 Lion Industries Corp. Berhad 1,742,581 444,877 Malayan Cement Berhad 67,500 13,956 Malayawata Steel Berhad 645,100 365,231 * Malaysia Building Society Berhad 263,000 51,160 Malaysia Industrial Development Finance Berhad 2,898,700 902,176 Malaysia Mining Corp. Berhad 3,286,800 1,735,139 * Malaysian Airlines System Berhad 80,000 98,638 Malaysian Mosaics Berhad 1,097,200 464,128 Malaysian Plantations Berhad 2,514,000 1,504,114
184
SHARES VALUE+ --------------- --------------- Maruichi Malaysia Steel Tube Berhad 479,000 $ 298,540 Matrix International Berhad 316,000 98,878 Matsushita Electric Co. (Malaysia) Berhad 160,880 431,587 * MBF Holdings Berhad 41,850 1,431 MBM Resources Berhad 143,333 93,588 * Meda, Inc. Berhad 650,100 53,028 Mega First Corp. Berhad 448,000 111,429 Metro Kajang Holdings Berhad 401,500 198,741 * Metroplex Berhad 817,000 13,953 * Mieco Chipboard Berhad 228,000 144,813 * MTD Infraperdana Berhad 1,747,000 334,005 Muda Holdings Berhad 706,000 96,526 Muhibbah Engineering Berhad 321,600 88,888 MUI Properties Berhad 1,314,000 114,026 * Mulpha International Berhad 5,006,400 837,250 * Multi-Purpose Holdings Berhad 1,974,000 572,032 * Mutiara Goodyear Development Berhad 247,900 58,437 * MWE Holdings Berhad 360,000 54,956 * Mycron Steel Berhad 119,750 0 * Naluri Berhad 2,010,800 619,724 * Nam Fatt Berhad 286,100 51,827 Narra Industries Berhad 154,200 79,317 NCB Holdings Berhad 1,310,500 823,508 * Negri Sembilan Oil Palms Berhad 167,600 102,811 * New Straits Times Press (Malaysia) Berhad 735,600 754,837 Nylex (Malaysia) Berhad 219,500 60,625 Oriental Holdings Berhad 1,598,716 1,639,781 Oriental Interest Berhad 170,000 60,466 OSK Holdings Berhad 940,666 407,877 OSK Property Holdings Berhad 186,678 53,623 Oyl Industries Berhad 96,333 919,441 Pacific & Orient Berhad 239,300 120,600 Pan Malaysia Cement Works Berhad 1,271,800 167,126 * Pan Malaysian Industries Berhad 4,041,000 96,011 * Pan Pacific Asia Berhad 100,000 2,368 * Paracorp Berhad 252,000 23,587 Paramount Corp. Berhad 203,900 136,902 * PBA Holdings Berhad 504,000 198,671 Pelangi Berhad 1,655,800 267,608 * Pernas International Holdings Berhad 2,030,200 293,787 Perusahaan Otomobil Nasional Berhad 1,305,500 2,696,888 Petaling Garden Berhad 636,200 217,845 Phileo Allied Berhad 1,361,100 698,987 * Pilecon Engineering Berhad 210,000 4,699 PJ Development Holdings Berhad 1,043,900 117,982 PK Resources Berhad 25,000 4,863 PPB Group Berhad 918,333 1,571,263 * Premium Nutri 513,100 56,700 * Prime Utilities Berhad 46,000 14,447 * Promet Berhad 140,000 10,684 * Pulai Springs Berhad 159,800 55,860 RHB Capital Berhad 4,895,100 2,487,471 Road Builders (Malaysia) Holdings Berhad 243,000 $ 187,332 Sapura Telecommunications Berhad 155,152 88,988 Sarawak Enterprise Corp. Berhad 2,760,200 965,828 Sarawak Oil Palms Berhad 93,000 57,016 SCB Developments Berhad 120,000 142,184 Scientex, Inc. Berhad 116,000 60,663 Selangor Dredging Berhad 619,000 64,395 Selangor Properties Berhad 1,164,600 689,107 Shell Refining Co. Federation of Malaysia Berhad 48,000 85,799 * SHL Consolidated Berhad 561,300 195,193 * Silverstone Corp. Berhad 8,690 559 Sime Darby Berhad (Malaysia) 355,980 492,407 Sime Engineering Services Berhad 222,000 90,634 * South East Asia Lumber, Inc. Berhad 228,800 59,990 Southern Acids (Malaysia) Berhad 44,000 21,317 Southern Bank Berhad (Foreign) 1,350,850 941,947 Southern Steel Berhad 330,000 191,911 * Store Corp. Berhad 124,630 85,219 Sunrise Berhad 517,000 371,566 * Sunway City Berhad 1,160,000 509,549 * Sunway Holdings, Inc. Berhad 394,000 168,967 * Suria Capital Holdings Berhad 1,181,600 180,395 * Symphony House Berhad 106,714 44,932 Ta Enterprise Berhad 4,292,200 824,886 Talam Corp. Berhad 139,050 42,806 Tan Chong Motor Holdings Berhad 2,220,500 688,773 Tekala Corp. Berhad 337,700 79,551 * Time Dotcom Berhad 6,229,300 1,606,687 Tiong Nam Transport Holdings Berhad 171,500 63,754 Tradewinds (Malaysia) Berhad 782,900 552,804 * Trengganu Development & Management Berhad 534,400 137,871 Tronoh Mines Malaysia Berhad 371,000 284,432 UDA Holdings Berhad 875,200 343,370 UMW Holdings Berhad 634,443 834,728 Unico-Desa Plantations Berhad 359,000 174,628 Union Paper Holdings Berhad 1,014,100 240,365 * Uniphone Telecommunications Berhad 286,800 84,443 United Malacca Rubber Estates Berhad 310,800 282,845 United Plantations Berhad 112,000 138,333 * Utama Banking Group Berhad 955,000 249,797 VS Industry Berhad 285,500 97,583 Warisan TC Holdings Berhad 109,850 49,427 Worldwide Holdings Berhad 418,600 215,242 WTK Holdings Berhad 172,300 267,635 Yeo Hiap Seng (Malaysia) Berhad 296,100 147,874 YTL Corp. Berhad 30,000 34,721 --------------- TOTAL COMMON STOCKS (Cost $64,353,274) 71,662,310 ---------------
185
SHARES VALUE+ --------------- --------------- RIGHTS/WARRANTS -- (0.0%) * Kulim Malaysia Berhad Rights 06/04/04 144,025 $ 47,377 * Mieco Chipboard Berhad Warrants 04/01/04 76,000 26,600 * OSK Property Holdings Berhad Rights 06/28/04 93,339 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $2,000) 73,977 --------------- TOTAL -- MALAYSIA (Cost $64,355,274) 71,736,287 --------------- ISRAEL -- (8.0%) COMMON STOCKS -- (8.0%) * Afcon Industries, Ltd. 2,102 5,656 American Israeli Paper Mills, Ltd. 13,563 724,465 * Ashtrom Properties, Ltd. 171,400 83,567 * Azorim Investment Development & Construction Co., Ltd. 299,403 2,580,070 Bank Hapoalim, Ltd. 3,775,700 9,674,939 Bank Leumi Le-Israel 4,836,950 8,886,859 Bank of Jerusalem, Ltd. 71,150 60,611 * Baran Group, Ltd. 94,200 550,252 Blue Square Chain Stores Properties & Investments, Ltd. 33,400 313,169 CLAL Industries, Ltd. 773,796 3,680,121 Delta Galil Industries, Ltd. 78,554 1,181,433 * Discount Mortgage Bank, Ltd. 3,611 299,793 * Elbit Medical Imaging 192,747 1,452,245 Elco Industries (1975) 11,441 59,674 Electra Consumer 23,400 281,384 * Electrochemical Industries (1952), Ltd. 48,800 1,643 * Elron Electronic Industries, Ltd. 202,296 2,671,158 * Feuchtwanger Investments 1984, Ltd. 10,500 5,751 * First International Bank of Israel 294,660 1,573,971 * First International Bank of Israel, Ltd. 434,800 472,783 * Formula Systems (1985), Ltd. 93,700 1,776,268 * Formula Vision Technologies, Ltd. 1,953 2,195 * Granite Hacarmel Investments, Ltd. 142,500 236,624 IDB Development Corp., Ltd. Series A 87,522 1,998,504 Industrial Building Corp., Ltd. 408,034 419,480 Investec Bank, Ltd. 4,400 125,481 Israel Cold Storage & Supply Co., Ltd. 7,000 27,756 Israel Corp. Series A 4,000 637,877 * Israel Land Development Co., Ltd. 234,969 810,873 * Israel Petrochemical Enterprises, Ltd. 253,817 1,175,560 * Israel Steel Mills, Ltd. 97,000 827 * Kardan Real Estate, Ltd. 3,052 7,838 * Knafaim-Arkia Holdings, Ltd. 117,857 1,492,556 * Koor Industries, Ltd. 125,769 4,769,654 * Leader Holding & Investments, Ltd. 113,800 139,832 * Liberty Properties, Ltd. 3,457 $ 25,023 M.A.Industries, Ltd. 227,355 949,113 * Mehadrin, Ltd. 24,063 422,529 * Merhav-Ceramic & Building Materials Center, Ltd. 36,232 47,595 Middle East Tube Co. 46,200 60,481 Miloumor, Ltd. 26,800 102,741 * Minrav Holdings, Ltd. 2,000 79,646 * Nice Systems, Ltd. 50,930 1,118,429 * OCIF Investments and Development, Ltd. 3,380 44,719 Otzar Hashilton Hamekomi, Ltd. 1,050 64,368 Packer Plada, Ltd. 2,877 187,270 * Polgat Industries, Ltd. Series B 21,900 46,246 Property and Building Corp., Ltd. 7,261 620,967 * Scitex Corp., Ltd. 365,565 2,071,092 * Secom 60,500 44,587 * Shrem Fudim Kelner & Co., Ltd. 28,100 73,450 Super-Sol, Ltd. Series B 688,337 1,553,964 * Team Computer & Systems, Ltd. 7,900 143,238 Tefahot Israel Mortgage Bank, Ltd. 150,477 1,395,399 * Union Bank of Israel, Ltd. 373,011 1,236,993 United Mizrahi Bank, Ltd. 1,233,305 4,084,817 * Urdan Industries, Ltd. 183,950 93,229 Ytong Industries, Ltd. 174,250 176,871 --------------- TOTAL COMMON STOCKS (Cost $51,313,718) 62,823,636 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Israel Shekel (Cost $6,027) 5,961 --------------- TOTAL -- ISRAEL (Cost $51,319,745) 62,829,597 --------------- TURKEY -- (7.7%) COMMON STOCKS -- (7.7%) * Adana Cimento Sanayi Ticaret A.S. 130,533,878 85,442 * Ak Enerji A.S. 196,467,000 932,651 Akbank T.A.S. 2,195,623,604 9,214,368 * Aksa 148,490,460 1,248,874 Aksigorta A.S. 401,460,655 949,599 * Alarko Sanayii ve Ticaret A.S. 40,047,992 262,656 * Alternatifbank A.S. 92,933,793 43,320 * Altinyildiz Mensucat ve Konfeksiyan Fabrikalari A.S. 87,865,000 114,284 * Anadolu Anonim Turk Sigorta Sirketi 450,118,800 482,188 Anadolu Cam Sanayii A.S. 560,760,663 1,393,116 * Anadolu Cam Sanayii A.S. 933,554 4,103 * Ayen Enerji A.S. 52,628,000 359,309 * Bagfas Bandirma Gubre Fabrik 7,420,000 160,949 Bati Cimento A.S. 221,759,062 348,278 * Bolu Cimento Sanayi A.S. 290,345,704 333,760 Borusan 98,343,000 514,033 * Bossa Ticaret ve Sanayi Isletmeleri A.S. 360,180,000 314,850 * Brisa Bridgestone Sanbanci Lastik San & Tic A.S. 9,261,000 299,223
186
SHARES VALUE+ --------------- --------------- CIMSA A.S. (Cimento Sanayi ve Ticaret) 480,369,600 $ 930,675 * Dardanel Onentas 16,183,440 13,065 * Dogan Sirketler Grubu Holdings A.S. 2,405,888,914 4,088,515 * Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,360,000 81,156 * Eczacibasi Yapi Gere 362,756,250 362,937 * Eregli Demir ve Celik Fabrikalari Turk A.S. 181,399,500 4,629,705 * Finansbank 2,461,996,166 2,427,279 * Goldas Kuyumculuk Sanayi A.S. 327,200,000 157,513 * Goltas Cimento 24,412,000 161,114 * Gubre Fabrikalari Ticaret A.S. 29,241,000 46,636 * Gunes Sigorta A.S. 309,093,552 205,559 * Ihlas Holding 188,032,000 145,434 * Is Gayrimenk 1,114,100,400 1,048,598 * Izmir Demir Celik 230,946,541 267,361 Kartonsan 1,000,000 49,239 * Kordsa Sabanci Dupont Endustriye Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 414,951,000 562,829 * Kutahya Porslen Sanayii A.S. 7,076,000 84,404 * Mardin Cimento 51,378,750 180,342 * Marshall Boya ve Vernik Sanayii A.S. 5,909,000 71,312 * Marshall Boya ve Vernik Sanayii A.S. 5,909,000 69,657 * Medya Holdings A.S. Series C 33,508,000 153,983 * Menderes Tekstil Sanayi ve Ticaret A.S. 347,650,000 162,246 * Milpa Ticari ve Sinai Urunler Pazarlama 48,774,528 34,830 * Net Holding A.S. 123,098,207 96,417 * Net Turizm Ticaret ve Sanayi 92,089,000 78,186 * Netas Northern Electric Telekomunikasyon A.S. 24,805,400 472,222 * Otobus Karoseri Sanayi A.S. 98,162,368 369,604 * Pinar Entegre et ve Yem Sanayii A.S. 51,591,600 37,199 * Pinar Sut Mamulleri Sanayii A.S. 20,146,500 62,892 * Raks Elektroniks A.S. 5,859,000 4,913 * Sabah Yayincilik A.S. 31,938,000 80,829 * Sarkuysan Elektrolitik Bakir Sanayi A.S. 49,559,827 67,354 * Sarkuysan Elektrolitik Bakir Sanayi A.S. Issue 04 198,239,308 240,290 * Sasa Suni ve Sentetik Elyat Sanayi A.S. 1,121,965,000 1,110,041 * Tat Konserve Sanayii A.S. 175,295,920 255,897 * Tekstil Bankasi A.S. 501,024,697 143,683 Ticaret ve Sanayi A.S. 27,299,993 41,622 Tire Kutsan Oluklu Mukavvakutu ve Kagit Sanayi A.S. 156,597,250 248,578 * Tofas Turk Otomobil Fabrikasi A.S. 544,993,508 937,113 Trakya Cam Sanayii A.S. 1,227,824,231 2,777,686 * Turk Demir Dokum Fabrikalari 166,949,478 288,917 Turk Dis Ticaret Bankasi A.S. 1,481,311,972 1,818,154 * Turk Siemens Kablo ve Elektrik Sanayi A.S. 9,828,000 68,675 * Turk Sise de Cam Fabrikalari A.S. Issue 04 608,032,453 $ 992,128 * Turk Sise ve Cam Fabrikalari A.S. 1,468,553,271 2,473,562 * Turkiye Garanti Bankasi A.S. 1,892,062,225 5,273,356 Turkiye Is Bankasi A.S. Series C 1,617,774,400 5,436,837 * Ulker Gida Sanayi Ve Ticaret 113,147,029 463,439 * Unye Cimento Sanayi ve Ticaret A.S. 20,978,642 19,657 USAS (Ucak Servisi A.S.) 3,420,000 36,910 * Vestel Elektronik Sanayi Ticaret A.S. 223,134,000 688,252 * Yapi ve Kredi Bankasi A.S. 1,405,653,434 2,956,629 * Yatak ve Vorgan Sanayi ve Ticaret Yatas 6,552,000 15,278 --------------- TOTAL -- TURKEY (Cost $32,054,380) 60,551,712 --------------- BRAZIL -- (7.6%) PREFERRED STOCKS -- (6.5%) * Acesita SA 4,130,760,696 3,159,052 Alpargatas-Santista Textil SA 430,000 53,420 Bahia Sul Celulose SA 930,690 195,208 Banco Bradesco SA 72,828 3,119,689 * Bradespar SA 142,577,592 54,289 Brasil Telecom Participacoes SA 1,406,899 8,085 Brasileira de Petroleo Ipiranga 202,800,000 812,771 * Braskem SA 142,800,000 2,248,674 Centrais Electricas de Santa Catarin Celesc Series B 1,250,000 338,819 * Companhia Siderurgica Paulista 720,000 160,310 Confab Industrial SA 600,000 784,124 Coteminas Cia Tecidos Norte de Minas 15,097,500 993,833 Distribuidora de Produtos Petreleo Ipirangi SA 8,000,000 61,955 Duratex SA 66,910,000 1,322,439 Embraco SA 342,000 133,533 Embratel Participacoes SA 1,389,166 3,205 Gerdau SA 775,552 8,301,084 Globex Utilidades SA 34,076 89,066 * Inepar SA Industria e Construcoes 78,960,001 11,211 Investimentos Itau SA 2,204,851 2,369,201 Magnesita SA Series A 20,000,000 57,761 Marcopolo SA 326,400 557,166 Metalurgica Gerdau SA 396,800 5,083,240 Perdigao SA NPV 199,200 1,754,811 Polialden Petroquimica SA 780,000 123,330 Ripasa SA Papel e Celulose 1,298,000 1,135,069 Sadia SA 3,838,282 4,855,136 Siderurgica Belgo-Mineira 12,307,631 2,740,324 Siderurgica de Tubarao Sid Tubarao 160,870,000 4,516,715 Suzano de Papel e Celulose 408,508 1,687,287 Suzano Petroquimica SA 94,000 106,163 Tele Celular Sul Participacoes SA 1,443,880 1,840 * Tele Leste Celular Participacoes SA 1,784,040 426 Tele Norte Celular Participacoes SA 1,390,958 247
187
SHARES VALUE+ --------------- --------------- Tele Norte Leste Participacoes SA 7,538,375 $ 85,138 Telemar Norte Leste SA Series A 73,000,000 1,158,955 Telemig Celular Participacoes SA 1,422,616 2,029 Telenordeste Celular Participacoes SA 1,437,735 1,735 * Telesp Celular Participacoes 1,389,246 3,878 Uniao des Industrias Petroquimicas SA Series B 2,153,712 1,299,594 Unibanco-Uniao de Bancos Brasileiros SA 1,850,000 71,158 Usinas Siderurgicas de Minas Gerais SA 41,925 403,963 * Usinas Siderurgicas de Minas Gerais SA 6,900,000 8,238 Vale do Rio Doce Series B 239,144 0 Votorantim Celulose e Papel SA 26,200,000 1,631,772 --------------- TOTAL PREFERRED STOCKS (Cost $20,655,586) 51,505,943 --------------- COMMON STOCKS -- (1.1%) Brasil Telecom Participacoes SA 51,256,779 261,329 * Embratel Participacoes 50,000,000 222,814 Eternit SA 880,000 75,818 Forjas Taurus SA 254,000 119,664 Sao Pau Alpargatas SA 470,000 30,332 Siderurgica Nacional Sid Nacional 151,600,000 7,044,337 Tele Celular Sul Participacoes SA 50,433,301 53,704 Tele Centro Oeste Celular Participacoes SA 50,291,117 158,712 * Tele Leste Celular Participacoes 64,212,621 13,675 * Tele Norte Celular Participacoes 50,064,513 11,309 Tele Norte Leste Participacoes SA 51,468,358 506,380 Telemig Celular Participacoes SA 51,793,284 133,703 Telenordeste Celular Participacoes SA 50,517,828 50,208 --------------- TOTAL COMMON STOCKS (Cost $3,046,240) 8,681,985 --------------- RIGHTS/WARRANTS -- (0.0%) * Tele Celular Sul Participacoes SA Rights 06/07/04 2,059,938 70 * Tele Celular Sul Participacoes SA Rights 06/07/04 29,487 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 70 --------------- TOTAL -- BRAZIL (Cost $23,701,826) 60,187,998 --------------- INDONESIA -- (6.7%) COMMON STOCKS -- (6.7%) * PT Apac Centretex Corporation Tbk 774,000 12,518 PT Asahimas Flat Glass Co., Ltd. 5,333,500 1,073,549 PT Astra Agro Lestari Tbk 12,738,500 3,438,018 PT Astra Graphia Tbk 18,779,000 506,690 PT Bank Central Asia Tbk 1,277,000 $ 509,324 * PT Bank NISP Tbk 44,791,078 2,469,042 PT Bank Pan Indonesia Tbk 105,175,000 3,291,209 PT Berlian Laju Tanker Tbk 27,228,400 2,708,166 PT Bhakti Investama Tbk 31,933,500 1,016,798 PT Branta Mulia Tbk 180,000 15,040 * PT Budi Acid Jaya Tbk 6,410,000 62,401 PT Charoen Pokphand Indonesia Tbk 13,979,000 348,144 * PT Clipan Finance Indonesia Tbk 12,461,000 419,129 * PT Davomas Adabi Tbk 14,203,500 903,334 PT Dynaplast Tbk 3,040,000 499,857 * PT Eterindo Wahanatama Tbk 4,599,000 69,583 * PT Ever Shine Textile Tbk 19,347,215 192,951 * PT Great River International 1,788,000 78,561 * PT Hero Supermarket Tbk 220,000 23,754 * PT Indocement Tunggal Prakarsa Tbk 166,000 28,671 PT Indorama Synthetics Tbk 7,901,320 358,832 PT International Nickel Indonesia Tbk 1,880,500 6,581,357 * PT Jaya Real Property 5,189,500 922,735 * PT Karwell Indonesia 1,466,500 52,573 * PT Kawasan Industry Jababeka Tbk 534,000 4,616 PT Komatsu Indonesia Tbk 6,049,000 840,493 PT Lautan Luas Tbk 7,721,000 191,363 * PT Lippo Land Development Tbk 386,400 29,162 * PT Makindo Tbk 1,450,000 156,334 PT Matahari Putra Prima Tbk Foreign 12,852,500 694,066 PT Mayorah Indah 8,497,572 848,289 * PT Medco Energi International Tbk 31,249,000 4,724,273 * PT Metrodata Electronics Tbk 18,582,000 150,390 * PT Modern Photo Tbk 1,266,500 85,845 * PT Mulia Industrindo 5,260,000 124,567 * PT Mutlipolar Corporation Tbk 3,195,000 94,803 * PT Panasia Indosyntec Tbk 403,200 17,171 PT Panin Insurance Tbk 27,086,000 699,285 * PT Rig Tenders Indonesia Tbk 276,000 207,225 PT Sari Husada Tbk 1 2 PT Selamat Semp Tbk 10,624,000 281,631 PT Semen Gresik Tbk 8,421,591 8,432,842 * PT Sinar Mas Agro Resources and Technology Tbk 1,688,580 505,697 PT Summarecon Agung Tbk 2,250,000 109,425 * PT Sunson Textile Manufacturer Tbk 6,012,000 69,054 * PT Suparma Tbk 3,995,345 77,401 * PT Surya Dumai Industri Tbk 5,145,000 189,991 PT Surya Toto Indonesia 46,400 19,511 PT Tempo Scan Pacific 6,466,000 4,846,756 PT Tigaraksa Satria Tbk 68,400 24,797 PT Timah Tbk 5,855,000 1,232,169 * PT Trias Sentosa Tbk 29,527,200 621,216 PT Trimegah Sec Tbk 34,298,000 501,459 PT Tunas Ridean Tbk 10,810,000 395,706 PT Ultrajaya Milk Industry & Trading Co. 13,717,500 576,390
188
SHARES VALUE+ --------------- --------------- PT Unggul Indah Corp. Tbk 371,435 $ 93,610 --------------- TOTAL -- INDONESIA (Cost $38,777,964) 52,427,775 --------------- THAILAND -- (5.9%) COMMON STOCKS -- (5.9%) * Adkinson Securities Public Co., Ltd. (Foreign) 1,753,500 408,444 * Advance Agro Public Co., Ltd. (Foreign) 1,587,830 880,606 American Standard Sanitaryware (Thailand) Public Co. Ltd. (Foreign) 4,150 22,300 Bangkok Expressway Public Co., Ltd. (Foreign) 4,575,300 2,638,946 * Bangkok Land Co., Ltd. (Foreign) 11,962,000 277,157 * Bank of Ayudhya Public Co., Ltd. (Foreign) 12,208,000 3,701,218 Banpu Public Co., Ltd. (Foreign) 1,122,000 3,401,676 Big C Supercenter Public Co., Ltd. (Foreign) 1,274,800 562,458 Capital Nomura Securities Public Co., Ltd. (Foreign) 370,100 693,310 Central Plaza Hotel Public Co., Ltd. (Foreign) 723,000 261,969 Charoen Pokphand Foods Public Co., Ltd. (Foreign) 11,854,940 1,016,889 Eastern Water Resources Development & Management Public Co., Ltd. (Foreign) 715,900 882,302 Hana Microelectronics Public Co., Ltd. (Foreign) 187,000 576,165 ICC International Public Co., Ltd. 2,755,000 2,410,710 Kang Yong Electric Public Co., Ltd. (Foreign) 236,200 317,301 * Kasikornbank PCL (Foreign) 1,530,000 1,857,345 Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 545,800 699,571 Modernform Group Public Co., Ltd. (Foreign) 46,000 32,881 Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 134,300 880,547 National Finance and Securities Public Co., Ltd. (Foreign) 9,023,000 3,291,605 National Petrochemical Public Co., Ltd. (Foreign) 2,010,600 4,460,291 * Pacific Assets Public Co., Ltd. (Foreign) 380,000 54,794 * Padaeng Industry Public Co., Ltd. (Foreign) 1,600,800 556,354 Regional Container Lines Public Co., Ltd. 6,950,000 2,466,847 Saha Pathana Inter-Holding Public Co., Ltd. 3,316,000 1,087,079 Saha Pathanapibul Public Co., Ltd. (Foreign) 1,367,000 379,067 Saha-Union Public Co., Ltd. (Foreign) 3,025,300 1,528,683 * Samart Corporation Public Co., Ltd. 4,552,000 796,628 Siam Food Products Public Co., Ltd. (Foreign) 97,100 $ 191,472 Siam Industrial Credit Public Co., Ltd. 4,055,050 704,661 * Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 839 68,245 * Thai Military Bank Public Co., Ltd. (Foreign) 24,588,200 2,157,604 Thai Plastic and Chemicals Public Co., Ltd. (Foreign) 29,000 128,666 Thai Rayon Public Co., Ltd. 16,500 132,586 Thai Rung Union Car Public Co., Ltd. (Foreign) 5,386,250 2,031,295 * TPI Polene Public Co., Ltd. (Foreign) 3,890,162 3,116,349 * Tuntex (Thailand) Public Co., Ltd. (Foreign) 1,987,600 94,064 * United Communication Industry Public Co., Ltd. (Foreign) 864,400 937,481 * Vinythai Public Co., Ltd. (Foreign) 1,217,358 344,364 --------------- TOTAL COMMON STOCKS (Cost $26,470,237) 46,049,930 --------------- RIGHTS/WARRANTS -- (0.0%) * Bangkok Land (Foreign) Warrants 2006 3,987,330 0 * Ch Karnchang Public Co., Ltd. Warrants 03/30/07 1,501,400 305,313 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 305,313 --------------- TOTAL -- THAILAND (Cost $26,470,237) 46,355,243 --------------- POLAND -- (3.4%) COMMON STOCKS -- (3.4%) * Amica Wronki SA 174,355 2,079,937 Bank Przemyslowo Handlowy Pbk 9,050 1,004,133 * Big Bank Gdanski SA 2,399,724 1,933,901 * Budimex SA 66,643 823,018 Debica SA 73,315 2,522,978 * Huta Ferrum SA 4,233 7,154 * Impexmetal SA 241,068 2,121,248 * Kredyt Bank SA 1,032,878 2,476,774 Lentex SA 104,119 809,554 * Mostostal Export SA 654,595 295,945 * Mostostal Warszawa SA 183,300 645,984 * Mostostal Zabrze Holding SA 140,376 41,915 * Netia Holdings SA 499,050 559,350 Orbis SA 561,018 3,476,476 Polifarb Cieszyn Wroclaw SA 929,467 2,512,610 Polski Koncern Naftowy Orlen S.A. 77,519 580,249 Przedsiebiorstwo Farmaceutyczne JELFA SA 139,333 2,517,260 Raciborska Fabryka Kotlow SA 291,972 1,086,430 * Sokolowskie Zaklady Miesne SA 640,477 980,221 --------------- TOTAL -- POLAND (Cost $19,409,618) 26,475,137 ---------------
189
SHARES VALUE+ --------------- --------------- CHILE -- (3.2%) COMMON STOCKS -- (3.2%) Banco de Credito e Inversiones SA Series A 54,733 $ 908,970 Banmedica SA 347,000 134,464 CAP SA (Compania de Aceros del Pacifico) 199,310 740,812 Cementos Bio-Bio S.A. 62,327 93,651 Cervecerias Unidas SA 143,000 568,834 Consumidores de Gas de Santiago SA 103,000 439,858 COPEC (Cia de Petroleos de Chile) 947,488 6,503,911 Cristalerias de Chile SA 12,500 92,902 CTI SA (Cia Tecno Industrial) 4,900,000 82,345 Empresa Nacional de Electricidad SA 2,479,503 1,035,332 Empresa Nacional de Telecomunicaciones SA 81,000 462,491 Empresas Iansa SA 4,994,997 142,206 * Enersis SA 6,762,242 832,111 * Forestal Terranova SA 147,795 73,268 Industrias Forestales Inforsa SA 2,387,597 377,673 Inversiones Frimetal SA 4,900,000 0 * Madeco Manufacturera de Cobre SA 1,194,560 74,631 Maderas y Sinteticos SA 1,379,095 562,762 Manufacturera de Papeles y Cartones SA 285,547 4,877,671 Minera Valparaiso SA 7,500 78,292 Parque Arauco S.A. 455,207 188,635 Sociedad Industrial Pizarreno SA 63,000 109,609 Sociedad Quimica y Minera de Chile SA Series A 43,364 164,608 Sociedad Quimica y Minera de Chile SA Series B 945,090 3,355,985 Soquimic Comercial SA 150,000 37,960 Sud Americana de Vapores SA 410,000 496,085 Telecomunicaciones de Chile SA Series A 384,000 1,135,753 Telecomunicaciones de Chile SA Series B 372,166 1,059,547 Vina de Concha y Toro SA 350,000 315,540 Vina San Pedro SA 4,500,000 40,925 Vina Sta Carolina SA Series A 163,489 46,545 --------------- TOTAL COMMON STOCKS (Cost $18,437,682) 25,033,376 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Chilean Pesos (Cost $16,524) 17,613 --------------- TOTAL -- CHILE (Cost $18,454,206) 25,050,989 --------------- HUNGARY -- (3.0%) COMMON STOCKS -- (3.0%) * Danubius Hotel & Spa RT 171,412 3,331,133 Egis RT 42,143 1,638,277 * Fotex First Hungarian-American Photo Service Co. 2,356,737 1,715,056 Globus Konzervipari RT 317,900 1,312,138 Magyar Olay-Es Gazipari RT 183,209 $ 7,026,592 * Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 84,611 407,449 * North American Business Industries RT 121,832 515,518 * Pannonplast P.L.C. 138,882 1,067,699 * Raba Hungarian Railway Carriage & Machine Works 482,083 1,755,549 * Synergon Information Systems Ltd., Budapest 247,161 490,822 * Tiszai Vegyi Kombinat RT 251,242 4,603,479 --------------- TOTAL -- HUNGARY (Cost $21,409,826) 23,863,712 --------------- PHILIPPINES -- (2.4%) COMMON STOCKS -- (2.4%) Aboitiz Equity Ventures, Inc. 5,782,000 300,794 Alaska Milk Corp. 7,953,000 419,986 * Alsons Consolidated Resources, Inc. 16,904,000 45,360 * Bacnotan Consolidated Industries, Inc. 1,696,970 303,572 * Belle Corp. 30,800,000 270,260 * Cebu Holdings, Inc. 7,763,250 62,495 * Digital Telecommunications (Philippines), Inc. 131,630,000 1,528,581 * Equitable PCI Bank, Inc. 2,841,900 2,208,765 * Fil-Estate Land, Inc. 3,196,340 14,943 * Filinvest Development Corp. 5,283,500 89,319 * Filinvest Land, Inc. 151,904,100 2,824,806 * Filipina Water Bottling Corp. 5,471,786 0 * First E-Bank Corp. 409,000 5,488 Keppel Philippines Marine, Inc. 9,725,165 46,973 * Kuok Philippine Properties, Inc. 4,300,000 11,579 * Megaworld Properties & Holdings, Inc. 179,870,000 3,610,062 Metro Bank and Trust Co. 349,020 156,068 * Mondragon International Philippines, Inc. 2,464,000 5,510 Petron Corp. 15,160,000 826,760 * Philippine National Bank 3,619,900 1,542,227 * Philippine National Construction Corp. 398,900 23,192 * Philippine Realty & Holdings Corp. 20,930,000 7,488 Philippine Savings Bank 1,095,390 529,079 * Prime Orion Philippines, Inc. 14,400,000 41,161 * RFM Corp. 2,488,200 28,296 Robinson's Land Corp. Series B 16,019,000 510,086 Security Bank Corp. 2,713,200 812,897 SM Development Corp. 21,996,400 418,121 * Solid Group, Inc. 19,668,000 125,721 Soriano (A.) Corp. 20,195,000 332,575 * Swift Foods, Inc. 1,238,566 5,481 Union Bank of the Philippines 547,400 225,254 Universal Robina Corp. 16,140,300 1,933,492 * Urban Bank, Inc. 14,950 141 --------------- TOTAL -- PHILIPPINES (Cost $28,471,071) 19,266,532 ---------------
190
SHARES VALUE+ --------------- --------------- ARGENTINA -- (2.3%) COMMON STOCKS -- (2.3%) * Acindar Industria Argentina de Aceros SA Series B 2,261,067 $ 2,179,804 * Alpargatas SA Industrial y Comercial 6,363 3,169 * Banco del Sud Sociedad Anonima Series B 310,563 274,451 * Banco Frances del Rio de la Plata SA 178,000 320,325 * Banco Suquia SA 327,868 52,154 * Capex SA Series A 131,575 134,246 * Celulosa Argentina SA Series B 10,843 7,840 * Central Costanera SA Series B 261,000 333,815 * Central Puerto SA Series B 161,000 82,781 Cresud SA Comercial Industrial Financiera y Agropecuaria 535,252 533,215 DYCASA SA (Dragados y Construcciones Argentina) Series B 55,000 46,484 * Garovaglio y Zorraquin SA 65,800 9,092 * Grupo Financiero Galicia SA Series B 1,697,935 916,670 * IRSA Inversiones y Representaciones SA 1,257,197 880,730 * Juan Minetti SA 806,693 824,362 * Ledesma S.A.A.I. 825,405 477,444 * Metrogas SA Series B 176,000 67,870 * Molinos Rio de la Plata SA Series B 307,214 385,024 * Polledo SA Industrial y Constructora y Financiera 50,000 7,536 * Renault Argentina SA 2,501,957 393,966 Siderar SAIC Series A 645,512 2,821,149 * Sol Petroleo SA 173,000 28,353 Solvay Indupa S.A.I.C. 1,334,322 1,106,275 * Telecom Argentina Stet-France SA Series B 476,600 781,101 Tenaris SA 1,660,259 5,175,238 --------------- TOTAL COMMON STOCKS (Cost $17,705,390) 17,843,094 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso (Cost $479,488) $ 480,676 --------------- TOTAL -- ARGENTINA (Cost $18,184,878) 18,323,770 --------------- CZECH REPUBLIC -- (0.1%) COMMON STOCKS -- (0.1%) * CEZ A.S. (Cost $951,800) 132,655 942,790 --------------- EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency (Cost $284) 410 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (1.6%) Repurchase Agreement, PNC Capital Markets, Inc. 0.89%, 06/01/04 (Collateralized by $12,956,000 FNMA Discount Notes 0.96%, 06/16/04, valued at $12,949,522) to be repurchased at $12,759,262 (Cost $12,758,000) $ 12,758 12,758,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $609,462,510)++ $ 787,583,208 ===============
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. ++ The cost for federal income tax purposes is $610,344,890. See accompanying Notes to Financial Statements. 191 DIMENSIONAL EMERGING MARKETS VALUE FUND INC. STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2004 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) (UNAUDITED) ASSETS: Investments at Value (Cost $609,463) $ 787,583 Cash 1,889 Receivables: Investment Securities Sold 1,549 Dividends and Interest 2,494 Fund Shares Sold 284 Prepaid Expenses and Other Assets 5 ------------ Total Assets 793,804 ------------ LIABILITIES: Payables: Investment Securities Purchased 1,595 Due to Advisor 64 Fund Shares Redeemed 3,500 Deferred Thailand Capital Gains Tax 3,811 Deferred Chilean Repatriation Tax 107 Accrued Expenses and Other Liabilities 224 ------------ Total Liabilities 9,301 ------------ NET ASSETS applicable to 36,861,017 shares outstanding $0.01 par value shares $ 784,503 ============ (Authorized 200,000,000) NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 21.28 ============ NET ASSETS CONSIST OF: Paid-in Capital $ 585,778 Accumulated Net Investment Income (Loss) 2,186 Accumulated Net Realized Gain (Loss) 23,117 Accumulated Net Realized Foreign Exchange Gain (Loss) (776) Deferred Thailand Capital Gains Tax (3,811) Unrealized Net Foreign Exchange Gain (Loss) (111) Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency Transactions 178,120 ------------ Total Net Assets $ 784,503 ============
See accompanying Notes to Financial Statements. 192 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2004 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $1,487) $ 10,167 Interest 64 ---------- Total Investment Income 10,231 ---------- EXPENSES Investment Advisory Services 389 Accounting & Transfer Agent Fees 333 Custodian Fees 532 Legal Fees 21 Audit Fees 11 Shareholders' Reports 34 Directors' Fees and Expenses 4 Other 35 ---------- Total Expenses 1,359 ---------- NET INVESTMENT INCOME (LOSS) 8,872 ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 24,718 Net Realized Gain (Loss) on Foreign Currency Transactions (776) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 37,019 Translation of Foreign Currency Denominated Amounts (97) Deferred Thailand Capital Gains Tax 1,589 ---------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 62,453 ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 71,325 ---------- ----------
See accompanying Notes to Financial Statements. 193 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2004 2003 ----------- ----------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 8,872 $ 9,519 Net Realized Gain (Loss) on Investment Securities Sold 24,718 9,445 Net Realized Gain (Loss) on Foreign Currency Transactions (776) (301) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 37,019 164,617 Translation of Foreign Currency Denominated Amounts (97) (93) Deferred Thailand Capital Gains Tax 1,589 (3,793) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 71,325 179,394 ----------- ----------- Distributions From: Net Investment Income (2,587) (10,213) Net Long-Term Gains (6,727) -- ----------- ----------- Total Distributions (9,314) (10,213) ----------- ----------- Capital Share Transactions (1): Shares Issued 123,117 187,083 Shares Issued in Lieu of Cash Distributions 9,314 10,213 Shares Redeemed (27,662) (94,351) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 104,769 102,945 ----------- ----------- Total Increase (Decrease) 166,780 272,126 NET ASSETS Beginning of Period 617,723 345,597 ----------- ----------- End of Period $ 784,503 $ 617,723 =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 5,573 11,549 Shares Issued in Lieu of Cash Distributions 454 597 Shares Redeemed (1,257) (7,037) ----------- ----------- 4,770 5,109 =========== ===========
See accompanying Notes to Financial Statements. 194 DIMENSIONAL EMERGING MARKETS VALUE FUND INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2004 2003 2002 2001 2000 1999 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period $ 19.25 $ 12.81 $ 12.28 $ 14.14 $ 20.88 $ 14.74 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.37 0.33 0.23 0.38 0.19 0.22 Net Gains (Losses) on Securities (Realized and Unrealized) 1.95 6.45 0.83 (0.92) (5.75) 8.62 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 2.32 6.78 1.06 (0.54) (5.56) 8.84 ----------- ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Net Investment Income (0.08) (0.34) (0.32) (0.33) (0.16) (0.25) Net Realized Gains (0.21) -- (0.21) (0.99) (1.02) (2.45) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.29) (0.34) (0.53) (1.32) (1.18) (2.70) ----------- ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period $ 21.28 $ 19.25 $ 12.81 $ 12.28 $ 14.14 $ 20.88 =========== =========== =========== =========== =========== =========== Total Return 12.16%# 53.30% 8.79% (4.34)% (28.02)% 71.69% Net Assets, End of Period (thousands) $ 784,503 $ 617,723 $ 345,597 $ 279,096 $ 295,276 $ 360,430 Ratio of Expenses to Average Net Assets 0.35%* 0.42% 0.40% 0.52% 0.54% 0.52% Ratio of Net Investment Income to Average Net Assets 2.28%* 2.39% 1.67% 3.16% 1.46% 1.51% Portfolio Turnover Rate 7%# 10% 15% 19% 19% 18%
- ---------- * Annualized # Non-annualized See accompanying Notes to Financial Statements. 195 DIMENSIONAL EMERGING MARKETS VALUE FUND INC. NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: Dimensional Emerging Markets Value Fund Inc. (the "Fund") was organized as a closed-end management investment company registered under the Investment Company Act of 1940, as amended. Effective November 21, 1997, the Fund was reorganized as an open-end management investment company. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Fund 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 quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are approved in good faith at fair value using methods approved by the Board of Directors. The Fund will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset value of the Fund is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Fund prices its shares at the close of the NYSE, the Fund will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the Fund's foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Fund utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Fund. When the Fund uses fair value pricing, the values assigned to the Fund's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. 196 2. FOREIGN CURRENCY TRANSLATIONS: Securities and other assets and liabilities of the Fund whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid. 3. REPURCHASE AGREEMENTS: The Fund may purchase money market instruments from financial institutions, such as banks and non-bank dealers, subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system or with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on May 28, 2004. 4. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Fund may be inhibited. 5. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At May 31, 2004, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $10,981. 6. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investment in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. The Fund's investments in Chile are subject to governmental taxes on investment income and realized capital gains. Such taxes are due when currencies are repatriated from the country. The Fund accrues for taxes on income as income is earned and accrues for taxes on capital gains throughout the holding period of underlying securities. The cost basis used to determine the amount of capital gains subject to such taxes is adjusted for the Consumer Price Index (CPI) in Chile from the date such securities were purchased through the date such securities are sold. 197 The Fund's investments in Thailand are subject to a 15% governmental capital gains tax. Such taxes are due upon sale of individual securities. The Fund accrues for taxes on the capital gains throughout the holding period of the underlying securities. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Fund. For the six months ended May 31, 2004, the Fund paid the Advisor a fee based on an annual effective rate of 0.10 of 1% of average net assets. Certain officers of the Fund are also officers, directors and shareholders of the Advisor. D. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2004, the Fund made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 154,484 Sales 51,410
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2004. E. FEDERAL INCOME TAXES: No provision for federal income taxes is required since the Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its taxable income and capital gains to shareholders. Because income tax regulations differ from accounting principles generally accepted in the United States of America, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. The components of distributable earnings on a tax basis do not differ materially from book basis distributable earnings, which are disclosed in the Statement of Assets and Liabilities. At May 31, 2004, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands): Gross Unrealized Appreciation $ 233,027 Gross Unrealized Depreciation (55,789) ----------- Net $ 177,238 ===========
Certain of the Fund's investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. During the year ended November 30, 2003, the Fund had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $2,805,362 and $1,692,377 respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. 198 F. LINE OF CREDIT: The Fund together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2003 with its domestic custodian bank. The Fund is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. There were no borrowings by the Fund under the discretionary line of credit with the domestic custodian bank during the six months ended May 31, 2004. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 2004 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2005. There were no borrowings by the Fund under the line of credit during the six months ended May 31, 2004. G. REIMBURSEMENT FEES: Until March 30, 2002, shares of the Fund were sold at a public offering price which was equal to the current net asset value plus a reimbursement fee of 0.50% of such net asset value. Reimbursement fees were recorded as an addition to Paid-in capital and were used to defray the costs associated with investing proceeds of the sale of shares to investors. Effective March 30, 2002, the Fund no longer charges reimbursement fees. 199 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the non-Feeder Portfolios and Master Funds use in voting proxies relating to securities held in their portfolio's is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies will become available from the EDGAR database on the SEC's website at http://www.sec.gov no later than August 31, 2004 when the Funds file their first report on Form N-PX and will reflect the twelve-month period beginning July 1, 2003 and ending June 30, 2004. 200 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] ITEM 2. CODE OF ETHICS. Not applicable when filing a semi-annual report to shareholders. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable when filing a semi-annual report to shareholders. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable when filing a semi-annual report to shareholders. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This item is not applicable to the Registrant. ITEM 6. SCHEDULE OF INVESTMENTS. This item is not applicable. This item is applicable only for periods ending on or after July 9, 2004. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. None. ITEM 10. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this Form N-CSR/A (the "Report"), the Registrant's Principal Executive Officer and Principal Financial Officer believe that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effectively designed to ensure that information required to be disclosed by the Registrant in the Report is recorded, processed, summarized and reported by the filing date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the Registrant's officers that are making certifications in the Report, as appropriate, to allow timely decisions regarding required disclosure. The Registrant's management, including the Principal Executive Officer and the Principal Financial Officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 11. EXHIBITS. (a) This item is not applicable. (b) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. (c) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. Dimensional Investment Group Inc. By: /s/ David G. Booth -------------------------------------- David G. Booth Chairman, Director, President, Chief Executive Officer and Chief Investment Officer Date: October 28, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/ David G. Booth -------------------------------------- David G. Booth Principal Executive Officer Dimensional Investment Group Inc. Date: October 28, 2004 By: /s/ Michael T. Scardina ------------------------------------- Michael T. Scardina Principal Financial Officer Dimensional Investment Group Inc. Date: October 28, 2004 EX-99.302CERT 2 a2145362zex-99_302cert.txt EX-99.302CERT EXHIBIT 99.302CERT CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David G. Booth, certify that: 1. I have reviewed this report on Form N-CSR/A of Dimensional Investment Group Inc. on behalf of the Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant, with respect to the Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio, as of, and for, the periods presented in this report; 4. The Registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) [Omitted. Not required until the first annual report filed on Form N-CSR for a fiscal year ending on or after November 15, 2004.] c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the Registrant's most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information, and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal controls over financial reporting. Date: October 28, 2004 By: /s/ David G. Booth --------------------------------- David G. Booth Principal Executive Officer Dimensional Investment Group Inc. CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, Michael T. Scardina, certify that: 1. I have reviewed this report on Form N-CSR/A of Dimensional Investment Group Inc. on behalf of the Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant, with respect to the Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio, as of, and for, the periods presented in this report; 4. The Registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) [Omitted. Not required until the first annual report filed on Form N-CSR for a fiscal year ending on or after November 15, 2004.] c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report; d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the Registrant's most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal controls over financial reporting. Date: October 28, 2004 By: /s/ Michael T. Scardina --------------------------------- Michael T. Scardina Principal Financial Officer Dimensional Investment Group Inc. EX-99.906CERT 3 a2145362zex-99_906cert.txt EX-99.906CERT EXHIBIT 99.906CERT CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 David G. Booth, Principal Executive Officer, and Michael T. Scardina, Principal Accounting Officer, of Dimensional Investment Group Inc., a Maryland corporation (the "Registrant"), each certify that: 1. The Registrant's periodic report on Form N-CSR/A on behalf of the Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio for the period ended May 31, 2004 (the "Form N-CSR/A") fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as amended, as applicable; and 2. The information contained in the Form N-CSR/A fairly presents, in all material respects, the financial condition and results of operations of the Registrant on behalf of the Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio. By: /s/ David G. Booth --------------------------------- David G. Booth Principal Executive Officer Dimensional Investment Group Inc. Date: October 28, 2004 By: /s/ Michael T. Scardina --------------------------------- Michael T. Scardina Principal Accounting Officer Dimensional Investment Group Inc. Date: October 28, 2004 -----END PRIVACY-ENHANCED MESSAGE-----